[Mine-Q] Z-score reversion, low-vol regime
public
@djgambhirBTCUSDT · 12h · 2022-01-06 → 2026-08-31 · 3,398 bars in 4.0ms
Underperformed the market. Holding BTCUSDT returned +83.25% over the same period, against this strategy’s -9.65%.
Net P&L
-9.65%
−$964.97
Max drawdown
-16.71%
Max run-up
+14.73%
Trades
81
49.4% win rate
Profit factor
0.86
2022-01-06drawdown · worst -16.71%2026-08-31
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-06 → 2024-10-21 | -1.70% | -16.71% | 47 | 51% |
| Validation | 2024-10-21 → 2025-09-25 | -0.14% | -5.46% | 18 | 56% |
| Out-of-sample | 2025-09-25 → 2026-08-31 | -7.96% | -9.20% | 16 | 38% |
Risk-adjusted
- Sharpe
- -0.23
- Sortino
- -0.33
- Calmar
- -0.13
- Return ÷ max drawdown
- -0.58
- CAGR
- -2.16%
- Exposure
- 38.1%
Per trade
- Expectancy
- −$11.91 · -0.43%
- Average win / loss
- $151.55 / −$171.39
- Payoff ratio
- 0.88
- Largest win / loss
- $415.94 / −$396.77
- Longest losing streak(winning: 5)
- 5 trades
Drawdown over time
- Max drawdown
- -16.71%
- Longest time under water(still going at the end)
- 1594 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$193.75
- Funding
- $71.25
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 112
- Benchmark(buy and hold)
- +83.25%
Monte Carlo
1,000 alternative histories, each 81 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 | -31.89% | -10.00% | +20.41% |
| Max drawdown | -35.25% | -20.66% | -10.18% |
74% of histories lost money, and 70% had a deeper drawdown than this run’s -16.71%. 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
81 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | long | 2022-01-06 12:00 @ 42,873.71 | 2022-01-21 12:00 @ 37,973.02 | 15d | −$295.03 | -11.80% | stop loss |
| 2 | long | 2022-01-22 00:00 @ 36,433.75 | 2022-02-05 00:00 @ 41,541.69 | 14d | $336.42 | +13.87% | signal |
| 3 | short | 2022-03-28 00:00 @ 46,811.54 | 2022-04-07 00:00 @ 43,168.43 | 10d | $200.32 | +7.98% | signal |
| 4 | long | 2022-04-12 00:00 @ 39,513.50 | 2022-05-05 12:00 @ 35,770.52 | 23d 12h | −$247.05 | -9.65% | stop loss |
| 5 | long | 2022-05-06 00:00 @ 36,541.01 | 2022-05-09 00:00 @ 32,642.29 | 3d | −$269.49 | -10.79% | stop loss |
| 6 | long | 2022-05-09 12:00 @ 33,114.62 | 2022-05-11 12:00 @ 28,831.15 | 2d | −$317.94 | -13.08% | stop loss |
| 7 | long | 2022-06-12 12:00 @ 27,449.39 | 2022-06-13 00:00 @ 24,077.03 | 12h | −$291.20 | -12.38% | stop loss |
| 8 | long | 2022-06-13 12:00 @ 23,722.94 | 2022-06-18 00:00 @ 19,609.68 | 4d 12h | −$396.77 | -17.41% | stop loss |
| 9 | long | 2022-06-18 12:00 @ 19,240.85 | 2022-07-08 00:00 @ 21,610.18 | 19d 12h | $261.55 | +12.00% | signal |
| 10 | short | 2022-07-19 00:00 @ 22,419.02 | 2022-07-26 12:00 @ 21,083.12 | 7d 12h | $135.75 | +6.05% | signal |
| 11 | long | 2022-08-19 12:00 @ 21,457.99 | 2022-09-06 12:00 @ 19,210.26 | 18d | −$240.24 | -10.54% | stop loss |
| 12 | short | 2022-09-13 12:00 @ 22,511.70 | 2022-09-14 00:00 @ 20,166.63 | 12h | $229.26 | +10.33% | signal |
| 13 | short | 2022-10-26 12:00 @ 20,591.88 | 2022-11-08 12:00 @ 19,692.84 | 13d | $100.33 | +4.41% | signal |
| 14 | short | 2022-12-14 00:00 @ 17,773.54 | 2022-12-17 00:00 @ 16,627.42 | 3d | $147.64 | +6.41% | signal |
| 15 | short | 2023-01-09 12:00 @ 17,228.75 | 2023-01-11 12:00 @ 17,780.81 | 2d | −$76.81 | -3.28% | stop loss |
| 16 | short | 2023-01-12 00:00 @ 17,932.01 | 2023-01-12 12:00 @ 18,657.67 | 12h | −$95.56 | -4.12% | stop loss |
| 17 | short | 2023-01-13 00:00 @ 18,834.33 | 2023-01-13 12:00 @ 19,774.71 | 12h | −$116.32 | -5.07% | stop loss |
| 18 | long | 2023-03-10 00:00 @ 20,352.47 | 2023-03-14 00:00 @ 24,114.68 | 4d | $415.94 | +18.35% | signal |
| 19 | short | 2023-04-11 00:00 @ 29,617.18 | 2023-04-20 00:00 @ 28,800.76 | 9d | $67.30 | +2.84% | signal |
| 20 | long | 2023-05-12 12:00 @ 26,338.17 | 2023-05-29 00:00 @ 28,050.19 | 16d 12h | $145.82 | +6.11% | signal |
| 21 | long | 2023-06-06 00:00 @ 25,719.74 | 2023-06-07 00:00 @ 27,216.06 | 1d | $138.64 | +5.72% | signal |
| 22 | long | 2023-06-10 12:00 @ 25,723.84 | 2023-06-20 00:00 @ 26,823.23 | 9d 12h | $99.00 | +4.03% | signal |
| 23 | short | 2023-06-21 00:00 @ 28,285.04 | 2023-06-21 12:00 @ 30,361.03 | 12h | −$184.33 | -7.42% | stop loss |
| 24 | short | 2023-06-23 12:00 @ 30,119.17 | 2023-07-15 00:00 @ 30,299.36 | 21d 12h | −$4.90 | -0.20% | signal |
| 25 | long | 2023-07-24 12:00 @ 29,265.55 | 2023-08-09 00:00 @ 29,752.95 | 15d 12h | $29.19 | +1.20% | signal |
| 26 | long | 2023-08-17 00:00 @ 28,720.14 | 2023-08-17 12:00 @ 27,700.75 | 12h | −$89.82 | -3.68% | stop loss |
| 27 | long | 2023-08-18 00:00 @ 26,615.02 | 2023-09-12 12:00 @ 26,081.98 | 25d 12h | −$53.90 | -2.23% | signal |
| 28 | short | 2023-09-18 12:00 @ 27,179.16 | 2023-09-25 00:00 @ 26,237.65 | 6d 12h | $81.34 | +3.38% | signal |
| 29 | short | 2023-10-02 00:00 @ 27,975.80 | 2023-10-12 00:00 @ 26,869.87 | 10d | $95.29 | +3.93% | signal |
| 30 | short | 2023-12-02 00:00 @ 38,652.17 | 2023-12-04 00:00 @ 40,896.51 | 2d | −$142.93 | -5.83% | stop loss |
| 31 | short | 2023-12-04 12:00 @ 41,597.58 | 2023-12-05 12:00 @ 44,308.73 | 1d | −$158.93 | -6.58% | stop loss |
| 32 | short | 2023-12-06 00:00 @ 44,072.88 | 2023-12-27 00:00 @ 42,547.11 | 21d | $102.70 | +4.32% | signal |
| 33 | short | 2024-01-02 12:00 @ 45,477.70 | 2024-01-04 00:00 @ 42,858.07 | 1d 12h | $138.38 | +5.76% | signal |
| 34 | long | 2024-01-23 00:00 @ 39,575.01 | 2024-01-30 00:00 @ 43,278.94 | 7d | $220.35 | +9.05% | signal |
| 35 | short | 2024-02-08 12:00 @ 44,668.96 | 2024-02-09 12:00 @ 47,364.84 | 1d | −$152.23 | -6.11% | stop loss |
| 36 | short | 2024-02-10 00:00 @ 47,106.68 | 2024-02-12 12:00 @ 50,107.15 | 2d 12h | −$156.57 | -6.38% | stop loss |
| 37 | short | 2024-02-13 00:00 @ 49,933.61 | 2024-02-26 12:00 @ 53,178.83 | 13d 12h | −$145.53 | -6.03% | stop loss |
| 38 | short | 2024-02-28 00:00 @ 57,063.09 | 2024-02-28 12:00 @ 61,490.56 | 12h | −$184.30 | -7.75% | stop loss |
| 39 | long | 2024-04-16 12:00 @ 63,077.21 | 2024-05-06 00:00 @ 63,975.10 | 19d 12h | $25.19 | +1.08% | signal |
| 40 | short | 2024-05-21 00:00 @ 71,452.21 | 2024-06-11 12:00 @ 66,932.98 | 21d 12h | $161.06 | +6.89% | signal |
| 41 | long | 2024-06-15 00:00 @ 66,052.91 | 2024-06-24 00:00 @ 61,774.07 | 9d | −$161.80 | -6.80% | stop loss |
| 42 | long | 2024-06-24 12:00 @ 61,269.55 | 2024-07-04 00:00 @ 56,930.30 | 9d 12h | −$174.54 | -7.47% | stop loss |
| 43 | long | 2024-07-04 12:00 @ 57,759.95 | 2024-07-15 00:00 @ 60,753.85 | 10d 12h | $111.10 | +4.84% | signal |
| 44 | short | 2024-07-21 00:00 @ 67,082.18 | 2024-08-03 00:00 @ 61,496.00 | 13d | $197.23 | +8.50% | signal |
| 45 | long | 2024-09-07 00:00 @ 53,938.49 | 2024-09-14 00:00 @ 60,444.11 | 7d | $285.34 | +12.04% | signal |
| 46 | short | 2024-09-20 12:00 @ 63,404.52 | 2024-10-02 00:00 @ 60,788.86 | 11d 12h | $102.93 | +4.21% | signal |
| 47 | short | 2024-10-16 00:00 @ 67,030.59 | 2024-10-29 12:00 @ 71,669.72 | 13d 12h | −$163.16 | -6.61% | stop loss |
| 48 | short | 2024-10-30 00:00 @ 72,724.95 | 2024-11-08 12:00 @ 76,978.12 | 9d 12h | −$137.29 | -5.66% | stop loss |
| 49 | short | 2024-12-16 00:00 @ 104,439.61 | 2024-12-20 00:00 @ 97,453.79 | 4d | $160.50 | +6.71% | signal |
| 50 | long | 2025-01-13 12:00 @ 90,845.67 | 2025-01-14 12:00 @ 96,489.00 | 1d | $148.09 | +6.09% | signal |
| 51 | short | 2025-01-16 00:00 @ 100,439.91 | 2025-01-20 00:00 @ 108,509.45 | 4d | −$198.28 | -8.03% | stop loss |
| 52 | long | 2025-02-25 00:00 @ 91,532.80 | 2025-02-26 12:00 @ 84,989.71 | 1d 12h | −$176.19 | -7.28% | stop loss |
| 53 | long | 2025-02-27 00:00 @ 84,225.44 | 2025-03-03 00:00 @ 94,203.16 | 4d | $278.48 | +11.72% | signal |
| 54 | long | 2025-04-07 00:00 @ 78,405.78 | 2025-04-12 12:00 @ 83,467.30 | 5d 12h | $153.72 | +6.28% | signal |
| 55 | short | 2025-04-22 12:00 @ 88,555.09 | 2025-04-25 12:00 @ 95,248.86 | 3d | −$190.47 | -7.67% | stop loss |
| 56 | short | 2025-04-26 00:00 @ 94,572.88 | 2025-05-08 12:00 @ 100,862.45 | 12d 12h | −$165.24 | -6.78% | stop loss |
| 57 | short | 2025-05-09 00:00 @ 103,207.35 | 2025-05-21 12:00 @ 109,388.44 | 12d 12h | −$140.09 | -5.85% | stop loss |
| 58 | short | 2025-05-22 00:00 @ 109,587.68 | 2025-05-31 00:00 @ 103,970.69 | 9d | $122.74 | +5.20% | signal |
| 59 | long | 2025-06-23 00:00 @ 100,924.88 | 2025-06-24 00:00 @ 105,269.94 | 1d | $100.47 | +4.20% | signal |
| 60 | short | 2025-07-10 00:00 @ 111,177.56 | 2025-07-10 12:00 @ 115,714.85 | 12h | −$100.58 | -4.16% | stop loss |
| 61 | short | 2025-07-11 00:00 @ 115,956.00 | 2025-07-14 00:00 @ 122,071.09 | 3d | −$125.91 | -5.27% | stop loss |
| 62 | short | 2025-07-14 12:00 @ 121,450.21 | 2025-08-01 00:00 @ 115,720.44 | 17d 12h | $120.86 | +5.12% | signal |
| 63 | long | 2025-08-03 00:00 @ 112,531.30 | 2025-08-08 00:00 @ 117,396.42 | 5d | $98.60 | +4.13% | signal |
| 64 | short | 2025-08-14 00:00 @ 123,299.24 | 2025-08-16 00:00 @ 117,302.56 | 2d | $116.10 | +4.81% | signal |
| 65 | long | 2025-08-26 00:00 @ 110,086.11 | 2025-09-09 12:00 @ 112,375.02 | 14d 12h | $42.17 | +1.73% | signal |
| 66 | short | 2025-10-03 00:00 @ 120,457.20 | 2025-10-05 00:00 @ 125,792.94 | 2d | −$109.30 | -4.45% | stop loss |
| 67 | short | 2025-10-05 12:00 @ 123,388.62 | 2025-10-11 00:00 @ 112,737.54 | 5d 12h | $209.33 | +8.63% | signal |
| 68 | long | 2025-11-04 12:00 @ 104,551.61 | 2025-11-14 00:00 @ 95,983.53 | 9d 12h | −$209.19 | -8.44% | stop loss |
| 69 | long | 2025-11-14 12:00 @ 96,153.73 | 2025-11-20 12:00 @ 86,784.34 | 6d | −$242.28 | -9.98% | stop loss |
| 70 | long | 2025-11-21 00:00 @ 86,618.72 | 2025-12-04 00:00 @ 93,358.12 | 13d | $179.80 | +7.60% | signal |
| 71 | short | 2026-01-05 12:00 @ 93,074.68 | 2026-01-14 12:00 @ 97,822.91 | 9d | −$122.46 | -5.08% | stop loss |
| 72 | short | 2026-01-15 00:00 @ 96,888.62 | 2026-01-20 12:00 @ 91,204.04 | 5d 12h | $138.97 | +5.84% | signal |
| 73 | long | 2026-01-30 00:00 @ 84,621.62 | 2026-01-31 12:00 @ 78,439.35 | 1d 12h | −$179.40 | -7.43% | stop loss |
| 74 | short | 2026-03-05 00:00 @ 72,626.87 | 2026-03-08 00:00 @ 67,245.55 | 3d | $173.48 | +7.32% | signal |
| 75 | short | 2026-03-13 12:00 @ 72,175.36 | 2026-03-22 00:00 @ 68,895.28 | 8d 12h | $106.89 | +4.43% | signal |
| 76 | short | 2026-04-14 00:00 @ 74,370.02 | 2026-04-22 12:00 @ 79,379.93 | 8d 12h | −$169.90 | -6.96% | stop loss |
| 77 | short | 2026-05-05 12:00 @ 80,956.91 | 2026-05-16 12:00 @ 78,058.11 | 11d | $83.74 | +3.49% | signal |
| 78 | long | 2026-05-23 12:00 @ 74,778.25 | 2026-06-02 00:00 @ 70,451.88 | 9d 12h | −$147.13 | -6.08% | stop loss |
| 79 | long | 2026-06-02 12:00 @ 69,444.09 | 2026-06-03 12:00 @ 64,900.59 | 1d | −$158.86 | -6.67% | stop loss |
| 80 | long | 2026-06-04 00:00 @ 64,130.52 | 2026-06-25 12:00 @ 58,738.82 | 21d 12h | −$200.51 | -8.56% | stop loss |
| 81 | short | 2026-08-20 00:00 @ 69,296.24 | 2026-08-20 12:00 @ 73,312.39 | 12h | −$134.52 | -5.87% | stop loss |
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.