[Mine-Q] Volatility squeeze breakout
public
@djgambhirBTCUSDT · 12h · 2021-12-30 → 2026-08-31 · 3,412 bars in 4.3ms
Underperformed the market. Holding BTCUSDT returned +65.39% over the same period, against this strategy’s -4.15%.
Net P&L
-4.15%
−$414.86
Max drawdown
-17.11%
Max run-up
+12.61%
Trades
46
28.3% win rate
Profit factor
0.86
2021-12-30drawdown · worst -17.11%2026-08-31
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | -6.68% | -15.70% | 30 | 30% |
| Validation | 2024-10-19 → 2025-09-24 | +0.13% | -5.74% | 9 | 22% |
| Out-of-sample | 2025-09-24 → 2026-08-31 | +2.58% | -3.57% | 7 | 29% |
Risk-adjusted
- Sharpe
- -0.14
- Sortino
- -0.21
- Calmar
- -0.05
- Return ÷ max drawdown
- -0.24
- CAGR
- -0.90%
- Exposure
- 21.5%
Per trade
- Expectancy
- −$9.02 · -0.31%
- Average win / loss
- $203.56 / −$92.76
- Payoff ratio
- 2.19
- Largest win / loss
- $443.93 / −$280.43
- Longest losing streak(winning: 2)
- 9 trades
Drawdown over time
- Max drawdown
- -17.11%
- Longest time under water(still going at the end)
- 1573 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$108.88
- Funding
- −$28.35
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 119
- Benchmark(buy and hold)
- +65.39%
Monte Carlo
1,000 alternative histories, each 46 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 | -19.70% | -4.91% | +14.90% |
| Max drawdown | -22.32% | -12.69% | -6.02% |
67% of histories lost money, and 22% had a deeper drawdown than this run’s -17.11%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.
Settings
- bb length
- 20
- bb width (standard deviations)
- 2
- sd20 length
- 20
- sdMin length
- 120
- atr14 length
- 14
- Long entry: sd20[1] ≤ ▢ × sdMin[1]
- 1.25
- Short entry: sd20[1] ≤ ▢ × sdMin[1]
- 1.25
- Stop loss (× atr14)
- 2
- Trailing stop (× 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
46 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | short | 2022-01-21 00:00 @ 40,653.93 | 2022-01-26 12:00 @ 38,487.71 | 5d 12h | $132.11 | +5.28% | trailing stop |
| 2 | long | 2022-02-05 00:00 @ 41,558.31 | 2022-02-17 12:00 @ 40,973.69 | 12d 12h | −$44.74 | -1.77% | trailing stop |
| 3 | short | 2022-04-06 12:00 @ 44,793.54 | 2022-04-19 12:00 @ 41,785.37 | 13d | $169.79 | +6.73% | trailing stop |
| 4 | long | 2022-04-21 12:00 @ 42,426.48 | 2022-04-21 12:00 @ 39,752.32 | 0m | −$164.24 | -6.41% | trailing stop |
| 5 | short | 2022-05-06 00:00 @ 36,526.39 | 2022-05-30 12:00 @ 30,665.13 | 24d 12h | $409.00 | +16.21% | reverse |
| 6 | long | 2022-05-31 00:00 @ 31,732.85 | 2022-06-01 12:00 @ 29,585.42 | 1d 12h | −$181.77 | -6.92% | trailing stop |
| 7 | short | 2022-06-30 12:00 @ 19,084.88 | 2022-07-07 12:00 @ 21,154.13 | 7d | −$280.43 | -10.87% | trailing stop |
| 8 | long | 2022-08-08 12:00 @ 24,164.73 | 2022-08-10 00:00 @ 22,754.14 | 1d 12h | −$149.85 | -5.97% | trailing stop |
| 9 | long | 2022-08-11 12:00 @ 24,552.11 | 2022-08-19 00:00 @ 23,027.91 | 7d 12h | −$157.58 | -6.37% | trailing stop |
| 10 | short | 2022-09-07 00:00 @ 18,777.64 | 2022-09-09 00:00 @ 19,892.66 | 2d | −$146.66 | -6.03% | trailing stop |
| 11 | long | 2022-10-26 00:00 @ 20,072.31 | 2022-11-08 00:00 @ 20,102.07 | 13d | −$2.46 | -0.10% | trailing stop |
| 12 | short | 2022-11-22 00:00 @ 15,769.75 | 2022-11-30 00:00 @ 16,879.76 | 8d | −$169.49 | -7.07% | trailing stop |
| 13 | long | 2022-12-13 12:00 @ 17,440.39 | 2022-12-15 12:00 @ 17,405.33 | 2d | −$8.64 | -0.37% | trailing stop |
| 14 | short | 2022-12-29 00:00 @ 16,535.59 | 2023-01-04 12:00 @ 16,982.40 | 6d 12h | −$62.60 | -2.66% | trailing stop |
| 15 | long | 2023-01-07 00:00 @ 16,947.29 | 2023-01-11 12:00 @ 17,347.10 | 4d 12h | $51.26 | +2.19% | trailing stop |
| 16 | long | 2023-04-11 00:00 @ 29,629.02 | 2023-04-19 00:00 @ 29,027.64 | 8d | −$54.25 | -2.31% | trailing stop |
| 17 | short | 2023-05-25 00:00 @ 26,308.64 | 2023-05-28 12:00 @ 27,416.85 | 3d 12h | −$98.28 | -4.21% | trailing stop |
| 18 | long | 2023-05-29 00:00 @ 28,061.41 | 2023-05-31 12:00 @ 26,931.96 | 2d 12h | −$96.71 | -4.19% | trailing stop |
| 19 | long | 2023-07-04 00:00 @ 31,155.23 | 2023-07-06 12:00 @ 29,873.93 | 2d 12h | −$98.04 | -4.29% | trailing stop |
| 20 | long | 2023-08-09 00:00 @ 29,764.85 | 2023-08-16 12:00 @ 28,956.70 | 7d 12h | −$68.68 | -3.04% | trailing stop |
| 21 | short | 2023-08-17 00:00 @ 28,708.66 | 2023-08-17 12:00 @ 26,382.34 | 12h | $180.37 | +8.04% | trailing stop |
| 22 | long | 2023-08-30 00:00 @ 27,705.64 | 2023-08-31 12:00 @ 26,668.82 | 1d 12h | −$88.65 | -3.87% | trailing stop |
| 23 | short | 2023-09-12 00:00 @ 25,145.37 | 2023-09-12 00:00 @ 26,130.84 | 0m | −$90.98 | -4.01% | trailing stop |
| 24 | long | 2024-02-08 00:00 @ 44,335.17 | 2024-02-26 12:00 @ 51,350.28 | 18d 12h | $335.12 | +14.93% | trailing stop |
| 25 | long | 2024-02-27 00:00 @ 54,522.60 | 2024-02-28 12:00 @ 59,039.98 | 1d 12h | $184.68 | +7.93% | trailing stop |
| 26 | short | 2024-04-30 12:00 @ 61,170.06 | 2024-05-03 12:00 @ 63,113.18 | 3d | −$76.59 | -3.23% | trailing stop |
| 27 | long | 2024-05-16 00:00 @ 66,188.64 | 2024-05-23 12:00 @ 66,850.79 | 7d 12h | $17.66 | +0.75% | trailing stop |
| 28 | long | 2024-06-05 00:00 @ 70,594.12 | 2024-06-11 00:00 @ 67,729.59 | 6d | −$103.03 | -4.37% | trailing stop |
| 29 | short | 2024-10-02 00:00 @ 60,764.54 | 2024-10-07 00:00 @ 63,653.02 | 5d | −$111.98 | -4.80% | trailing stop |
| 30 | long | 2024-10-14 12:00 @ 64,912.48 | 2024-10-23 12:00 @ 65,765.87 | 9d | $21.37 | +0.93% | trailing stop |
| 31 | long | 2024-10-29 00:00 @ 69,953.89 | 2024-11-01 00:00 @ 69,282.30 | 3d | −$27.09 | -1.17% | trailing stop |
| 32 | long | 2025-01-07 00:00 @ 102,200.94 | 2025-01-07 12:00 @ 97,741.46 | 12h | −$103.43 | -4.49% | trailing stop |
| 33 | short | 2025-01-27 12:00 @ 98,680.36 | 2025-01-30 00:00 @ 105,269.30 | 2d 12h | −$152.81 | -6.71% | trailing stop |
| 34 | short | 2025-02-02 12:00 @ 98,791.74 | 2025-02-03 12:00 @ 100,503.85 | 1d | −$40.57 | -1.81% | trailing stop |
| 35 | long | 2025-02-21 12:00 @ 98,599.42 | 2025-02-24 12:00 @ 94,557.23 | 3d | −$94.35 | -4.23% | trailing stop |
| 36 | short | 2025-02-25 00:00 @ 91,496.20 | 2025-03-02 12:00 @ 87,027.28 | 5d 12h | $106.85 | +4.84% | trailing stop |
| 37 | long | 2025-04-21 12:00 @ 86,953.89 | 2025-05-30 00:00 @ 104,742.83 | 38d 12h | $443.93 | +19.88% | trailing stop |
| 38 | short | 2025-07-25 12:00 @ 116,481.30 | 2025-08-10 00:00 @ 117,978.39 | 15d 12h | −$24.26 | -1.03% | trailing stop |
| 39 | short | 2025-09-22 12:00 @ 112,791.44 | 2025-09-29 12:00 @ 113,570.60 | 7d | −$16.24 | -0.69% | trailing stop |
| 40 | short | 2025-12-16 00:00 @ 86,372.72 | 2026-01-02 12:00 @ 89,476.19 | 17d 12h | −$78.63 | -3.37% | reverse |
| 41 | long | 2026-04-06 00:00 @ 69,011.70 | 2026-04-29 12:00 @ 74,874.80 | 23d 12h | $198.83 | +8.59% | trailing stop |
| 42 | long | 2026-05-05 00:00 @ 79,842.07 | 2026-05-16 00:00 @ 78,442.25 | 11d | −$43.91 | -1.86% | trailing stop |
| 43 | short | 2026-05-16 12:00 @ 78,026.89 | 2026-06-14 12:00 @ 65,086.13 | 29d | $395.29 | +16.80% | trailing stop |
| 44 | long | 2026-07-15 00:00 @ 65,027.60 | 2026-07-28 00:00 @ 63,385.10 | 13d | −$69.30 | -2.83% | trailing stop |
| 45 | short | 2026-08-01 00:00 @ 62,847.33 | 2026-08-07 00:00 @ 65,040.59 | 6d | −$85.14 | -3.50% | trailing stop |
| 46 | short | 2026-08-14 12:00 @ 62,824.93 | 2026-08-17 12:00 @ 64,605.69 | 3d | −$69.71 | -2.89% | trailing stop |
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.