[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirETHUSDT · 12h · 2022-01-01 → 2026-09-01 · 3,409 bars in 3.3ms
Net P&L
+41.87%
$4,187.15
Max drawdown
-19.72%
Max run-up
+58.51%
Trades
94
36.2% win rate
Profit factor
1.55
2022-01-01drawdown · worst -19.72%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | -0.14% | -19.72% | 66 | 35% |
| Validation | 2024-10-19 → 2025-09-25 | +20.72% | -8.59% | 12 | 33% |
| Out-of-sample | 2025-09-25 → 2026-09-01 | +17.69% | -6.50% | 16 | 44% |
Risk-adjusted
- Sharpe
- 0.56
- Sortino
- 0.83
- Calmar
- 0.39
- Return ÷ max drawdown
- 2.12
- CAGR
- +7.79%
- Exposure
- 97.2%
Per trade
- Expectancy
- $44.54 · +1.70%
- Average win / loss
- $345.29 / −$125.88
- Payoff ratio
- 2.74
- Largest win / loss
- $1,562.20 / −$598.23
- Longest losing streak(winning: 3)
- 8 trades
Drawdown over time
- Max drawdown
- -19.72%
- Longest time under water
- 627 days
- Worst drawdown recovered in
- 494 days
- Under water at the end
- 11 days
Costs and mechanics
- Fees paid
- −$245.89
- Funding
- −$513.12
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 92
- Benchmark(buy and hold)
- -33.43%
Monte Carlo
1,000 alternative histories, each 94 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 | -11.83% | +39.70% | +128.06% |
| Max drawdown | -30.97% | -17.16% | -9.82% |
12% of histories lost money, and 37% had a deeper drawdown than this run’s -19.72%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.
Settings
- roc90 length
- 90
- Long entry: roc90 > ▢
- 0
- Short entry: roc90 < ▢
- 0
- Long exit: roc90 < ▢
- 0
- Short exit: roc90 > ▢
- 0
- Leverage (×)
- 1
- Position size (% of equity)
- 25
ETHUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
94 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 94 | long | 2026-07-19 12:00 @ 1,870.86 | 2026-09-01 00:00 @ 2,457.38 | 43d 12h | $1,007.17 | +30.57% | end of data |
| 93 | short | 2026-05-23 12:00 @ 2,030.05 | 2026-07-19 00:00 @ 1,862.12 | 56d 12h | $276.94 | +8.59% | signal |
| 92 | long | 2026-05-22 00:00 @ 2,133.21 | 2026-05-23 00:00 @ 2,064.58 | 1d | −$108.30 | -3.33% | signal |
| 91 | long | 2026-05-03 00:00 @ 2,316.37 | 2026-05-21 12:00 @ 2,113.66 | 18d 12h | −$298.79 | -8.98% | signal |
| 90 | short | 2026-05-01 00:00 @ 2,256.05 | 2026-05-02 12:00 @ 2,301.45 | 1d 12h | −$71.12 | -2.13% | signal |
| 89 | long | 2026-04-01 12:00 @ 2,134.61 | 2026-04-30 12:00 @ 2,256.60 | 29d | $189.67 | +5.75% | signal |
| 88 | short | 2026-03-31 12:00 @ 2,039.82 | 2026-04-01 00:00 @ 2,104.90 | 12h | −$109.50 | -3.29% | signal |
| 87 | long | 2026-03-29 00:00 @ 1,993.88 | 2026-03-31 00:00 @ 2,025.28 | 2d | $49.04 | +1.48% | signal |
| 86 | short | 2026-03-27 12:00 @ 1,989.84 | 2026-03-28 12:00 @ 1,996.81 | 1d | −$15.97 | -0.48% | signal |
| 85 | long | 2026-03-23 12:00 @ 2,134.33 | 2026-03-27 00:00 @ 2,058.77 | 3d 12h | −$121.98 | -3.64% | signal |
| 84 | short | 2026-01-21 12:00 @ 2,941.58 | 2026-03-23 00:00 @ 2,053.27 | 60d 12h | $932.70 | +29.95% | signal |
| 83 | long | 2026-01-03 12:00 @ 3,097.62 | 2026-01-21 00:00 @ 2,937.66 | 17d 12h | −$175.58 | -5.56% | signal |
| 82 | short | 2025-10-08 12:00 @ 4,484.30 | 2026-01-03 00:00 @ 3,124.50 | 86d 12h | $907.80 | +30.97% | signal |
| 81 | long | 2025-10-07 12:00 @ 4,707.38 | 2025-10-08 00:00 @ 4,444.88 | 12h | −$168.99 | -5.68% | signal |
| 80 | long | 2025-10-03 00:00 @ 4,482.60 | 2025-10-07 00:00 @ 4,681.48 | 4d | $125.17 | +4.25% | signal |
| 79 | short | 2025-09-25 12:00 @ 4,000.13 | 2025-10-02 12:00 @ 4,378.12 | 7d | −$285.85 | -9.49% | signal |
| 78 | long | 2025-09-24 12:00 @ 4,180.80 | 2025-09-25 00:00 @ 4,149.68 | 12h | −$25.38 | -0.84% | signal |
| 77 | long | 2025-07-08 12:00 @ 2,574.39 | 2025-09-24 00:00 @ 4,161.42 | 77d 12h | $1,562.20 | +59.41% | signal |
| 76 | short | 2025-07-05 12:00 @ 2,516.32 | 2025-07-08 00:00 @ 2,541.87 | 2d 12h | −$28.32 | -1.07% | signal |
| 75 | long | 2025-07-03 12:00 @ 2,596.77 | 2025-07-05 00:00 @ 2,506.37 | 1d 12h | −$95.63 | -3.59% | signal |
| 74 | short | 2025-06-25 12:00 @ 2,427.44 | 2025-07-03 00:00 @ 2,569.88 | 7d 12h | −$158.97 | -5.89% | signal |
| 73 | long | 2025-06-24 00:00 @ 2,410.88 | 2025-06-25 00:00 @ 2,447.09 | 1d | $37.60 | +1.40% | signal |
| 72 | long | 2025-05-09 12:00 @ 2,351.22 | 2025-06-23 12:00 @ 2,251.72 | 45d | −$141.13 | -5.18% | signal |
| 71 | short | 2025-01-09 12:00 @ 3,299.68 | 2025-05-09 00:00 @ 2,206.97 | 119d 12h | $854.75 | +34.02% | signal |
| 70 | long | 2025-01-08 12:00 @ 3,349.17 | 2025-01-09 00:00 @ 3,324.71 | 12h | −$21.14 | -0.84% | signal |
| 69 | long | 2024-12-27 12:00 @ 3,418.08 | 2025-01-08 00:00 @ 3,378.69 | 11d 12h | −$39.98 | -1.58% | signal |
| 68 | long | 2024-11-07 00:00 @ 2,723.04 | 2024-12-27 00:00 @ 3,332.48 | 50d | $462.83 | +19.19% | signal |
| 67 | short | 2024-11-04 12:00 @ 2,469.48 | 2024-11-06 12:00 @ 2,630.36 | 2d | −$160.81 | -6.56% | signal |
| 66 | long | 2024-10-15 00:00 @ 2,629.40 | 2024-11-04 00:00 @ 2,456.81 | 20d | −$181.03 | -7.25% | signal |
| 65 | short | 2024-10-02 12:00 @ 2,453.71 | 2024-10-14 12:00 @ 2,537.21 | 12d | −$82.19 | -3.26% | signal |
| 64 | long | 2024-09-29 12:00 @ 2,652.30 | 2024-10-02 00:00 @ 2,446.36 | 2d 12h | −$203.49 | -7.92% | signal |
| 63 | short | 2024-09-28 00:00 @ 2,692.98 | 2024-09-29 00:00 @ 2,674.44 | 1d | $15.69 | +0.61% | signal |
| 62 | short | 2024-09-27 00:00 @ 2,630.63 | 2024-09-27 12:00 @ 2,650.82 | 12h | −$21.86 | -0.85% | signal |
| 61 | long | 2024-09-26 00:00 @ 2,579.42 | 2024-09-26 12:00 @ 2,627.38 | 12h | $44.60 | +1.74% | signal |
| 60 | long | 2024-09-23 12:00 @ 2,645.64 | 2024-09-25 12:00 @ 2,625.77 | 2d | −$22.53 | -0.88% | signal |
| 59 | long | 2024-09-20 00:00 @ 2,465.04 | 2024-09-23 00:00 @ 2,579.43 | 3d | $113.33 | +4.47% | signal |
| 58 | short | 2024-07-05 12:00 @ 2,945.45 | 2024-09-19 12:00 @ 2,434.49 | 76d | $439.97 | +18.13% | signal |
| 57 | long | 2024-05-21 12:00 @ 3,780.39 | 2024-07-05 00:00 @ 3,058.69 | 44d 12h | −$524.64 | -20.51% | signal |
| 56 | short | 2024-04-13 12:00 @ 3,268.74 | 2024-05-21 00:00 @ 3,665.12 | 37d 12h | −$304.47 | -11.56% | signal |
| 55 | long | 2024-02-06 12:00 @ 2,325.05 | 2024-04-13 00:00 @ 3,237.66 | 66d 12h | $773.51 | +31.69% | signal |
| 54 | long | 2024-01-30 12:00 @ 2,313.56 | 2024-02-06 00:00 @ 2,300.37 | 6d 12h | −$20.33 | -0.83% | signal |
| 53 | short | 2024-01-29 00:00 @ 2,255.55 | 2024-01-30 00:00 @ 2,316.99 | 1d | −$68.84 | -2.80% | signal |
| 52 | long | 2024-01-27 00:00 @ 2,267.18 | 2024-01-28 12:00 @ 2,279.74 | 1d 12h | $10.19 | +0.41% | signal |
| 51 | short | 2024-01-23 12:00 @ 2,217.84 | 2024-01-26 12:00 @ 2,253.56 | 3d | −$40.04 | -1.62% | signal |
| 50 | long | 2023-10-23 00:00 @ 1,663.15 | 2024-01-23 00:00 @ 2,313.87 | 92d | $764.14 | +33.53% | signal |
| 49 | short | 2023-10-07 12:00 @ 1,637.55 | 2023-10-22 12:00 @ 1,628.08 | 15d | $15.91 | +0.70% | signal |
| 48 | short | 2023-10-04 00:00 @ 1,655.86 | 2023-10-07 00:00 @ 1,644.65 | 3d | $13.99 | +0.62% | signal |
| 47 | long | 2023-10-02 12:00 @ 1,724.70 | 2023-10-03 12:00 @ 1,655.44 | 1d | −$94.61 | -4.12% | signal |
| 46 | short | 2023-08-13 12:00 @ 1,848.55 | 2023-10-02 00:00 @ 1,733.75 | 49d 12h | $143.37 | +6.35% | signal |
| 45 | short | 2023-08-06 12:00 @ 1,831.20 | 2023-08-13 00:00 @ 1,849.51 | 6d 12h | −$22.00 | -0.97% | signal |
| 44 | long | 2023-07-20 12:00 @ 1,921.17 | 2023-08-06 00:00 @ 1,835.13 | 16d 12h | −$112.05 | -4.89% | signal |
| 43 | long | 2023-07-19 00:00 @ 1,896.85 | 2023-07-20 00:00 @ 1,887.17 | 1d | −$14.60 | -0.64% | signal |
| 42 | long | 2023-07-14 12:00 @ 1,992.91 | 2023-07-18 12:00 @ 1,892.86 | 4d | −$120.55 | -5.18% | signal |
| 41 | short | 2023-07-13 12:00 @ 1,882.59 | 2023-07-14 00:00 @ 2,005.17 | 12h | −$156.61 | -6.62% | signal |
| 40 | long | 2023-06-22 12:00 @ 1,886.58 | 2023-07-13 00:00 @ 1,870.45 | 20d 12h | −$33.10 | -1.39% | signal |
| 39 | short | 2023-06-10 12:00 @ 1,746.52 | 2023-06-22 00:00 @ 1,888.68 | 11d 12h | −$197.74 | -8.16% | signal |
| 38 | long | 2023-06-09 12:00 @ 1,843.48 | 2023-06-10 00:00 @ 1,839.24 | 12h | −$8.18 | -0.34% | signal |
| 37 | short | 2023-06-07 12:00 @ 1,869.27 | 2023-06-09 00:00 @ 1,845.30 | 1d 12h | $29.10 | +1.20% | signal |
| 36 | short | 2023-05-24 12:00 @ 1,815.00 | 2023-06-07 00:00 @ 1,883.64 | 13d 12h | −$89.56 | -3.67% | signal |
| 35 | short | 2023-05-19 12:00 @ 1,806.37 | 2023-05-24 00:00 @ 1,853.74 | 4d 12h | −$65.38 | -2.66% | signal |
| 34 | long | 2023-05-18 12:00 @ 1,825.27 | 2023-05-19 00:00 @ 1,799.33 | 12h | −$37.63 | -1.53% | signal |
| 33 | short | 2023-05-17 12:00 @ 1,789.05 | 2023-05-18 00:00 @ 1,822.01 | 12h | −$48.07 | -1.94% | signal |
| 32 | short | 2023-05-16 12:00 @ 1,815.29 | 2023-05-17 00:00 @ 1,823.88 | 12h | −$14.09 | -0.57% | signal |
| 31 | long | 2023-05-15 00:00 @ 1,798.62 | 2023-05-16 00:00 @ 1,815.20 | 1d | $20.44 | +0.83% | signal |
| 30 | long | 2023-05-14 00:00 @ 1,794.80 | 2023-05-14 12:00 @ 1,801.03 | 12h | $5.99 | +0.24% | signal |
| 29 | long | 2023-03-14 00:00 @ 1,674.24 | 2023-05-13 12:00 @ 1,802.61 | 60d 12h | $155.19 | +6.37% | signal |
| 28 | short | 2023-03-07 12:00 @ 1,562.42 | 2023-03-13 12:00 @ 1,580.94 | 6d | −$29.94 | -1.22% | signal |
| 27 | long | 2023-03-05 00:00 @ 1,566.36 | 2023-03-07 00:00 @ 1,564.86 | 2d | −$5.51 | -0.23% | signal |
| 26 | long | 2023-03-04 00:00 @ 1,569.16 | 2023-03-04 12:00 @ 1,568.18 | 12h | −$4.20 | -0.17% | signal |
| 25 | long | 2023-01-04 12:00 @ 1,251.42 | 2023-03-03 12:00 @ 1,563.52 | 58d | $527.21 | +22.78% | signal |
| 24 | long | 2023-01-02 12:00 @ 1,216.95 | 2023-01-04 00:00 @ 1,213.98 | 1d 12h | −$8.36 | -0.36% | signal |
| 23 | short | 2022-12-26 12:00 @ 1,219.72 | 2023-01-02 00:00 @ 1,200.20 | 6d 12h | $38.08 | +1.65% | signal |
| 22 | long | 2022-12-25 00:00 @ 1,220.20 | 2022-12-26 00:00 @ 1,217.73 | 1d | −$7.02 | -0.30% | signal |
| 21 | short | 2022-12-06 00:00 @ 1,258.42 | 2022-12-24 12:00 @ 1,219.05 | 18d 12h | $75.78 | +3.31% | signal |
| 20 | short | 2022-11-10 00:00 @ 1,101.31 | 2022-12-05 12:00 @ 1,294.75 | 25d 12h | −$427.87 | -17.85% | signal |
| 19 | long | 2022-10-31 00:00 @ 1,590.20 | 2022-11-09 12:00 @ 1,218.66 | 9d 12h | −$598.23 | -23.49% | signal |
| 18 | short | 2022-10-30 00:00 @ 1,618.50 | 2022-10-30 12:00 @ 1,604.70 | 12h | $19.56 | +0.77% | signal |
| 17 | short | 2022-09-14 12:00 @ 1,590.94 | 2022-10-29 12:00 @ 1,614.75 | 45d | −$54.11 | -2.12% | signal |
| 16 | long | 2022-09-13 12:00 @ 1,736.49 | 2022-09-14 00:00 @ 1,571.60 | 12h | −$249.97 | -9.55% | signal |
| 15 | long | 2022-09-08 00:00 @ 1,629.69 | 2022-09-13 00:00 @ 1,714.81 | 5d | $138.70 | +5.37% | signal |
| 14 | long | 2022-09-06 00:00 @ 1,617.25 | 2022-09-07 12:00 @ 1,512.67 | 1d 12h | −$170.39 | -6.49% | signal |
| 13 | long | 2022-09-04 00:00 @ 1,556.73 | 2022-09-05 12:00 @ 1,565.68 | 1d 12h | $13.00 | +0.50% | signal |
| 12 | long | 2022-07-28 12:00 @ 1,641.34 | 2022-09-03 12:00 @ 1,547.55 | 37d | −$158.47 | -5.95% | signal |
| 11 | short | 2022-05-06 12:00 @ 2,673.67 | 2022-07-28 00:00 @ 1,635.79 | 82d 12h | $948.03 | +39.09% | signal |
| 10 | long | 2022-05-05 12:00 @ 2,926.00 | 2022-05-06 00:00 @ 2,745.81 | 12h | −$154.34 | -6.26% | signal |
| 9 | short | 2022-05-02 12:00 @ 2,793.64 | 2022-05-05 00:00 @ 2,940.35 | 2d 12h | −$132.33 | -5.30% | signal |
| 8 | short | 2022-05-01 12:00 @ 2,754.54 | 2022-05-02 00:00 @ 2,823.94 | 12h | −$65.99 | -2.63% | signal |
| 7 | long | 2022-03-28 12:00 @ 3,346.91 | 2022-05-01 00:00 @ 2,724.55 | 33d 12h | −$496.90 | -18.84% | signal |
| 6 | short | 2022-03-26 00:00 @ 3,100.75 | 2022-03-28 00:00 @ 3,295.67 | 2d | −$170.39 | -6.36% | signal |
| 5 | short | 2022-03-23 12:00 @ 2,947.41 | 2022-03-25 12:00 @ 3,167.81 | 2d | −$206.10 | -7.54% | signal |
| 4 | long | 2022-03-22 12:00 @ 3,021.11 | 2022-03-23 00:00 @ 2,967.89 | 12h | −$51.34 | -1.87% | signal |
| 3 | long | 2022-03-16 00:00 @ 2,617.81 | 2022-03-22 00:00 @ 2,888.49 | 6d | $269.20 | +10.06% | signal |
| 2 | long | 2022-03-09 00:00 @ 2,576.02 | 2022-03-15 12:00 @ 2,532.89 | 6d 12h | −$50.23 | -1.87% | signal |
| 1 | short | 2022-01-01 12:00 @ 3,691.35 | 2022-03-08 12:00 @ 2,587.84 | 66d | $759.02 | +30.36% | signal |
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.