Momentum Mastery RTS
- hypothetical · Cumul. Return
- -1.7%
- Max Drawdown
- 8.7%
- Trades
- 74
- Win Trades
- 23.0%
- Profit Factor
- 1
- Win Months
- 40.0%
About this strategy
Momentum Mastery Regime Trend Squeeze (RTS)
Regime Trend Squeeze is a systematic, rules-based equity trading strategy designed to identify and participate in directional price movements that emerge from periods of volatility contraction.
The strategy focuses on liquid U.S. equities within defined price and volume thresholds, with an emphasis on stocks demonstrating relative strength and orderly price behavior. Trade candidates are identified using objective technical conditions associated with volatility compression (“squeeze”) and subsequent expansion aligned with the prevailing trend.
A core component of the system is a market regime filter, which evaluates broader market conditions to determine when risk exposure should be increased or reduced. The strategy primarily seeks long exposure during favorable market regimes and may reduce or avoid participation during periods of elevated risk or unfavorable conditions.
Entries are executed based on predefined technical signals. Positions may be increased incrementally as trades move in the intended direction, subject to risk constraints. Exits are governed by systematic rules, including trailing stops and regime-based signals designed to limit downside exposure.
Risk management is central to the system design. Key elements include:
* Defined initial risk per position
* Limits on the number of concurrent positions
* Portfolio exposure controls
* Systematic exit and stop-loss mechanisms
The objective of the strategy is to pursue risk-adjusted returns over time, with a focus on capital preservation and disciplined participation in trending market environments.
⚖️ Risk Disclosure & Expectations
Trading involves substantial risk, and losses can occur. This strategy is not designed to perform in all market conditions.
Users should expect:
Periods of draw-down
Periods of low or no exposure
Occasional consecutive losing trades
Variability in performance depending on market conditions
Performance is influenced by broader market behavior, particularly the presence or absence of sustained trends. During choppy, non-trending, or highly volatile environments, results may be muted or negative.
This system is intended for individuals who understand the risks of active trading and are comfortable following a rules-based strategy through varying market conditions.
Regime Trend Squeeze is a systematic, rules-based equity trading strategy designed to identify and participate in directional price movements that emerge from periods of volatility contraction.
The strategy focuses on liquid U.S. equities within defined price and volume thresholds, with an emphasis on stocks demonstrating relative strength and orderly price behavior. Trade candidates are identified using objective technical conditions associated with volatility compression (“squeeze”) and subsequent expansion aligned with the prevailing trend.
A core component of the system is a market regime filter, which evaluates broader market conditions to determine when risk exposure should be increased or reduced. The strategy primarily seeks long exposure during favorable market regimes and may reduce or avoid participation during periods of elevated risk or unfavorable conditions.
Entries are executed based on predefined technical signals. Positions may be increased incrementally as trades move in the intended direction, subject to risk constraints. Exits are governed by systematic rules, including trailing stops and regime-based signals designed to limit downside exposure.
Risk management is central to the system design. Key elements include:
* Defined initial risk per position
* Limits on the number of concurrent positions
* Portfolio exposure controls
* Systematic exit and stop-loss mechanisms
The objective of the strategy is to pursue risk-adjusted returns over time, with a focus on capital preservation and disciplined participation in trending market environments.
⚖️ Risk Disclosure & Expectations
Trading involves substantial risk, and losses can occur. This strategy is not designed to perform in all market conditions.
Users should expect:
Periods of draw-down
Periods of low or no exposure
Occasional consecutive losing trades
Variability in performance depending on market conditions
Performance is influenced by broader market behavior, particularly the presence or absence of sustained trends. During choppy, non-trending, or highly volatile environments, results may be muted or negative.
This system is intended for individuals who understand the risks of active trading and are comfortable following a rules-based strategy through varying market conditions.
Trend-following Momentum
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -2.8 | 6.9 | -3.6 | -2.6 | 0.7 | -1.7 |
Statistics
Overview
| Strategy began | 4/8/2026 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 138 days |
| C2 Rank | Top 8.2% |
| What it trades | Stocks |
| # Trades | 74 |
| # Profitable | 17 |
| % Profitable | 23.0% |
| Avg trade duration | 8.3 days |
| Max peak-to-valley drawdown | 8.7% |
| drawdown period | June 01, 2026 - July 30, 2026 |
| Cumul. Return | -1.7% |
| Avg win | $417 |
| Avg loss | $125 |
Ratios
| W:L ratio | 1.05 |
|---|---|
| Sharpe Ratio | -0.44 |
| Sortino Ratio | -0.64 |
| Calmar Ratio | 0.13 |
Verified
| C2Star | 0 |
|---|
CORRELATION STATISTICS
| Correlation to SP500 | 0.12 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 12.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -14.5% |
Return Statistics
| Ann Return (w trading costs) | -4.2% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.8% |
Slump
| Current Slump as Pcnt Equity | 8.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.6% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 0.5% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 348 |
|---|---|
| Popularity (Last 6 weeks) | 875 |
| C2 Score | 918 |
| Popularity (7 days, Percentile 1000 scale) | 545 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $125 |
|---|---|
| Avg Win | $417 |
| # Winners | 17 |
| Sum Trade PL (losers) | $7,111 |
| Sum Trade PL (winners) | $7,087 |
| Num Months Winners | 2 |
| # Losers | 57 |
| % Winners | 23.0% |
Dividends
| Dividends Received in Model Acct | 173 |
|---|
Age
| Num Months filled monthly returns table | 5 |
|---|
Frequency
| Avg Position Time (mins) | 12000.72 |
|---|---|
| Avg Position Time (hrs) | 200.01 |
| Avg Trade Length | 8.30 |
| Last Trade Ago | 0 |
Leverage
| Daily leverage (average) | 0.64 |
|---|---|
| Daily leverage (max) | 0.97 |
Regression
| Alpha | -0.02 |
|---|---|
| Beta | 0.09 |
| Treynor Index | -0.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -30.89 |
| MAE:PL (avg, all trades) | -0.97 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.17 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.10 |
| Hold-and-Hope Ratio | -0.04 |
RATIO STATISTICS
| Mean | 0.01 |
|---|---|
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 0.11 |
| Sharpe ratio (Hedges UMVUE) | 0.08 |
| df | 3 |
| t | 0.06 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.50 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.32 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.47 |
| Sortino ratio | 0.15 |
| Upside Potential Ratio | 1.88 |
| Upside part of mean | 0.12 |
| Downside part of mean | -0.11 |
| Upside SD | 0.04 |
| Downside SD | 0.06 |
| N nonnegative terms | 3 |
| N negative terms | 1 |
| N of observations | 4 |
| Mean of predictor | 0.39 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.14 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.15 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0.01 |
| DF error | 2 |
| t(b) | 0.21 |
| p(b) | 0.43 |
| t(a) | -0.11 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | -1.85 |
| Upperbound of 95% confidence interval for beta | 2.05 |
| Lowerbound of 95% confidence interval for alpha | -1.13 |
| Upperbound of 95% confidence interval for alpha | 1.07 |
| Treynor index (mean / b) | 0.10 |
| Jensen alpha (a) | -0.03 |
| Mean | 0.01 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 0.07 |
| Sharpe ratio (Hedges UMVUE) | 0.05 |
| df | 3 |
| t | 0.04 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.46 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.34 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.45 |
| Sortino ratio | 0.10 |
| Upside Potential Ratio | 1.83 |
| Upside part of mean | 0.12 |
| Downside part of mean | -0.11 |
| Upside SD | 0.04 |
| Downside SD | 0.07 |
| N nonnegative terms | 3 |
| N negative terms | 1 |
| N of observations | 4 |
| Mean of predictor | 0.37 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.13 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.15 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0.01 |
| DF error | 2 |
| t(b) | 0.21 |
| p(b) | 0.43 |
| t(a) | -0.12 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | -1.96 |
| Upperbound of 95% confidence interval for beta | 2.16 |
| Lowerbound of 95% confidence interval for alpha | -1.15 |
| Upperbound of 95% confidence interval for alpha | 1.09 |
| Treynor index (mean / b) | 0.07 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | -0.01 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | -0.15 |
| Sharpe ratio (Hedges UMVUE) | -0.15 |
| df | 97 |
| t | -0.09 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.05 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.05 |
| Sortino ratio | -0.23 |
| Upside Potential Ratio | 7.90 |
| Upside part of mean | 0.50 |
| Downside part of mean | -0.51 |
| Upside SD | 0.07 |
| Downside SD | 0.06 |
| N nonnegative terms | 50 |
| N negative terms | 48 |
| N of observations | 98 |
| Mean of predictor | 0.30 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.13 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | -0.04 |
| Mean Square Error | 0.01 |
| DF error | 96 |
| t(b) | 1.17 |
| p(b) | 0.12 |
| t(a) | -0.26 |
| p(a) | 0.60 |
| Lowerbound of 95% confidence interval for beta | -0.06 |
| Upperbound of 95% confidence interval for beta | 0.24 |
| Lowerbound of 95% confidence interval for alpha | -0.36 |
| Upperbound of 95% confidence interval for alpha | 0.27 |
| Treynor index (mean / b) | -0.16 |
| Jensen alpha (a) | -0.04 |
| Mean | -0.02 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | -0.20 |
| Sharpe ratio (Hedges UMVUE) | -0.20 |
| df | 97 |
| t | -0.12 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.41 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.00 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.00 |
| Sortino ratio | -0.30 |
| Upside Potential Ratio | 7.82 |
| Upside part of mean | 0.50 |
| Downside part of mean | -0.52 |
| Upside SD | 0.07 |
| Downside SD | 0.06 |
| N nonnegative terms | 50 |
| N negative terms | 48 |
| N of observations | 98 |
| Mean of predictor | 0.29 |
| Mean of criterion | -0.02 |
| SD of predictor | 0.13 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | -0.05 |
| Mean Square Error | 0.01 |
| DF error | 96 |
| t(b) | 1.19 |
| p(b) | 0.12 |
| t(a) | -0.29 |
| p(a) | 0.61 |
| Lowerbound of 95% confidence interval for beta | -0.06 |
| Upperbound of 95% confidence interval for beta | 0.24 |
| Lowerbound of 95% confidence interval for alpha | -0.36 |
| Upperbound of 95% confidence interval for alpha | 0.27 |
| Treynor index (mean / b) | -0.21 |
| Jensen alpha (a) | -0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| VAR (95 Confidence Intrvl) | 0.01 |
ORDER STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.96 |
| Quartile 1 | 1.00 |
| Median | 1.01 |
| Quartile 3 | 1.02 |
| Maximum | 1.02 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.25 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 98 |
| Minimum | 0.99 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 7 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | -0.52 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.69 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.04 |
| Median | 0.04 |
| Quartile 3 | 0.04 |
| Maximum | 0.04 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 7 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.02 |
| Maximum | 0.07 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.05 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.07 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -449064064 |
| Max Equity Drawdown (num days) | 59 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.03 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.04 |
| Calmar ratio (compounded annual return / max draw down) | 1.00 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0.68 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.01 |
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.13 |
| Compounded annual return / average of 25% largest draw downs | 0.18 |
| Compounded annual return / Expected Shortfall lognormal | 0.71 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| GD | long | 15 | Aug 17, 2026 | Aug 20, 2026 | ($34) |
| BFH | long | 18 | Aug 18, 2026 | Aug 20, 2026 | ($48) |
| JPM | long | 16 | Aug 17, 2026 | Aug 17, 2026 | ($11) |
| CNX | long | 166 | Aug 17, 2026 | Aug 17, 2026 | ($99) |
| RRC | long | 147 | Aug 17, 2026 | Aug 17, 2026 | ($131) |
| PRU | long | 16 | Aug 13, 2026 | Aug 14, 2026 | $23 |
| LYB | long | 64 | Aug 5, 2026 | Aug 14, 2026 | $86 |
| MRVL | long | 9 | Aug 7, 2026 | Aug 14, 2026 | $21 |
| DASH | long | 30 | Jul 31, 2026 | Aug 14, 2026 | $213 |
| MCHP | long | 23 | Aug 10, 2026 | Aug 12, 2026 | ($104) |
| WDAY | long | 66 | Jul 28, 2026 | Aug 12, 2026 | $719 |
| LUV | long | 40 | Aug 6, 2026 | Aug 7, 2026 | ($72) |
| FTNT | long | 12 | Aug 3, 2026 | Aug 6, 2026 | ($49) |
| HIG | long | 14 | Jul 30, 2026 | Aug 4, 2026 | ($56) |
| SJM | long | 51 | Jul 17, 2026 | Jul 31, 2026 | ($8) |
| PODD | long | 36 | Jul 22, 2026 | Jul 30, 2026 | ($67) |
| MPC | long | 22 | Jul 6, 2026 | Jul 23, 2026 | $724 |
| INTU | long | 7 | Jul 23, 2026 | Jul 23, 2026 | ($71) |
| CFG | long | 27 | Jul 22, 2026 | Jul 23, 2026 | ($28) |
| DLTR | long | 51 | Jun 26, 2026 | Jul 20, 2026 | $33 |
| WAT | long | 10 | Jun 26, 2026 | Jul 17, 2026 | ($50) |
| SSO | long | 29 | Jul 16, 2026 | Jul 17, 2026 | ($57) |
| HPE | long | 41 | Jul 16, 2026 | Jul 16, 2026 | ($74) |
| NTAP | long | 36 | Jul 7, 2026 | Jul 15, 2026 | ($347) |
| CNC | long | 58 | Jul 10, 2026 | Jul 15, 2026 | ($128) |
| CRL | long | 30 | Jun 25, 2026 | Jul 8, 2026 | $264 |
| GLW | long | 18 | Jun 29, 2026 | Jul 2, 2026 | ($577) |
| BLDR | long | 45 | Jun 29, 2026 | Jul 2, 2026 | ($226) |
| FLEX | long | 27 | Jun 25, 2026 | Jun 29, 2026 | ($366) |
| SH | long | 59 | Jun 24, 2026 | Jun 25, 2026 | ($12) |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.