Momentum · Time-series momentum
US100 Momentum 30 · 4H
Time-series momentum on US100 CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return−3.2%Backtest
Max drawdown−14.4%Volatility 13.2%
Sharpe-0.22Trades 100
Since go-live−0.06% Live
Live equity
Backtest on real market data
Annual return−3.2%
Max drawdown−14.4%
Sharpe-0.22
Trades100
Winning trades34%
Time in market100%
Backtest on real historical prices from Oct 27, 2025 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 12% annualised volatility (risk level 3/5), capped at 5:1 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.5 | -0.6 | -1.6 | -1.7% | |||||||||
| 2026 | -4.9 | -2.5 | -0.8 | 5.6 | 3.7 | 2.2 | 0.1 | 0.6 | -4.5 | -0.3 | -1.2% |