Strategy category
Momentum strategies
Strategies that rank assets or periods by recent performance and ride the winners. 16 strategies, each backtested on up to 10 markets with the same rules. Figures below are for each strategy's main market over the last five years.
Filter in the strategy library| Strategy | Main market | 5Y CAGR | 5Y Sharpe | 5Y Max DD |
|---|---|---|---|---|
| MOM-10 Accelerating MomentumMulti-period momentum with short-term emphasis. | SPY | 7.8% | 0.81 | -14.6% |
| MOM-04 Asset Class RotationRotate into top-performing asset classes based on momentum. | ROTATION | 12.9% | 0.68 | -28.5% |
| TREND-18 Coppock CurveLong-term trend timing with a smoothed momentum curve. | SPY | 6.8% | 0.63 | -18.2% |
| CS-01 Cross-Sectional MomentumBuy winners and rotate monthly. | CS-UNIV | 11.7% | 0.76 | -20.1% |
| MOM-02 Dual MomentumCombine relative and absolute momentum for asset selection. | DUAL-MOM | 10.9% | 0.47 | -40.5% |
| TREND-05 Dual Moving AverageFollow the 50/200 cross and stay aligned with regime. | SPY | 9.3% | 0.71 | -18.8% |
| TREND-19 Elder Triple ScreenMulti-filter trend system using MACD, pullbacks, and breakouts. | SPY | 0.0% | 0.00 | 0.0% |
| MOM-05 Faber TAAHold assets above 10-month moving average, cash otherwise. | FABER-TAA | 9.0% | 0.91 | -11.6% |
| HMA-01 HMA CrossoverFast/slow Hull MA crossover for trend direction. | SPY | 0.3% | 0.06 | -20.9% |
| COMBO-02 MACD + RSI FilterMACD crossover with RSI confirmation. | SPY | 4.4% | 0.51 | -12.3% |
| TREND-12 MACD StrategyClassic MACD crossover trend following. | SPY | 2.8% | 0.30 | -17.1% |
| MOM-11 Momentum Crash ProtectionMomentum with drawdown-based position scaling. | SPY | 6.9% | 0.58 | -20.3% |
| MOM-06 Residual MomentumTrade momentum after removing market factor exposure. | GLD | 7.3% | 0.57 | -26.9% |
| MOM-01 Time-Series MomentumStay long when 12-month momentum is positive. | EURUSD=X | 0.9% | 0.19 | -6.8% |
| TREND-13 Triple Moving AverageConfirm trend direction with three moving averages. | SPY | 9.7% | 0.71 | -18.8% |
| MOM-03 52-Week High MomentumBuy when price approaches 52-week high, exit on weakness. | SPY | 7.7% | 0.61 | -20.9% |