Trend momentum
Momentum, but only in stocks that are in an uptrend.
Per year
+18.7%
Benchmark +9.2%
Total return
+452%
Benchmark +140%
Max drawdown
−34%
Benchmark −34%
Sharpe
0.81
Benchmark 0.66
Years beating the benchmark
6 / 9
full calendar years
2016-11-07 to 2026-11-06, 100,000 EUR to 551,996 EUR, after 14,533 EUR in trading costs. On average 9.8 stocks held; the portfolio is turned over 5.2 times a year.
How it works
Every quarter, keep only liquid stocks trading above their 200-day moving average, then buy the ten with the highest six-month return.
The idea
The moving average filter keeps the strategy out of stocks in a downtrend, which is where momentum crashes usually happen. When few stocks are in an uptrend, it holds fewer of them and keeps the rest in cash.
Equity (EUR)
Trend momentumBenchmark
Year by year
| Year | Trend momentum | Benchmark | Difference |
|---|---|---|---|
| 2026 (part of year) | −0.5% | −0.9% | +0.4% |
| 2025 | +41.8% | +21.1% | +20.8% |
| 2024 | −5.5% | −0.7% | −4.7% |
| 2023 | +22.8% | +0.5% | +22.3% |
| 2022 | +19.1% | −17.9% | +37.0% |
| 2021 | +41.8% | +26.9% | +14.9% |
| 2020 | +35.8% | +27.6% | +8.2% |
| 2019 | +41.2% | +43.6% | −2.4% |
| 2018 | −10.5% | −12.7% | +2.2% |
| 2017 | +6.7% | +10.1% | −3.3% |
| 2016 (part of year) | +9.0% | +9.4% | −0.4% |
Backtests are simulations on historical data, not investment advice. Past results don't guarantee future returns.