FX Cross-Sectional Momentum
Momentum · Market neutral · FX · Daily
The rules, in plain English
This FX version is relative: each month it buys the strongest dollar pair and shorts the weakest, market-neutral. Cross-sectional momentum bets that relative strength persists. In the published backtest it was the weakest FX result in the set, losing money with the lowest Sharpe ratio published here.
The published backtest
| Total return | -34.1% |
|---|---|
| CAGR (annual growth rate) | -2.58% |
| Sharpe ratio | -1.00 |
| Maximum drawdown (worst peak-to-trough fall) | -41.4% |
| Win rate | — |
| Profit factor | — |
| Risk grade (our shorthand, from the published figures) | F |
| Asset class | FX |
| Style | Momentum · Market neutral |
| 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: -41.4% — 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.