RESEARCH
MOMENTUM · RESEARCH MODEL
Momentum Rotation
Momentum-based allocation across a diversified liquid-market universe. EXPLORATORY
NET RETURN+0.2%AFTER MODELED COSTS
ANNUALIZED+0.3%SHORT SAMPLE
MAX DRAWDOWN-23.0%PEAK TO TROUGH
SHARPE0.18DAILY · ANNUALIZED
NET EQUITY CURVE$10K
START $10K · AFTER MODELED COSTSAnchored walk-forward
FIXED RULES · TEMPORAL STABILITYCOMPOUNDED TEST RETURN-14.3%
MEDIAN FOLD-4.4%
POSITIVE FOLDS50%
WORST FOLD DD-18.9%
FoldTrain throughTest windowReturnMax DDSharpe
01Jun 12, 2026Jun 13, 2026 – Jul 7, 2026-12.1%-13.4%-7.26
02Jul 7, 2026Jul 8, 2026 – Aug 1, 2026+3.4%-2.7%2.30
03Aug 1, 2026Aug 2, 2026 – Aug 26, 2026+12.8%-3.3%3.98
04Aug 26, 2026Aug 27, 2026 – Sep 20, 2026-16.3%-18.9%-5.28
Month by month
NET RETURNSYearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20260.0%-0.6%+3.5%-1.0%+3.9%+10.7%-14.6%+0.2%
Research profile
PUBLIC SUMMARY- Markets
- BTC · ETH · SOL · HYPE · XRP · DOGE · SUI · LINK
- Data frequency
- 1d completed bars
- Rebalance profile
- Every closed bar
- Modeled volume
- $292K
- Trading costs
- $350.4
- Funding impact
- $86.4
Methodology boundary
WHAT IS PUBLICThe model thesis, markets, costs and outputs are disclosed. Signal code, parameters, position logic and implementation details remain server-side.
- Current active-market universe introduces survivorship bias.
- Daily bars; no intraday execution or order-book capacity model.
- No liquidation, partial-fill or tax model.
- Anchored fixed-rule walk-forward measures temporal stability but is not an untouched future holdout after product selection.
STRATEGY SETUP
Configure strategy
Private draft. Saving does not sign or execute anything; venue authorization is a separate explicit step.Research only. Past simulated performance does not guarantee future results. Saving a draft grants no wallet or order authority.