backtest
Momentum baseline backtest (2019→now)
Pooled 1R compound on momentum_spec with RS/sector gates — 1953 trades, win 41.3%, E[R] 0.068.
Universe 170 names · window 2019-01-01 → max · rising-edge entries · next-open fills.
Params: min_rr 2.0 · ATR×2.0 · max_atr% 8% · hold ≤ 25
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.