Momentum WMA Crossover

How this strategy trades, what it scored, and the measurements the score was read from: every symbol and timeframe, on real and resampled history.

At A Glance

25/ 100
Total Score
46of 52
Overall Rank
8of 10
In Momentum
115,423
Trades Taken

Across 24 runs of real history, one for every market and bar size it trades, this strategy scored highest on ETHUSDT · 4h (63 / 100) and lowest on BTCUSDT · 30m (3 / 100).

What A $100.00 Stake Became

Score
Total Score Mean Of Real And Resampled 25 / 100
Real Data 24 / 100
Resampled Data 26 / 100
Overall Rank Top 89% 46 of 52
Rank In Momentum Top 80% 8 of 10
By Metric
Beats Hold Real 14 · Resampled 29 22 / 100
Risk Adjusted Real 24 · Resampled 21 23 / 100
Profitability Real 29 · Resampled 24 26 / 100
Win Rate Real 36 · Resampled 37 37 / 100
Fee Efficiency Real 30 · Resampled 30 30 / 100

Where It Works

How It Trades

  1. Measure the 90-bar trailing return each bar, then smooth that momentum series itself with a 20-bar weighted moving average: momentum's own recent norm.
  2. Buy when momentum crosses above its average: the trend is not just up, it is strengthening, accelerating past its own recent pace.
  3. Sell when momentum crosses back below its average: the trend is decelerating. This fires before momentum ever turns negative, so exits come earlier than in the other momentum strategies, at the cost of more frequent trades.

Example Strategy

Pine Script

Paste it into TradingView’s Pine Editor to run these rules on any chart.

//@version=6
// Momentum WMA Crossover — sort.finance. Fills at the signal bar's close, 0.02% fee a side,
// whole account per trade, as the backtest. History and indicator warm-up
// differ from the site's, so expect close to the same trades, not identical.
strategy("Momentum WMA Crossover", overlay=false,
     initial_capital=100, default_qty_type=strategy.percent_of_equity,
     default_qty_value=100, commission_type=strategy.commission.percent,
     commission_value=0.02, process_orders_on_close=true, pyramiding=0)

// The bar the current position opened on, and the bar the last one closed on.
var int entryBar = na
var int exitBar = -1

// ── Signals ──────────────────────────────────────────────────────────────
momentum = (close / close[90] - 1) * 100
smoothed = ta.wma(momentum, 20)
above = momentum > smoothed
enterNow = above and not above[1]
exitNow = not above and above[1]

// ── Orders ───────────────────────────────────────────────────────────────
// Open on the first bar the entry holds while flat; close on the first
// later bar the exit holds; never reopen on the bar a position closed.
inTrade = strategy.position_size != 0
if inTrade and bar_index > entryBar and exitNow
    strategy.close("Long")
    exitBar := bar_index
else if not inTrade and bar_index > exitBar and enterNow
    strategy.entry("Long", strategy.long)
    entryBar := bar_index

// ── Drawing ──────────────────────────────────────────────────────────────
plot(momentum, "Momentum 90", color=#4d8dff)
plot(smoothed, "WMA 20", color=#e0a03a)
hline(0, "Zero", color=color.new(#8a92a0, 40), linestyle=hline.style_dashed)
Show

Total Score

24 26 / 100

Score = 0.25 Sbeats_hold + 0.35 Srisk + 0.20 Sprofit + 0.10 Swin + 0.10 Sfee

One 0–100 number per symbol × timeframe cell. Every strategy is run on every cell, on both real and resampled price history, and the total beside its name is this number averaged over all of them.

Beats Hold

25% of the total

14 29 / 100

Sbeats_hold = clamp0100(50 + 25 log2EnetEhold)

Compares final net equity to what simply holding the asset would have returned over the same window. 50 is break-even; every doubling versus buy-and-hold adds 25 points.

Read From Net Equity · Price Change %

Net Equity

The account after fees, trade by trade.

Price Change %

What holding the asset made over the same stretch: the hold the account is measured against.

Risk Adjusted

35% of the total

24 21 / 100

Srisk = clamp0100(55 · Sharpe + 5)

A linear read on the rolling annualized Sharpe ratio at the last trade: 0 Sharpe scores 5, roughly 1.7 Sharpe maxes out the scale.

Read From Rolling Sharpe

Rolling Sharpe

The account's annualized Sharpe ratio at each trade's close.

Profitability

20% of the total

29 24 / 100

Sprofit = clamp0100(20 log2EnetE0)

How many times the starting cash multiplied, on a log scale: each doubling of capital is worth 20 points.

Read From Net Equity · Cumulative P&L %

Net Equity

The account after fees, against the cash it started with.

Cumulative P&L %

Not in the formula: every trade's return added up rather than compounded.

Win Rate

10% of the total

36 37 / 100

Swin = clamp0100(2.5 (W% − 20))

The share of trades that closed profitable, rescaled so a 20% win rate scores 0 and a 60% win rate maxes out the scale.

Read From Win Rate % · Trades

Win Rate %

The share of trades so far that closed in profit.

Trades

How many trades that share is taken over.

Fee Efficiency

10% of the total

30 30 / 100

Sfee = clamp0100(Enet/Egross − 0.40.6 × 100)

The share of the fee-free (gross) result that survives after fees: 60% survival scores 0, keeping the full gross result scores 100.

Read From Equity, Net And Gross · Cumulative Fees

Equity, Net And Gross

The account with the fees taken and, fainter, without them.

Cumulative Fees

Not in the formula: what the exchange took, which is the gap between net and gross above.