[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirBTCUSDT · 12h · 2021-12-31 → 2026-08-31 · 3,410 bars in 1.2ms
Underperformed the market. Holding BTCUSDT returned +63.72% over the same period, against this strategy’s +37.08%.
Net P&L
+37.08%
$3,708.39
Max drawdown
-13.01%
Max run-up
+43.43%
Trades
121
33.9% win rate
Profit factor
1.55
2021-12-31drawdown · worst -13.01%2026-08-31
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | +15.89% | -13.01% | 68 | 35% |
| Validation | 2024-10-19 → 2025-09-24 | +8.74% | -8.43% | 30 | 30% |
| Out-of-sample | 2025-09-24 → 2026-08-31 | +8.10% | -8.05% | 22 | 32% |
Risk-adjusted
- Sharpe
- 0.61
- Sortino
- 0.91
- Calmar
- 0.54
- Return ÷ max drawdown
- 2.85
- CAGR
- +6.99%
- Exposure
- 96.4%
Per trade
- Expectancy
- $30.65 · +1.16%
- Average win / loss
- $256.28 / −$84.99
- Payoff ratio
- 3.02
- Largest win / loss
- $1,444.32 / −$397.93
- Longest losing streak(winning: 3)
- 7 trades
Drawdown over time
- Max drawdown
- -13.01%
- Longest time under water
- 536 days
- Worst drawdown recovered in
- 267 days
- Under water at the end
- 4.0 days
Costs and mechanics
- Fees paid
- −$350.77
- Funding
- −$543.14
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 90
- Benchmark(buy and hold)
- +63.72%
Monte Carlo
1,000 alternative histories, each 121 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 | -8.57% | +36.67% | +108.80% |
| Max drawdown | -25.40% | -13.31% | -7.42% |
11% of histories lost money, and 52% had a deeper drawdown than this run’s -13.01%. 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
121 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | short | 2021-12-31 12:00 @ 47,967.98 | 2022-03-01 00:00 @ 43,163.63 | 59d 12h | $264.82 | +10.59% | signal |
| 2 | long | 2022-03-01 12:00 @ 43,608.72 | 2022-03-04 12:00 @ 41,635.07 | 3d | −$120.52 | -4.70% | signal |
| 3 | short | 2022-03-05 00:00 @ 39,119.87 | 2022-03-08 00:00 @ 37,971.29 | 3d | $72.34 | +2.85% | signal |
| 4 | long | 2022-03-08 12:00 @ 38,975.59 | 2022-03-22 00:00 @ 40,973.80 | 13d 12h | $123.60 | +4.84% | signal |
| 5 | long | 2022-03-22 12:00 @ 42,985.50 | 2022-03-27 12:00 @ 44,547.49 | 5d | $89.76 | +3.47% | signal |
| 6 | long | 2022-03-28 00:00 @ 46,830.26 | 2022-04-15 00:00 @ 39,907.92 | 18d | −$397.93 | -15.26% | signal |
| 7 | short | 2022-04-15 12:00 @ 40,199.56 | 2022-04-19 00:00 @ 40,793.86 | 3d 12h | −$39.19 | -1.56% | signal |
| 8 | long | 2022-04-19 12:00 @ 40,669.63 | 2022-04-23 12:00 @ 39,575.38 | 4d | −$69.38 | -2.78% | signal |
| 9 | short | 2022-04-24 00:00 @ 39,405.92 | 2022-04-24 12:00 @ 39,599.22 | 12h | −$15.49 | -0.62% | signal |
| 10 | long | 2022-04-25 00:00 @ 39,441.29 | 2022-04-25 12:00 @ 38,802.84 | 12h | −$42.14 | -1.70% | signal |
| 11 | long | 2022-04-26 00:00 @ 40,419.08 | 2022-04-27 00:00 @ 38,086.08 | 1d | −$145.49 | -5.90% | signal |
| 12 | long | 2022-04-27 12:00 @ 39,006.30 | 2022-04-30 00:00 @ 38,564.49 | 2d 12h | −$30.50 | -1.26% | signal |
| 13 | short | 2022-04-30 12:00 @ 38,557.19 | 2022-07-29 00:00 @ 23,840.97 | 89d 12h | $944.20 | +38.98% | signal |
| 14 | long | 2022-07-29 12:00 @ 23,721.94 | 2022-08-22 00:00 @ 21,501.30 | 23d 12h | −$259.16 | -9.75% | signal |
| 15 | short | 2022-08-22 12:00 @ 21,234.35 | 2022-08-23 12:00 @ 21,448.69 | 1d | −$28.88 | -1.11% | signal |
| 16 | short | 2022-08-24 00:00 @ 21,513.90 | 2022-08-24 12:00 @ 21,430.39 | 12h | $7.41 | +0.29% | signal |
| 17 | long | 2022-08-25 00:00 @ 21,359.27 | 2022-08-28 00:00 @ 20,020.00 | 3d | −$164.74 | -6.36% | signal |
| 18 | long | 2022-08-28 12:00 @ 20,025.90 | 2022-08-29 00:00 @ 19,543.59 | 12h | −$63.80 | -2.50% | signal |
| 19 | short | 2022-08-29 12:00 @ 19,808.04 | 2022-09-10 00:00 @ 21,356.27 | 11d 12h | −$198.47 | -7.84% | signal |
| 20 | long | 2022-09-10 12:00 @ 21,283.16 | 2022-09-11 00:00 @ 21,635.17 | 12h | $38.29 | +1.54% | signal |
| 21 | short | 2022-09-11 12:00 @ 21,597.58 | 2022-10-22 00:00 @ 19,154.83 | 40d 12h | $294.62 | +11.83% | signal |
| 22 | long | 2022-10-22 12:00 @ 19,172.73 | 2022-10-23 00:00 @ 19,191.26 | 12h | −$0.08 | -0.00% | signal |
| 23 | short | 2022-10-23 12:00 @ 19,138.27 | 2022-10-24 00:00 @ 19,564.51 | 12h | −$59.58 | -2.32% | signal |
| 24 | short | 2022-10-24 12:00 @ 19,408.62 | 2022-10-29 00:00 @ 20,586.82 | 4d 12h | −$156.68 | -6.14% | signal |
| 25 | long | 2022-10-29 12:00 @ 20,692.74 | 2022-11-09 00:00 @ 18,530.19 | 10d 12h | −$268.16 | -10.68% | signal |
| 26 | short | 2022-11-09 12:00 @ 17,796.74 | 2022-12-25 00:00 @ 16,832.37 | 45d 12h | $130.62 | +5.35% | signal |
| 27 | long | 2022-12-25 12:00 @ 16,818.36 | 2022-12-26 00:00 @ 16,821.14 | 12h | −$2.14 | -0.09% | signal |
| 28 | short | 2022-12-26 12:00 @ 16,850.73 | 2022-12-28 12:00 @ 16,675.33 | 2d | $24.01 | +0.97% | signal |
| 29 | long | 2022-12-29 00:00 @ 16,542.21 | 2022-12-29 12:00 @ 16,590.48 | 12h | $4.30 | +0.17% | signal |
| 30 | long | 2022-12-30 00:00 @ 16,633.63 | 2022-12-30 12:00 @ 16,486.30 | 12h | −$24.88 | -1.00% | signal |
| 31 | short | 2022-12-31 00:00 @ 16,597.88 | 2023-01-03 12:00 @ 16,717.54 | 3d 12h | −$18.70 | -0.75% | signal |
| 32 | short | 2023-01-04 00:00 @ 16,663.97 | 2023-01-04 12:00 @ 16,830.07 | 12h | −$26.88 | -1.09% | signal |
| 33 | long | 2023-01-05 00:00 @ 16,845.57 | 2023-03-07 00:00 @ 22,392.62 | 61d | $759.27 | +30.80% | signal |
| 34 | short | 2023-03-07 12:00 @ 22,335.33 | 2023-03-14 00:00 @ 24,124.32 | 6d 12h | −$213.63 | -8.05% | signal |
| 35 | long | 2023-03-14 12:00 @ 24,752.35 | 2023-05-10 12:00 @ 27,655.07 | 57d | $274.58 | +10.55% | signal |
| 36 | short | 2023-05-11 00:00 @ 27,577.48 | 2023-06-21 12:00 @ 28,919.28 | 41d 12h | −$114.23 | -4.28% | signal |
| 37 | long | 2023-06-22 00:00 @ 29,994.50 | 2023-08-06 00:00 @ 29,051.89 | 45d | −$110.97 | -4.20% | signal |
| 38 | short | 2023-08-06 12:00 @ 29,061.19 | 2023-10-02 00:00 @ 27,987.00 | 56d 12h | $106.18 | +4.06% | signal |
| 39 | long | 2023-10-02 12:00 @ 28,188.74 | 2023-10-14 00:00 @ 26,844.33 | 11d 12h | −$130.86 | -4.96% | signal |
| 40 | short | 2023-10-14 12:00 @ 26,854.73 | 2023-10-16 00:00 @ 27,145.23 | 1d 12h | −$30.64 | -1.17% | signal |
| 41 | long | 2023-10-16 12:00 @ 27,742.55 | 2024-01-19 00:00 @ 41,314.94 | 94d 12h | $1,126.90 | +43.34% | signal |
| 42 | short | 2024-01-19 12:00 @ 41,463.41 | 2024-01-27 00:00 @ 41,814.76 | 7d 12h | −$21.09 | -0.73% | signal |
| 43 | long | 2024-01-27 12:00 @ 41,753.05 | 2024-01-28 00:00 @ 42,093.78 | 12h | $20.35 | +0.71% | signal |
| 44 | short | 2024-01-28 12:00 @ 42,448.01 | 2024-01-30 00:00 @ 43,296.26 | 1d 12h | −$59.37 | -2.06% | signal |
| 45 | long | 2024-01-30 12:00 @ 43,522.00 | 2024-02-04 00:00 @ 42,983.80 | 4d 12h | −$41.46 | -1.45% | signal |
| 46 | short | 2024-02-04 12:00 @ 43,032.99 | 2024-02-08 00:00 @ 44,335.17 | 3d 12h | −$86.83 | -3.04% | signal |
| 47 | long | 2024-02-08 12:00 @ 44,686.84 | 2024-04-18 00:00 @ 61,242.25 | 69d 12h | $843.81 | +29.77% | signal |
| 48 | short | 2024-04-18 12:00 @ 62,550.49 | 2024-04-20 00:00 @ 63,800.16 | 1d 12h | −$63.74 | -2.09% | signal |
| 49 | short | 2024-04-20 12:00 @ 63,675.96 | 2024-05-04 00:00 @ 62,866.27 | 13d 12h | $40.50 | +1.34% | signal |
| 50 | long | 2024-05-04 12:00 @ 63,862.77 | 2024-05-05 00:00 @ 63,851.53 | 12h | −$3.77 | -0.12% | signal |
| 51 | short | 2024-05-05 12:00 @ 63,825.33 | 2024-05-17 12:00 @ 66,195.84 | 12d | −$110.27 | -3.63% | signal |
| 52 | long | 2024-05-18 00:00 @ 66,993.40 | 2024-05-20 00:00 @ 66,226.15 | 2d | −$38.12 | -1.27% | signal |
| 53 | long | 2024-05-20 12:00 @ 66,987.39 | 2024-05-23 00:00 @ 69,205.36 | 2d 12h | $94.18 | +3.14% | signal |
| 54 | short | 2024-05-23 12:00 @ 70,005.40 | 2024-05-25 12:00 @ 69,126.22 | 2d | $36.76 | +1.21% | signal |
| 55 | short | 2024-05-26 00:00 @ 69,300.64 | 2024-05-28 00:00 @ 69,475.39 | 2d | −$8.88 | -0.29% | signal |
| 56 | long | 2024-05-28 12:00 @ 68,424.98 | 2024-06-24 12:00 @ 61,245.05 | 27d | −$344.50 | -11.36% | signal |
| 57 | short | 2024-06-25 00:00 @ 60,261.45 | 2024-06-25 12:00 @ 61,182.93 | 12h | −$47.62 | -1.62% | signal |
| 58 | long | 2024-06-26 00:00 @ 61,790.26 | 2024-06-27 00:00 @ 60,847.93 | 1d | −$48.54 | -1.65% | signal |
| 59 | short | 2024-06-27 12:00 @ 61,176.26 | 2024-07-26 12:00 @ 67,307.36 | 29d | −$278.77 | -9.54% | signal |
| 60 | long | 2024-07-27 00:00 @ 67,896.08 | 2024-07-28 00:00 @ 67,860.13 | 1d | −$5.04 | -0.18% | signal |
| 61 | long | 2024-07-28 12:00 @ 67,813.66 | 2024-07-31 00:00 @ 66,146.07 | 2d 12h | −$74.11 | -2.60% | signal |
| 62 | short | 2024-07-31 12:00 @ 66,049.49 | 2024-08-09 00:00 @ 61,672.13 | 8d 12h | $188.64 | +6.66% | signal |
| 63 | short | 2024-08-09 12:00 @ 60,621.37 | 2024-08-11 00:00 @ 60,901.98 | 1d 12h | −$16.29 | -0.57% | signal |
| 64 | short | 2024-08-11 12:00 @ 60,625.37 | 2024-08-18 12:00 @ 60,003.30 | 7d | $26.23 | +0.91% | signal |
| 65 | long | 2024-08-19 00:00 @ 58,401.78 | 2024-08-28 12:00 @ 59,888.22 | 9d 12h | $70.82 | +2.46% | signal |
| 66 | short | 2024-08-29 00:00 @ 58,998.20 | 2024-09-19 00:00 @ 61,747.65 | 21d | −$138.14 | -4.76% | signal |
| 67 | long | 2024-09-19 12:00 @ 62,617.02 | 2024-10-08 00:00 @ 62,178.16 | 18d 12h | −$30.39 | -1.06% | signal |
| 68 | short | 2024-10-08 12:00 @ 62,583.28 | 2024-10-12 00:00 @ 62,521.50 | 3d 12h | $1.23 | +0.04% | signal |
| 69 | long | 2024-10-12 12:00 @ 62,912.98 | 2025-01-05 12:00 @ 97,589.98 | 85d | $1,444.32 | +50.53% | signal |
| 70 | short | 2025-01-06 00:00 @ 98,320.53 | 2025-01-06 12:00 @ 99,239.04 | 12h | −$32.66 | -1.01% | signal |
| 71 | long | 2025-01-07 00:00 @ 102,200.94 | 2025-01-08 00:00 @ 96,900.82 | 1d | −$170.51 | -5.31% | signal |
| 72 | short | 2025-01-08 12:00 @ 95,074.78 | 2025-01-10 12:00 @ 95,049.51 | 2d | −$1.32 | -0.04% | signal |
| 73 | long | 2025-01-11 00:00 @ 94,694.54 | 2025-01-12 00:00 @ 94,543.49 | 1d | −$8.61 | -0.27% | signal |
| 74 | short | 2025-01-12 12:00 @ 94,190.16 | 2025-01-14 12:00 @ 96,527.60 | 2d | −$80.52 | -2.54% | signal |
| 75 | long | 2025-01-15 00:00 @ 96,534.20 | 2025-01-15 12:00 @ 96,706.15 | 12h | $2.02 | +0.06% | signal |
| 76 | long | 2025-01-16 00:00 @ 100,480.09 | 2025-01-27 12:00 @ 98,680.36 | 11d 12h | −$68.68 | -2.18% | signal |
| 77 | long | 2025-01-28 00:00 @ 102,041.70 | 2025-01-29 00:00 @ 101,259.44 | 1d | −$27.85 | -0.89% | signal |
| 78 | short | 2025-01-29 12:00 @ 102,574.18 | 2025-01-30 12:00 @ 105,272.95 | 1d | −$84.44 | -2.70% | signal |
| 79 | short | 2025-01-31 00:00 @ 104,655.96 | 2025-02-02 00:00 @ 100,623.72 | 2d | $117.68 | +3.79% | signal |
| 80 | short | 2025-02-02 12:00 @ 98,791.74 | 2025-02-03 00:00 @ 97,684.03 | 12h | $31.96 | +1.02% | signal |
| 81 | long | 2025-02-03 12:00 @ 95,089.91 | 2025-02-08 00:00 @ 96,435.21 | 4d 12h | $39.55 | +1.26% | signal |
| 82 | short | 2025-02-08 12:00 @ 96,054.79 | 2025-02-09 12:00 @ 96,530.50 | 1d | −$18.31 | -0.58% | signal |
| 83 | long | 2025-02-10 00:00 @ 96,442.88 | 2025-02-17 00:00 @ 96,047.79 | 7d | −$18.69 | -0.59% | signal |
| 84 | short | 2025-02-17 12:00 @ 95,999.10 | 2025-02-22 12:00 @ 96,545.81 | 5d | −$18.28 | -0.58% | signal |
| 85 | long | 2025-02-23 00:00 @ 96,522.60 | 2025-02-25 00:00 @ 91,496.20 | 2d | −$166.75 | -5.32% | signal |
| 86 | short | 2025-02-25 12:00 @ 89,169.06 | 2025-04-13 00:00 @ 85,254.95 | 46d 12h | $143.69 | +4.65% | signal |
| 87 | short | 2025-04-13 12:00 @ 84,473.70 | 2025-04-14 12:00 @ 84,908.58 | 1d | −$18.47 | -0.59% | signal |
| 88 | long | 2025-04-15 00:00 @ 84,570.81 | 2025-04-16 00:00 @ 83,591.88 | 1d | −$39.47 | -1.26% | signal |
| 89 | short | 2025-04-16 12:00 @ 83,991.60 | 2025-04-18 12:00 @ 84,646.43 | 2d | −$26.74 | -0.86% | signal |
| 90 | short | 2025-04-19 00:00 @ 84,404.12 | 2025-04-22 00:00 @ 87,483.49 | 3d | −$116.05 | -3.73% | signal |
| 91 | long | 2025-04-22 12:00 @ 88,590.51 | 2025-06-23 00:00 @ 100,884.52 | 61d 12h | $402.11 | +13.06% | signal |
| 92 | short | 2025-06-23 12:00 @ 101,228.15 | 2025-06-24 00:00 @ 105,312.06 | 12h | −$131.35 | -4.13% | signal |
| 93 | long | 2025-06-24 12:00 @ 105,155.53 | 2025-07-06 00:00 @ 108,131.77 | 11d 12h | $82.75 | +2.63% | signal |
| 94 | short | 2025-07-06 12:00 @ 107,995.70 | 2025-07-08 00:00 @ 108,225.54 | 1d 12h | −$9.56 | -0.30% | signal |
| 95 | short | 2025-07-08 12:00 @ 108,691.46 | 2025-07-09 00:00 @ 108,894.97 | 12h | −$8.98 | -0.28% | signal |
| 96 | long | 2025-07-09 12:00 @ 109,030.10 | 2025-08-25 00:00 @ 113,423.51 | 46d 12h | $85.90 | +2.72% | signal |
| 97 | short | 2025-08-25 12:00 @ 111,161.46 | 2025-09-16 00:00 @ 115,323.56 | 21d 12h | −$110.84 | -3.48% | signal |
| 98 | long | 2025-09-16 12:00 @ 115,245.14 | 2025-09-21 12:00 @ 115,536.19 | 5d | $3.11 | +0.10% | signal |
| 99 | short | 2025-09-22 00:00 @ 115,160.86 | 2025-10-02 00:00 @ 118,575.71 | 10d | −$92.69 | -2.94% | signal |
| 100 | long | 2025-10-02 12:00 @ 118,739.84 | 2025-10-12 00:00 @ 110,556.98 | 9d 12h | −$225.29 | -7.19% | signal |
| 101 | short | 2025-10-12 12:00 @ 111,761.44 | 2025-10-13 00:00 @ 114,917.48 | 12h | −$90.37 | -2.94% | signal |
| 102 | long | 2025-10-13 12:00 @ 114,152.03 | 2025-10-17 00:00 @ 108,107.77 | 3d 12h | −$164.16 | -5.37% | signal |
| 103 | short | 2025-10-17 12:00 @ 105,589.38 | 2025-10-27 12:00 @ 115,325.36 | 10d | −$279.49 | -9.27% | signal |
| 104 | short | 2025-10-28 00:00 @ 114,041.39 | 2026-01-05 00:00 @ 91,515.50 | 69d | $603.05 | +20.48% | signal |
| 105 | long | 2026-01-05 12:00 @ 93,111.92 | 2026-01-11 12:00 @ 90,689.06 | 6d | −$86.44 | -2.79% | signal |
| 106 | short | 2026-01-12 00:00 @ 90,946.21 | 2026-01-13 00:00 @ 91,270.75 | 1d | −$13.76 | -0.45% | signal |
| 107 | long | 2026-01-13 12:00 @ 91,980.49 | 2026-01-21 00:00 @ 88,373.02 | 7d 12h | −$126.09 | -4.11% | signal |
| 108 | short | 2026-01-21 12:00 @ 88,739.25 | 2026-01-28 12:00 @ 90,054.91 | 7d | −$44.75 | -1.47% | signal |
| 109 | long | 2026-01-29 00:00 @ 89,279.55 | 2026-01-29 12:00 @ 87,777.54 | 12h | −$54.32 | -1.79% | signal |
| 110 | short | 2026-01-30 00:00 @ 84,587.78 | 2026-03-23 00:00 @ 67,844.27 | 52d | $591.05 | +19.61% | signal |
| 111 | long | 2026-03-23 12:00 @ 70,111.22 | 2026-03-27 00:00 @ 68,774.34 | 3d 12h | −$64.08 | -2.03% | signal |
| 112 | short | 2026-03-27 12:00 @ 66,649.97 | 2026-03-30 12:00 @ 67,665.03 | 3d | −$51.76 | -1.65% | signal |
| 113 | short | 2026-03-31 00:00 @ 66,751.05 | 2026-04-05 00:00 @ 67,284.55 | 5d | −$28.26 | -0.90% | signal |
| 114 | long | 2026-04-05 12:00 @ 66,986.09 | 2026-05-29 00:00 @ 73,576.68 | 53d 12h | $304.49 | +9.74% | signal |
| 115 | short | 2026-05-29 12:00 @ 73,432.81 | 2026-07-19 00:00 @ 64,819.66 | 50d 12h | $389.00 | +12.15% | signal |
| 116 | long | 2026-07-19 12:00 @ 64,458.59 | 2026-07-28 12:00 @ 63,418.01 | 9d | −$60.71 | -1.84% | signal |
| 117 | short | 2026-07-29 00:00 @ 63,890.82 | 2026-08-03 00:00 @ 63,562.71 | 5d | $17.05 | +0.52% | signal |
| 118 | short | 2026-08-03 12:00 @ 62,521.59 | 2026-08-04 12:00 @ 63,912.98 | 1d | −$76.09 | -2.31% | signal |
| 119 | short | 2026-08-05 00:00 @ 64,062.78 | 2026-08-06 00:00 @ 64,646.93 | 1d | −$32.91 | -1.01% | signal |
| 120 | short | 2026-08-06 12:00 @ 64,577.18 | 2026-08-07 00:00 @ 64,312.76 | 12h | $10.29 | +0.32% | signal |
| 121 | long | 2026-08-07 12:00 @ 65,009.20 | 2026-08-31 12:00 @ 78,533.89 | 24d | $656.23 | +20.11% | 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.