[Famous-Q] Faber 200-bar SMA timing

public
@djgambhir

XRPUSDT · 4h · 2022-01-012026-09-01 · 10,195 bars in 5.9ms

Underperformed the market. Holding XRPUSDT returned +64.83% over the same period, against this strategy’s +31.77%.

Net P&L
+31.77%
$3,176.80
Max drawdown
-29.02%
Max run-up
+108.23%
Trades
171
13.5% win rate
Profit factor
1.43
2022-01-01drawdown · worst -29.02%2026-09-01
TrainingValidationOut-of-sample
SegmentPeriodReturnMax drawdownTradesWin rate
Training2022-01-012024-10-19-16.82%-21.48%10612%
Validation2024-10-192025-09-25+59.87%-26.74%3816%
Out-of-sample2025-09-252026-09-01-0.91%-10.47%2715%

Risk-adjusted

Sharpe
0.40
Sortino
0.62
Calmar
0.21
Return ÷ max drawdown
1.09
CAGR
+6.09%
Exposure
40.5%

Per trade

Expectancy
$18.58 · +1.03%
Average win / loss
$456.43 / −$49.47
Payoff ratio
9.23
Largest win / loss
$5,442.28 / −$337.26
Longest losing streak(winning: 2)
18 trades

Drawdown over time

Max drawdown
-29.02%
Longest time under water
1013 days
Worst drawdown recovered in
not recovered
Under water at the end
637 days

Costs and mechanics

Fees paid
−$460.04
Funding
−$610.89
Liquidations
0
Warmup bars(loaded before the start date)
202
Benchmark(buy and hold)
+64.83%

Monte Carlo

1,000 alternative histories, each 171 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%)TypicalLucky (95%)
Return-35.43%+17.98%+253.34%
Max drawdown-38.26%-23.12%-12.43%

38% of histories lost money, and 26% had a deeper drawdown than this run’s -29.02%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.

Settings

sma200 length
200
Leverage (×)
1
Position size (% of equity)
25

XRPUSDT with every trade

Loading prices…
long opened short opened closed at a profit closed at a loss

Trades

171 trades

#SideEntryExitHeldP&LReturnClosed by
1long2022-02-07 04:00 @ 0.722022-02-22 00:00 @ 0.7014d 20h−$86.92-3.48%signal
2long2022-02-23 00:00 @ 0.722022-02-23 20:00 @ 0.7020h−$56.68-2.29%signal
3long2022-02-25 16:00 @ 0.712022-03-04 20:00 @ 0.714d 4h−$9.35-0.38%signal
4long2022-03-05 16:00 @ 0.762022-03-06 12:00 @ 0.7320h−$83.11-3.38%signal
5long2022-03-07 12:00 @ 0.742022-03-07 20:00 @ 0.718h−$109.14-4.47%signal
6long2022-03-09 08:00 @ 0.752022-03-10 08:00 @ 0.741d−$42.39-1.76%signal
7long2022-03-12 00:00 @ 0.802022-03-14 00:00 @ 0.762d−$132.22-5.50%signal
8long2022-03-15 00:00 @ 0.772022-03-15 04:00 @ 0.764h−$40.45-1.71%signal
9long2022-03-16 16:00 @ 0.782022-04-06 12:00 @ 0.7918d 20h$37.25+1.58%signal
10long2022-06-24 08:00 @ 0.372022-06-24 16:00 @ 0.368h−$67.94-2.87%signal
11long2022-06-25 08:00 @ 0.372022-06-25 12:00 @ 0.374h−$28.73-1.22%signal
12long2022-06-26 12:00 @ 0.372022-06-26 16:00 @ 0.374h−$40.50-1.73%signal
13long2022-07-08 04:00 @ 0.352022-07-08 12:00 @ 0.348h−$97.52-4.18%signal
14long2022-07-08 20:00 @ 0.342022-07-09 00:00 @ 0.344h−$32.74-1.42%signal
15long2022-07-09 04:00 @ 0.342022-07-09 12:00 @ 0.348h−$15.53-0.67%signal
16long2022-07-09 16:00 @ 0.342022-07-10 04:00 @ 0.3412h−$47.54-2.07%signal
17long2022-07-10 08:00 @ 0.342022-07-10 12:00 @ 0.344h−$22.17-0.97%signal
18long2022-07-15 00:00 @ 0.332022-07-26 00:00 @ 0.3411d$13.12+0.58%signal
19long2022-07-27 20:00 @ 0.352022-08-19 04:00 @ 0.3622d 8h$40.73+1.78%signal
20long2022-09-09 12:00 @ 0.352022-09-09 16:00 @ 0.354h−$26.10-1.14%signal
21long2022-09-09 20:00 @ 0.352022-09-13 16:00 @ 0.343d 20h−$89.90-3.93%signal
22long2022-09-17 00:00 @ 0.362022-10-19 08:00 @ 0.4632d 8h$655.16+28.92%signal
23long2022-11-04 12:00 @ 0.492022-11-07 00:00 @ 0.472d 12h−$94.41-3.89%signal
24long2022-11-07 16:00 @ 0.482022-11-07 20:00 @ 0.474h−$20.23-0.84%signal
25long2022-12-08 20:00 @ 0.392022-12-09 16:00 @ 0.3920h−$36.26-1.51%signal
26long2022-12-10 00:00 @ 0.392022-12-12 00:00 @ 0.382d−$50.89-2.13%signal
27long2022-12-13 00:00 @ 0.392022-12-13 04:00 @ 0.384h−$49.30-2.07%signal
28long2022-12-13 12:00 @ 0.392022-12-14 20:00 @ 0.381d 8h−$28.79-1.22%signal
29long2022-12-15 00:00 @ 0.382022-12-15 04:00 @ 0.384h−$25.11-1.06%signal
30long2023-01-11 08:00 @ 0.362023-02-09 04:00 @ 0.3928d 20h$161.77+6.87%signal
31long2023-02-09 08:00 @ 0.392023-02-09 20:00 @ 0.3912h−$40.88-1.71%signal
32long2023-02-16 00:00 @ 0.402023-02-16 12:00 @ 0.4012h−$23.99-1.01%signal
33long2023-02-16 16:00 @ 0.402023-02-17 00:00 @ 0.388h−$111.66-4.70%signal
34long2023-02-20 16:00 @ 0.402023-02-21 00:00 @ 0.408h−$27.42-1.17%signal
35long2023-02-21 08:00 @ 0.402023-02-21 12:00 @ 0.394h−$58.56-2.50%signal
36long2023-03-08 12:00 @ 0.392023-03-09 20:00 @ 0.381d 8h−$54.10-2.32%signal
37long2023-03-14 16:00 @ 0.382023-03-14 20:00 @ 0.384h−$46.77-2.02%signal
38long2023-03-18 00:00 @ 0.382023-03-18 16:00 @ 0.3816h−$21.86-0.95%signal
39long2023-03-18 20:00 @ 0.382023-03-19 00:00 @ 0.374h−$34.71-1.51%signal
40long2023-03-19 08:00 @ 0.382023-03-20 16:00 @ 0.381d 8h−$6.55-0.29%signal
41long2023-03-21 04:00 @ 0.382023-04-20 16:00 @ 0.4830d 12h$581.12+25.41%signal
42long2023-05-18 12:00 @ 0.472023-05-18 16:00 @ 0.464h−$27.96-1.15%signal
43long2023-05-19 04:00 @ 0.472023-05-24 16:00 @ 0.455d 12h−$87.74-3.62%signal
44long2023-05-24 20:00 @ 0.452023-05-25 08:00 @ 0.4512h−$18.52-0.77%signal
45long2023-05-26 00:00 @ 0.452023-06-15 00:00 @ 0.4820d$125.43+5.23%signal
46long2023-06-18 16:00 @ 0.492023-06-19 00:00 @ 0.498h−$32.09-1.32%signal
47long2023-06-19 20:00 @ 0.492023-06-20 04:00 @ 0.498h−$24.28-1.00%signal
48long2023-06-21 04:00 @ 0.502023-06-22 12:00 @ 0.491d 8h−$24.44-1.01%signal
49long2023-06-22 20:00 @ 0.502023-06-23 00:00 @ 0.494h−$28.47-1.18%signal
50long2023-06-23 04:00 @ 0.502023-06-23 08:00 @ 0.494h−$41.77-1.74%signal
51long2023-06-23 16:00 @ 0.502023-06-24 04:00 @ 0.4912h−$32.59-1.36%signal
52long2023-07-13 16:00 @ 0.592023-08-05 00:00 @ 0.6422d 8h$154.67+6.49%signal
53long2023-09-19 12:00 @ 0.512023-09-21 12:00 @ 0.502d−$23.87-0.99%signal
54long2023-09-21 20:00 @ 0.512023-09-22 00:00 @ 0.514h−$21.35-0.88%signal
55long2023-09-22 04:00 @ 0.512023-09-24 20:00 @ 0.512d 16h−$33.09-1.37%signal
56long2023-09-27 12:00 @ 0.512023-09-27 16:00 @ 0.504h−$27.08-1.13%signal
57long2023-09-28 16:00 @ 0.502023-10-09 12:00 @ 0.5010d 20h−$43.20-1.80%signal
58long2023-10-20 00:00 @ 0.522023-11-21 20:00 @ 0.6032d 20h$309.16+12.96%signal
59long2023-11-22 20:00 @ 0.612023-11-26 20:00 @ 0.624d$28.68+1.16%signal
60long2023-12-04 08:00 @ 0.632023-12-04 12:00 @ 0.624h−$56.07-2.27%signal
61long2023-12-07 00:00 @ 0.642023-12-11 04:00 @ 0.634d 4h−$64.00-2.61%signal
62long2023-12-14 00:00 @ 0.632023-12-14 04:00 @ 0.624h−$21.52-0.88%signal
63long2023-12-14 12:00 @ 0.632023-12-14 16:00 @ 0.624h−$46.35-1.90%signal
64long2023-12-14 20:00 @ 0.632023-12-15 16:00 @ 0.6220h−$53.51-2.21%signal
65long2023-12-16 12:00 @ 0.622023-12-16 20:00 @ 0.628h−$21.11-0.88%signal
66long2023-12-20 16:00 @ 0.622023-12-21 00:00 @ 0.628h−$23.64-0.98%signal
67long2023-12-22 00:00 @ 0.622023-12-22 04:00 @ 0.624h−$19.43-0.81%signal
68long2023-12-22 12:00 @ 0.622023-12-22 16:00 @ 0.624h−$11.04-0.46%signal
69long2023-12-23 00:00 @ 0.632023-12-23 04:00 @ 0.614h−$45.04-1.88%signal
70long2023-12-24 16:00 @ 0.622023-12-25 00:00 @ 0.618h−$39.27-1.65%signal
71long2023-12-25 12:00 @ 0.642023-12-26 08:00 @ 0.6220h−$81.10-3.42%signal
72long2023-12-26 12:00 @ 0.632023-12-26 16:00 @ 0.624h−$20.19-0.86%signal
73long2023-12-27 12:00 @ 0.632023-12-30 00:00 @ 0.622d 12h−$31.08-1.33%signal
74long2023-12-30 16:00 @ 0.632023-12-31 00:00 @ 0.628h−$32.36-1.38%signal
75long2024-01-01 20:00 @ 0.632024-01-03 00:00 @ 0.621d 4h−$13.80-0.59%signal
76long2024-01-03 04:00 @ 0.632024-01-03 12:00 @ 0.628h−$33.20-1.43%signal
77long2024-02-14 16:00 @ 0.532024-03-19 08:00 @ 0.6033d 16h$175.70+7.58%signal
78long2024-03-19 16:00 @ 0.612024-03-20 00:00 @ 0.588h−$87.95-3.73%signal
79long2024-03-20 20:00 @ 0.612024-03-27 16:00 @ 0.616d 20h$5.20+0.22%signal
80long2024-03-28 08:00 @ 0.622024-03-29 08:00 @ 0.611d−$51.37-2.20%signal
81long2024-03-29 12:00 @ 0.632024-03-30 08:00 @ 0.6220h−$31.37-1.35%signal
82long2024-03-30 12:00 @ 0.632024-03-31 00:00 @ 0.6212h−$27.42-1.18%signal
83long2024-03-31 08:00 @ 0.632024-04-01 08:00 @ 0.621d−$52.49-2.27%signal
84long2024-04-08 20:00 @ 0.632024-04-09 00:00 @ 0.624h−$39.60-1.72%signal
85long2024-04-09 12:00 @ 0.622024-04-10 00:00 @ 0.6112h−$41.47-1.81%signal
86long2024-05-06 16:00 @ 0.562024-05-07 00:00 @ 0.548h−$82.41-3.62%signal
87long2024-05-07 16:00 @ 0.542024-05-07 20:00 @ 0.544h−$20.04-0.89%signal
88long2024-05-15 20:00 @ 0.522024-05-19 12:00 @ 0.523d 16h−$9.42-0.42%signal
89long2024-05-20 20:00 @ 0.532024-05-23 20:00 @ 0.523d−$59.96-2.66%signal
90long2024-05-24 00:00 @ 0.532024-05-30 08:00 @ 0.526d 8h−$62.10-2.78%signal
91long2024-05-30 16:00 @ 0.532024-05-31 00:00 @ 0.528h−$29.30-1.32%signal
92long2024-05-31 04:00 @ 0.522024-05-31 08:00 @ 0.524h−$24.70-1.12%signal
93long2024-05-31 12:00 @ 0.522024-05-31 16:00 @ 0.524h−$19.99-0.91%signal
94long2024-06-03 16:00 @ 0.522024-06-03 20:00 @ 0.524h−$3.47-0.16%signal
95long2024-06-04 12:00 @ 0.522024-06-06 20:00 @ 0.522d 8h−$15.64-0.71%signal
96long2024-06-07 04:00 @ 0.522024-06-07 20:00 @ 0.4916h−$130.00-5.92%signal
97long2024-06-17 20:00 @ 0.522024-06-18 00:00 @ 0.504h−$58.60-2.71%signal
98long2024-07-13 00:00 @ 0.472024-08-04 16:00 @ 0.5322d 16h$229.90+10.69%signal
99long2024-08-08 00:00 @ 0.602024-08-11 20:00 @ 0.563d 20h−$154.39-6.99%signal
100long2024-08-12 08:00 @ 0.572024-08-13 00:00 @ 0.5716h−$0.55-0.03%signal
101long2024-08-13 08:00 @ 0.572024-08-14 16:00 @ 0.571d 8h−$0.40-0.02%signal
102long2024-08-19 12:00 @ 0.592024-08-19 16:00 @ 0.584h−$24.52-1.13%signal
103long2024-08-19 20:00 @ 0.602024-08-26 20:00 @ 0.587d−$79.58-3.68%signal
104long2024-08-27 00:00 @ 0.592024-08-28 00:00 @ 0.571d−$79.08-3.69%signal
105long2024-09-13 16:00 @ 0.572024-09-18 16:00 @ 0.565d−$28.95-1.36%signal
106long2024-09-18 20:00 @ 0.572024-10-03 00:00 @ 0.5414d 4h−$145.71-6.89%signal
107long2024-11-06 04:00 @ 0.532024-12-20 12:00 @ 1.9744d 8h$5,442.28+261.72%signal
108long2024-12-20 16:00 @ 2.212024-12-26 16:00 @ 2.166d−$85.96-2.50%signal
109long2024-12-27 12:00 @ 2.212024-12-27 16:00 @ 2.144h−$112.20-3.28%signal
110long2025-01-01 20:00 @ 2.322025-01-07 16:00 @ 2.315d 20h−$17.77-0.52%signal
111long2025-01-08 12:00 @ 2.332025-01-08 16:00 @ 2.314h−$29.76-0.88%signal
112long2025-01-09 00:00 @ 2.372025-01-09 08:00 @ 2.318h−$90.58-2.68%signal
113long2025-01-10 20:00 @ 2.362025-02-02 20:00 @ 2.6723d$414.27+12.34%signal
114long2025-03-02 16:00 @ 2.602025-03-03 20:00 @ 2.351d 4h−$337.26-9.75%signal
115long2025-03-06 04:00 @ 2.512025-03-07 04:00 @ 2.471d−$62.00-1.84%signal
116long2025-03-07 08:00 @ 2.512025-03-07 20:00 @ 2.4812h−$36.51-1.09%signal
117long2025-03-19 16:00 @ 2.552025-03-21 12:00 @ 2.391d 20h−$222.74-6.65%signal
118long2025-03-21 20:00 @ 2.402025-03-22 00:00 @ 2.384h−$33.55-1.02%signal
119long2025-03-22 08:00 @ 2.402025-03-22 16:00 @ 2.388h−$37.48-1.14%signal
120long2025-03-23 04:00 @ 2.392025-03-27 00:00 @ 2.353d 20h−$60.87-1.86%signal
121long2025-03-27 04:00 @ 2.382025-03-27 12:00 @ 2.348h−$51.58-1.58%signal
122long2025-04-22 16:00 @ 2.152025-05-05 16:00 @ 2.1113d−$70.76-2.18%signal
123long2025-05-05 20:00 @ 2.142025-05-06 08:00 @ 2.1012h−$69.05-2.14%signal
124long2025-05-06 20:00 @ 2.142025-05-07 20:00 @ 2.111d−$41.46-1.29%signal
125long2025-05-08 00:00 @ 2.132025-05-25 12:00 @ 2.2917d 12h$232.32+7.25%signal
126long2025-05-25 20:00 @ 2.312025-05-27 04:00 @ 2.291d 8h−$19.21-0.59%signal
127long2025-05-27 12:00 @ 2.322025-05-28 04:00 @ 2.3116h−$14.90-0.46%signal
128long2025-06-10 00:00 @ 2.322025-06-10 04:00 @ 2.304h−$36.39-1.12%signal
129long2025-06-11 16:00 @ 2.332025-06-11 20:00 @ 2.284h−$60.63-1.87%signal
130long2025-06-16 16:00 @ 2.292025-06-17 00:00 @ 2.248h−$78.10-2.42%signal
131long2025-06-25 20:00 @ 2.212025-06-26 00:00 @ 2.184h−$33.58-1.05%signal
132long2025-06-28 12:00 @ 2.192025-06-28 20:00 @ 2.188h−$14.29-0.45%signal
133long2025-06-29 12:00 @ 2.202025-06-29 16:00 @ 2.184h−$22.67-0.71%signal
134long2025-06-29 20:00 @ 2.192025-06-30 12:00 @ 2.1816h−$20.48-0.64%signal
135long2025-06-30 16:00 @ 2.192025-07-01 20:00 @ 2.161d 4h−$56.97-1.79%signal
136long2025-07-02 04:00 @ 2.182025-07-02 12:00 @ 2.188h−$16.99-0.54%signal
137long2025-07-02 16:00 @ 2.212025-08-02 16:00 @ 2.8331d$845.12+26.67%signal
138long2025-08-03 16:00 @ 2.892025-08-06 04:00 @ 2.912d 12h$16.25+0.48%signal
139long2025-08-06 08:00 @ 2.962025-08-06 12:00 @ 2.944h−$16.00-0.47%signal
140long2025-08-06 16:00 @ 3.002025-08-14 16:00 @ 3.098d$91.49+2.71%signal
141long2025-09-09 08:00 @ 3.022025-09-09 16:00 @ 2.958h−$87.86-2.58%signal
142long2025-09-10 16:00 @ 3.002025-09-10 20:00 @ 2.984h−$32.52-0.96%signal
143long2025-09-11 04:00 @ 3.012025-09-22 04:00 @ 2.9011d−$129.68-3.85%signal
144long2025-09-24 20:00 @ 2.982025-09-25 00:00 @ 2.924h−$62.20-1.86%signal
145long2025-10-01 12:00 @ 2.942025-10-07 16:00 @ 2.886d 4h−$76.68-2.31%signal
146long2025-11-10 08:00 @ 2.482025-11-11 08:00 @ 2.451d−$48.98-1.48%signal
147long2025-11-11 12:00 @ 2.462025-11-11 16:00 @ 2.444h−$35.65-1.08%signal
148long2025-11-13 04:00 @ 2.482025-11-13 16:00 @ 2.4312h−$69.95-2.13%signal
149long2026-01-02 20:00 @ 1.992026-01-19 00:00 @ 1.9916d 4h−$9.70-0.30%signal
150long2026-01-19 20:00 @ 2.012026-01-20 00:00 @ 1.984h−$49.29-1.51%signal
151long2026-03-04 16:00 @ 1.462026-03-05 00:00 @ 1.438h−$75.81-2.33%signal
152long2026-03-10 16:00 @ 1.432026-03-10 20:00 @ 1.384h−$108.90-3.37%signal
153long2026-03-13 04:00 @ 1.412026-03-13 20:00 @ 1.4016h−$30.75-0.96%signal
154long2026-03-15 00:00 @ 1.412026-03-22 00:00 @ 1.417d$0.40+0.01%signal
155long2026-03-22 04:00 @ 1.422026-03-22 08:00 @ 1.404h−$34.93-1.09%signal
156long2026-03-23 12:00 @ 1.412026-03-24 16:00 @ 1.401d 4h−$28.29-0.89%signal
157long2026-03-25 00:00 @ 1.422026-03-26 04:00 @ 1.401d 4h−$35.67-1.12%signal
158long2026-04-15 20:00 @ 1.402026-04-29 16:00 @ 1.3613d 20h−$92.65-2.92%signal
159long2026-04-30 08:00 @ 1.372026-04-30 12:00 @ 1.374h−$16.55-0.53%signal
160long2026-05-01 04:00 @ 1.382026-05-01 08:00 @ 1.374h−$8.06-0.26%signal
161long2026-05-01 12:00 @ 1.382026-05-07 20:00 @ 1.396d 8h$12.87+0.41%signal
162long2026-05-08 16:00 @ 1.402026-05-16 12:00 @ 1.417d 20h$23.16+0.74%signal
163long2026-05-17 08:00 @ 1.422026-05-17 16:00 @ 1.418h−$16.45-0.52%signal
164long2026-05-17 20:00 @ 1.422026-05-18 00:00 @ 1.404h−$50.44-1.60%signal
165long2026-07-04 00:00 @ 1.132026-07-08 00:00 @ 1.114d−$67.13-2.14%signal
166long2026-07-14 20:00 @ 1.122026-07-15 00:00 @ 1.114h−$14.43-0.46%signal
167long2026-07-15 16:00 @ 1.132026-07-15 20:00 @ 1.114h−$49.25-1.58%signal
168long2026-07-16 16:00 @ 1.112026-07-16 20:00 @ 1.104h−$54.40-1.75%signal
169long2026-07-20 12:00 @ 1.112026-07-24 16:00 @ 1.094d 4h−$46.66-1.51%signal
170long2026-07-25 16:00 @ 1.102026-07-27 16:00 @ 1.092d−$38.54-1.25%signal
171long2026-08-19 16:00 @ 1.072026-09-01 00:00 @ 1.3912d 8h$901.89+29.39%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.

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