Trade 1+₹1,12,775
SideInstrumentQty × entryExitBuyMSFT11 × $388.79$510.12
opened 4 Oct → 14:33 ET · Exit signal · SL 7%
US Large-Cap Momentum
Holds the 20 strongest S&P 500 stocks by risk-adjusted 6-month momentum and rebalances monthly, with a trailing stop on each position.
- 1Y return
- +19.7%
- CAGR
- +18.4%
- Max drawdown
- -11.3%
- Sharpe
- 0.70
- Win rate
- 51.0%
- Subscribers
- 210150 slots left
Overview
Backtested Oct 23 – Sep 26 on the maximum allocation of ₹15,00,000 (about $17,751), against the S&P 500.
1M+8.71%
3M+18.17%
6M+22.93%
1Y+19.71%
Max+65.96%
- US Large-Cap Momentum
- S&P 500 (benchmark)
Characteristics
- Market
- US stocks
- Brokers
- Alpaca or Interactive Brokers
- Trading hours
- 09:30–16:00 ET, Monday to Friday
- Operates on
- NYSE and NASDAQ
- Built on
- S&P 500 universe
- Segment
- US Equity
- Strategy
- Momentum
- Holding period
- Positional (monthly)
- Favourable in
- Trending markets with clear leaders
- Provider
- Meridian Systematic
- Logic
- White box
Performance
Returns on the maximum allocation, by period and by month.
Returns by period
| Period | Profit | Return |
|---|---|---|
| 1 month | ₹1,30,650 | +8.71% |
| 3 months | ₹2,72,550 | +18.17% |
| 6 months | ₹3,43,951 | +22.93% |
| 1 year | ₹2,95,604 | +19.71% |
| 3 years | ₹9,89,455 | +65.96% |
| All time | ₹9,89,455 | +65.96% |
Return profile
- Cumulative return
- +65.96%
- CAGR
- +18.40%
- Avg. up month
- +4.29%
- Avg. down month
- -3.34%
Monthly returns
Monthly returns distribution
- -11.25% to -3.43%6 months
- -2.83% to -0.77%6 months
- -0.11% to 1.41%6 months
- 1.45% to 2.36%6 months
- 2.62% to 6.31%6 months
- 7.66% to 10.83%6 months
Drawdowns
How deep and how long the strategy fell from its peaks, and how fast it recovered.
Max drawdown-11.26%Jul 25
Avg. drawdown-4.54%across all months under water
Longest drawdown240 daysSep 25 – May 26
Underwater plot
Worst 5 drawdowns
| # | Depth | Peak | Trough | Recovered | Length | Recovery |
|---|---|---|---|---|---|---|
| 1 | -11.26% | Mar 25 | Jul 25 | Sep 25 | 180 days | 60 days |
| 2 | -7.59% | Dec 23 | Feb 24 | Mar 24 | 90 days | 30 days |
| 3 | -5.49% | May 26 | Jul 26 | Aug 26 | 90 days | 30 days |
| 4 | -4.41% | Sep 25 | Dec 25 | May 26 | 240 days | 150 days |
| 5 | -4.38% | Nov 24 | Dec 24 | Jan 25 | 60 days | 30 days |
Trade metrics
Trading behaviour, risk, consistency and efficiency in one place.
Trades
- Frequency
- 1.2 trades/week
- Success ratio
- 51.00%
- Avg. profit per trade
- +6.80%
- Avg. loss per trade
- -3.40%
- Risk : reward
- 2.00
- Stop-loss per trade
- 7.00%
Risk
- Risk level
- Moderate
- Avg. drawdown
- -4.54%
- Max drawdown
- -11.26%
- Avg. time to recovery
- 60 days
- Max time to recovery
- 150 days
- Annualised volatility
- 16.92%
Consistency
- Win days
- 53.50%
- Win months
- 63.89%
- Win quarters
- 75.00%
- Max consecutive wins
- 6 trades
- Max consecutive losses
- 5 trades
- Max consecutive winning months
- 7
Efficiency
- Sharpe
- 0.70
- Sortino
- 1.20
- Calmar
- 1.63
- Alpha
- 0.06
- Beta to S&P 500
- 0.95
Past trades
Daily profit and loss for any month since Oct 23. Pick a month, then a day to see its trades.
₹2,92,125 (+19.48%)
Month to date (16 Oct 2026) on the maximum allocation of ₹15,00,000. Select a day to see its trades.
Mon
Tue
Wed
Thu
Fri
1
2
5
7
12
13
14
15
16
19
20
21
22
23
26
27
28
29
30
- Trading days
- 3
- Winning days
- 3
- Best day
- +₹1,24,400
- Worst day
- +₹54,950
Trades on
+₹1,12,775Fri 9 Oct 2026
About US Large-Cap Momentum
US Large-Cap Momentum is a long-only US equity strategy. It ranks the S&P 500 by six-month return divided by realised volatility, holds the top 20 names in equal weight and rebalances on the first trading day of each month. Each position trails a 7% stop, and the portfolio moves to cash when the S&P 500 closes below its 200-day average.
How it works
- Ranks S&P 500 stocks by 6-month return divided by realised volatility.
- Buys the top 20 names in equal weight on the first trading day of the month.
- Trails a 7% stop on each position and refills exits at the next rebalance.
- Moves fully to cash when the S&P 500 closes below its 200-day moving average.
White-box strategy: the provider discloses the rules above so you can judge the logic as well as the track record.
Risk notes
Momentum suffers in sharp reversals, and US positions add currency risk: returns in rupees also move with the dollar. Recoveries from drawdowns can take months.
Combine with other algos
Correlation of monthly returns between US Large-Cap Momentum and other algos. Low or negative correlation means they tend not to draw down at the same time, which steadies a portfolio.
| Algo | Correlation | 1Y | Max DD | Combined max DD (50/50) | Action |
|---|---|---|---|---|---|
| Convex Credit Spread Overnight | 0.04 | +27.4% | -43.1% | -20.0% | Combine |
| Delta-Rotation Credit Spread Expiry | 0.01 | +27.0% | -14.3% | -6.9% | Combine |
| Momentum Pulse Equity | -0.05 | +13.1% | -16.7% | -7.6% | Combine |
| Mean Reversion NIFTY Intraday | 0.06 | +50.9% | -7.8% | -5.7% | Combine |
| Calm Harbour Iron Condor Weekly | -0.05 | +9.1% | -4.4% | -3.5% | Combine |
| Trend Rider BANKNIFTY Futures | 0.02 | +14.2% | -27.5% | -14.9% | Combine |
| Dividend Rotator Equity | -0.16 | +2.5% | -11.3% | -6.5% | Combine |
| Volatility Harvest Straddle | 0.01 | +51.5% | -17.3% | -8.9% | Combine |
| Gold Carry MCX | 0.23 | +23.3% | -7.9% | -5.3% | Combine |
| QQQ Trend Switch | 0.40 | +13.5% | -8.4% | -7.0% | Combine |
| SPX Weekly Put Spread | 0.48 | +22.2% | -8.8% | -7.8% | Combine |
| Bitcoin Trend 4H | -0.17 | +54.9% | -26.4% | -14.3% | Combine |
| ETH–BTC Rotation | -0.09 | +51.5% | -27.8% | -13.9% | Combine |
Frequently asked questions
Which broker does it use?
Your own Alpaca or Interactive Brokers account, in US dollars. Orders are placed there; the money never moves to Lantern or the provider.
What is the minimum capital?
About $3,000 (₹2,50,000 at the demo rate), enough for 20 equal positions with fractional shares.
How do I subscribe to US Large-Cap Momentum?
Choose a plan on the pricing page, link your broker account, set your allocation (minimum ₹2,50,000) and the algo starts placing orders from the next session. You pay ₹999 per month plus 15% of net monthly profit above the high-water mark.
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- Min capital
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- 1Y return
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- Risk
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- Min capital
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Convex Credit Spread Overnight
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- Min capital
- ₹1,00,000
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Delta-Rotation Credit Spread Expiry
Rotates short credit spreads across deltas on NIFTY expiry day, squaring off before close to avoid overnight exposure.
- Min capital
- ₹1,00,000
- 1Y return
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- Risk
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Important disclosure. Past performance, including back-tested returns, does not guarantee future results. Algorithmic trading strategies are exposed to market risk and can undergo periods of drawdown. Returns are subject to slippage, which depends on market conditions, the traded instrument and its liquidity. In accordance with exchange regulations, algorithmic strategies place LIMIT orders only, so execution is not guaranteed. Trades on the same instrument across multiple algos or manual orders may conflict. Performance figures and risk disclosures of listed algos are independently verified before listing. This demo uses simulated data.