Time Series Momentum 252

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.

Worked example. Price is 130 today versus 100 a year of bars ago — a +30% trailing return, so the strategy is long. Only when the 12-month return flips negative does it step aside.

Everything runs on closing prices of the traded timeframe: P is a close, P_t today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.

Trailing Return (Momentum)

The percentage change of price versus N bars ago — the simplest possible measure of trend. Positive means price is higher than it was back then, negative means lower.

M_N = (P_t / P_t-N - 1) × 100

Example: If price is 120 today and was 100 ninety bars ago, momentum is (120 / 100 − 1) × 100 = +20% — the market has trended up over the window.