Fractiz
Preset
12-1 Month TSMOM
The AQR formulation: 252-day lookback, skip the last 21 days, rebalance monthly. Takes both sides as the lookback sign flips.
Family: Time-Series Momentum
Parameters
- Lookback (trading days)
- 252
- Skip recent (trading days)
- 21
- Rebalance every (trading days)
- 21
- Side
- Both sides
- Contracts per trade
- 1
These parameters pre-fill the New Backtest form. You can adjust the contract, date range, and initial capital before submitting.
Run this backtest →