Does the Time-Series Momentum strategy beat buy & hold on Disney? (DIS · backtested honestly)
Time-series (absolute) momentum: go long while the asset's own trailing 12-month return — skipping the most recent ~1 month (the '12-1' rule, which drops the short-term reversal) — sits above the average of its OWN history, and flat otherwise. It measures the asset against ITSELF over time; it does not rank or compare securities. A slow trend rule with a long (~2-year) warm-up, prone to crash and whipsaw stretches. A mechanism to test, not a prediction or a recommendation.
Over this period, Time-Series Momentum on Disney returned -5.9%, while simply buying and holding returned -39.7% — it beat buy & hold by 33.9 points, with a worst drawdown of -40.3%. It traded 8 times and sat in cash about 53% of the time. It's a mechanism you test — not a recommendation.
That's the past — settled, free, and the weakest proof there is. The honest next move isn't to trust it — it's to try to break it: does the edge hold across nearby settings and time, or was it luck? Most strategies that look good here don't survive that, and most should stop there. The few that do still haven't met a future nobody has lived yet. Forward-test Time-Series Momentum on Disney on paper — zero hindsight, losses and all — and get a mechanical alert the day it signals (you trade on your own broker). A hindsight-free track record can only be built by time passing, so the only way to have proof in three months is to start today.
Or stop here — a backtest you can kill for free has already done its job.
Run it yourself
Change the parameters and the window, then re-run — no account needed.
A live badge that re-runs itself and links back here. Free to embed on any blog, newsletter or forum — it shows the honest result, beat or lagged.
<iframe src="https://stratsemble.com/embed/disney-momentum-backtest" width="360" height="252" style="border:0;border-radius:12px;max-width:100%" loading="lazy" title="Does the Time-Series Momentum strategy beat buy & hold on Disney?"></iframe>- • The strategy line is Time-Series Momentum on Disney; the dashed line is simply buying and holding DIS. Beating the dashed line is the whole point — many strategies don't.
- • Max drawdown is the worst peak-to-trough fall you'd have sat through. A higher return with a much deeper drawdown is not obviously better.
- • Every fill assumes next-open execution with costs & slippage on — no acting on prices you couldn't have known.
- • A small number of trades means a small sample. Treat a great-looking result on a handful of trades with suspicion.
This is a hypothetical backtest of a well-known mechanism on past data. It is not advice, not a prediction, and not a claim that the strategy works. I hold no funds and place no orders. The value here is the ability to test an idea honestly — see where it would have helped, and where it would have hurt — before you ever risk real money on your own broker.
How this is computed → · who's behind it · where a backtest fits