Time Series Momentum 252 (Momentum)

Moskowitz–Ooi–Pedersen time-series momentum: long while the trailing 252-bar (12-month) return is positive; exits when it turns negative.

Example

Real Data — Score 46 / 100

Metrics Per Trade

Final Metrics

Scores

Resampled Data — Score 47 / 100

Metrics Per Trade

Final Metrics

Scores