Momentum · Time-series momentum
US500 · US100 · JP225 Momentum 60 · 1D
Time-series momentum on US500, US100, JP225 CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−12.9%Backtest
Max drawdown−3.9%Volatility 4.8%
Sharpe-2.84Trades 19
Since go-live−0.04% Live
Live equity
Backtest on real market data
Annual return−12.9%
Max drawdown−3.9%
Sharpe-2.84
Trades19
Winning trades21%
Time in market99%
Backtest on real historical prices from Jul 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 60 bars is positive, short when it is negative.
- Trades both directions (long and short).
- Position size targets 8% annualised volatility (risk level 2/5), capped at 3:1 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 | -2.8 | -0.1 | -0.4 | -0.2 | -3.4% |