Follow momentum from 2019 — what’s left?
Same momentum rule since 2019: 1,953 trades, 41% wins, +0.068R per trade. Drawdown −71%.
Keep only the momentum rule from 2019 and you get 1,953 trades, a 41% win rate, and +0.068R per trade. Annualized return is about 28%, but the drawdown is −71%. That is the always-on book.
Rule name: Setup momentum_spec, minimum reward/risk 2.0.
Headline (pooled trades, 1R risk compound)
| Metric | Value |
|---|---|
| Trades | 1953 |
| Win % | 41.32 |
| E[R] | 0.0678 |
| Total R | 132.441 |
| CAGR % | 27.82 |
| Max DD % | −70.675 |
| Exits (stop / target / time) | 1004 / 490 / 459 |
Interpretation
Positive expected R per trade with deep drawdowns — typical of pooled, always-on momentum in a single book without portfolio caps. Live-style top-1 / max-6 books show lower CAGR but much smaller MDD (see PIT macro post).
Per-name dispersion (top of book)
Leaders by total R in this run included high-beta semis and mega-cap leaders; laggards clustered in low-vol defensives and several small-cap extras. Full per-ticker table stays in private JSON.
Source
Summarized from state/reports/momentum_bt_20260818_094848.md on the chart-scanner host.