Time-Series Momentum
A simple time-series momentum model with monthly rebalancing.
At a glance
What the backtest shows
- Beat buy-and-hold on 4 of 10 markets by annual return over 5 years.
- Had a smaller maximum drawdown than buy-and-hold on 5 of 10 markets.
- Best market by Sharpe ratio: GLD (Sharpe 0.67, CAGR 11.0%).
- Weakest market: UNG (Sharpe -0.35, CAGR -20.2%).
Equity curve
Score and risk profile
Each bar is a percentile against every strategy on the same market and window (100 = best).
How it held up in sell-offs (EURUSD=X)
| Period | Strategy | Buy & hold |
|---|---|---|
| Q4 2018 sell-off | 0.0% | -2.0% |
| COVID crash (Feb–Mar 2020) | +0.1% | -0.9% |
| 2022 bear market | 0.0% | -14.7% |
| Market above its 200-day average (annualized) · 46% | +0.3% | +0.5% |
| Market below its 200-day average (annualized) · 54% | -1.2% | -3.0% |
Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.
Results by market (5 years)
| Market | CAGR | Buy & hold CAGR | Sharpe | Max drawdown | Buy & hold max DD | Volatility | Arena Score |
|---|---|---|---|---|---|---|---|
| GLDSPDR Gold Shares | 11.0% | 16.4% | 0.67 | -28.5% | -28.3% | 18.0% | 52 |
| SPYSPDR S&P 500 | 7.8% | 11.6% | 0.61 | -22.6% | -24.5% | 13.6% | 62 |
| DBCInvesco DB Commodity Index | 8.1% | 10.8% | 0.52 | -30.3% | -27.3% | 17.3% | 66 |
| DBAInvesco DB Agriculture | 6.1% | 8.8% | 0.52 | -17.7% | -15.9% | 13.4% | 65 |
| SLViShares Silver Trust | 12.0% | 15.2% | 0.51 | -57.8% | -57.8% | 34.9% | 61 |
| BTC-USDBitcoin | 18.2% | 2.6% | 0.51 | -41.3% | -75.9% | 31.6% | 72 |
| USOUnited States Oil Fund | 7.0% | 20.2% | 0.35 | -51.8% | -36.2% | 33.6% | 52 |
| EURUSD=XEUR/USD | 0.9% | -0.7% | 0.19 | -6.8% | -17.2% | 4.9% | 78 |
| ETH-USDEthereum | -13.7% | -15.1% | -0.08 | -72.3% | -79.0% | 38.4% | 22 |
| UNGUnited States Natural Gas | -20.2% | -30.7% | -0.35 | -84.3% | -93.3% | 40.8% | 17 |
Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.
EURUSD=X across time windows
Rules
Entry
Go long when momentum > 0
Exit
Exit when momentum < 0
Indicators
12M momentum
Inputs
Lookback = 252 Rebalance = 21
Position sizing
Equal weight
Risk controls
Skip signals around major events
Strategy evidence
- BTC-USD · Inspect evidence 2026-11-10
- DBA · Inspect evidence 2026-11-10
- DBC · Inspect evidence 2026-11-10
- ETH-USD · Inspect evidence 2026-11-10
- EURUSD=X · Inspect evidence 2026-11-10
- GLD · Inspect evidence 2026-11-10
- SLV · Inspect evidence 2026-11-10
- SPY · Inspect evidence 2026-11-10
- UNG · Inspect evidence 2026-11-10
- USO · Inspect evidence 2026-11-10
Only available, validated bundles appear below. Missing evidence is not a passing validation result.
Evidence coverage
10 / 10 declared strategy–market pairs validated
Notes
- Robust in long trends
- Slow in turning points
Related strategies
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<a href="https://quantarenas.com/strategy/mom-01-time-series-momentum/"><img src="https://quantarenas.com/badge/mom-01-time-series-momentum.svg" alt="Time-Series Momentum Arena Score on Quant Arena" height="20"></a>
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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.