FX Time-Series Momentum
Momentum · FX · Daily
The rules, in plain English
This follows six-month trends across US-dollar currency pairs, weighting positions by inverse volatility so wilder pairs count for less. Time-series momentum means each pair is judged on its own trend, up or down. In the published backtest this one lost money, with a clearly negative risk-adjusted result.
The published backtest
| Total return | -27.3% |
|---|---|
| CAGR (annual growth rate) | -1.97% |
| Sharpe ratio | -0.59 |
| Maximum drawdown (worst peak-to-trough fall) | -29.4% |
| Win rate | — |
| Profit factor | — |
| Risk grade (our shorthand, from the published figures) | F |
| Asset class | FX |
| Style | Momentum |
| Timeframe | Daily |
| Type | Weights |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Lost money in backtest
Plainly: this one lost money in its published backtest. Whatever the appeal of the idea, the published test ended with less money than it started with — so as tested, it did not work.
Worst drawdown in the published test: -29.4% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.