MOM-10 · Trend Following

Accelerating Momentum

Combines momentum across multiple timeframes (1M, 3M, 6M, 12M) with higher weights on recent periods. Captures accelerating trends where short-term momentum aligns with longer-term direction.

MomentumMulti-TimeframeTrend

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At a glance

Best onTrending markets with persistent momentum

Signal frequencyDaily

Typical holding periodWeeks to months

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

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 8 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 0.88, CAGR 12.9%).
Weakest market: UNG (Sharpe -0.20, CAGR -11.0%).

Equity curve

Accelerating Momentum Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 75.8SPY, 5 years

Return quality · 30%93

Drawdown control · 25%65

Consistency · 20%64

Robustness · 15%62

Significance · 10%97

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market75%

Ulcer index6.7%

Longest drawdown745 days

Daily VaR (95%)-1.03%

Probability Sharpe > 097%

Beta vs buy & hold0.35

Alpha (annual)+3.6%

Positive months50%

CAGR after 10 bp costs6.7%

Deflated Sharpe (luck-adjusted)64%

CAGR, 90% bootstrap range0.0% to 15.0%

Max drawdown, 90% bootstrap range-23.4% to -7.8%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-8.8%	-19.2%
COVID crash (Feb–Mar 2020)	-12.3%	-33.7%
2022 bear market	-11.8%	-24.5%
Market above its 200-day average (annualized) · 81%	+7.8%	+12.5%
Market below its 200-day average (annualized) · 19%	-0.9%	+19.8%

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	12.9%	16.4%	0.88	-20.5%	-28.3%	15.3%	70
SPYSPDR S&P 500	7.8%	11.6%	0.81	-14.6%	-24.5%	9.6%	76
BTC-USDBitcoin	13.7%	2.6%	0.47	-30.7%	-75.9%	23.6%	80
DBAInvesco DB Agriculture	4.2%	8.8%	0.45	-14.0%	-15.9%	10.7%	59
DBCInvesco DB Commodity Index	4.3%	10.8%	0.34	-36.7%	-27.3%	14.6%	43
SLViShares Silver Trust	5.6%	15.2%	0.34	-53.9%	-57.8%	29.7%	42
USOUnited States Oil Fund	3.9%	20.2%	0.26	-53.0%	-36.2%	28.6%	40
ETH-USDEthereum	1.4%	-15.1%	0.16	-40.8%	-79.0%	28.1%	51
EURUSD=XEUR/USD	0.5%	-0.7%	0.13	-7.3%	-17.2%	4.2%	66
UNGUnited States Natural Gas	-11.0%	-30.7%	-0.20	-69.8%	-93.3%	32.5%	40

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.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+2.7%	2.7%	0.41	0.52	-6.5%	47%	44
3 years	+54.8%	15.7%	1.46	1.83	-7.7%	51%	83
5 years	+45.5%	7.8%	0.81	0.97	-14.6%	41%	157
Full history	+171.4%	6.1%	0.67	0.73	-16.5%	42%	582

Rules

Entry

Composite score > 0
All periods positive (confirmation)

Exit

Composite score < 0
Or short-term momentum turns negative

Indicators

1M return (21 days)
3M return (63 days)
6M return (126 days)
12M return (252 days)
Weighted composite score

Inputs

Periods = [21, 63, 126, 252]
Weights = [0.4, 0.3, 0.2, 0.1]

Position sizing

Based on momentum strength

Risk controls

Reduce position if acceleration slows

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Short-term momentum predicts near-term returns
Multi-period confirmation reduces whipsaws
Weights emphasize recent performance

Related strategies

HMA-01 · SPY 5Y Sharpe 0.06HMA Crossover MOM-01 · EURUSD=X 5Y Sharpe 0.19Time-Series Momentum MOM-05 · FABER-TAA 5Y Sharpe 0.91Faber TAA TREND-05 · SPY 5Y Sharpe 0.71Dual Moving Average TREND-12 · SPY 5Y Sharpe 0.30MACD Strategy TREND-13 · SPY 5Y Sharpe 0.71Triple Moving Average

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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.