[Famous-Q] Time-series momentum (90-bar)

public
@djgambhir

XRPUSDT · 12h · 2022-01-01 → 2026-09-01 · 3,399 bars in 2.2ms

Underperformed the market. Holding XRPUSDT returned +64.72% over the same period, against this strategy’s -12.36%.

Net P&L
-12.36%
−$1,235.81
Max drawdown
-48.82%
Max run-up
+106.73%
Trades
131
29.8% win rate
Profit factor
0.89
2022-01-01drawdown · worst -48.82%2026-09-01
TrainingValidationOut-of-sample
SegmentPeriodReturnMax drawdownTradesWin rate
Training2022-01-01 → 2024-10-19-41.50%-46.71%7334%
Validation2024-10-19 → 2025-09-25+33.57%-33.67%2615%
Out-of-sample2025-09-25 → 2026-09-01+12.16%-7.81%3231%

Risk-adjusted

Sharpe
0.02
Sortino
0.02
Calmar
-0.06
Return ÷ max drawdown
-0.25
CAGR
-2.79%
Exposure
96.1%

Per trade

Expectancy
−$9.43 · +0.22%
Average win / loss
$261.73 / −$124.39
Payoff ratio
2.10
Largest win / loss
$3,583.93 / −$1,528.78
Longest losing streak(winning: 4)
13 trades

Drawdown over time

Max drawdown
-48.82%
Longest time under water
900 days
Worst drawdown recovered in
900 days
Under water at the end
589 days

Costs and mechanics

Fees paid
−$274.92
Funding
−$279.94
Liquidations
0
Warmup bars(loaded before the start date)
92
Benchmark(buy and hold)
+64.72%

Monte Carlo

1,000 alternative histories, each 131 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-64.46%-17.85%+151.59%
Max drawdown-68.81%-46.96%-23.76%

63% of histories lost money, and 46% had a deeper drawdown than this run’s -48.82%. 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

XRPUSDT with every trade

Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss

Trades

131 trades

#SideEntryExitHeldP&LReturnClosed by
131long2026-08-21 00:00 @ 1.272026-09-01 00:00 @ 1.3811d$184.06+8.58%end of data
130short2026-08-11 00:00 @ 1.012026-08-20 12:00 @ 1.199d 12h−$398.98-17.77%signal
129short2026-07-26 12:00 @ 1.102026-08-10 12:00 @ 1.0315d$133.29+6.03%signal
128short2026-07-23 00:00 @ 1.142026-07-26 00:00 @ 1.103d$81.96+3.74%signal
127long2026-07-21 12:00 @ 1.142026-07-22 12:00 @ 1.141d$1.06+0.05%signal
126short2026-05-27 12:00 @ 1.332026-07-21 00:00 @ 1.1154d 12h$337.05+16.00%signal
125long2026-05-26 12:00 @ 1.352026-05-27 00:00 @ 1.3312h−$39.32-1.86%signal
124long2026-05-24 12:00 @ 1.362026-05-26 00:00 @ 1.351d 12h−$26.81-1.26%signal
123short2026-05-23 12:00 @ 1.322026-05-24 00:00 @ 1.3612h−$57.61-2.70%signal
122long2026-05-10 12:00 @ 1.422026-05-23 00:00 @ 1.3312d 12h−$138.26-6.37%signal
121short2026-05-09 12:00 @ 1.422026-05-10 00:00 @ 1.4212h−$0.58-0.03%signal
120short2026-05-08 00:00 @ 1.392026-05-09 00:00 @ 1.421d−$53.25-2.44%signal
119long2026-05-06 12:00 @ 1.452026-05-07 12:00 @ 1.411d−$66.07-3.00%signal
118short2026-04-29 00:00 @ 1.382026-05-06 00:00 @ 1.417d−$54.02-2.44%signal
117long2026-04-28 00:00 @ 1.402026-04-28 12:00 @ 1.3812h−$33.57-1.51%signal
116long2026-04-21 00:00 @ 1.422026-04-27 12:00 @ 1.416d 12h−$20.29-0.91%signal
115short2026-04-20 00:00 @ 1.392026-04-20 12:00 @ 1.4112h−$36.82-1.65%signal
114long2026-04-16 12:00 @ 1.412026-04-19 12:00 @ 1.433d$28.20+1.26%signal
113short2026-04-15 12:00 @ 1.362026-04-16 00:00 @ 1.3912h−$50.44-2.25%signal
112long2026-04-14 12:00 @ 1.372026-04-15 00:00 @ 1.3612h−$15.84-0.70%signal
111short2026-04-12 00:00 @ 1.352026-04-14 00:00 @ 1.382d−$38.81-1.72%signal
110long2026-04-11 00:00 @ 1.362026-04-11 12:00 @ 1.3412h−$20.32-0.90%signal
109short2026-03-25 12:00 @ 1.432026-04-10 12:00 @ 1.3416d$129.97+5.83%signal
108long2026-03-24 12:00 @ 1.422026-03-25 00:00 @ 1.4112h−$14.36-0.64%signal
107long2026-03-23 00:00 @ 1.382026-03-24 00:00 @ 1.431d$72.75+3.28%signal
106short2026-01-17 12:00 @ 2.062026-03-22 12:00 @ 1.3964d$654.85+31.92%signal
105long2026-01-16 00:00 @ 2.082026-01-17 00:00 @ 2.071d−$13.02-0.63%signal
104short2026-01-09 12:00 @ 2.102026-01-15 12:00 @ 2.116d−$11.43-0.56%signal
103long2026-01-05 12:00 @ 2.132026-01-09 00:00 @ 2.123d 12h−$14.19-0.69%signal
102short2025-10-07 12:00 @ 2.972026-01-05 00:00 @ 2.0989d 12h$568.90+29.65%signal
101long2025-10-04 00:00 @ 3.042025-10-07 00:00 @ 2.993d−$36.98-1.92%signal
100short2025-10-03 00:00 @ 3.042025-10-03 12:00 @ 3.0412h−$1.68-0.09%signal
99short2025-09-21 12:00 @ 2.972025-10-02 12:00 @ 2.9711d$3.74+0.19%signal
98long2025-09-20 00:00 @ 2.992025-09-21 00:00 @ 2.971d−$12.40-0.64%signal
97long2025-09-15 00:00 @ 3.032025-09-19 12:00 @ 3.034d 12h−$2.76-0.14%signal
96long2025-09-14 00:00 @ 3.122025-09-14 12:00 @ 3.0612h−$40.68-2.09%signal
95short2025-08-30 00:00 @ 2.822025-09-13 12:00 @ 3.1714d 12h−$248.27-12.39%signal
94long2025-07-10 00:00 @ 2.402025-08-29 12:00 @ 2.8750d 12h$344.43+17.96%signal
93short2025-06-21 12:00 @ 2.142025-07-09 12:00 @ 2.3818d−$223.09-11.30%signal
92long2025-06-19 12:00 @ 2.152025-06-21 00:00 @ 2.121d 12h−$32.90-1.66%signal
91short2025-06-18 12:00 @ 2.142025-06-19 00:00 @ 2.1712h−$29.81-1.50%signal
90long2025-06-17 00:00 @ 2.242025-06-18 00:00 @ 2.161d−$74.25-3.70%signal
89short2025-06-13 00:00 @ 2.192025-06-16 12:00 @ 2.243d 12h−$53.55-2.65%signal
88long2025-06-09 00:00 @ 2.272025-06-12 12:00 @ 2.223d 12h−$41.33-2.03%signal
87short2025-06-07 12:00 @ 2.182025-06-08 12:00 @ 2.241d−$57.85-2.83%signal
86long2025-05-11 12:00 @ 2.392025-06-07 00:00 @ 2.1626d 12h−$209.65-9.99%signal
85short2025-04-29 00:00 @ 2.292025-05-11 00:00 @ 2.4712d−$164.90-7.71%signal
84short2025-04-27 00:00 @ 2.192025-04-28 12:00 @ 2.321d 12h−$130.08-5.99%signal
83long2025-04-25 00:00 @ 2.202025-04-26 12:00 @ 2.191d 12h−$14.66-0.67%signal
82long2025-04-24 00:00 @ 2.222025-04-24 12:00 @ 2.1512h−$65.82-3.00%signal
81short2025-04-15 00:00 @ 2.132025-04-23 12:00 @ 2.268d 12h−$142.32-6.39%signal
80short2025-03-27 12:00 @ 2.342025-04-14 12:00 @ 2.1618d$166.42+7.61%signal
79long2025-03-24 12:00 @ 2.462025-03-27 00:00 @ 2.352d 12h−$103.41-4.67%signal
78short2025-03-21 00:00 @ 2.432025-03-24 00:00 @ 2.443d−$6.51-0.29%signal
77short2025-02-25 12:00 @ 2.192025-03-20 12:00 @ 2.4923d−$326.07-14.21%signal
76long2024-11-12 00:00 @ 0.622025-02-25 00:00 @ 2.28105d$3,583.93+256.15%signal
75short2024-10-24 00:00 @ 0.532024-11-11 12:00 @ 0.5918d 12h−$163.83-11.38%signal
74long2024-10-21 12:00 @ 0.552024-10-23 12:00 @ 0.532d−$75.24-5.16%signal
73short2024-10-17 12:00 @ 0.552024-10-21 00:00 @ 0.553d 12h$9.95+0.68%signal
72short2024-10-03 12:00 @ 0.522024-10-17 00:00 @ 0.5513d 12h−$85.66-5.80%signal
71long2024-09-25 12:00 @ 0.592024-10-03 00:00 @ 0.547d 12h−$139.32-9.21%signal
70short2024-09-24 12:00 @ 0.592024-09-25 00:00 @ 0.5912h−$9.74-0.64%signal
69short2024-09-22 12:00 @ 0.592024-09-24 00:00 @ 0.581d 12h$19.22+1.27%signal
68long2024-09-17 12:00 @ 0.582024-09-22 00:00 @ 0.604d 12h$30.26+2.01%signal
67short2024-09-03 00:00 @ 0.572024-09-17 00:00 @ 0.5914d−$50.27-3.32%signal
66short2024-08-31 12:00 @ 0.572024-09-02 12:00 @ 0.552d$35.81+2.38%signal
65long2024-08-07 00:00 @ 0.512024-08-31 00:00 @ 0.5724d$170.48+11.65%signal
64short2024-08-06 00:00 @ 0.492024-08-06 12:00 @ 0.5012h−$45.33-3.07%signal
63long2024-07-14 12:00 @ 0.532024-08-05 12:00 @ 0.4522d−$231.96-15.13%signal
62short2024-06-06 12:00 @ 0.532024-07-14 00:00 @ 0.5337d 12h$13.88+0.91%signal
61short2024-06-05 12:00 @ 0.532024-06-06 00:00 @ 0.5312h$6.23+0.41%signal
60long2024-05-29 12:00 @ 0.532024-06-05 00:00 @ 0.536d 12h−$17.16-1.12%signal
59short2024-04-13 12:00 @ 0.542024-05-29 00:00 @ 0.5345d 12h$48.65+3.20%signal
58long2024-02-29 12:00 @ 0.602024-04-13 00:00 @ 0.5543d 12h−$211.54-13.45%signal
57long2024-02-28 12:00 @ 0.582024-02-29 00:00 @ 0.5812h−$17.94-1.14%signal
56short2024-02-21 00:00 @ 0.562024-02-28 00:00 @ 0.597d−$61.30-3.85%signal
55short2024-01-12 00:00 @ 0.602024-02-20 12:00 @ 0.5739d 12h$98.01+6.25%signal
54short2024-01-04 12:00 @ 0.582024-01-11 12:00 @ 0.617d−$96.17-6.04%signal
53long2024-01-01 12:00 @ 0.622024-01-04 00:00 @ 0.582d 12h−$108.65-6.71%signal
52short2023-12-20 00:00 @ 0.602024-01-01 00:00 @ 0.6212d−$8.50-0.52%signal
51long2023-12-19 00:00 @ 0.612023-12-19 12:00 @ 0.6112h−$13.73-0.84%signal
50long2023-10-20 12:00 @ 0.522023-12-18 12:00 @ 0.5959d$177.06+11.20%signal
49short2023-10-08 12:00 @ 0.522023-10-20 00:00 @ 0.5211d 12h−$2.41-0.15%signal
48long2023-10-07 00:00 @ 0.532023-10-08 00:00 @ 0.521d−$13.85-0.87%signal
47short2023-10-05 00:00 @ 0.532023-10-06 12:00 @ 0.521d 12h$33.39+2.12%signal
46long2023-10-02 12:00 @ 0.522023-10-04 12:00 @ 0.532d$33.63+2.14%signal
45short2023-08-28 12:00 @ 0.522023-10-02 00:00 @ 0.5234d 12h−$18.85-1.20%signal
44long2023-07-14 12:00 @ 0.802023-08-28 00:00 @ 0.5244d 12h−$610.54-35.38%signal
43short2023-07-13 12:00 @ 0.472023-07-14 00:00 @ 0.8212h−$1,528.78-72.53%signal
42long2023-06-04 00:00 @ 0.522023-07-13 00:00 @ 0.4739d−$208.79-9.67%signal
41short2023-05-31 12:00 @ 0.512023-06-03 12:00 @ 0.523d−$50.57-2.33%signal
40short2023-05-10 00:00 @ 0.432023-05-31 00:00 @ 0.5221d−$488.93-21.31%signal
39long2023-05-06 12:00 @ 0.462023-05-09 12:00 @ 0.423d−$192.48-8.22%signal
38long2023-03-22 12:00 @ 0.442023-05-06 00:00 @ 0.4744d 12h$112.21+4.85%signal
37short2023-02-28 00:00 @ 0.382023-03-22 00:00 @ 0.4722d−$585.75-23.80%signal
36long2023-01-20 12:00 @ 0.392023-02-27 12:00 @ 0.3738d−$138.07-5.53%signal
35short2022-12-30 00:00 @ 0.342023-01-20 00:00 @ 0.3921d−$380.07-14.67%signal
34long2022-12-28 12:00 @ 0.362022-12-29 12:00 @ 0.341d−$112.06-4.28%signal
33short2022-12-25 12:00 @ 0.352022-12-28 00:00 @ 0.372d 12h−$163.05-6.13%signal
32short2022-11-07 12:00 @ 0.472022-12-25 00:00 @ 0.3547d 12h$612.63+24.44%signal
31long2022-09-20 12:00 @ 0.382022-11-07 00:00 @ 0.4747d 12h$551.97+23.31%signal
30short2022-09-19 12:00 @ 0.352022-09-20 00:00 @ 0.3812h−$240.06-9.89%signal
29long2022-09-18 12:00 @ 0.382022-09-19 00:00 @ 0.3612h−$133.09-5.41%signal
28short2022-09-11 12:00 @ 0.352022-09-18 00:00 @ 0.386d 12h−$158.35-6.33%signal
27long2022-09-09 12:00 @ 0.352022-09-11 00:00 @ 0.361d 12h$43.26+1.74%signal
26short2022-08-29 12:00 @ 0.322022-09-09 00:00 @ 0.3410d 12h−$137.17-5.43%signal
25long2022-08-24 00:00 @ 0.352022-08-29 00:00 @ 0.325d−$185.61-7.22%signal
24long2022-08-23 00:00 @ 0.342022-08-23 12:00 @ 0.3412h−$24.95-0.97%signal
23long2022-08-11 12:00 @ 0.382022-08-22 12:00 @ 0.3411d−$314.82-11.85%signal
22short2022-08-10 12:00 @ 0.362022-08-11 00:00 @ 0.3812h−$127.95-4.76%signal
21long2022-07-28 12:00 @ 0.362022-08-10 00:00 @ 0.3712d 12h$68.37+2.56%signal
20short2022-04-22 12:00 @ 0.732022-07-28 00:00 @ 0.3696d 12h$1,192.19+50.24%signal
19long2022-04-20 12:00 @ 0.772022-04-22 00:00 @ 0.731d 12h−$125.27-5.21%signal
18short2022-04-19 12:00 @ 0.762022-04-20 00:00 @ 0.7712h−$37.94-1.57%signal
17short2022-04-18 12:00 @ 0.742022-04-19 00:00 @ 0.7712h−$103.37-4.24%signal
16long2022-04-15 00:00 @ 0.732022-04-18 00:00 @ 0.753d$81.61+3.37%signal
15long2022-04-13 12:00 @ 0.712022-04-14 12:00 @ 0.721d$57.26+2.38%signal
14short2022-04-07 00:00 @ 0.762022-04-13 00:00 @ 0.716d$137.92+5.82%signal
13long2022-04-05 00:00 @ 0.832022-04-06 12:00 @ 0.791d 12h−$94.01-3.93%signal
12long2022-03-31 12:00 @ 0.872022-04-04 12:00 @ 0.842d−$94.95-3.93%signal
11short2022-03-30 12:00 @ 0.872022-03-31 00:00 @ 0.8612h$13.30+0.55%signal
10long2022-03-29 12:00 @ 0.882022-03-30 00:00 @ 0.8612h−$68.16-2.80%signal
9long2022-03-10 00:00 @ 0.772022-03-29 00:00 @ 0.8619d$286.86+12.16%signal
8short2022-03-04 12:00 @ 0.742022-03-09 12:00 @ 0.755d−$33.36-1.41%signal
7long2022-03-03 12:00 @ 0.772022-03-04 00:00 @ 0.7512h−$49.22-2.07%signal
6short2022-02-22 12:00 @ 0.702022-03-03 00:00 @ 0.775d 12h−$241.40-9.89%signal
5long2022-02-21 12:00 @ 0.772022-02-22 00:00 @ 0.7012h−$224.06-8.97%signal
4long2022-02-20 12:00 @ 0.792022-02-21 00:00 @ 0.7812h−$48.16-1.92%signal
3short2022-02-16 12:00 @ 0.832022-02-20 00:00 @ 0.823d 12h$17.03+0.68%signal
2short2022-02-13 12:00 @ 0.842022-02-16 00:00 @ 0.852d 12h−$48.07-1.91%signal
1short2022-01-01 12:00 @ 0.842022-02-13 00:00 @ 0.8242d 12h$65.85+2.63%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.

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