Rate-of-Change Momentum

The claim

If price gained more than 2% over the last 12 hours, buy the strength; if it lost more than 2%, short the weakness. Momentum in its rawest expressible form.

Where it comes from

Cross-sectional and time-series momentum are among the most-documented effects in academic finance (Jegadeesh & Titman 1993; Moskowitz, Ooi & Pedersen 2012). This is the simple time-series variant.

The exact rule we graded

Long while ROC(12) > +2%, short while ROC(12) < −2%, on 1-hour candles. Exits: 3-ATR trailing stop, 100-bar time exit.

• ✓OOS net expectancy > 0
• ✕Clears the cost hurdle
• ✓Robust, not lucky
• ✕Survivable drawdown
• ✕Not overfit

The backtest above is history. Since publication, this exact spec also runs in our nightly forward-test harness (the same one behind /forward-tests): only trades entered after publication count, open positions are never force-closed, and the record publishes either way.

No closed forward trades recorded yet — the record accrues nightly as trades complete their full exit windows.

Honest port notes

• Academic momentum is usually monthly with cross-sectional ranking; this is the intraday time-series folklore version traders actually run on crypto.

{
  "name": "Rate-of-Change Momentum",
  "universe": [
    "BTC/USDT:USDT",
    "ETH/USDT:USDT",
    "SOL/USDT:USDT",
    "BNB/USDT:USDT",
    "XRP/USDT:USDT",
    "DOGE/USDT:USDT",
    "LINK/USDT:USDT",
    "AVAX/USDT:USDT"
  ],
  "risk": {
    "risk_per_trade_pct": 1,
    "leverage_cap": 3,
    "max_daily_loss_pct": 5,
    "max_dd_halt_pct": 25
  },
  "sleeves": [
    {
      "name": "main",
      "timeframe": "1h",
      "entry": {
        "type": "rule",
        "logic": "all",
        "long": [
          {
            "indicator": "roc",
            "period": 12,
            "op": ">",
            "value": 2
          }
        ],
        "short": [
          {
            "indicator": "roc",
            "period": 12,
            "op": "<",
            "value": -2
          }
        ]
      },
      "exit": {
        "trail_atr": 3,
        "time_exit_bars": 100
      }
    }
  ]
}