Momentum · Time-series momentum
AVGO Momentum 30 · 4H
Time-series momentum on AVGO CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return−45.0%Backtest
Max drawdown−18.2%Volatility 18.1%
Sharpe-3.18Trades 17
Since go-live—market closed
Backtest on real market data
Annual return−45.0%
Max drawdown−18.2%
Sharpe-3.18
Trades17
Winning trades12%
Time in market99%
Backtest on real historical prices from Jun 2, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Alpaca)
Methodology
- Long when the return over the last 30 bars is positive, short when it is negative.
- Trades both directions (long and short).
- Position size targets 18% annualised volatility (risk level 4/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -7.2 | -5.5 | -3.4 | -2.9 | -0.5 | -18.1% |