[Mine-Q] Z-score reversion, low-vol regime
public
@djgambhirBTCUSDT · 1d · 2022-01-11 → 2026-08-31 · 1,694 bars in 10.9ms
Underperformed the market. Holding BTCUSDT returned +83.95% over the same period, against this strategy’s -12.70%.
Net P&L
-12.70%
−$1,269.65
Max drawdown
-20.84%
Max run-up
+16.74%
Trades
40
50.0% win rate
Profit factor
0.75
2022-01-11drawdown · worst -20.84%2026-08-31
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-11 → 2024-10-22 | -0.85% | -16.76% | 26 | 50% |
| Validation | 2024-10-22 → 2025-09-26 | -8.47% | -12.42% | 6 | 50% |
| Out-of-sample | 2025-09-26 → 2026-08-31 | -3.80% | -7.21% | 8 | 50% |
Risk-adjusted
- Sharpe
- -0.33
- Sortino
- -0.44
- Calmar
- -0.14
- Return ÷ max drawdown
- -0.61
- CAGR
- -2.89%
- Exposure
- 37.9%
Per trade
- Expectancy
- −$31.74 · -1.22%
- Average win / loss
- $193.12 / −$256.60
- Payoff ratio
- 0.75
- Largest win / loss
- $501.42 / −$648.85
- Longest losing streak(winning: 5)
- 5 trades
Drawdown over time
- Max drawdown
- -20.84%
- Longest time under water(still going at the end)
- 1356 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$98.14
- Funding
- $108.02
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 112
- Benchmark(buy and hold)
- +83.95%
Monte Carlo
1,000 alternative histories, each 40 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 | -33.64% | -13.28% | +15.56% |
| Max drawdown | -36.33% | -21.16% | -9.81% |
79% of histories lost money, and 52% had a deeper drawdown than this run’s -20.84%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.
Settings
- sma50 length
- 50
- sd50 length
- 50
- atr14 length
- 14
- atrAvg length
- 100
- Long entry: close < sma50 − (▢ × sd50)
- 2
- Long entry: atr14 < ▢ × atrAvg
- 1.2
- Short entry: close > sma50 + (▢ × sd50)
- 2
- Short entry: atr14 < ▢ × atrAvg
- 1.2
- Stop loss (× atr14)
- 3
- 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
40 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | long | 2022-01-22 00:00 @ 36,433.75 | 2022-02-08 00:00 @ 43,821.22 | 17d | $501.42 | +20.06% | signal |
| 2 | short | 2022-03-28 00:00 @ 46,811.54 | 2022-04-12 00:00 @ 39,513.50 | 15d | $417.25 | +15.89% | signal |
| 3 | long | 2022-05-09 00:00 @ 34,038.91 | 2022-05-11 00:00 @ 27,981.70 | 2d | −$489.96 | -17.95% | stop loss |
| 4 | long | 2022-05-12 00:00 @ 29,083.72 | 2022-06-13 00:00 @ 22,007.57 | 32d | −$648.85 | -24.89% | stop loss |
| 5 | long | 2022-06-14 00:00 @ 22,475.89 | 2022-07-20 00:00 @ 23,381.22 | 36d | $86.55 | +3.54% | signal |
| 6 | long | 2022-09-07 00:00 @ 18,785.16 | 2022-09-13 00:00 @ 22,381.52 | 6d | $466.56 | +18.92% | signal |
| 7 | short | 2022-11-05 00:00 @ 21,133.37 | 2022-11-09 00:00 @ 18,537.61 | 4d | $317.00 | +12.27% | signal |
| 8 | long | 2022-11-10 00:00 @ 15,908.18 | 2022-12-27 00:00 @ 16,909.42 | 47d | $163.53 | +6.14% | signal |
| 9 | short | 2023-01-12 00:00 @ 17,932.01 | 2023-01-13 00:00 @ 19,130.26 | 1d | −$181.84 | -6.73% | stop loss |
| 10 | short | 2023-01-14 00:00 @ 19,920.32 | 2023-01-17 00:00 @ 21,566.57 | 3d | −$217.64 | -8.19% | stop loss |
| 11 | short | 2023-01-18 00:00 @ 21,126.57 | 2023-01-21 00:00 @ 23,042.63 | 3d | −$235.62 | -9.05% | stop loss |
| 12 | short | 2023-01-22 00:00 @ 22,777.24 | 2023-02-16 00:00 @ 25,005.70 | 25d | −$232.68 | -9.14% | stop loss |
| 13 | long | 2023-06-15 00:00 @ 25,120.92 | 2023-06-21 00:00 @ 28,285.04 | 6d | $308.47 | +12.41% | signal |
| 14 | short | 2023-06-22 00:00 @ 29,982.50 | 2023-07-31 00:00 @ 29,277.05 | 39d | $78.52 | +3.06% | signal |
| 15 | long | 2023-08-18 00:00 @ 26,615.02 | 2023-09-20 00:00 @ 27,190.46 | 33d | $50.22 | +1.94% | signal |
| 16 | short | 2023-10-07 00:00 @ 27,910.72 | 2023-10-16 00:00 @ 30,065.63 | 9d | −$200.34 | -7.72% | stop loss |
| 17 | short | 2023-10-17 00:00 @ 28,480.60 | 2023-10-23 00:00 @ 30,958.95 | 6d | −$223.71 | -8.79% | stop loss |
| 18 | short | 2024-02-10 00:00 @ 47,106.68 | 2024-02-14 00:00 @ 51,641.81 | 4d | −$238.37 | -9.57% | stop loss |
| 19 | short | 2024-02-15 00:00 @ 51,812.74 | 2024-02-27 00:00 @ 56,875.64 | 12d | −$224.55 | -9.24% | stop loss |
| 20 | short | 2024-02-28 00:00 @ 57,063.09 | 2024-02-28 00:00 @ 63,626.23 | 0m | −$272.85 | -11.49% | stop loss |
| 21 | long | 2024-05-01 00:00 @ 60,663.33 | 2024-05-16 00:00 @ 66,162.16 | 15d | $200.87 | +8.71% | signal |
| 22 | short | 2024-05-21 00:00 @ 71,452.21 | 2024-06-19 00:00 @ 65,162.93 | 29d | $225.48 | +9.57% | signal |
| 23 | long | 2024-06-25 00:00 @ 60,285.55 | 2024-07-05 00:00 @ 54,010.55 | 10d | −$260.99 | -10.82% | stop loss |
| 24 | long | 2024-07-06 00:00 @ 56,616.22 | 2024-07-16 00:00 @ 64,667.66 | 10d | $326.14 | +13.90% | signal |
| 25 | short | 2024-09-28 00:00 @ 65,736.35 | 2024-10-10 00:00 @ 60,618.42 | 12d | $190.74 | +7.85% | signal |
| 26 | short | 2024-10-17 00:00 @ 67,578.48 | 2024-11-06 00:00 @ 73,922.00 | 20d | −$219.34 | -8.86% | stop loss |
| 27 | short | 2024-11-07 00:00 @ 75,564.78 | 2024-11-11 00:00 @ 83,274.80 | 4d | −$244.52 | -10.10% | stop loss |
| 28 | long | 2025-02-26 00:00 @ 88,656.83 | 2025-03-10 00:00 @ 77,523.37 | 12d | −$300.82 | -12.74% | stop loss |
| 29 | short | 2025-04-23 00:00 @ 93,386.22 | 2025-05-08 00:00 @ 103,678.00 | 15d | −$254.79 | -11.15% | stop loss |
| 30 | short | 2025-05-09 00:00 @ 103,207.35 | 2025-06-21 00:00 @ 103,266.75 | 43d | $10.01 | +0.45% | signal |
| 31 | short | 2025-07-11 00:00 @ 115,956.00 | 2025-08-20 00:00 @ 112,846.66 | 40d | $79.82 | +3.59% | signal |
| 32 | long | 2025-08-26 00:00 @ 110,086.11 | 2025-09-12 00:00 @ 115,403.91 | 17d | $99.41 | +4.43% | signal |
| 33 | short | 2025-10-03 00:00 @ 120,457.20 | 2025-10-11 00:00 @ 112,737.54 | 8d | $147.03 | +6.48% | signal |
| 34 | short | 2026-01-06 00:00 @ 93,803.54 | 2026-01-21 00:00 @ 88,408.38 | 15d | $134.79 | +5.85% | signal |
| 35 | long | 2026-02-01 00:00 @ 78,722.44 | 2026-02-05 00:00 @ 69,086.97 | 4d | −$288.61 | -12.34% | stop loss |
| 36 | short | 2026-04-18 00:00 @ 77,015.19 | 2026-05-23 00:00 @ 75,528.20 | 35d | $39.71 | +1.75% | signal |
| 37 | long | 2026-06-02 00:00 @ 71,405.78 | 2026-06-03 00:00 @ 64,780.01 | 1d | −$214.43 | -9.42% | stop loss |
| 38 | long | 2026-06-04 00:00 @ 64,130.52 | 2026-07-15 00:00 @ 65,001.60 | 41d | $18.88 | +0.85% | signal |
| 39 | short | 2026-08-20 00:00 @ 69,296.24 | 2026-08-21 00:00 @ 74,800.97 | 1d | −$178.11 | -7.99% | stop loss |
| 40 | short | 2026-08-22 00:00 @ 78,293.44 | 2026-08-31 00:00 @ 78,565.31 | 9d | −$4.03 | -0.18% | 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.