MOM-11 · Momentum

Momentum Crash Protection

Follows momentum but monitors the momentum factor's own drawdown. When momentum is experiencing a crash (reversal), reduces position size to protect against momentum crashes that historically cause severe losses.

MomentumRisk ManagementCrash Protection

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At a glance

Best onTrending markets prone to reversals

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 7 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 0.78, CAGR 10.7%).
Weakest market: ETH-USD (Sharpe -0.76, CAGR -9.8%).

Equity curve

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

Score and risk profile

Arena Score: 61.0SPY, 5 years

Return quality · 30%66

Drawdown control · 25%34

Consistency · 20%59

Robustness · 15%81

Significance · 10%90

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

Time in market81%

Ulcer index9.4%

Longest drawdown748 days

Daily VaR (95%)-1.38%

Probability Sharpe > 090%

Beta vs buy & hold0.55

Alpha (annual)+0.6%

Positive months53%

CAGR after 10 bp costs6.5%

Deflated Sharpe (luck-adjusted)44%

CAGR, 90% bootstrap range-3.8% to 16.5%

Max drawdown, 90% bootstrap range-38.1% to -12.1%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-12.5%	-19.2%
COVID crash (Feb–Mar 2020)	-21.2%	-33.7%
2022 bear market	-14.3%	-24.5%
Market above its 200-day average (annualized) · 81%	+9.7%	+12.5%
Market below its 200-day average (annualized) · 19%	-2.3%	+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.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.76
Same parameters in the following 6 months, when traded (Sharpe)	0.78
Default parameters over the same months (Sharpe)	0.65
Parameter re-selections / changes	28 / 12
Parameter settings with a positive Sharpe (full history)	9 of 9
Sharpe across settings: worst / median / best	0.53 / 0.55 / 0.62

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
GLDSPDR Gold Shares	10.7%	16.4%	0.78	-24.5%	-28.3%	14.5%	49
SLViShares Silver Trust	13.7%	15.2%	0.78	-30.1%	-57.8%	19.1%	72
SPYSPDR S&P 500	6.9%	11.6%	0.58	-20.3%	-24.5%	12.7%	61
BTC-USDBitcoin	4.4%	2.6%	0.24	-38.1%	-75.9%	20.1%	45
DBAInvesco DB Agriculture	1.7%	8.8%	0.22	-19.5%	-15.9%	10.3%	34
DBCInvesco DB Commodity Index	2.1%	10.8%	0.21	-29.7%	-27.3%	13.0%	27
UNGUnited States Natural Gas	-0.7%	-30.7%	0.07	-33.6%	-93.3%	19.6%	75
USOUnited States Oil Fund	-2.5%	20.2%	-0.02	-42.4%	-36.2%	23.1%	24
EURUSD=XEUR/USD	-0.4%	-0.7%	-0.07	-7.4%	-17.2%	3.9%	54
ETH-USDEthereum	-9.8%	-15.1%	-0.76	-41.3%	-79.0%	9.1%	12

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	+11.2%	11.2%	0.96	1.32	-8.9%	52%	0
3 years	+48.4%	14.1%	1.09	1.28	-20.3%	55%	44
5 years	+39.5%	6.9%	0.58	0.66	-20.3%	44%	159
Full history	+229.9%	7.3%	0.63	0.68	-25.5%	45%	450

Rules

Entry

Momentum positive
Scale by momentum drawdown

Exit

Momentum negative or severe drawdown

Indicators

12-month momentum
Momentum factor drawdown
Rolling high of momentum signal

Inputs

Mom_Lookback = 252
DD_Threshold = 0.10
Scale_Factor = 0.5

Position sizing

Full position if no drawdown
Scaled if momentum crashing

Risk controls

Exit completely if drawdown > 20%

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

Momentum crashes are rare but severe
Protection during reversals
Re-enter after crash subsides

Related strategies

COMBO-02 · SPY 5Y Sharpe 0.51MACD + RSI Filter CS-01 · CS-UNIV 5Y Sharpe 0.76Cross-Sectional Momentum HMA-01 · SPY 5Y Sharpe 0.06HMA Crossover MACRO-03 · SPY 5Y Sharpe 0.56Flight to Quality MOM-01 · EURUSD=X 5Y Sharpe 0.19Time-Series Momentum MOM-02 · DUAL-MOM 5Y Sharpe 0.47Dual Momentum

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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.