RUNNING
Monthly absolute-and-relative momentum rotation across US equities, Nasdaq, Treasuries and gold.
DEFAULT MARKETSPY,QQQ,TLT,GLD
BAR INTERVAL1d
GROSS EXPOSURE1.0x
PAPER CASH$100,000.00
REALIZED P&L$+0.00
PROMOTION AUDIT
No AI qualification submitted
This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.
NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.
How the strategy works
The strategy compares four economically different liquid ETFs and owns only the one with the strongest positive one-year trend. Combining relative and absolute momentum allows it to rotate away from weak equities rather than remain permanently invested.
Concrete example
If QQQ, SPY, TLT and GLD have 12-month returns of 15%, 10%, −8% and 6%, the next month holds QQQ. If all four are below zero, it holds cash.
Published research
Gary Antonacci — Absolute Momentum
Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.
Exact algorithm
- At each month-end calculate each asset's trailing 252-session total return.
- Select the asset with the highest positive return.
- Hold the winner for the following month; hold cash if all returns are non-positive.
- Apply one 4 bps round-trip cost per monthly holding period.
Required data: multi_asset_adjusted_ohlcv
Where it may work—and where it can fail
Main risks
- Winner-chasing can reverse sharply
- One-year momentum may miss fast regime changes
- TLT duration risk is substantial
- The selected four-ETF universe can create selection bias
“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.
Forward paper transactions
| Entry | Side | Entry price | Exit | Exit price | Capital basis | Gross notional | Outcome | P&L |
|---|---|---|---|---|---|---|---|---|
| No forward-paper transactions yet. The ledger began at deployment and never imports historical P&L. | ||||||||
Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.
Archived paper versions
Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.
| Version | Market | Exposure | Allocation | Cost | Code hash | Started | Archived | Fills | Starting cash | Ending cash | Realized P&L | Final status |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| legacy-v1 | unknown · unknown | unknown | unknown | unknown | legacy | 2026-08-16T16:54:09.212635+00:00 | 2026-08-16T22:55:49.590922+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
TRADES98
AVERAGE TRADE+147.90 bps
STRATEGY 1.0x / BUY & HOLD 1x+271.02% / +248.78%
VS 1x REFERENCE+22.24% · BEATS B&H
DRAWDOWN: STRATEGY / B&H+23.07% / +33.72%
HITS / MISSES57 / 41
HIT RATE+58.16%
AVG HIT / MISS+4.99% / -3.40%
LONGEST MISS STREAK5
Rolling 70/30 diagnostic
This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.
Candles and execution signals
▲ BUY▼ SELLHover a candle or marker for exact values
Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.
Historical equity curve
Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.
Backtest specification
The ETF sample is only ten years and the compact universe is an implementation choice, not Antonacci's exact GEM portfolio.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 98 transactions.
| Entry | Side | Entry price | Exit | Exit price | Outcome | Net return |
|---|---|---|---|---|---|---|
| 2026-08-31 00:00:00+00:00 | LONG | 408.42 | 2026-09-30 00:00:00+00:00 | 380.73 | MISS | -6.821% |
| 2026-07-31 00:00:00+00:00 | LONG | 371.54 | 2026-08-31 00:00:00+00:00 | 408.42 | HIT | +9.886% |
| 2026-06-30 00:00:00+00:00 | LONG | 735.63 | 2026-07-31 00:00:00+00:00 | 687.27 | MISS | -6.614% |
| 2026-05-29 00:00:00+00:00 | LONG | 736.73 | 2026-06-30 00:00:00+00:00 | 735.63 | MISS | -0.189% |
| 2026-04-30 00:00:00+00:00 | LONG | 666.31 | 2026-05-29 00:00:00+00:00 | 736.73 | HIT | +10.528% |
| 2026-03-31 00:00:00+00:00 | LONG | 430.29 | 2026-04-30 00:00:00+00:00 | 423.66 | MISS | -1.581% |
| 2026-02-27 00:00:00+00:00 | LONG | 483.75 | 2026-03-31 00:00:00+00:00 | 430.29 | MISS | -11.091% |
| 2026-01-30 00:00:00+00:00 | LONG | 444.95 | 2026-02-27 00:00:00+00:00 | 483.75 | HIT | +8.680% |
| 2025-12-31 00:00:00+00:00 | LONG | 396.31 | 2026-01-30 00:00:00+00:00 | 444.95 | HIT | +12.233% |
| 2025-11-28 00:00:00+00:00 | LONG | 387.88 | 2025-12-31 00:00:00+00:00 | 396.31 | HIT | +2.133% |
| 2025-10-31 00:00:00+00:00 | LONG | 368.12 | 2025-11-28 00:00:00+00:00 | 387.88 | HIT | +5.328% |
| 2025-09-30 00:00:00+00:00 | LONG | 355.47 | 2025-10-31 00:00:00+00:00 | 368.12 | HIT | +3.519% |
| 2025-08-29 00:00:00+00:00 | LONG | 318.07 | 2025-09-30 00:00:00+00:00 | 355.47 | HIT | +11.718% |
| 2025-07-31 00:00:00+00:00 | LONG | 302.96 | 2025-08-29 00:00:00+00:00 | 318.07 | HIT | +4.947% |
| 2025-06-30 00:00:00+00:00 | LONG | 304.83 | 2025-07-31 00:00:00+00:00 | 302.96 | MISS | -0.653% |
| 2025-05-30 00:00:00+00:00 | LONG | 303.60 | 2025-06-30 00:00:00+00:00 | 304.83 | HIT | +0.365% |
| 2025-04-30 00:00:00+00:00 | LONG | 303.77 | 2025-05-30 00:00:00+00:00 | 303.60 | MISS | -0.096% |
| 2025-03-31 00:00:00+00:00 | LONG | 288.14 | 2025-04-30 00:00:00+00:00 | 303.77 | HIT | +5.384% |
| 2025-02-28 00:00:00+00:00 | LONG | 263.27 | 2025-03-31 00:00:00+00:00 | 288.14 | HIT | +9.407% |
| 2025-01-31 00:00:00+00:00 | LONG | 258.56 | 2025-02-28 00:00:00+00:00 | 263.27 | HIT | +1.782% |
| 2024-12-31 00:00:00+00:00 | LONG | 242.13 | 2025-01-31 00:00:00+00:00 | 258.56 | HIT | +6.746% |
| 2024-11-29 00:00:00+00:00 | LONG | 588.96 | 2024-12-31 00:00:00+00:00 | 574.79 | MISS | -2.446% |
| 2024-10-31 00:00:00+00:00 | LONG | 479.00 | 2024-11-29 00:00:00+00:00 | 504.63 | HIT | +5.311% |
| 2024-09-30 00:00:00+00:00 | LONG | 243.06 | 2024-10-31 00:00:00+00:00 | 253.51 | HIT | +4.259% |
| 2024-08-30 00:00:00+00:00 | LONG | 231.29 | 2024-09-30 00:00:00+00:00 | 243.06 | HIT | +5.049% |
| 2024-07-31 00:00:00+00:00 | LONG | 226.55 | 2024-08-30 00:00:00+00:00 | 231.29 | HIT | +2.052% |
| 2024-06-28 00:00:00+00:00 | LONG | 473.64 | 2024-07-31 00:00:00+00:00 | 465.70 | MISS | -1.718% |
| 2024-05-31 00:00:00+00:00 | LONG | 444.86 | 2024-06-28 00:00:00+00:00 | 473.64 | HIT | +6.430% |
| 2024-04-30 00:00:00+00:00 | LONG | 419.08 | 2024-05-31 00:00:00+00:00 | 444.86 | HIT | +6.112% |
| 2024-03-28 00:00:00+00:00 | LONG | 438.25 | 2024-04-30 00:00:00+00:00 | 419.08 | MISS | -4.414% |
| 2024-02-29 00:00:00+00:00 | LONG | 432.73 | 2024-03-28 00:00:00+00:00 | 438.25 | HIT | +1.235% |
| 2024-01-31 00:00:00+00:00 | LONG | 411.02 | 2024-02-29 00:00:00+00:00 | 432.73 | HIT | +5.243% |
| 2023-12-29 00:00:00+00:00 | LONG | 403.67 | 2024-01-31 00:00:00+00:00 | 411.02 | HIT | +1.779% |
| 2023-11-30 00:00:00+00:00 | LONG | 382.31 | 2023-12-29 00:00:00+00:00 | 403.67 | HIT | +5.547% |
| 2023-10-31 00:00:00+00:00 | LONG | 344.99 | 2023-11-30 00:00:00+00:00 | 382.31 | HIT | +10.779% |
| 2023-09-29 00:00:00+00:00 | LONG | 352.26 | 2023-10-31 00:00:00+00:00 | 344.99 | MISS | -2.105% |
| 2023-08-31 00:00:00+00:00 | LONG | 371.12 | 2023-09-29 00:00:00+00:00 | 352.26 | MISS | -5.120% |
| 2023-07-31 00:00:00+00:00 | LONG | 376.70 | 2023-08-31 00:00:00+00:00 | 371.12 | MISS | -1.523% |
| 2023-06-30 00:00:00+00:00 | LONG | 362.70 | 2023-07-31 00:00:00+00:00 | 376.70 | HIT | +3.820% |
| 2023-05-31 00:00:00+00:00 | LONG | 341.19 | 2023-06-30 00:00:00+00:00 | 362.70 | HIT | +6.264% |
| 2023-04-28 00:00:00+00:00 | LONG | 184.80 | 2023-05-31 00:00:00+00:00 | 182.32 | MISS | -1.382% |
| 2023-03-31 00:00:00+00:00 | LONG | 183.22 | 2023-04-28 00:00:00+00:00 | 184.80 | HIT | +0.822% |
| 2023-01-31 00:00:00+00:00 | LONG | 179.41 | 2023-02-28 00:00:00+00:00 | 169.78 | MISS | -5.408% |
| 2022-06-30 00:00:00+00:00 | LONG | 168.46 | 2022-07-29 00:00:00+00:00 | 164.10 | MISS | -2.628% |
| 2022-04-29 00:00:00+00:00 | LONG | 176.91 | 2022-05-31 00:00:00+00:00 | 171.14 | MISS | -3.302% |
| 2022-03-31 00:00:00+00:00 | LONG | 425.22 | 2022-04-29 00:00:00+00:00 | 387.90 | MISS | -8.817% |
| 2022-02-28 00:00:00+00:00 | LONG | 409.82 | 2022-03-31 00:00:00+00:00 | 425.22 | HIT | +3.719% |
| 2022-01-31 00:00:00+00:00 | LONG | 422.28 | 2022-02-28 00:00:00+00:00 | 409.82 | MISS | -2.992% |
| 2021-12-31 00:00:00+00:00 | LONG | 445.79 | 2022-01-31 00:00:00+00:00 | 422.28 | MISS | -5.314% |
| 2021-11-30 00:00:00+00:00 | LONG | 382.22 | 2021-12-31 00:00:00+00:00 | 386.63 | HIT | +1.112% |
| 2021-10-29 00:00:00+00:00 | LONG | 429.54 | 2021-11-30 00:00:00+00:00 | 426.09 | MISS | -0.844% |
| 2021-09-30 00:00:00+00:00 | LONG | 401.38 | 2021-10-29 00:00:00+00:00 | 429.54 | HIT | +6.976% |
| 2021-08-31 00:00:00+00:00 | LONG | 421.00 | 2021-09-30 00:00:00+00:00 | 401.38 | MISS | -4.701% |
| 2021-07-30 00:00:00+00:00 | LONG | 353.44 | 2021-08-31 00:00:00+00:00 | 368.35 | HIT | +4.179% |
| 2021-06-30 00:00:00+00:00 | LONG | 343.61 | 2021-07-30 00:00:00+00:00 | 353.44 | HIT | +2.821% |
| 2021-05-28 00:00:00+00:00 | LONG | 323.36 | 2021-06-30 00:00:00+00:00 | 343.61 | HIT | +6.222% |
| 2021-04-30 00:00:00+00:00 | LONG | 327.29 | 2021-05-28 00:00:00+00:00 | 323.36 | MISS | -1.241% |
| 2021-03-31 00:00:00+00:00 | LONG | 309.03 | 2021-04-30 00:00:00+00:00 | 327.29 | HIT | +5.870% |
| 2021-02-26 00:00:00+00:00 | LONG | 303.82 | 2021-03-31 00:00:00+00:00 | 309.03 | HIT | +1.677% |
| 2021-01-29 00:00:00+00:00 | LONG | 304.22 | 2021-02-26 00:00:00+00:00 | 303.82 | MISS | -0.174% |
| 2020-12-31 00:00:00+00:00 | LONG | 303.43 | 2021-01-29 00:00:00+00:00 | 304.22 | HIT | +0.221% |
| 2020-11-30 00:00:00+00:00 | LONG | 289.25 | 2020-12-31 00:00:00+00:00 | 303.43 | HIT | +4.862% |
| 2020-10-30 00:00:00+00:00 | LONG | 260.06 | 2020-11-30 00:00:00+00:00 | 289.25 | HIT | +11.186% |
| 2020-09-30 00:00:00+00:00 | LONG | 268.22 | 2020-10-30 00:00:00+00:00 | 260.06 | MISS | -3.085% |
| 2020-08-31 00:00:00+00:00 | LONG | 284.67 | 2020-09-30 00:00:00+00:00 | 268.22 | MISS | -5.819% |
| 2020-07-31 00:00:00+00:00 | LONG | 256.59 | 2020-08-31 00:00:00+00:00 | 284.67 | HIT | +10.905% |
| 2020-06-30 00:00:00+00:00 | LONG | 239.03 | 2020-07-31 00:00:00+00:00 | 256.59 | HIT | +7.307% |
| 2020-05-29 00:00:00+00:00 | LONG | 162.91 | 2020-06-30 00:00:00+00:00 | 167.37 | HIT | +2.698% |
| 2020-04-30 00:00:00+00:00 | LONG | 136.93 | 2020-05-29 00:00:00+00:00 | 134.52 | MISS | -1.802% |
| 2020-03-31 00:00:00+00:00 | LONG | 135.28 | 2020-04-30 00:00:00+00:00 | 136.93 | HIT | +1.179% |
| 2020-02-28 00:00:00+00:00 | LONG | 127.17 | 2020-03-31 00:00:00+00:00 | 135.28 | HIT | +6.337% |
| 2020-01-31 00:00:00+00:00 | LONG | 210.67 | 2020-02-28 00:00:00+00:00 | 197.91 | MISS | -6.097% |
| 2019-12-31 00:00:00+00:00 | LONG | 204.46 | 2020-01-31 00:00:00+00:00 | 210.67 | HIT | +2.998% |
| 2019-11-29 00:00:00+00:00 | LONG | 114.41 | 2019-12-31 00:00:00+00:00 | 110.75 | MISS | -3.238% |
| 2019-10-31 00:00:00+00:00 | LONG | 114.88 | 2019-11-29 00:00:00+00:00 | 114.41 | MISS | -0.447% |
| 2019-09-30 00:00:00+00:00 | LONG | 116.17 | 2019-10-31 00:00:00+00:00 | 114.88 | MISS | -1.153% |
| 2019-08-30 00:00:00+00:00 | LONG | 143.75 | 2019-09-30 00:00:00+00:00 | 138.87 | MISS | -3.435% |
| 2019-07-31 00:00:00+00:00 | LONG | 133.21 | 2019-08-30 00:00:00+00:00 | 143.75 | HIT | +7.872% |
| 2019-06-28 00:00:00+00:00 | LONG | 133.20 | 2019-07-31 00:00:00+00:00 | 133.21 | MISS | -0.032% |
| 2019-05-31 00:00:00+00:00 | LONG | 106.21 | 2019-06-28 00:00:00+00:00 | 107.22 | HIT | +0.910% |
| 2019-04-30 00:00:00+00:00 | LONG | 181.11 | 2019-05-31 00:00:00+00:00 | 166.22 | MISS | -8.265% |
| 2019-03-29 00:00:00+00:00 | LONG | 171.67 | 2019-04-30 00:00:00+00:00 | 181.11 | HIT | +5.459% |
| 2019-02-28 00:00:00+00:00 | LONG | 96.08 | 2019-03-29 00:00:00+00:00 | 101.43 | HIT | +5.532% |
| 2019-01-31 00:00:00+00:00 | LONG | 97.42 | 2019-02-28 00:00:00+00:00 | 96.08 | MISS | -1.416% |
| 2018-11-30 00:00:00+00:00 | LONG | 161.08 | 2018-12-31 00:00:00+00:00 | 147.13 | MISS | -8.701% |
| 2018-10-31 00:00:00+00:00 | LONG | 161.51 | 2018-11-30 00:00:00+00:00 | 161.08 | MISS | -0.305% |
| 2018-09-28 00:00:00+00:00 | LONG | 176.70 | 2018-10-31 00:00:00+00:00 | 161.51 | MISS | -8.636% |
| 2018-08-31 00:00:00+00:00 | LONG | 177.20 | 2018-09-28 00:00:00+00:00 | 176.70 | MISS | -0.322% |
| 2018-07-31 00:00:00+00:00 | LONG | 167.52 | 2018-08-31 00:00:00+00:00 | 177.20 | HIT | +5.741% |
| 2018-06-29 00:00:00+00:00 | LONG | 162.96 | 2018-07-31 00:00:00+00:00 | 167.52 | HIT | +2.756% |
| 2018-05-31 00:00:00+00:00 | LONG | 161.11 | 2018-06-29 00:00:00+00:00 | 162.96 | HIT | +1.105% |
| 2018-04-30 00:00:00+00:00 | LONG | 152.47 | 2018-05-31 00:00:00+00:00 | 161.11 | HIT | +5.633% |
| 2018-03-29 00:00:00+00:00 | LONG | 151.70 | 2018-04-30 00:00:00+00:00 | 152.47 | HIT | +0.466% |
| 2018-02-28 00:00:00+00:00 | LONG | 158.15 | 2018-03-29 00:00:00+00:00 | 151.70 | MISS | -4.119% |
| 2018-01-31 00:00:00+00:00 | LONG | 160.22 | 2018-02-28 00:00:00+00:00 | 158.15 | MISS | -1.333% |
| 2017-12-29 00:00:00+00:00 | LONG | 147.32 | 2018-01-31 00:00:00+00:00 | 160.22 | HIT | +8.717% |
| 2017-11-30 00:00:00+00:00 | LONG | 146.44 | 2017-12-29 00:00:00+00:00 | 147.32 | HIT | +0.563% |
| 2017-10-31 00:00:00+00:00 | LONG | 143.60 | 2017-11-30 00:00:00+00:00 | 146.44 | HIT | +1.932% |