[Famous-Q] Time-series momentum (3-month)
public
@djgambhirBTCUSDT · 1d · 2021-12-30 → 2026-08-31 · 1,706 bars in 1.5ms
Underperformed the market. Holding BTCUSDT returned +66.79% over the same period, against this strategy’s +22.92%.
Net P&L
+22.92%
$2,292.31
Max drawdown
-15.45%
Max run-up
+50.05%
Trades
49
42.9% win rate
Profit factor
1.58
2021-12-30drawdown · worst -15.45%2026-08-31
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-18 | +15.91% | -15.45% | 38 | 39% |
| Validation | 2024-10-18 → 2025-09-24 | +9.83% | -5.37% | 5 | 60% |
| Out-of-sample | 2025-09-24 → 2026-08-31 | -3.12% | -12.90% | 5 | 40% |
Risk-adjusted
- Sharpe
- 0.41
- Sortino
- 0.61
- Calmar
- 0.29
- Return ÷ max drawdown
- 1.48
- CAGR
- +4.52%
- Exposure
- 97.1%
Per trade
- Expectancy
- $46.78 · +1.99%
- Average win / loss
- $298.22 / −$141.79
- Payoff ratio
- 2.10
- Largest win / loss
- $2,118.83 / −$686.58
- Longest losing streak(winning: 3)
- 9 trades
Drawdown over time
- Max drawdown
- -15.45%
- Longest time under water
- 320 days
- Worst drawdown recovered in
- 320 days
- Under water at the end
- 207 days
Costs and mechanics
- Fees paid
- −$135.66
- Funding
- −$615.99
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 90
- Benchmark(buy and hold)
- +66.79%
Monte Carlo
1,000 alternative histories, each 49 trades drawn at random from this run’s own. The bands hold the middle 50% and 90% of them; the solid line is what actually happened.
this runmedian of the historiesmiddle 50% · 90%
| Unlucky (5%) | Typical | Lucky (95%) | |
|---|---|---|---|
| Return | -18.34% | +21.27% | +101.65% |
| Max drawdown | -27.51% | -13.61% | -6.87% |
22% of histories lost money, and 39% had a deeper drawdown than this run’s -15.45%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.
Settings
- roc90 length
- 90
- Long entry: roc90 > ▢
- 0
- Short entry: roc90 < ▢
- 0
- Long exit: roc90 < ▢
- 0
- Short exit: roc90 > ▢
- 0
- Leverage (×)
- 1
- Position size (% of equity)
- 25
BTCUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
49 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | short | 2021-12-31 00:00 @ 47,085.60 | 2022-03-30 00:00 @ 47,427.98 | 89d | $6.76 | +0.27% | signal |
| 2 | short | 2022-03-31 00:00 @ 47,043.69 | 2022-04-05 00:00 @ 46,590.22 | 5d | $25.22 | +1.01% | signal |
| 3 | long | 2022-04-06 00:00 @ 45,486.60 | 2022-04-12 00:00 @ 39,497.70 | 6d | −$335.94 | -13.39% | signal |
| 4 | short | 2022-04-13 00:00 @ 40,052.69 | 2022-04-21 00:00 @ 41,334.27 | 8d | −$79.04 | -3.26% | signal |
| 5 | long | 2022-04-22 00:00 @ 40,457.79 | 2022-05-01 00:00 @ 37,606.88 | 9d | −$170.32 | -7.08% | signal |
| 6 | long | 2022-05-02 00:00 @ 38,447.89 | 2022-05-03 00:00 @ 38,517.79 | 1d | $1.24 | +0.05% | signal |
| 7 | long | 2022-05-04 00:00 @ 37,720.54 | 2022-05-06 00:00 @ 36,526.39 | 2d | −$78.35 | -3.32% | signal |
| 8 | short | 2022-05-07 00:00 @ 35,988.00 | 2022-09-13 00:00 @ 22,390.48 | 129d | $908.69 | +38.79% | signal |
| 9 | short | 2022-09-14 00:00 @ 20,158.57 | 2022-09-17 00:00 @ 19,796.36 | 3d | $44.23 | +1.72% | signal |
| 10 | short | 2022-09-18 00:00 @ 20,097.98 | 2022-09-30 00:00 @ 19,586.42 | 12d | $65.66 | +2.54% | signal |
| 11 | long | 2022-10-01 00:00 @ 19,415.48 | 2022-10-02 00:00 @ 19,300.14 | 1d | −$18.54 | -0.71% | signal |
| 12 | short | 2022-10-03 00:00 @ 19,045.49 | 2023-01-14 00:00 @ 19,928.28 | 103d | −$98.49 | -3.80% | signal |
| 13 | long | 2023-01-15 00:00 @ 20,966.99 | 2023-06-16 00:00 @ 25,580.88 | 152d | $469.93 | +18.30% | signal |
| 14 | short | 2023-06-17 00:00 @ 26,330.63 | 2023-06-21 00:00 @ 28,296.36 | 4d | −$201.51 | -7.50% | signal |
| 15 | long | 2023-06-22 00:00 @ 29,994.50 | 2023-07-16 00:00 @ 30,270.44 | 24d | $7.21 | +0.27% | signal |
| 16 | long | 2023-07-17 00:00 @ 30,222.94 | 2023-07-18 00:00 @ 30,119.97 | 1d | −$12.02 | -0.46% | signal |
| 17 | long | 2023-07-19 00:00 @ 29,851.67 | 2023-07-27 00:00 @ 29,330.13 | 8d | −$52.47 | -1.99% | signal |
| 18 | short | 2023-07-28 00:00 @ 29,203.96 | 2023-07-29 00:00 @ 29,305.86 | 1d | −$11.22 | -0.43% | signal |
| 19 | long | 2023-07-30 00:00 @ 29,344.97 | 2023-08-04 00:00 @ 29,174.26 | 5d | −$20.95 | -0.80% | signal |
| 20 | long | 2023-08-05 00:00 @ 29,106.92 | 2023-08-18 00:00 @ 26,604.38 | 13d | −$236.58 | -9.06% | signal |
| 21 | short | 2023-08-19 00:00 @ 26,036.79 | 2023-08-30 00:00 @ 27,705.64 | 11d | −$165.86 | -6.50% | signal |
| 22 | long | 2023-08-31 00:00 @ 27,295.86 | 2023-09-01 00:00 @ 25,922.81 | 1d | −$129.23 | -5.14% | signal |
| 23 | short | 2023-09-02 00:00 @ 25,790.44 | 2023-09-04 00:00 @ 25,967.29 | 2d | −$19.17 | -0.77% | signal |
| 24 | short | 2023-09-05 00:00 @ 25,808.84 | 2023-09-09 00:00 @ 25,905.08 | 4d | −$11.25 | -0.45% | signal |
| 25 | short | 2023-09-10 00:00 @ 25,887.42 | 2023-09-13 00:00 @ 25,830.97 | 3d | $3.26 | +0.13% | signal |
| 26 | long | 2023-09-14 00:00 @ 26,215.14 | 2023-09-18 00:00 @ 26,508.90 | 4d | $25.29 | +1.02% | signal |
| 27 | short | 2023-09-19 00:00 @ 26,744.55 | 2023-10-23 00:00 @ 29,987.40 | 34d | −$299.39 | -12.08% | signal |
| 28 | long | 2023-10-24 00:00 @ 33,080.61 | 2024-06-03 00:00 @ 67,792.34 | 223d | $2,118.83 | +88.13% | signal |
| 29 | long | 2024-06-04 00:00 @ 68,865.07 | 2024-06-10 00:00 @ 69,653.17 | 6d | $24.82 | +0.85% | signal |
| 30 | short | 2024-06-11 00:00 @ 69,544.89 | 2024-06-15 00:00 @ 66,052.91 | 4d | $148.17 | +5.04% | signal |
| 31 | short | 2024-06-16 00:00 @ 66,200.46 | 2024-06-18 00:00 @ 66,485.39 | 2d | −$14.00 | -0.47% | signal |
| 32 | short | 2024-06-19 00:00 @ 65,136.87 | 2024-06-21 00:00 @ 64,866.97 | 2d | $10.36 | +0.35% | signal |
| 33 | long | 2024-06-22 00:00 @ 64,136.92 | 2024-06-23 00:00 @ 64,227.25 | 1d | $0.49 | +0.02% | signal |
| 34 | short | 2024-06-24 00:00 @ 63,182.26 | 2024-07-16 00:00 @ 64,693.54 | 22d | −$58.66 | -1.97% | signal |
| 35 | long | 2024-07-17 00:00 @ 65,023.00 | 2024-08-03 00:00 @ 61,471.40 | 17d | −$173.27 | -5.85% | signal |
| 36 | short | 2024-08-04 00:00 @ 60,672.36 | 2024-08-09 00:00 @ 61,672.13 | 5d | −$49.57 | -1.70% | signal |
| 37 | short | 2024-08-10 00:00 @ 60,796.44 | 2024-09-22 00:00 @ 63,333.26 | 43d | −$123.86 | -4.26% | signal |
| 38 | long | 2024-09-23 00:00 @ 63,571.21 | 2024-10-14 00:00 @ 62,827.13 | 21d | −$43.99 | -1.53% | signal |
| 39 | long | 2024-10-15 00:00 @ 66,078.11 | 2024-10-26 00:00 @ 66,649.37 | 11d | $12.30 | +0.43% | signal |
| 40 | short | 2024-10-27 00:00 @ 67,058.49 | 2024-10-28 00:00 @ 68,006.30 | 1d | −$42.55 | -1.48% | signal |
| 41 | long | 2024-10-29 00:00 @ 69,953.89 | 2025-02-20 00:00 @ 96,578.58 | 114d | $945.82 | +33.11% | signal |
| 42 | short | 2025-02-21 00:00 @ 98,233.15 | 2025-02-24 00:00 @ 96,237.64 | 3d | $60.68 | +1.96% | signal |
| 43 | short | 2025-02-25 00:00 @ 91,496.20 | 2025-05-07 00:00 @ 96,818.26 | 71d | −$171.31 | -5.51% | signal |
| 44 | long | 2025-05-08 00:00 @ 97,007.80 | 2025-10-11 00:00 @ 112,692.46 | 156d | $396.74 | +12.94% | signal |
| 45 | short | 2025-10-12 00:00 @ 110,556.98 | 2026-05-03 00:00 @ 78,668.53 | 203d | $940.21 | +29.71% | signal |
| 46 | short | 2026-05-04 00:00 @ 78,513.29 | 2026-05-05 00:00 @ 79,842.07 | 1d | −$60.93 | -1.79% | signal |
| 47 | long | 2026-05-06 00:00 @ 80,878.07 | 2026-06-03 00:00 @ 66,716.75 | 28d | −$605.19 | -17.88% | signal |
| 48 | short | 2026-06-04 00:00 @ 64,104.88 | 2026-08-22 00:00 @ 78,324.76 | 79d | −$686.58 | -21.24% | signal |
| 49 | long | 2026-08-23 00:00 @ 77,099.92 | 2026-08-31 00:00 @ 78,533.89 | 8d | $46.60 | +1.52% | end of data |
How this was run
Orders fill at the next bar’s open, never at the close that produced the signal. When one bar’s range covered both the stop and the target, the stop was taken, because the data cannot say which came first. Fees, slippage and funding are all charged.
Warmup history was loaded from before 2022-01-01 so the requested window is fully tradable.