[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirADAUSDT · 12h · 2022-01-01 → 2026-09-01 · 3,409 bars in 2.9ms
Net P&L
+9.30%
$929.67
Max drawdown
-29.52%
Max run-up
+82.69%
Trades
120
30.0% win rate
Profit factor
1.08
2022-01-01drawdown · worst -29.52%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | -12.71% | -29.52% | 71 | 28% |
| Validation | 2024-10-19 → 2025-09-25 | +12.57% | -27.81% | 26 | 38% |
| Out-of-sample | 2025-09-25 → 2026-09-01 | +11.23% | -7.51% | 23 | 26% |
Risk-adjusted
- Sharpe
- 0.20
- Sortino
- 0.29
- Calmar
- 0.07
- Return ÷ max drawdown
- 0.31
- CAGR
- +1.92%
- Exposure
- 96.5%
Per trade
- Expectancy
- $7.75 · +0.74%
- Average win / loss
- $351.32 / −$139.50
- Payoff ratio
- 2.52
- Largest win / loss
- $3,381.50 / −$625.13
- Longest losing streak(winning: 3)
- 11 trades
Drawdown over time
- Max drawdown
- -29.52%
- Longest time under water
- 702 days
- Worst drawdown recovered in
- 702 days
- Under water at the end
- 637 days
Costs and mechanics
- Fees paid
- −$276.59
- Funding
- −$444.75
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 92
- Benchmark(buy and hold)
- -84.87%
Monte Carlo
1,000 alternative histories, each 120 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 | -49.16% | +5.26% | +153.56% |
| Max drawdown | -55.16% | -34.10% | -19.63% |
45% of histories lost money, and 65% had a deeper drawdown than this run’s -29.52%. 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
ADAUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
120 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 120 | long | 2026-08-21 00:00 @ 0.20 | 2026-09-01 00:00 @ 0.20 | 11d | −$1.19 | -0.04% | end of data |
| 119 | short | 2026-08-18 12:00 @ 0.17 | 2026-08-20 12:00 @ 0.19 | 2d | −$316.08 | -11.24% | signal |
| 118 | long | 2026-08-02 00:00 @ 0.17 | 2026-08-18 00:00 @ 0.17 | 16d | −$16.80 | -0.60% | signal |
| 117 | short | 2026-07-27 00:00 @ 0.17 | 2026-08-01 12:00 @ 0.17 | 5d 12h | −$128.38 | -4.51% | signal |
| 116 | long | 2026-07-26 00:00 @ 0.16 | 2026-07-26 12:00 @ 0.16 | 12h | −$0.50 | -0.02% | signal |
| 115 | short | 2026-07-24 12:00 @ 0.17 | 2026-07-25 12:00 @ 0.16 | 1d | $58.30 | +2.06% | signal |
| 114 | long | 2026-07-21 00:00 @ 0.17 | 2026-07-24 00:00 @ 0.17 | 3d | −$26.76 | -0.94% | signal |
| 113 | short | 2026-05-28 12:00 @ 0.23 | 2026-07-20 12:00 @ 0.17 | 53d | $738.34 | +27.80% | signal |
| 112 | short | 2026-05-23 12:00 @ 0.24 | 2026-05-28 00:00 @ 0.24 | 4d 12h | $9.68 | +0.36% | signal |
| 111 | long | 2026-05-22 12:00 @ 0.25 | 2026-05-23 00:00 @ 0.24 | 12h | −$111.93 | -4.17% | signal |
| 110 | short | 2026-05-21 12:00 @ 0.25 | 2026-05-22 00:00 @ 0.25 | 12h | −$49.92 | -1.85% | signal |
| 109 | long | 2026-05-06 12:00 @ 0.27 | 2026-05-21 00:00 @ 0.25 | 14d 12h | −$235.93 | -8.57% | signal |
| 108 | short | 2026-04-23 00:00 @ 0.25 | 2026-05-06 00:00 @ 0.26 | 13d | −$154.00 | -5.52% | signal |
| 107 | short | 2026-03-26 12:00 @ 0.26 | 2026-04-22 12:00 @ 0.26 | 27d | $14.60 | +0.52% | signal |
| 106 | short | 2026-03-23 12:00 @ 0.26 | 2026-03-26 00:00 @ 0.27 | 2d 12h | −$129.44 | -4.59% | signal |
| 105 | short | 2026-01-17 00:00 @ 0.40 | 2026-03-23 00:00 @ 0.25 | 65d | $939.87 | +36.36% | signal |
| 104 | long | 2026-01-15 12:00 @ 0.40 | 2026-01-16 12:00 @ 0.39 | 1d | −$80.85 | -3.10% | signal |
| 103 | short | 2026-01-14 12:00 @ 0.41 | 2026-01-15 00:00 @ 0.41 | 12h | −$3.39 | -0.13% | signal |
| 102 | short | 2026-01-08 12:00 @ 0.39 | 2026-01-14 00:00 @ 0.42 | 5d 12h | −$216.61 | -8.14% | signal |
| 101 | long | 2026-01-06 00:00 @ 0.42 | 2026-01-08 00:00 @ 0.40 | 2d | −$124.68 | -4.63% | signal |
| 100 | short | 2025-10-07 00:00 @ 0.87 | 2026-01-05 12:00 @ 0.40 | 90d 12h | $1,291.69 | +54.54% | signal |
| 99 | short | 2025-10-04 12:00 @ 0.84 | 2025-10-06 12:00 @ 0.85 | 2d | −$24.40 | -1.03% | signal |
| 98 | short | 2025-09-26 00:00 @ 0.76 | 2025-10-04 00:00 @ 0.87 | 8d | −$326.21 | -13.28% | signal |
| 97 | long | 2025-09-07 12:00 @ 0.83 | 2025-09-25 12:00 @ 0.78 | 18d | −$168.00 | -6.73% | signal |
| 96 | short | 2025-09-03 12:00 @ 0.83 | 2025-09-07 00:00 @ 0.82 | 3d 12h | $41.03 | +1.65% | signal |
| 95 | short | 2025-09-01 12:00 @ 0.82 | 2025-09-03 00:00 @ 0.84 | 1d 12h | −$48.62 | -1.94% | signal |
| 94 | long | 2025-07-14 12:00 @ 0.75 | 2025-09-01 00:00 @ 0.81 | 48d 12h | $176.60 | +7.19% | signal |
| 93 | short | 2025-06-12 12:00 @ 0.68 | 2025-07-14 00:00 @ 0.74 | 31d 12h | −$215.63 | -8.59% | signal |
| 92 | long | 2025-06-11 12:00 @ 0.71 | 2025-06-12 00:00 @ 0.70 | 12h | −$64.16 | -2.54% | signal |
| 91 | short | 2025-06-07 12:00 @ 0.67 | 2025-06-11 00:00 @ 0.72 | 3d 12h | −$189.83 | -7.38% | signal |
| 90 | long | 2025-05-09 12:00 @ 0.79 | 2025-06-07 00:00 @ 0.65 | 28d 12h | −$482.29 | -17.90% | signal |
| 89 | short | 2025-05-03 00:00 @ 0.70 | 2025-05-09 00:00 @ 0.77 | 6d | −$287.98 | -10.41% | signal |
| 88 | short | 2025-04-29 12:00 @ 0.71 | 2025-05-02 12:00 @ 0.71 | 3d | $28.62 | +1.04% | signal |
| 87 | long | 2025-04-28 12:00 @ 0.72 | 2025-04-29 00:00 @ 0.71 | 12h | −$68.51 | -2.47% | signal |
| 86 | short | 2025-04-25 12:00 @ 0.72 | 2025-04-28 00:00 @ 0.70 | 2d 12h | $64.40 | +2.33% | signal |
| 85 | short | 2025-04-16 12:00 @ 0.61 | 2025-04-25 00:00 @ 0.72 | 8d 12h | −$551.52 | -19.03% | signal |
| 84 | long | 2025-04-15 00:00 @ 0.63 | 2025-04-16 00:00 @ 0.61 | 1d | −$124.77 | -4.26% | signal |
| 83 | short | 2025-04-13 12:00 @ 0.65 | 2025-04-14 12:00 @ 0.65 | 1d | $4.61 | +0.16% | signal |
| 82 | short | 2025-03-29 00:00 @ 0.71 | 2025-04-13 00:00 @ 0.66 | 15d | $183.98 | +6.38% | signal |
| 81 | long | 2025-03-25 12:00 @ 0.76 | 2025-03-28 12:00 @ 0.70 | 3d | −$211.75 | -7.22% | signal |
| 80 | short | 2025-03-24 12:00 @ 0.73 | 2025-03-25 00:00 @ 0.73 | 12h | −$5.02 | -0.17% | signal |
| 79 | short | 2025-03-21 00:00 @ 0.72 | 2025-03-24 00:00 @ 0.71 | 3d | $22.59 | +0.77% | signal |
| 78 | short | 2025-03-03 12:00 @ 0.96 | 2025-03-20 12:00 @ 0.73 | 17d | $666.52 | +24.12% | signal |
| 77 | short | 2025-01-11 00:00 @ 0.93 | 2025-03-03 00:00 @ 1.13 | 51d | −$625.13 | -21.41% | signal |
| 76 | short | 2025-01-08 12:00 @ 0.98 | 2025-01-10 12:00 @ 0.95 | 2d | $82.01 | +2.83% | signal |
| 75 | long | 2024-11-07 00:00 @ 0.36 | 2025-01-08 00:00 @ 0.99 | 62d | $3,381.50 | +164.64% | signal |
| 74 | short | 2024-11-04 00:00 @ 0.33 | 2024-11-06 12:00 @ 0.36 | 2d 12h | −$155.32 | -7.42% | signal |
| 73 | long | 2024-10-30 12:00 @ 0.35 | 2024-11-03 12:00 @ 0.34 | 4d | −$106.53 | -5.03% | signal |
| 72 | short | 2024-10-26 00:00 @ 0.33 | 2024-10-30 00:00 @ 0.36 | 4d | −$205.66 | -9.47% | signal |
| 71 | long | 2024-10-15 00:00 @ 0.36 | 2024-10-25 12:00 @ 0.34 | 10d 12h | −$139.26 | -6.31% | signal |
| 70 | short | 2024-10-13 12:00 @ 0.35 | 2024-10-14 12:00 @ 0.36 | 1d | −$26.02 | -1.18% | signal |
| 69 | short | 2024-10-12 12:00 @ 0.35 | 2024-10-13 00:00 @ 0.35 | 12h | $7.11 | +0.32% | signal |
| 68 | short | 2024-10-06 12:00 @ 0.35 | 2024-10-12 00:00 @ 0.35 | 5d 12h | −$16.49 | -0.74% | signal |
| 67 | long | 2024-09-20 00:00 @ 0.35 | 2024-10-06 00:00 @ 0.35 | 16d | −$12.60 | -0.57% | signal |
| 66 | short | 2024-08-26 00:00 @ 0.38 | 2024-09-19 12:00 @ 0.35 | 24d 12h | $202.38 | +9.34% | signal |
| 65 | long | 2024-08-23 12:00 @ 0.38 | 2024-08-25 12:00 @ 0.38 | 2d | $8.06 | +0.37% | signal |
| 64 | short | 2024-08-22 12:00 @ 0.37 | 2024-08-23 00:00 @ 0.38 | 12h | −$18.66 | -0.86% | signal |
| 63 | short | 2024-08-03 00:00 @ 0.36 | 2024-08-22 00:00 @ 0.37 | 19d | −$32.08 | -1.47% | signal |
| 62 | short | 2024-06-03 12:00 @ 0.45 | 2024-08-02 12:00 @ 0.38 | 60d | $343.68 | +16.43% | signal |
| 61 | long | 2024-06-02 00:00 @ 0.45 | 2024-06-03 00:00 @ 0.45 | 1d | −$21.35 | -1.02% | signal |
| 60 | short | 2024-05-30 12:00 @ 0.45 | 2024-06-01 12:00 @ 0.45 | 2d | −$3.37 | -0.16% | signal |
| 59 | long | 2024-05-29 12:00 @ 0.46 | 2024-05-30 00:00 @ 0.45 | 12h | −$46.22 | -2.19% | signal |
| 58 | short | 2024-04-12 00:00 @ 0.59 | 2024-05-29 00:00 @ 0.46 | 47d | $450.42 | +22.56% | signal |
| 57 | short | 2024-04-10 12:00 @ 0.58 | 2024-04-11 12:00 @ 0.58 | 1d | −$15.87 | -0.79% | signal |
| 56 | long | 2024-04-08 12:00 @ 0.61 | 2024-04-10 00:00 @ 0.59 | 1d 12h | −$60.85 | -3.02% | signal |
| 55 | short | 2024-04-03 00:00 @ 0.58 | 2024-04-08 00:00 @ 0.59 | 5d | −$29.94 | -1.48% | signal |
| 54 | long | 2024-02-27 00:00 @ 0.62 | 2024-04-02 12:00 @ 0.59 | 35d 12h | −$220.52 | -10.61% | signal |
| 53 | long | 2024-02-26 00:00 @ 0.59 | 2024-02-26 12:00 @ 0.58 | 12h | −$46.70 | -2.23% | signal |
| 52 | long | 2024-02-18 12:00 @ 0.64 | 2024-02-25 12:00 @ 0.59 | 7d | −$164.05 | -7.70% | signal |
| 51 | short | 2024-01-23 00:00 @ 0.48 | 2024-02-18 00:00 @ 0.61 | 26d | −$605.61 | -26.53% | signal |
| 50 | long | 2023-10-22 00:00 @ 0.26 | 2024-01-22 12:00 @ 0.49 | 92d 12h | $1,568.79 | +82.98% | signal |
| 49 | short | 2023-10-08 00:00 @ 0.26 | 2023-10-21 12:00 @ 0.26 | 13d 12h | $14.39 | +0.76% | signal |
| 48 | long | 2023-10-07 00:00 @ 0.26 | 2023-10-07 12:00 @ 0.26 | 12h | −$52.55 | -2.77% | signal |
| 47 | short | 2023-10-03 12:00 @ 0.26 | 2023-10-06 12:00 @ 0.26 | 3d | −$20.63 | -1.08% | signal |
| 46 | long | 2023-10-02 12:00 @ 0.27 | 2023-10-03 00:00 @ 0.26 | 12h | −$58.68 | -3.06% | signal |
| 45 | short | 2023-08-16 12:00 @ 0.28 | 2023-10-02 00:00 @ 0.27 | 46d 12h | $78.46 | +4.13% | signal |
| 44 | long | 2023-08-15 00:00 @ 0.29 | 2023-08-16 00:00 @ 0.28 | 1d | −$83.60 | -4.35% | signal |
| 43 | long | 2023-08-09 12:00 @ 0.30 | 2023-08-14 12:00 @ 0.29 | 5d | −$57.82 | -2.99% | signal |
| 42 | short | 2023-08-08 12:00 @ 0.29 | 2023-08-09 00:00 @ 0.30 | 12h | −$28.37 | -1.46% | signal |
| 41 | long | 2023-07-25 12:00 @ 0.30 | 2023-08-08 00:00 @ 0.29 | 13d 12h | −$88.63 | -4.51% | signal |
| 40 | short | 2023-05-14 00:00 @ 0.36 | 2023-07-25 00:00 @ 0.31 | 72d | $315.71 | +16.74% | signal |
| 39 | long | 2023-04-10 00:00 @ 0.39 | 2023-05-13 12:00 @ 0.36 | 33d 12h | −$139.25 | -7.25% | signal |
| 38 | short | 2023-04-09 00:00 @ 0.38 | 2023-04-09 12:00 @ 0.39 | 12h | −$15.51 | -0.81% | signal |
| 37 | short | 2023-04-04 00:00 @ 0.39 | 2023-04-08 12:00 @ 0.39 | 4d 12h | −$7.50 | -0.39% | signal |
| 36 | short | 2023-04-02 12:00 @ 0.38 | 2023-04-03 12:00 @ 0.40 | 1d | −$67.84 | -3.49% | signal |
| 35 | long | 2023-03-30 00:00 @ 0.38 | 2023-04-02 00:00 @ 0.39 | 3d | $51.28 | +2.66% | signal |
| 34 | short | 2023-03-06 12:00 @ 0.33 | 2023-03-29 12:00 @ 0.39 | 23d | −$347.26 | -17.21% | signal |
| 33 | long | 2023-03-05 12:00 @ 0.34 | 2023-03-06 00:00 @ 0.34 | 12h | −$11.98 | -0.59% | signal |
| 32 | short | 2023-03-03 12:00 @ 0.34 | 2023-03-05 00:00 @ 0.34 | 1d 12h | $10.32 | +0.51% | signal |
| 31 | long | 2023-03-01 12:00 @ 0.36 | 2023-03-03 00:00 @ 0.35 | 1d 12h | −$74.55 | -3.66% | signal |
| 30 | long | 2023-01-12 00:00 @ 0.32 | 2023-03-01 00:00 @ 0.35 | 48d | $141.76 | +7.08% | signal |
| 29 | long | 2023-01-11 00:00 @ 0.32 | 2023-01-11 12:00 @ 0.31 | 12h | −$50.66 | -2.52% | signal |
| 28 | long | 2023-01-10 00:00 @ 0.32 | 2023-01-10 12:00 @ 0.32 | 12h | $3.76 | +0.19% | signal |
| 27 | short | 2022-09-12 12:00 @ 0.52 | 2023-01-09 12:00 @ 0.32 | 119d | $689.60 | +37.47% | signal |
| 26 | long | 2022-09-09 12:00 @ 0.50 | 2022-09-12 00:00 @ 0.51 | 2d 12h | $49.02 | +2.68% | signal |
| 25 | short | 2022-09-07 12:00 @ 0.46 | 2022-09-09 00:00 @ 0.48 | 1d 12h | −$72.22 | -3.91% | signal |
| 24 | long | 2022-09-06 00:00 @ 0.50 | 2022-09-07 00:00 @ 0.46 | 1d | −$138.94 | -7.39% | signal |
| 23 | long | 2022-09-05 00:00 @ 0.50 | 2022-09-05 12:00 @ 0.49 | 12h | −$66.56 | -3.51% | signal |
| 22 | short | 2022-09-01 12:00 @ 0.45 | 2022-09-04 12:00 @ 0.50 | 3d | −$253.58 | -12.93% | signal |
| 21 | long | 2022-08-31 12:00 @ 0.46 | 2022-09-01 00:00 @ 0.45 | 12h | −$48.19 | -2.44% | signal |
| 20 | long | 2022-08-30 12:00 @ 0.46 | 2022-08-31 00:00 @ 0.45 | 12h | −$21.64 | -1.09% | signal |
| 19 | short | 2022-08-29 12:00 @ 0.43 | 2022-08-30 00:00 @ 0.45 | 12h | −$77.75 | -3.89% | signal |
| 18 | long | 2022-08-26 00:00 @ 0.46 | 2022-08-29 00:00 @ 0.43 | 3d | −$154.78 | -7.60% | signal |
| 17 | short | 2022-08-21 12:00 @ 0.46 | 2022-08-25 12:00 @ 0.46 | 4d | −$17.98 | -0.88% | signal |
| 16 | long | 2022-08-20 12:00 @ 0.46 | 2022-08-21 00:00 @ 0.45 | 12h | −$40.88 | -1.99% | signal |
| 15 | long | 2022-08-11 00:00 @ 0.54 | 2022-08-20 00:00 @ 0.45 | 9d | −$355.34 | -16.60% | signal |
| 14 | long | 2022-08-05 00:00 @ 0.50 | 2022-08-10 12:00 @ 0.51 | 5d 12h | $52.46 | +2.47% | signal |
| 13 | long | 2022-07-31 12:00 @ 0.53 | 2022-08-04 12:00 @ 0.50 | 4d | −$132.77 | -6.15% | signal |
| 12 | long | 2022-07-28 12:00 @ 0.50 | 2022-07-31 00:00 @ 0.53 | 2d 12h | $96.97 | +4.54% | signal |
| 11 | short | 2022-06-28 00:00 @ 0.49 | 2022-07-28 00:00 @ 0.51 | 30d | −$121.78 | -5.62% | signal |
| 10 | long | 2022-06-27 00:00 @ 0.49 | 2022-06-27 12:00 @ 0.50 | 12h | $52.48 | +2.44% | signal |
| 9 | short | 2022-05-05 12:00 @ 0.86 | 2022-06-26 12:00 @ 0.52 | 52d | $755.44 | +38.46% | signal |
| 8 | short | 2022-05-01 00:00 @ 0.75 | 2022-05-05 00:00 @ 0.90 | 4d | −$396.22 | -19.20% | signal |
| 7 | long | 2022-04-17 12:00 @ 0.96 | 2022-04-30 12:00 @ 0.80 | 13d | −$343.61 | -15.99% | signal |
| 6 | short | 2022-04-15 12:00 @ 0.95 | 2022-04-17 00:00 @ 0.95 | 1d 12h | −$5.24 | -0.24% | signal |
| 5 | long | 2022-03-28 12:00 @ 1.19 | 2022-04-15 00:00 @ 0.93 | 17d 12h | −$509.37 | -22.36% | signal |
| 4 | short | 2022-01-21 12:00 @ 1.22 | 2022-03-28 00:00 @ 1.18 | 65d 12h | $51.25 | +2.26% | signal |
| 3 | long | 2022-01-20 12:00 @ 1.35 | 2022-01-21 00:00 @ 1.26 | 12h | −$158.89 | -6.89% | signal |
| 2 | long | 2022-01-18 12:00 @ 1.49 | 2022-01-20 00:00 @ 1.34 | 1d 12h | −$251.50 | -10.62% | signal |
| 1 | short | 2022-01-01 12:00 @ 1.32 | 2022-01-18 00:00 @ 1.60 | 16d 12h | −$528.61 | -21.14% | 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.