[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirAVAXUSDT · 12h · 2022-01-01 → 2026-09-01 · 3,409 bars in 2.1ms
Net P&L
+21.80%
$2,180.36
Max drawdown
-39.91%
Max run-up
+96.35%
Trades
112
33.0% win rate
Profit factor
1.15
2022-01-01drawdown · worst -39.91%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | +30.96% | -39.91% | 62 | 40% |
| Validation | 2024-10-19 → 2025-09-25 | +2.69% | -16.10% | 16 | 38% |
| Out-of-sample | 2025-09-25 → 2026-09-01 | -9.42% | -13.29% | 34 | 18% |
Risk-adjusted
- Sharpe
- 0.30
- Sortino
- 0.44
- Calmar
- 0.11
- Return ÷ max drawdown
- 0.55
- CAGR
- +4.32%
- Exposure
- 96.7%
Per trade
- Expectancy
- $19.47 · +1.15%
- Average win / loss
- $442.44 / −$189.20
- Payoff ratio
- 2.34
- Largest win / loss
- $4,159.89 / −$1,646.54
- Longest losing streak(winning: 3)
- 13 trades
Drawdown over time
- Max drawdown
- -39.91%
- Longest time under water(still going at the end)
- 981 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$326.69
- Funding
- −$884.94
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 92
- Benchmark(buy and hold)
- -93.33%
Monte Carlo
1,000 alternative histories, each 112 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 | -41.53% | +15.93% | +168.96% |
| Max drawdown | -50.86% | -30.97% | -16.78% |
36% of histories lost money, and 23% had a deeper drawdown than this run’s -39.91%. 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
AVAXUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
112 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | long | 2022-01-01 12:00 @ 109.10 | 2022-01-04 00:00 @ 108.08 | 2d 12h | −$27.68 | -1.11% | signal |
| 2 | short | 2022-01-04 12:00 @ 107.46 | 2022-01-20 12:00 @ 85.02 | 16d | $527.00 | +21.14% | signal |
| 3 | short | 2022-01-21 00:00 @ 79.20 | 2022-03-08 00:00 @ 71.66 | 46d | $248.31 | +9.46% | signal |
| 4 | long | 2022-03-08 12:00 @ 72.50 | 2022-03-15 12:00 @ 67.24 | 7d | −$198.53 | -7.39% | signal |
| 5 | short | 2022-03-16 00:00 @ 69.78 | 2022-03-16 12:00 @ 70.98 | 12h | −$47.90 | -1.82% | signal |
| 6 | long | 2022-03-17 00:00 @ 74.06 | 2022-03-26 00:00 @ 83.47 | 9d | $326.02 | +12.42% | signal |
| 7 | short | 2022-03-26 12:00 @ 84.52 | 2022-03-28 12:00 @ 91.18 | 2d | −$214.25 | -7.92% | signal |
| 8 | long | 2022-03-29 00:00 @ 89.58 | 2022-04-12 00:00 @ 74.27 | 14d | −$463.49 | -17.47% | signal |
| 9 | short | 2022-04-12 12:00 @ 78.54 | 2022-04-14 00:00 @ 80.18 | 1d 12h | −$55.34 | -2.18% | signal |
| 10 | long | 2022-04-14 12:00 @ 79.23 | 2022-04-15 00:00 @ 76.78 | 12h | −$80.49 | -3.19% | signal |
| 11 | short | 2022-04-15 12:00 @ 78.03 | 2022-04-19 00:00 @ 77.72 | 3d 12h | $9.14 | +0.37% | signal |
| 12 | long | 2022-04-19 12:00 @ 78.15 | 2022-04-23 12:00 @ 73.86 | 4d | −$142.07 | -5.67% | signal |
| 13 | short | 2022-04-24 00:00 @ 72.78 | 2022-04-26 00:00 @ 72.86 | 2d | −$5.84 | -0.24% | signal |
| 14 | short | 2022-04-26 12:00 @ 71.38 | 2022-04-28 00:00 @ 69.82 | 1d 12h | $51.17 | +2.07% | signal |
| 15 | long | 2022-04-28 12:00 @ 70.12 | 2022-04-29 00:00 @ 67.20 | 12h | −$106.14 | -4.28% | signal |
| 16 | short | 2022-04-29 12:00 @ 65.71 | 2022-07-18 12:00 @ 23.60 | 80d | $1,545.60 | +62.96% | signal |
| 17 | long | 2022-07-19 00:00 @ 23.95 | 2022-07-21 00:00 @ 23.58 | 2d | −$49.58 | -1.74% | signal |
| 18 | short | 2022-07-21 12:00 @ 23.70 | 2022-07-22 12:00 @ 25.44 | 1d | −$209.75 | -7.41% | signal |
| 19 | short | 2022-07-23 00:00 @ 23.61 | 2022-07-27 00:00 @ 20.68 | 4d | $340.92 | +12.28% | signal |
| 20 | long | 2022-07-27 12:00 @ 20.79 | 2022-08-29 00:00 @ 18.51 | 32d 12h | −$316.73 | -11.07% | signal |
| 21 | short | 2022-08-29 12:00 @ 18.03 | 2022-08-30 12:00 @ 20.16 | 1d | −$336.29 | -12.09% | signal |
| 22 | short | 2022-08-31 00:00 @ 19.39 | 2022-10-31 00:00 @ 18.24 | 61d | $130.18 | +4.82% | signal |
| 23 | long | 2022-10-31 12:00 @ 19.35 | 2022-11-02 12:00 @ 17.84 | 2d | −$216.82 | -7.94% | signal |
| 24 | long | 2022-11-03 00:00 @ 17.91 | 2022-11-08 12:00 @ 16.54 | 5d 12h | −$203.25 | -7.59% | signal |
| 25 | short | 2022-11-09 00:00 @ 15.99 | 2023-01-05 12:00 @ 11.89 | 57d 12h | $618.28 | +23.54% | signal |
| 26 | short | 2023-01-06 00:00 @ 11.74 | 2023-01-12 00:00 @ 15.84 | 6d | −$970.13 | -34.89% | signal |
| 27 | long | 2023-01-12 12:00 @ 15.22 | 2023-03-03 12:00 @ 16.48 | 50d | $155.53 | +6.13% | signal |
| 28 | short | 2023-03-04 00:00 @ 16.65 | 2023-03-05 00:00 @ 16.14 | 1d | $78.15 | +3.03% | signal |
| 29 | long | 2023-03-05 12:00 @ 16.24 | 2023-03-06 00:00 @ 16.13 | 12h | −$19.02 | -0.73% | signal |
| 30 | long | 2023-03-06 12:00 @ 16.14 | 2023-03-07 00:00 @ 16.50 | 12h | $55.88 | +2.16% | signal |
| 31 | short | 2023-03-07 12:00 @ 16.18 | 2023-03-30 12:00 @ 17.38 | 23d | −$184.76 | -7.09% | signal |
| 32 | short | 2023-03-31 00:00 @ 17.22 | 2023-04-11 12:00 @ 18.41 | 11d 12h | −$171.12 | -6.69% | signal |
| 33 | long | 2023-04-12 00:00 @ 18.14 | 2023-04-12 12:00 @ 18.00 | 12h | −$21.77 | -0.87% | signal |
| 34 | short | 2023-04-13 00:00 @ 18.25 | 2023-04-13 12:00 @ 18.69 | 12h | −$61.93 | -2.47% | signal |
| 35 | long | 2023-04-14 00:00 @ 18.84 | 2023-05-02 00:00 @ 16.63 | 18d | −$305.85 | -12.25% | signal |
| 36 | short | 2023-05-02 12:00 @ 16.63 | 2023-05-05 00:00 @ 16.91 | 2d 12h | −$43.12 | -1.78% | signal |
| 37 | long | 2023-05-05 12:00 @ 17.05 | 2023-05-06 00:00 @ 17.36 | 12h | $41.98 | +1.74% | signal |
| 38 | short | 2023-05-06 12:00 @ 16.95 | 2023-07-14 12:00 @ 15.45 | 69d | $222.33 | +9.19% | signal |
| 39 | long | 2023-07-15 00:00 @ 14.64 | 2023-07-17 12:00 @ 14.14 | 2d 12h | −$90.00 | -3.64% | signal |
| 40 | short | 2023-07-18 00:00 @ 14.39 | 2023-07-25 12:00 @ 13.27 | 7d 12h | $193.17 | +7.88% | signal |
| 41 | long | 2023-07-26 00:00 @ 13.33 | 2023-08-06 00:00 @ 12.44 | 11d | −$172.71 | -6.91% | signal |
| 42 | short | 2023-08-06 12:00 @ 12.60 | 2023-08-13 00:00 @ 12.39 | 6d 12h | $42.15 | +1.72% | signal |
| 43 | short | 2023-08-13 12:00 @ 12.35 | 2023-10-06 12:00 @ 10.63 | 54d | $329.94 | +13.37% | signal |
| 44 | long | 2023-10-07 00:00 @ 10.65 | 2023-10-08 12:00 @ 10.03 | 1d 12h | −$151.12 | -5.93% | signal |
| 45 | short | 2023-10-09 00:00 @ 10.08 | 2023-10-23 12:00 @ 10.02 | 14d 12h | $16.40 | +0.65% | signal |
| 46 | long | 2023-10-24 00:00 @ 10.59 | 2024-01-23 00:00 @ 29.53 | 91d | $4,159.89 | +165.30% | signal |
| 47 | short | 2024-01-23 12:00 @ 27.91 | 2024-02-13 00:00 @ 41.01 | 20d 12h | −$1,646.54 | -46.30% | signal |
| 48 | long | 2024-02-13 12:00 @ 41.06 | 2024-02-16 00:00 @ 41.57 | 2d 12h | $30.40 | +0.97% | signal |
| 49 | short | 2024-02-16 12:00 @ 41.00 | 2024-02-17 12:00 @ 39.74 | 1d | $94.77 | +3.01% | signal |
| 50 | long | 2024-02-18 00:00 @ 39.79 | 2024-02-25 00:00 @ 36.78 | 7d | −$255.99 | -8.06% | signal |
| 51 | short | 2024-02-25 12:00 @ 36.83 | 2024-02-27 00:00 @ 39.35 | 1d 12h | −$210.24 | -6.76% | signal |
| 52 | long | 2024-02-27 12:00 @ 39.60 | 2024-04-13 12:00 @ 38.45 | 46d | −$288.29 | -9.42% | signal |
| 53 | short | 2024-04-14 00:00 @ 33.88 | 2024-05-29 00:00 @ 37.05 | 45d | −$260.02 | -8.70% | signal |
| 54 | long | 2024-05-29 12:00 @ 36.98 | 2024-05-30 00:00 @ 36.20 | 12h | −$64.60 | -2.21% | signal |
| 55 | short | 2024-05-30 12:00 @ 36.58 | 2024-05-31 00:00 @ 36.00 | 12h | $43.39 | +1.49% | signal |
| 56 | long | 2024-05-31 12:00 @ 36.34 | 2024-06-04 12:00 @ 34.89 | 4d | −$124.03 | -4.25% | signal |
| 57 | short | 2024-06-05 00:00 @ 36.09 | 2024-08-23 00:00 @ 25.20 | 79d | $869.99 | +30.14% | signal |
| 58 | long | 2024-08-23 12:00 @ 26.07 | 2024-08-27 00:00 @ 25.92 | 3d 12h | −$20.39 | -0.66% | signal |
| 59 | short | 2024-08-27 12:00 @ 25.74 | 2024-09-18 00:00 @ 23.77 | 21d 12h | $226.10 | +7.30% | signal |
| 60 | long | 2024-09-18 12:00 @ 23.24 | 2024-10-08 12:00 @ 26.69 | 20d | $463.56 | +14.69% | signal |
| 61 | short | 2024-10-09 00:00 @ 26.33 | 2024-10-11 12:00 @ 26.42 | 2d 12h | −$15.20 | -0.46% | signal |
| 62 | long | 2024-10-12 00:00 @ 27.46 | 2024-11-03 00:00 @ 24.10 | 22d | −$403.68 | -12.36% | signal |
| 63 | short | 2024-11-03 12:00 @ 23.21 | 2024-11-08 00:00 @ 27.40 | 4d 12h | −$575.20 | -18.17% | signal |
| 64 | long | 2024-11-08 12:00 @ 28.15 | 2025-01-01 12:00 @ 35.50 | 54d | $679.32 | +22.47% | signal |
| 65 | long | 2025-01-02 00:00 @ 37.78 | 2025-01-08 00:00 @ 39.18 | 6d | $108.89 | +3.41% | signal |
| 66 | short | 2025-01-08 12:00 @ 38.13 | 2025-04-22 12:00 @ 20.39 | 104d | $1,494.19 | +46.41% | signal |
| 67 | long | 2025-04-23 00:00 @ 22.11 | 2025-05-06 12:00 @ 19.41 | 13d 12h | −$441.27 | -12.28% | signal |
| 68 | long | 2025-05-07 00:00 @ 20.01 | 2025-05-08 00:00 @ 19.53 | 1d | −$86.14 | -2.47% | signal |
| 69 | short | 2025-05-08 12:00 @ 20.92 | 2025-05-09 00:00 @ 22.15 | 12h | −$207.48 | -5.99% | signal |
| 70 | long | 2025-05-09 12:00 @ 23.53 | 2025-06-05 12:00 @ 20.16 | 27d | −$498.83 | -14.63% | signal |
| 71 | short | 2025-06-06 00:00 @ 18.73 | 2025-06-10 12:00 @ 22.22 | 4d 12h | −$616.07 | -18.76% | signal |
| 72 | long | 2025-06-11 00:00 @ 22.57 | 2025-06-11 12:00 @ 21.99 | 12h | −$84.28 | -2.69% | signal |
| 73 | short | 2025-06-12 00:00 @ 21.56 | 2025-07-15 00:00 @ 21.26 | 33d | $46.82 | +1.51% | signal |
| 74 | long | 2025-07-15 12:00 @ 21.11 | 2025-09-01 00:00 @ 23.38 | 47d 12h | $295.29 | +9.46% | signal |
| 75 | short | 2025-09-01 12:00 @ 23.76 | 2025-09-02 12:00 @ 24.00 | 1d | −$36.09 | -1.13% | signal |
| 76 | short | 2025-09-03 00:00 @ 24.46 | 2025-09-04 00:00 @ 25.20 | 1d | −$98.63 | -3.10% | signal |
| 77 | short | 2025-09-04 12:00 @ 24.59 | 2025-09-07 00:00 @ 24.37 | 2d 12h | $25.82 | +0.82% | signal |
| 78 | long | 2025-09-07 12:00 @ 24.48 | 2025-10-11 00:00 @ 20.61 | 33d 12h | −$523.49 | -16.52% | signal |
| 79 | short | 2025-10-11 12:00 @ 22.65 | 2025-10-14 00:00 @ 23.80 | 2d 12h | −$164.93 | -5.43% | signal |
| 80 | short | 2025-10-14 12:00 @ 22.39 | 2026-01-05 00:00 @ 14.24 | 82d 12h | $1,059.03 | +35.35% | signal |
| 81 | long | 2026-01-05 12:00 @ 14.19 | 2026-01-09 00:00 @ 13.88 | 3d 12h | −$75.94 | -2.33% | signal |
| 82 | short | 2026-01-09 12:00 @ 13.76 | 2026-01-14 00:00 @ 14.76 | 4d 12h | −$237.43 | -7.32% | signal |
| 83 | long | 2026-01-14 12:00 @ 14.51 | 2026-01-17 00:00 @ 13.57 | 2d 12h | −$209.24 | -6.58% | signal |
| 84 | short | 2026-01-17 12:00 @ 13.64 | 2026-03-18 00:00 @ 10.19 | 59d 12h | $773.36 | +24.71% | signal |
| 85 | short | 2026-03-18 12:00 @ 9.97 | 2026-03-23 00:00 @ 9.02 | 4d 12h | $312.42 | +9.40% | signal |
| 86 | long | 2026-03-23 12:00 @ 9.38 | 2026-03-27 12:00 @ 8.75 | 4d | −$234.25 | -6.89% | signal |
| 87 | long | 2026-03-28 00:00 @ 8.79 | 2026-03-29 12:00 @ 8.72 | 1d 12h | −$27.75 | -0.83% | signal |
| 88 | short | 2026-03-30 00:00 @ 8.59 | 2026-03-30 12:00 @ 8.98 | 12h | −$155.12 | -4.65% | signal |
| 89 | short | 2026-03-31 00:00 @ 8.81 | 2026-04-05 00:00 @ 8.99 | 5d | −$71.09 | -2.16% | signal |
| 90 | long | 2026-04-05 12:00 @ 8.82 | 2026-04-07 00:00 @ 8.89 | 1d 12h | $23.71 | +0.72% | signal |
| 91 | short | 2026-04-07 12:00 @ 8.61 | 2026-04-08 00:00 @ 9.43 | 12h | −$319.42 | -9.72% | signal |
| 92 | long | 2026-04-08 12:00 @ 9.31 | 2026-04-12 00:00 @ 9.37 | 3d 12h | $15.90 | +0.50% | signal |
| 93 | short | 2026-04-12 12:00 @ 9.02 | 2026-04-13 12:00 @ 9.06 | 1d | −$15.75 | -0.49% | signal |
| 94 | long | 2026-04-14 00:00 @ 9.66 | 2026-04-19 00:00 @ 9.33 | 5d | −$116.20 | -3.62% | signal |
| 95 | short | 2026-04-19 12:00 @ 9.24 | 2026-04-21 00:00 @ 9.27 | 1d 12h | −$15.38 | -0.48% | signal |
| 96 | long | 2026-04-21 12:00 @ 9.44 | 2026-04-24 12:00 @ 9.43 | 3d | −$5.61 | -0.18% | signal |
| 97 | short | 2026-04-25 00:00 @ 9.39 | 2026-05-06 00:00 @ 9.40 | 11d | −$4.72 | -0.15% | signal |
| 98 | long | 2026-05-06 12:00 @ 9.75 | 2026-05-08 00:00 @ 9.50 | 1d 12h | −$85.10 | -2.68% | signal |
| 99 | long | 2026-05-08 12:00 @ 9.59 | 2026-05-21 12:00 @ 9.29 | 13d | −$103.94 | -3.30% | signal |
| 100 | long | 2026-05-22 00:00 @ 9.45 | 2026-05-23 00:00 @ 9.15 | 1d | −$104.12 | -3.33% | signal |
| 101 | short | 2026-05-23 12:00 @ 8.89 | 2026-05-24 00:00 @ 9.39 | 12h | −$176.45 | -5.70% | signal |
| 102 | long | 2026-05-24 12:00 @ 9.35 | 2026-05-25 00:00 @ 9.21 | 12h | −$50.14 | -1.64% | signal |
| 103 | long | 2026-05-25 12:00 @ 9.37 | 2026-05-26 00:00 @ 9.30 | 12h | −$26.87 | -0.88% | signal |
| 104 | long | 2026-05-26 12:00 @ 9.38 | 2026-05-27 00:00 @ 9.13 | 12h | −$82.00 | -2.70% | signal |
| 105 | long | 2026-05-27 12:00 @ 9.15 | 2026-05-28 12:00 @ 8.81 | 1d | −$114.19 | -3.79% | signal |
| 106 | short | 2026-05-29 00:00 @ 8.92 | 2026-07-26 00:00 @ 6.78 | 58d | $715.08 | +23.96% | signal |
| 107 | long | 2026-07-26 12:00 @ 6.70 | 2026-07-28 00:00 @ 6.40 | 1d 12h | −$145.08 | -4.59% | signal |
| 108 | short | 2026-07-28 12:00 @ 6.45 | 2026-08-03 00:00 @ 6.55 | 5d 12h | −$49.71 | -1.59% | signal |
| 109 | long | 2026-08-03 12:00 @ 6.44 | 2026-08-08 00:00 @ 6.43 | 4d 12h | −$10.91 | -0.35% | signal |
| 110 | long | 2026-08-08 12:00 @ 6.55 | 2026-08-11 00:00 @ 6.43 | 2d 12h | −$61.82 | -1.99% | signal |
| 111 | short | 2026-08-11 12:00 @ 6.50 | 2026-08-20 12:00 @ 6.89 | 9d | −$187.43 | -6.05% | signal |
| 112 | long | 2026-08-21 00:00 @ 7.29 | 2026-09-01 00:00 @ 7.28 | 11d | −$17.01 | -0.56% | 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.