RUNNING
Combines 1-, 3-, 6- and 12-month trend signals instead of betting on one lookback.
DEFAULT MARKETSPY
BAR INTERVAL1d
GROSS EXPOSURE1.0x
PAPER CASH$99,992.19
REALIZED P&L$-7.81
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
Different trend horizons react at different speeds. The ensemble converts four binary signals into gradual exposure, reducing dependence on one arbitrary lookback.
Concrete example
If the 1-, 6- and 12-month returns are positive but the 3-month return is negative, the next month holds 75% SPY exposure.
Published research
Time-series momentum literature — multiple persistent horizons
Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.
Exact algorithm
- At month-end calculate returns over 21, 63, 126 and 252 sessions.
- Allocate 25% exposure for each positive horizon.
- Hold that 0–100% exposure during the next month.
- Re-evaluate monthly.
Required data: ohlcv
Where it may work—and where it can fail
Main risks
- Correlated horizons provide less diversification than they appear
- Partial exposure can lag sharp rebounds
- Cash yield is omitted
- The blend is implementation-specific
“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 |
|---|---|---|---|---|---|---|---|---|
| 2026-09-01 00:00:00+00:00 | LONG | 762.01 | 2026-09-01 00:00:00+00:00 | 761.72 | $10,000.00 | $10,000.00 | MISS | $-7.81 |
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 | 2026-08-16T22:55:47.387234+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
TRADES100
AVERAGE TRADE+53.83 bps
STRATEGY 1.0x / BUY & HOLD 1x+62.83% / +315.11%
VS 1x REFERENCE-252.28% · LAGS
DRAWDOWN: STRATEGY / B&H+18.03% / +33.72%
HITS / MISSES66 / 34
HIT RATE+66.00%
AVG HIT / MISS+2.37% / -3.02%
LONGEST MISS STREAK3
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 equal-weight horizon blend is a predeclared implementation choice, not one exact source-paper portfolio.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 100 transactions.
| Entry | Side | Entry price | Exit | Exit price | Outcome | Net return |
|---|---|---|---|---|---|---|
| 2026-09-01 00:00:00+00:00 | LONG | 762.01 | 2026-09-30 00:00:00+00:00 | 766.79 | HIT | +0.587% |
| 2026-08-03 00:00:00+00:00 | LONG | 749.44 | 2026-08-31 00:00:00+00:00 | 767.05 | HIT | +2.310% |
| 2026-07-01 00:00:00+00:00 | LONG | 745.00 | 2026-07-31 00:00:00+00:00 | 747.03 | HIT | +0.174% |
| 2026-06-01 00:00:00+00:00 | LONG | 755.36 | 2026-06-30 00:00:00+00:00 | 746.77 | MISS | -1.177% |
| 2026-05-01 00:00:00+00:00 | LONG | 721.25 | 2026-05-29 00:00:00+00:00 | 756.48 | HIT | +4.845% |
| 2026-04-01 00:00:00+00:00 | LONG | 653.90 | 2026-04-30 00:00:00+00:00 | 718.66 | HIT | +2.466% |
| 2026-03-02 00:00:00+00:00 | LONG | 678.70 | 2026-03-31 00:00:00+00:00 | 650.34 | MISS | -3.164% |
| 2026-02-02 00:00:00+00:00 | LONG | 689.58 | 2026-02-27 00:00:00+00:00 | 685.99 | MISS | -0.561% |
| 2026-01-02 00:00:00+00:00 | LONG | 685.71 | 2026-01-30 00:00:00+00:00 | 691.97 | HIT | +0.873% |
| 2025-12-01 00:00:00+00:00 | LONG | 678.81 | 2025-12-31 00:00:00+00:00 | 681.92 | HIT | +0.314% |
| 2025-11-03 00:00:00+00:00 | LONG | 685.67 | 2025-11-28 00:00:00+00:00 | 683.39 | MISS | -0.373% |
| 2025-10-01 00:00:00+00:00 | LONG | 663.17 | 2025-10-31 00:00:00+00:00 | 682.06 | HIT | +2.808% |
| 2025-09-02 00:00:00+00:00 | LONG | 637.50 | 2025-09-30 00:00:00+00:00 | 666.18 | HIT | +4.459% |
| 2025-08-01 00:00:00+00:00 | LONG | 626.30 | 2025-08-29 00:00:00+00:00 | 645.05 | HIT | +2.954% |
| 2025-07-01 00:00:00+00:00 | LONG | 616.36 | 2025-07-31 00:00:00+00:00 | 632.08 | HIT | +2.510% |
| 2025-06-02 00:00:00+00:00 | LONG | 587.76 | 2025-06-30 00:00:00+00:00 | 617.85 | HIT | +2.540% |
| 2025-05-01 00:00:00+00:00 | LONG | 560.37 | 2025-05-30 00:00:00+00:00 | 589.39 | HIT | +1.285% |
| 2025-04-01 00:00:00+00:00 | LONG | 557.45 | 2025-04-30 00:00:00+00:00 | 554.54 | MISS | -0.141% |
| 2025-03-03 00:00:00+00:00 | LONG | 596.18 | 2025-03-31 00:00:00+00:00 | 559.39 | MISS | -3.105% |
| 2025-02-03 00:00:00+00:00 | LONG | 592.67 | 2025-02-28 00:00:00+00:00 | 594.18 | HIT | +0.215% |
| 2025-01-02 00:00:00+00:00 | LONG | 589.39 | 2025-01-31 00:00:00+00:00 | 601.82 | HIT | +1.552% |
| 2024-12-02 00:00:00+00:00 | LONG | 602.97 | 2024-12-31 00:00:00+00:00 | 586.08 | MISS | -2.841% |
| 2024-11-01 00:00:00+00:00 | LONG | 571.32 | 2024-11-29 00:00:00+00:00 | 602.55 | HIT | +4.070% |
| 2024-10-01 00:00:00+00:00 | LONG | 573.40 | 2024-10-31 00:00:00+00:00 | 568.64 | MISS | -0.870% |
| 2024-09-03 00:00:00+00:00 | LONG | 560.47 | 2024-09-30 00:00:00+00:00 | 573.76 | HIT | +2.331% |
| 2024-08-01 00:00:00+00:00 | LONG | 552.57 | 2024-08-30 00:00:00+00:00 | 563.68 | HIT | +1.971% |
| 2024-07-01 00:00:00+00:00 | LONG | 545.63 | 2024-07-31 00:00:00+00:00 | 550.81 | HIT | +0.909% |
| 2024-06-03 00:00:00+00:00 | LONG | 529.02 | 2024-06-28 00:00:00+00:00 | 544.22 | HIT | +2.833% |
| 2024-05-01 00:00:00+00:00 | LONG | 501.38 | 2024-05-31 00:00:00+00:00 | 527.37 | HIT | +3.858% |
| 2024-04-01 00:00:00+00:00 | LONG | 523.83 | 2024-04-30 00:00:00+00:00 | 501.98 | MISS | -4.211% |
| 2024-03-01 00:00:00+00:00 | LONG | 508.98 | 2024-03-28 00:00:00+00:00 | 523.07 | HIT | +2.728% |
| 2024-02-01 00:00:00+00:00 | LONG | 484.63 | 2024-02-29 00:00:00+00:00 | 508.08 | HIT | +4.799% |
| 2024-01-02 00:00:00+00:00 | LONG | 472.16 | 2024-01-31 00:00:00+00:00 | 482.88 | HIT | +2.230% |
| 2023-12-01 00:00:00+00:00 | LONG | 455.77 | 2023-12-29 00:00:00+00:00 | 475.31 | HIT | +4.247% |
| 2023-11-01 00:00:00+00:00 | LONG | 419.20 | 2023-11-30 00:00:00+00:00 | 456.40 | HIT | +4.417% |
| 2023-10-02 00:00:00+00:00 | LONG | 426.62 | 2023-10-31 00:00:00+00:00 | 418.20 | MISS | -1.007% |
| 2023-09-01 00:00:00+00:00 | LONG | 453.17 | 2023-09-29 00:00:00+00:00 | 427.48 | MISS | -5.709% |
| 2023-08-01 00:00:00+00:00 | LONG | 456.27 | 2023-08-31 00:00:00+00:00 | 450.35 | MISS | -1.337% |
| 2023-07-03 00:00:00+00:00 | LONG | 442.92 | 2023-07-31 00:00:00+00:00 | 457.79 | HIT | +3.317% |
| 2023-06-01 00:00:00+00:00 | LONG | 418.09 | 2023-06-30 00:00:00+00:00 | 443.28 | HIT | +5.985% |
| 2023-05-01 00:00:00+00:00 | LONG | 415.47 | 2023-05-31 00:00:00+00:00 | 417.85 | HIT | +0.400% |
| 2023-04-03 00:00:00+00:00 | LONG | 408.85 | 2023-04-28 00:00:00+00:00 | 415.93 | HIT | +1.269% |
| 2023-02-01 00:00:00+00:00 | LONG | 405.21 | 2023-02-28 00:00:00+00:00 | 396.26 | MISS | -1.124% |
| 2023-01-03 00:00:00+00:00 | LONG | 384.37 | 2023-01-31 00:00:00+00:00 | 406.48 | HIT | +2.856% |
| 2022-12-01 00:00:00+00:00 | LONG | 408.77 | 2022-12-30 00:00:00+00:00 | 382.43 | MISS | -3.242% |
| 2022-11-01 00:00:00+00:00 | LONG | 390.14 | 2022-11-30 00:00:00+00:00 | 407.68 | HIT | +1.114% |
| 2022-08-01 00:00:00+00:00 | LONG | 409.15 | 2022-08-31 00:00:00+00:00 | 395.18 | MISS | -0.864% |
| 2022-06-01 00:00:00+00:00 | LONG | 415.17 | 2022-06-30 00:00:00+00:00 | 377.25 | MISS | -2.293% |
| 2022-04-01 00:00:00+00:00 | LONG | 453.31 | 2022-04-29 00:00:00+00:00 | 412.00 | MISS | -6.865% |
| 2022-03-01 00:00:00+00:00 | LONG | 435.04 | 2022-03-31 00:00:00+00:00 | 451.64 | HIT | +1.888% |
| 2022-02-01 00:00:00+00:00 | LONG | 450.68 | 2022-02-28 00:00:00+00:00 | 436.63 | MISS | -1.579% |
| 2022-01-03 00:00:00+00:00 | LONG | 476.30 | 2022-01-31 00:00:00+00:00 | 449.91 | MISS | -5.581% |
| 2021-12-01 00:00:00+00:00 | LONG | 461.64 | 2021-12-31 00:00:00+00:00 | 474.96 | HIT | +2.134% |
| 2021-11-01 00:00:00+00:00 | LONG | 460.30 | 2021-11-30 00:00:00+00:00 | 455.56 | MISS | -1.070% |
| 2021-10-01 00:00:00+00:00 | LONG | 430.98 | 2021-10-29 00:00:00+00:00 | 459.25 | HIT | +3.260% |
| 2021-09-01 00:00:00+00:00 | LONG | 452.56 | 2021-09-30 00:00:00+00:00 | 429.14 | MISS | -5.215% |
| 2021-08-02 00:00:00+00:00 | LONG | 440.34 | 2021-08-31 00:00:00+00:00 | 451.56 | HIT | +2.508% |
| 2021-07-01 00:00:00+00:00 | LONG | 428.87 | 2021-07-30 00:00:00+00:00 | 438.51 | HIT | +2.208% |
| 2021-06-01 00:00:00+00:00 | LONG | 422.57 | 2021-06-30 00:00:00+00:00 | 428.06 | HIT | +0.944% |
| 2021-05-03 00:00:00+00:00 | LONG | 419.43 | 2021-05-28 00:00:00+00:00 | 420.04 | HIT | +0.105% |
| 2021-04-01 00:00:00+00:00 | LONG | 398.40 | 2021-04-30 00:00:00+00:00 | 417.30 | HIT | +4.704% |
| 2021-03-01 00:00:00+00:00 | LONG | 385.59 | 2021-03-31 00:00:00+00:00 | 396.33 | HIT | +2.745% |
| 2021-02-01 00:00:00+00:00 | LONG | 373.72 | 2021-02-26 00:00:00+00:00 | 380.36 | HIT | +1.303% |
| 2021-01-04 00:00:00+00:00 | LONG | 375.31 | 2021-01-29 00:00:00+00:00 | 370.07 | MISS | -1.436% |
| 2020-12-01 00:00:00+00:00 | LONG | 365.57 | 2020-12-31 00:00:00+00:00 | 373.88 | HIT | +2.233% |
| 2020-11-02 00:00:00+00:00 | LONG | 330.20 | 2020-11-30 00:00:00+00:00 | 362.06 | HIT | +4.804% |
| 2020-10-01 00:00:00+00:00 | LONG | 337.69 | 2020-10-30 00:00:00+00:00 | 326.54 | MISS | -2.506% |
| 2020-09-01 00:00:00+00:00 | LONG | 350.21 | 2020-09-30 00:00:00+00:00 | 334.89 | MISS | -4.415% |
| 2020-08-03 00:00:00+00:00 | LONG | 328.32 | 2020-08-31 00:00:00+00:00 | 349.31 | HIT | +6.353% |
| 2020-07-01 00:00:00+00:00 | LONG | 309.57 | 2020-07-31 00:00:00+00:00 | 326.52 | HIT | +4.076% |
| 2020-06-01 00:00:00+00:00 | LONG | 303.62 | 2020-06-30 00:00:00+00:00 | 308.36 | HIT | +1.141% |
| 2020-05-01 00:00:00+00:00 | LONG | 285.31 | 2020-05-29 00:00:00+00:00 | 304.32 | HIT | +1.656% |
| 2020-03-02 00:00:00+00:00 | LONG | 298.21 | 2020-03-31 00:00:00+00:00 | 257.75 | MISS | -6.804% |
| 2020-02-03 00:00:00+00:00 | LONG | 323.35 | 2020-02-28 00:00:00+00:00 | 296.26 | MISS | -6.313% |
| 2020-01-02 00:00:00+00:00 | LONG | 323.54 | 2020-01-31 00:00:00+00:00 | 321.73 | MISS | -0.599% |
| 2019-12-02 00:00:00+00:00 | LONG | 314.59 | 2019-12-31 00:00:00+00:00 | 321.86 | HIT | +2.271% |
| 2019-11-01 00:00:00+00:00 | LONG | 304.92 | 2019-11-29 00:00:00+00:00 | 314.31 | HIT | +3.039% |
| 2019-10-01 00:00:00+00:00 | LONG | 297.74 | 2019-10-31 00:00:00+00:00 | 303.33 | HIT | +1.837% |
| 2019-09-03 00:00:00+00:00 | LONG | 290.57 | 2019-09-30 00:00:00+00:00 | 296.77 | HIT | +1.570% |
| 2019-08-01 00:00:00+00:00 | LONG | 297.60 | 2019-08-30 00:00:00+00:00 | 292.45 | MISS | -1.771% |
| 2019-07-01 00:00:00+00:00 | LONG | 296.68 | 2019-07-31 00:00:00+00:00 | 297.43 | HIT | +0.213% |
| 2019-06-03 00:00:00+00:00 | LONG | 275.31 | 2019-06-28 00:00:00+00:00 | 293.00 | HIT | +3.193% |
| 2019-05-01 00:00:00+00:00 | LONG | 294.72 | 2019-05-31 00:00:00+00:00 | 275.27 | MISS | -6.639% |
| 2019-04-01 00:00:00+00:00 | LONG | 284.70 | 2019-04-30 00:00:00+00:00 | 294.02 | HIT | +2.425% |
| 2019-03-01 00:00:00+00:00 | LONG | 280.44 | 2019-03-29 00:00:00+00:00 | 282.48 | HIT | +0.516% |
| 2019-02-01 00:00:00+00:00 | LONG | 270.15 | 2019-02-28 00:00:00+00:00 | 278.68 | HIT | +1.559% |
| 2018-12-03 00:00:00+00:00 | LONG | 280.28 | 2018-12-31 00:00:00+00:00 | 249.92 | MISS | -8.154% |
| 2018-11-01 00:00:00+00:00 | LONG | 271.60 | 2018-11-30 00:00:00+00:00 | 275.65 | HIT | +0.726% |
| 2018-10-01 00:00:00+00:00 | LONG | 292.11 | 2018-10-31 00:00:00+00:00 | 270.63 | MISS | -5.545% |
| 2018-09-04 00:00:00+00:00 | LONG | 289.84 | 2018-09-28 00:00:00+00:00 | 290.72 | HIT | +0.264% |
| 2018-08-01 00:00:00+00:00 | LONG | 281.56 | 2018-08-31 00:00:00+00:00 | 290.31 | HIT | +2.301% |
| 2018-07-02 00:00:00+00:00 | LONG | 269.51 | 2018-07-31 00:00:00+00:00 | 281.33 | HIT | +4.346% |
| 2018-06-01 00:00:00+00:00 | LONG | 272.41 | 2018-06-29 00:00:00+00:00 | 271.28 | MISS | -0.455% |
| 2018-05-01 00:00:00+00:00 | LONG | 263.87 | 2018-05-31 00:00:00+00:00 | 270.94 | HIT | +1.980% |
| 2018-04-02 00:00:00+00:00 | LONG | 262.55 | 2018-04-30 00:00:00+00:00 | 264.51 | HIT | +0.353% |
| 2018-03-01 00:00:00+00:00 | LONG | 271.41 | 2018-03-29 00:00:00+00:00 | 263.15 | MISS | -2.313% |
| 2018-02-01 00:00:00+00:00 | LONG | 281.07 | 2018-02-28 00:00:00+00:00 | 271.65 | MISS | -3.391% |
| 2018-01-02 00:00:00+00:00 | LONG | 267.84 | 2018-01-31 00:00:00+00:00 | 281.90 | HIT | +5.209% |
| 2017-12-01 00:00:00+00:00 | LONG | 264.76 | 2017-12-29 00:00:00+00:00 | 266.86 | HIT | +0.753% |
| 2017-11-01 00:00:00+00:00 | LONG | 258.04 | 2017-11-30 00:00:00+00:00 | 265.01 | HIT | +2.661% |