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+0.26% Live
Outside the System since Oct 5, 08:52 AM (live result below zero). It keeps running here and rejoins automatically once positive.
Live equity
Live trade history · last 3: 1 in profit · 2 at a loss
| Closed | Market | Entry | Exit | Result |
|---|---|---|---|---|
| Oct 5, 08:51 AM opened Oct 5, 06:29 AM | ▲ US100 | 30,790.0 | 30,785.0 | −0.03% |
| Oct 5, 08:51 AM opened Oct 5, 06:29 AM | ▲ JP225 | 69,950 | 69,777 | −0.26% |
| Oct 5, 08:51 AM opened Oct 5, 06:29 AM | ▲ US500 | 7,715.6 | 7,717.3 | +0.01% |
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. (Hyperliquid)
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% |