Momentum모멘텀
Cross-Sectional Momentum크로스섹션 모멘텀
Rank universe daily by trailing N-day return. Equal-weight long top-n, short bottom-n. Aggregate-delta neutralish.매일 유니버스를 N일 누적수익률로 정렬. 상위 n개 롱 / 하위 n개 숏 (동일 가중). 집계 기준 델타 근사 중립.
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 0.15
sortino 0.21
calmar 0.18
max dd최대낙폭 -66.54%
wr (daily)승률(일) 49.68%
payoff 1.03
turnover (d)회전율(일) 0.52x
fee drag수수료 드래그 0.52%
ann ret연간수익 12.22%
ir vs basket 0.41
tuw물속시간 94.92%
days일수 630.00
Most-chosen params across walk워크에서 가장 자주 선택된 파라미터
lookback 30d · top_n 5 · maker_ratio 0.70 · chosen 2/7 windows
OOS equity curve (USD, $100K init)OOS 자본곡선 (USD, 초기 $100K)
2024-06-29 · $99942peak $233693 · end $1220092026-03-20
Walk-forward windows (7, pos sharpe 3/7)워크포워드 윈도우 (7, 양수샤프 3/7)
| test | lb | top | mr | train sh | test sh | mdd | ret | turn |
|---|---|---|---|---|---|---|---|---|
| 2024-06-29 -> 2024-09-27 | 60d | 5 | 0.70 | 3.04 | 0.65 | -15.9% | +10.8% | 0.42 |
| 2024-09-27 -> 2024-12-26 | 90d | 3 | 0.70 | 1.98 | -0.37 | -40.2% | -7.7% | 0.47 |
| 2024-12-26 -> 2025-03-26 | 30d | 3 | 0.70 | 3.36 | -0.63 | -37.0% | -14.9% | 0.63 |
| 2025-03-26 -> 2025-06-24 | 90d | 5 | 0.70 | 2.29 | -2.02 | -53.0% | -30.4% | 0.45 |
| 2025-06-24 -> 2025-09-22 | 60d | 5 | 0.70 | 0.93 | 2.09 | -13.8% | +32.4% | 0.48 |
| 2025-09-22 -> 2025-12-21 | 30d | 5 | 0.70 | 1.95 | 3.56 | -38.4% | +110.6% | 0.48 |
| 2025-12-21 -> 2026-03-21 | 30d | 5 | 0.70 | 3.54 | -2.19 | -45.1% | -27.8% | 0.71 |
In-sample param sweep — Sharpe ranked (18 combos)인샘플 파라미터 스윕 — 샤프 순 (18개)
| lookback | top_n | mr | sharpe | sortino | max dd | ret | turnover | fee% |
|---|---|---|---|---|---|---|---|---|
| 30d | 5 | 0.70 | 1.78 | 2.89 | -59.7% | +1588% | 0.59 | 0.63 |
| 30d | 5 | 0.50 | 1.76 | 2.86 | -59.8% | +1540% | 0.59 | 0.76 |
| 30d | 5 | 0.30 | 1.74 | 2.83 | -60.0% | +1493% | 0.59 | 0.89 |
| 30d | 3 | 0.70 | 1.70 | 2.95 | -58.0% | +4030% | 0.67 | 0.52 |
| 30d | 3 | 0.50 | 1.69 | 2.92 | -58.1% | +3897% | 0.67 | 0.63 |
| 30d | 3 | 0.30 | 1.67 | 2.90 | -58.2% | +3769% | 0.67 | 0.74 |
| 60d | 5 | 0.70 | 1.02 | 1.51 | -58.2% | +354% | 0.42 | 0.45 |
| 60d | 5 | 0.50 | 1.01 | 1.49 | -58.3% | +345% | 0.42 | 0.55 |
| 60d | 5 | 0.30 | 0.99 | 1.47 | -58.5% | +336% | 0.42 | 0.64 |
| 60d | 3 | 0.70 | 0.95 | 1.42 | -73.4% | +556% | 0.50 | 0.41 |
| 60d | 3 | 0.50 | 0.94 | 1.40 | -73.5% | +541% | 0.50 | 0.50 |
| 60d | 3 | 0.30 | 0.92 | 1.38 | -73.6% | +526% | 0.50 | 0.58 |
| 90d | 5 | 0.70 | 0.54 | 0.78 | -55.2% | +104% | 0.31 | 0.37 |
| 90d | 5 | 0.50 | 0.53 | 0.76 | -55.5% | +101% | 0.31 | 0.45 |
| 90d | 5 | 0.30 | 0.52 | 0.75 | -55.9% | +98% | 0.31 | 0.53 |
| 90d | 3 | 0.70 | 0.46 | 0.65 | -60.5% | +124% | 0.36 | 0.33 |
| 90d | 3 | 0.50 | 0.45 | 0.64 | -60.6% | +120% | 0.36 | 0.40 |
| 90d | 3 | 0.30 | 0.44 | 0.63 | -60.8% | +117% | 0.36 | 0.46 |
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.