3-Month Momentum Switch
Hold while the trailing 3-month return is positive momentum (>+5% to enter, <0% to exit).
The rules
- WHEN the market opens · IF not invested AND the 63-day return > +5% · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND the 63-day return < 0% · THEN sell the whole position
Time-series momentum on a quarterly lookback — the horizon most of the academic momentum literature is built on. The template enters after a +5% three-month run and exits when the same measure turns negative. The entry/exit asymmetry (in at +5%, out at 0%) is a deliberate buffer against flip-flopping around a single threshold.
Good for: assets with long, persistent cycles — index, sector, and even managed-futures ETFs.
Watch out: a three-month lookback is slow; V-shaped crashes and recoveries can see it exit near the bottom and re-enter well off the low.
Build it from blocks (or type it in English), backtest it on 5.5 years of minute data in seconds, tweak any parameter, then paper trade it on live data. No card, no broker needed to start.
Results on every ETF
| ETF | CAGR | buy & hold | max DD | Sharpe | trades | win rate |
|---|---|---|---|---|---|---|
| SOXL | 23.1% | 30.2% | −74.2% | 0.66 | 24 | 42% |
| SOXX | 15.4% | 29.6% | −35.5% | 0.68 | 15 | 40% |
| QLD | 13.1% | 21.6% | −36.1% | 0.59 | 15 | 47% |
| CLSE | 12.8% | 20.1% | −8.0% | 1.29 | 6 | 67% |
| TQQQ | 10.8% | 22.3% | −55.5% | 0.46 | 20 | 50% |
| VOX | 10.1% | 9.2% | −13.0% | 0.85 | 11 | 64% |
| IAU | 9.7% | 13.6% | −19.2% | 0.71 | 8 | 63% |
| SPUU | 9.5% | 22.0% | −38.6% | 0.57 | 16 | 56% |
| SSO | 8.9% | 21.5% | −39.5% | 0.54 | 16 | 50% |
| VOOG | 8.5% | 14.9% | −20.8% | 0.72 | 11 | 64% |
| VOO | 7.9% | 14.3% | −18.4% | 0.83 | 9 | 78% |
| IOO | 7.8% | 16.4% | −15.5% | 0.79 | 11 | 55% |
| SPY | 7.8% | 14.4% | −18.6% | 0.82 | 9 | 78% |
| QQQ | 7.8% | 15.8% | −21.6% | 0.62 | 11 | 45% |
| QQQM | 7.6% | 15.8% | −21.7% | 0.61 | 11 | 45% |
| ROM | 7.5% | 26.1% | −50.3% | 0.39 | 19 | 37% |
| VV | 7.5% | 13.9% | −17.8% | 0.80 | 11 | 64% |
| TECL | 6.8% | 31.9% | −69.9% | 0.38 | 23 | 39% |
| VTV | 6.0% | 13.9% | −11.8% | 0.75 | 9 | 56% |
| XLK | 5.5% | 20.2% | −30.9% | 0.42 | 16 | 31% |
| ALTY | 4.6% | 8.7% | −8.3% | 0.83 | 5 | 60% |
| XLF | 3.2% | 14.1% | −23.1% | 0.34 | 14 | 57% |
| VOOV | 2.5% | 13.2% | −16.6% | 0.34 | 12 | 67% |
| QAI | 2.0% | 3.9% | −5.0% | 0.58 | 3 | 33% |
| FXE | 1.0% | −0.7% | −8.1% | 0.28 | 4 | 50% |
| FAS | 1.0% | 22.9% | −55.6% | 0.19 | 25 | 40% |
| USDU | 0.4% | 5.1% | −6.5% | 0.14 | 4 | 25% |
| IGIB | 0.3% | 0.9% | −5.0% | 0.13 | 4 | 50% |
| TBF | 0.1% | 11.0% | −22.8% | 0.07 | 12 | 33% |
| KMLM | 0.1% | 6.0% | −28.7% | 0.07 | 10 | 40% |
| SGOV | 0.0% | 3.2% | −0.0% | 0.00 | 0 | — |
| RINF | −0.1% | 6.6% | −12.8% | 0.03 | 10 | 60% |
| EEM | −0.5% | 5.6% | −32.7% | 0.03 | 11 | 18% |
| UDN | −0.5% | −1.0% | −9.7% | -0.15 | 4 | 50% |
| IEI | −0.6% | 0.0% | −3.8% | -0.52 | 2 | 0% |
| AGG | −0.8% | −0.3% | −5.7% | -0.41 | 3 | 0% |
| CTA | −0.8% | 7.2% | −23.2% | 0.00 | 9 | 44% |
| IWM | −1.1% | 8.5% | −26.8% | -0.02 | 18 | 39% |
| BND | −1.2% | −0.3% | −7.3% | -0.65 | 3 | 0% |
| IEF | −1.3% | −1.6% | −8.6% | -0.50 | 4 | 25% |
| XLP | −1.4% | 7.0% | −23.6% | -0.13 | 12 | 25% |
| TLT | −2.4% | −7.3% | −18.6% | -0.34 | 7 | 29% |
| PSQ | −3.2% | −13.2% | −30.4% | -0.14 | 8 | 25% |
| QQQE | −3.4% | 9.4% | −27.6% | -0.25 | 18 | 33% |
| XLY | −4.1% | 7.3% | −34.7% | -0.24 | 17 | 35% |
| SH | −5.0% | −9.9% | −29.5% | -0.43 | 8 | 25% |
| SPDN | −5.5% | −9.7% | −31.5% | -0.47 | 8 | 13% |
| EEV | −8.9% | −14.5% | −51.4% | -0.28 | 16 | 19% |
| SDS | −12.0% | −22.1% | −55.2% | -0.47 | 13 | 8% |
| TMF | −13.6% | −30.7% | −63.5% | -0.60 | 17 | 18% |
| SOXS | −14.2% | −30.5% | −58.9% | -0.25 | 12 | 17% |
| VIXM | −14.3% | −14.9% | −58.2% | -0.72 | 20 | 15% |
| VXZ | −14.7% | −13.9% | −58.9% | -0.80 | 22 | 14% |
| QID | −14.7% | −28.9% | −65.4% | -0.38 | 20 | 20% |
| REW | −15.6% | −33.6% | −69.5% | -0.32 | 17 | 12% |
| TECS | −17.1% | −21.8% | −69.3% | -0.28 | 17 | 18% |
| SQQQ | −24.4% | −30.9% | −84.3% | -0.43 | 23 | 17% |
| UVXY | −44.2% | −38.0% | −96.0% | -0.92 | 26 | 12% |
| UST | −100.0% | −7.3% | −227654.6% | -0.63 | 5 | 0% |
Frequently asked questions
What is the 3-month momentum strategy?
Hold while the trailing 3-month return is positive momentum (>+5% to enter, <0% to exit). Time-series momentum on a quarterly lookback — the horizon most of the academic momentum literature is built on. The template enters after a +5% three-month run and exits when the same measure turns negative. The entry/exit asymmetry (in at +5%, out at 0%) is a deliberate buffer against flip-flopping around a single threshold.
Does 3-month momentum beat buy-and-hold?
Across 59 ETFs backtested 2021-01-04–2026-07-17, it beat same-ETF buy-and-hold on 17 of 59 (29%). Median CAGR was 0.1% with a median max drawdown of 26.8%. Per-ETF results vary widely — see the table.
Why 63 days?
63 trading days ≈ one quarter — the classic momentum lookback. It's a parameter you can sweep in DeployQuant to see how horizon changes behavior.
Compare with other strategies
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.