The best indicator for Momentum (MTUM)
We backtested 20 indicators across daily, weekly and hourly charts on real Momentum (MTUM) history. Here's what actually worked — risk-adjusted, out-of-sample, with costs.
Donchian Midline
On the weekly chart, this is the strongest risk-adjusted edge we found for Momentum (MTUM) over ~13.2 years — trailing buy-and-hold by 3.8% CAGR.
The winner on each chart
Every indicator, ranked
Ranked by Sharpe (risk-adjusted return). Hypothetical, fees included.
| # | Indicator | TF | CAGR | Sharpe | Max DD | Win | Trades | vs B&H |
|---|---|---|---|---|---|---|---|---|
| 1 | Donchian Midline ✓ | Weekly | 12.1% | 0.9 | -18.0% | 63.6% | 22 | -3.8% |
| 2 | RSI Trend (>50) ✓ | Weekly | 11.4% | 0.86 | -22.3% | 68.0% | 25 | -4.5% |
| 3 | EMA-10 Trend ✓ | Weekly | 9.0% | 0.76 | -16.8% | 53.7% | 54 | -6.9% |
| 4 | EMA 20/50 Cross ✓ | Daily | 8.2% | 0.64 | -26.6% | 44.0% | 25 | -7.8% |
| 5 | RSI Trend (>50) ✓ | Daily | 6.5% | 0.59 | -30.4% | 42.9% | 182 | -9.6% |
| 6 | Bollinger Breakout ✓ | Daily | 4.3% | 0.58 | -14.9% | 52.9% | 51 | -11.7% |
| 7 | Rate of Change ✓ | Daily | 6.5% | 0.58 | -24.7% | 46.3% | 203 | -9.5% |
| 8 | Rate of Change ✓ | Weekly | 6.4% | 0.54 | -26.5% | 50.0% | 40 | -9.6% |
| 9 | Donchian Breakout ✓ | Daily | 5.1% | 0.53 | -26.2% | 50.8% | 63 | -10.9% |
| 10 | Bollinger Mean-Reversion ✓ | Daily | 5.9% | 0.49 | -30.5% | 75.9% | 58 | -10.2% |
| 11 | Williams %R ✓ | Weekly | 4.7% | 0.48 | -28.0% | 86.7% | 15 | -11.2% |
| 12 | Holy Grail Confluence ✓ | Daily | 5.6% | 0.47 | -33.1% | 78.9% | 19 | -10.4% |
| 13 | Stochastic ✓ | Daily | 5.4% | 0.46 | -30.5% | 81.6% | 49 | -10.6% |
| 14 | ADX / DMI ✓ | Daily | 3.5% | 0.46 | -17.4% | 52.4% | 84 | -12.6% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
For Momentum (MTUM), Donchian Midline on the weekly timeframe gave the best balance of return and risk in our test. It still trailed buy-and-hold on raw return — but remember: this is a hypothetical backtest of a standard rule, not a recommendation. Markets change. See the methodology and disclaimer.
More etf
Get the weekly edge report
The best-performing indicator per asset, what changed this week, and the honest caveats — straight to your inbox.