Since 2022 Sort Finance

Time Series Momentum 252

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Measure the trailing 252-bar (12-month) return — the classic academic time-series momentum window.
  2. Stay long while that return is positive.
  3. Exit when it turns negative, and stay out until it recovers.
Score
Total Score Mean Of Real And Resampled 48 / 100
Real Data 46 / 100
Resampled Data 51 / 100
Overall Rank Top 47% 24 of 52
Rank In Momentum Top 50% 5 of 10
Score By Metric
Beats Hold Real 34 · Resampled 56 45 / 100
Risk Adjusted Real 47 · Resampled 47 47 / 100
Profitability Real 55 · Resampled 57 56 / 100
Win Rate Real 29 · Resampled 25 27 / 100
Fee Efficiency Real 66 · Resampled 67 67 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.