Real market data: data/spy.csv · 500 trading days (2024-06-24 → 2026-06-22) · Sharpe annualised by √252
| Metric | Momentum | Buy & Hold |
|---|---|---|
| CAGR | 11.31% | 18.69% |
| Sharpe (252) | 1.15 | 1.09 |
| Max Drawdown | 6.34% | 18.76% |
Rules. Each day, go long (100%) if the close is above the close 20 trading days ago, otherwise stay flat (0%, in cash). The position decided at day t's close is applied to the return realised from t to t+1, so there is no look-ahead bias. Returns assume no transaction costs.