[Mine-Q] Z-score reversion, low-vol regime
publicmade in Claude Code
@djgambhirBTCUSDT · Binance USD-M perpetual · 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%.
The rules
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BTCUSDT with every trade
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Month by month
23 of 56 months up · best +5.1% Nov 2022 · worst −10.9% Jun 2022 · 4 losing months in a row at worst
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | +1.4% | +3.6% | +0.7% | +3.2% | −2.3% | −10.9% | +3.9% | 0.0% | +4.7% | 0.0% | +5.1% | −0.5% | +8.1% |
| 2023 | −6.2% | −2.0% | 0.0% | 0.0% | 0.0% | +2.7% | +1.1% | −0.7% | +1.2% | −4.1% | 0.0% | 0.0% | −7.9% |
| 2024 | 0.0% | −7.4% | 0.0% | 0.0% | +3.6% | +1.9% | −0.3% | 0.0% | +0.9% | +0.1% | −3.8% | 0.0% | −5.2% |
| 2025 | 0.0% | −1.3% | −2.0% | −0.2% | −2.8% | +0.3% | +0.2% | +0.2% | +1.6% | +1.6% | 0.0% | 0.0% | −2.3% |
| 2026 | +1.5% | −3.1% | 0.0% | +0.2% | +0.3% | −4.5% | +2.5% | −2.0% | · | · | · | · | −5.3% |
Training · validation · out-of-sample
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Risk-adjusted
- Sharpe
- -0.33
- Sortino
- -0.44
- Calmar
- -0.14
- Return ÷ max drawdown
- -0.61
- CAGR
- -2.89%
- Exposure
- 37.9%
A Pro feature. Pro isn’t on sale yet; beta testers get it free — ask on the pricing page.
A Pro feature. Pro isn’t on sale yet; beta testers get it free — ask on the pricing page.
Costs and mechanics
- Fees paid
- −$98.14
- Funding
- $108.02
- Liquidations
- 0
- Warmup bars(the market’s first candles)
- 112
- Benchmark(buy and hold)
- +83.95%
Monte Carlo
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All 40 trades
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How this was run
Orders fill at the next candle’s open, never at the close that produced the signal. When one candle’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.
The period asked for began 2022-01-01, and the archive has too little BTCUSDT history before then to warm up on, so the test starts at 2022-01-11: the first candle with every indicator ready.