Momentum모멘텀
Time-Series Momentum시계열 모멘텀
Per-asset sign of trailing N-day return. Long positive, short negative. Gross exposure normalized to cap. Daily rebalance, 1-day lag.자산별 N일 누적수익률 부호로 롱숏 결정. 총 노출은 상한 정규화. 일단위 리밸런싱, 1일 후행.
binance · binance perp, 30 alts (BTC/ETH excluded) · 2024-01-01 -> 2026-04-24 · WF 6mo train / 3mo test
OOS walk-forward (aggregate)OOS 워크포워드 (집계) (N=7 window OOS, <30)
sharpe 0.44
sortino 0.61
calmar 0.71
max dd최대낙폭 -74.37%
wr (daily)승률(일) 51.43%
payoff 1.01
turnover (d)회전율(일) 0.16x
fee drag수수료 드래그 0.13%
ann ret연간수익 52.61%
ir vs basket 0.60
tuw물속시간 95.87%
days일수 630.00
Most-chosen params across walk워크에서 가장 자주 선택된 파라미터
lookback 90d · gross_cap 1.5x · maker_ratio 0.70 · chosen 4/7 windows
OOS equity curve (USD, $100K init)OOS 자본곡선 (USD, 초기 $100K)
2024-06-29 · $99971peak $314950 · end $2074392026-03-20
Walk-forward windows (7, pos sharpe 3/7)워크포워드 윈도우 (7, 양수샤프 3/7)
| test | lb | cap | mr | train sh | test sh | mdd | ret | turn |
|---|---|---|---|---|---|---|---|---|
| 2024-06-29 -> 2024-09-27 | 30d | 1.0x | 0.70 | 1.43 | -0.66 | -24.4% | -8.3% | 0.23 |
| 2024-09-27 -> 2024-12-26 | 90d | 1.5x | 0.70 | -0.30 | 3.36 | -36.8% | +139.9% | 0.17 |
| 2024-12-26 -> 2025-03-26 | 90d | 1.5x | 0.70 | 1.80 | -0.75 | -42.0% | -18.6% | 0.10 |
| 2025-03-26 -> 2025-06-24 | 60d | 1.5x | 0.70 | 2.39 | -1.39 | -57.0% | -31.3% | 0.22 |
| 2025-06-24 -> 2025-09-22 | 30d | 1.0x | 0.70 | 0.78 | -1.79 | -25.1% | -19.3% | 0.20 |
| 2025-09-22 -> 2025-12-21 | 90d | 1.5x | 0.70 | -0.47 | 1.49 | -25.6% | +42.8% | 0.13 |
| 2025-12-21 -> 2026-03-21 | 90d | 1.5x | 0.70 | 1.15 | 1.34 | -30.2% | +46.2% | 0.06 |
In-sample param sweep — Sharpe ranked (18 combos)인샘플 파라미터 스윕 — 샤프 순 (18개)
| lookback | gross | mr | sharpe | sortino | max dd | ret | turnover | fee% |
|---|---|---|---|---|---|---|---|---|
| 60d | 1.5x | 0.70 | 0.73 | 0.98 | -71.0% | +377% | 0.15 | 0.13 |
| 60d | 1.0x | 0.70 | 0.73 | 0.98 | -56.2% | +184% | 0.10 | 0.13 |
| 60d | 1.0x | 0.50 | 0.72 | 0.97 | -56.2% | +182% | 0.10 | 0.16 |
| 60d | 1.5x | 0.50 | 0.72 | 0.97 | -71.0% | +374% | 0.15 | 0.16 |
| 60d | 1.5x | 0.30 | 0.72 | 0.97 | -71.1% | +370% | 0.15 | 0.19 |
| 60d | 1.0x | 0.30 | 0.72 | 0.97 | -56.3% | +181% | 0.10 | 0.19 |
| 30d | 1.0x | 0.70 | 0.61 | 0.86 | -39.4% | +141% | 0.16 | 0.21 |
| 30d | 1.5x | 0.70 | 0.61 | 0.86 | -52.8% | +274% | 0.24 | 0.21 |
| 30d | 1.5x | 0.50 | 0.61 | 0.86 | -52.9% | +270% | 0.24 | 0.26 |
| 30d | 1.0x | 0.50 | 0.61 | 0.86 | -39.5% | +139% | 0.16 | 0.26 |
| 30d | 1.5x | 0.30 | 0.60 | 0.85 | -52.9% | +265% | 0.24 | 0.30 |
| 30d | 1.0x | 0.30 | 0.60 | 0.85 | -39.5% | +137% | 0.16 | 0.30 |
| 90d | 1.5x | 0.70 | 0.40 | 0.50 | -66.1% | +126% | 0.11 | 0.10 |
| 90d | 1.0x | 0.70 | 0.40 | 0.50 | -51.4% | +72% | 0.07 | 0.10 |
| 90d | 1.5x | 0.50 | 0.39 | 0.50 | -66.2% | +124% | 0.11 | 0.13 |
| 90d | 1.0x | 0.50 | 0.39 | 0.50 | -51.5% | +71% | 0.07 | 0.13 |
| 90d | 1.5x | 0.30 | 0.39 | 0.49 | -66.3% | +123% | 0.11 | 0.15 |
| 90d | 1.0x | 0.30 | 0.39 | 0.49 | -51.5% | +71% | 0.07 | 0.15 |
Universe: 30 binance perp alts (BTC/ETH excluded). Daily rebalance with 1-day position lag to prevent lookahead. Blended maker/taker fee applied to |Δposition|. IR vs equal-weight alt basket; BTC benchmark unavailable (excluded from data).유니버스: 30개 바이낸스 알트퍼프 (BTC/ETH 제외). 일단위 리밸런싱 + 포지션 1일 후행 (룩어헤드 방지). |Δposition|에 블렌디드 메이커/테이커 수수료. IR은 동일가중 알트 바스켓 대비. BTC 벤치는 데이터 없음으로 생략.