Time-Series Momentum (volatility-scaled)
The academic "time-series momentum" rule: if an asset's own return over the lookback is positive, be long; if negative, be short. Here the lookback return is divided by its expected volatility (a z-score), and a position opens only when |z| exceeds the entry level; it closes when z crosses back through zero (the momentum has gone). A wide ATR stop guards against crashes between signals.
Member rating—no ratings yet
Used by0members
Best forward test—none running yet
Shared settings0by members, by market
How to use it
4h BTC / ETH / SOL perpetuals. 200 bars = about 33 days on 4h. Position size is a % of equity (Properties). Commission 0.06% per side. Back-test BTCUSDT 4h (Bybit, 0.06% fee/side, funding not included): 2021–2025 +741% (PF 1.96, max DD 42%, 52 trades); unseen 2025–2026 +2% (PF 1.03, 30 trades). Past results don't predict future ones. Concept: T. Moskowitz, Y. H. Ooi, L. H. Pedersen, "Time Series Momentum", Journal of Financial Economics 104 (2012).
Try Time-Series Momentum (volatility-scaled)
Open in the terminalGet accessAdd it to your chart, back-test it on any pair, compare it with other strategies, forward-test it on paper, or run it as a bot.
Back-tests and forward tests are simulations; past results do not predict future ones. Nothing here is financial advice. Trading carries a high risk of loss.