RUNNING
Monthly equity trend allocation based on the asset's own trailing 12-month return.
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
Time-series momentum asks whether an asset's own medium-term return is positive or negative. This version holds SPY for the following month only when its trailing 12-month return is positive, otherwise it preserves cash.
Concrete example
If SPY finishes January 14% above its level 252 sessions earlier, the model holds SPY through February. A negative trailing return would leave the February allocation in cash.
Published research
Moskowitz, Ooi & Pedersen — Time Series Momentum
Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.
Exact algorithm
- At month-end calculate the trailing 252-session return.
- Hold SPY during the next month when that return is positive.
- Remain in cash when the return is non-positive.
- Re-evaluate only at month-end to limit turnover.
Required data: ohlcv
Where it may work—and where it can fail
Main risks
- Trend reversals create delayed exits
- Cash return is omitted
- A single equity market loses the source study's diversification
- Twelve months is conventional but not universally optimal
“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 | 2026-08-16T22:55:46.165615+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
TRADES90
AVERAGE TRADE+77.61 bps
STRATEGY 1.0x / BUY & HOLD 1x+84.43% / +315.11%
VS 1x REFERENCE-230.68% · LAGS
DRAWDOWN: STRATEGY / B&H+26.67% / +33.72%
HITS / MISSES60 / 30
HIT RATE+66.67%
AVG HIT / MISS+3.16% / -3.99%
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 source research is diversified across futures; this SPY-only version is a reproducible component test.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 90 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 | +0.232% |
| 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 | +9.864% |
| 2026-03-02 00:00:00+00:00 | LONG | 678.70 | 2026-03-31 00:00:00+00:00 | 650.34 | MISS | -4.219% |
| 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 | +0.418% |
| 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 | +5.079% |
| 2025-05-01 00:00:00+00:00 | LONG | 560.37 | 2025-05-30 00:00:00+00:00 | 589.39 | HIT | +5.139% |
| 2025-04-01 00:00:00+00:00 | LONG | 557.45 | 2025-04-30 00:00:00+00:00 | 554.54 | MISS | -0.562% |
| 2025-03-03 00:00:00+00:00 | LONG | 596.18 | 2025-03-31 00:00:00+00:00 | 559.39 | MISS | -6.211% |
| 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 | +2.069% |
| 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 | +5.426% |
| 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 | +5.144% |
| 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 | +8.834% |
| 2023-10-02 00:00:00+00:00 | LONG | 426.62 | 2023-10-31 00:00:00+00:00 | 418.20 | MISS | -2.014% |
| 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% |
| 2022-04-01 00:00:00+00:00 | LONG | 453.31 | 2022-04-29 00:00:00+00:00 | 412.00 | MISS | -9.153% |
| 2022-03-01 00:00:00+00:00 | LONG | 435.04 | 2022-03-31 00:00:00+00:00 | 451.64 | HIT | +3.776% |
| 2022-02-01 00:00:00+00:00 | LONG | 450.68 | 2022-02-28 00:00:00+00:00 | 436.63 | MISS | -3.158% |
| 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 | +2.845% |
| 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 | +6.519% |
| 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 | +1.259% |
| 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 | +1.737% |
| 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 | +9.609% |
| 2020-10-01 00:00:00+00:00 | LONG | 337.69 | 2020-10-30 00:00:00+00:00 | 326.54 | MISS | -3.342% |
| 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 | +5.435% |
| 2020-06-01 00:00:00+00:00 | LONG | 303.62 | 2020-06-30 00:00:00+00:00 | 308.36 | HIT | +1.521% |
| 2020-03-02 00:00:00+00:00 | LONG | 298.21 | 2020-03-31 00:00:00+00:00 | 257.75 | MISS | -13.608% |
| 2020-02-03 00:00:00+00:00 | LONG | 323.35 | 2020-02-28 00:00:00+00:00 | 296.26 | MISS | -8.418% |
| 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 | +2.094% |
| 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 | +6.385% |
| 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 | +3.234% |
| 2019-03-01 00:00:00+00:00 | LONG | 280.44 | 2019-03-29 00:00:00+00:00 | 282.48 | HIT | +0.687% |
| 2018-12-03 00:00:00+00:00 | LONG | 280.28 | 2018-12-31 00:00:00+00:00 | 249.92 | MISS | -10.872% |
| 2018-11-01 00:00:00+00:00 | LONG | 271.60 | 2018-11-30 00:00:00+00:00 | 275.65 | HIT | +1.451% |
| 2018-10-01 00:00:00+00:00 | LONG | 292.11 | 2018-10-31 00:00:00+00:00 | 270.63 | MISS | -7.393% |
| 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 | +3.068% |
| 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 | +2.639% |
| 2018-04-02 00:00:00+00:00 | LONG | 262.55 | 2018-04-30 00:00:00+00:00 | 264.51 | HIT | +0.707% |
| 2018-03-01 00:00:00+00:00 | LONG | 271.41 | 2018-03-29 00:00:00+00:00 | 263.15 | MISS | -3.083% |
| 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% |