Momentum · Time-series momentum
US500 · US100 · JP225 Momentum 120 · 1D
Time-series momentum on US500, US100, JP225 CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+4.2%Backtest
Max drawdown−1.0%Volatility 3.2%
Sharpe1.31Trades 0
Since go-live−0.07% Live
Outside the System since Oct 5, 09:50 AM (live result below zero). It keeps running here and rejoins automatically once positive.
Live equity
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return+4.2%
Max drawdown−1.0%
Sharpe1.31
Trades0
Winning trades0%
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 120 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 | -0.5 | 0.5 | 0.5 | 0.6 | 1.0% |