[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirTRXUSDT · 12h · 2022-01-01 → 2026-09-01 · 3,399 bars in 2.1ms
Underperformed the market. Holding TRXUSDT returned +333.69% over the same period, against this strategy’s -6.61%.
Net P&L
-6.61%
−$661.39
Max drawdown
-32.81%
Max run-up
+52.46%
Trades
116
33.6% win rate
Profit factor
0.89
2022-01-01drawdown · worst -32.81%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | -21.37% | -32.81% | 79 | 33% |
| Validation | 2024-10-19 → 2025-09-25 | +19.08% | -24.14% | 23 | 48% |
| Out-of-sample | 2025-09-25 → 2026-09-01 | -0.26% | -6.14% | 14 | 14% |
Risk-adjusted
- Sharpe
- 0.01
- Sortino
- 0.01
- Calmar
- -0.04
- Return ÷ max drawdown
- -0.20
- CAGR
- -1.46%
- Exposure
- 96.6%
Per trade
- Expectancy
- −$5.70 · -0.16%
- Average win / loss
- $133.12 / −$76.02
- Payoff ratio
- 1.75
- Largest win / loss
- $1,018.86 / −$442.51
- Longest losing streak(winning: 5)
- 13 trades
Drawdown over time
- Max drawdown
- -32.81%
- Longest time under water
- 940 days
- Worst drawdown recovered in
- 940 days
- Under water at the end
- 637 days
Costs and mechanics
- Fees paid
- −$249.35
- Funding
- −$382.26
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 92
- Benchmark(buy and hold)
- +333.69%
Monte Carlo
1,000 alternative histories, each 116 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 | -32.07% | -7.69% | +33.47% |
| Max drawdown | -37.49% | -21.74% | -11.69% |
65% of histories lost money, and 12% had a deeper drawdown than this run’s -32.81%. 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
TRXUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
116 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 116 | long | 2026-08-09 12:00 @ 0.33 | 2026-09-01 00:00 @ 0.33 | 22d 12h | −$16.51 | -0.71% | end of data |
| 115 | short | 2026-08-06 12:00 @ 0.33 | 2026-08-09 00:00 @ 0.33 | 2d 12h | −$16.69 | -0.71% | signal |
| 114 | long | 2026-07-24 00:00 @ 0.33 | 2026-08-06 00:00 @ 0.33 | 13d | −$10.76 | -0.46% | signal |
| 113 | long | 2026-07-21 00:00 @ 0.33 | 2026-07-23 12:00 @ 0.33 | 2d 12h | −$0.54 | -0.02% | signal |
| 112 | short | 2026-06-09 12:00 @ 0.32 | 2026-07-20 12:00 @ 0.33 | 41d | −$73.50 | -3.11% | signal |
| 111 | short | 2026-06-08 00:00 @ 0.33 | 2026-06-09 00:00 @ 0.33 | 1d | −$3.80 | -0.16% | signal |
| 110 | short | 2026-06-06 00:00 @ 0.32 | 2026-06-07 12:00 @ 0.33 | 1d 12h | −$79.33 | -3.33% | signal |
| 109 | long | 2026-06-05 00:00 @ 0.33 | 2026-06-05 12:00 @ 0.32 | 12h | −$49.64 | -2.07% | signal |
| 108 | long | 2026-03-15 00:00 @ 0.30 | 2026-06-04 12:00 @ 0.33 | 81d 12h | $250.47 | +10.73% | signal |
| 107 | short | 2026-02-05 12:00 @ 0.28 | 2026-03-14 12:00 @ 0.29 | 37d | −$158.81 | -6.69% | signal |
| 106 | long | 2026-01-04 00:00 @ 0.30 | 2026-02-05 00:00 @ 0.28 | 32d | −$84.04 | -3.51% | signal |
| 105 | short | 2025-12-23 12:00 @ 0.28 | 2026-01-03 12:00 @ 0.29 | 11d | −$39.50 | -1.64% | signal |
| 104 | long | 2025-12-22 12:00 @ 0.29 | 2025-12-23 00:00 @ 0.28 | 12h | −$14.05 | -0.58% | signal |
| 103 | short | 2025-10-22 12:00 @ 0.32 | 2025-12-22 00:00 @ 0.29 | 60d 12h | $218.57 | +9.28% | signal |
| 102 | short | 2025-09-25 00:00 @ 0.34 | 2025-10-22 00:00 @ 0.32 | 27d | $97.85 | +4.20% | signal |
| 101 | long | 2025-09-24 00:00 @ 0.34 | 2025-09-24 12:00 @ 0.34 | 12h | $6.50 | +0.28% | signal |
| 100 | long | 2025-06-27 12:00 @ 0.27 | 2025-09-23 12:00 @ 0.34 | 88d | $505.13 | +22.94% | signal |
| 99 | long | 2025-04-22 00:00 @ 0.25 | 2025-06-27 00:00 @ 0.27 | 66d | $197.93 | +9.20% | signal |
| 98 | long | 2025-04-20 12:00 @ 0.24 | 2025-04-21 12:00 @ 0.24 | 1d | −$20.55 | -0.95% | signal |
| 97 | short | 2025-04-19 12:00 @ 0.24 | 2025-04-20 00:00 @ 0.24 | 12h | −$16.28 | -0.75% | signal |
| 96 | long | 2025-04-12 00:00 @ 0.24 | 2025-04-19 00:00 @ 0.24 | 7d | −$32.05 | -1.48% | signal |
| 95 | short | 2025-04-05 00:00 @ 0.24 | 2025-04-11 12:00 @ 0.24 | 6d 12h | $16.53 | +0.76% | signal |
| 94 | short | 2025-04-03 00:00 @ 0.23 | 2025-04-04 12:00 @ 0.24 | 1d 12h | −$44.89 | -2.06% | signal |
| 93 | long | 2025-04-01 00:00 @ 0.24 | 2025-04-02 12:00 @ 0.24 | 1d 12h | −$9.92 | -0.46% | signal |
| 92 | short | 2025-03-25 12:00 @ 0.23 | 2025-03-31 12:00 @ 0.23 | 6d | −$62.83 | -2.86% | signal |
| 91 | long | 2025-03-24 12:00 @ 0.23 | 2025-03-25 00:00 @ 0.23 | 12h | −$9.76 | -0.44% | signal |
| 90 | long | 2025-03-20 12:00 @ 0.23 | 2025-03-24 00:00 @ 0.23 | 3d 12h | $9.48 | +0.43% | signal |
| 89 | short | 2025-03-08 12:00 @ 0.24 | 2025-03-20 00:00 @ 0.23 | 11d 12h | $99.42 | +4.58% | signal |
| 88 | long | 2025-03-07 00:00 @ 0.24 | 2025-03-08 00:00 @ 0.24 | 1d | $28.48 | +1.32% | signal |
| 87 | long | 2025-03-05 12:00 @ 0.24 | 2025-03-06 12:00 @ 0.24 | 1d | −$15.49 | -0.72% | signal |
| 86 | short | 2025-03-03 12:00 @ 0.24 | 2025-03-05 00:00 @ 0.24 | 1d 12h | $2.28 | +0.11% | signal |
| 85 | short | 2025-03-02 12:00 @ 0.23 | 2025-03-03 00:00 @ 0.24 | 12h | −$108.80 | -4.96% | signal |
| 84 | long | 2025-03-01 00:00 @ 0.23 | 2025-03-02 00:00 @ 0.23 | 1d | $2.94 | +0.13% | signal |
| 83 | long | 2025-02-28 00:00 @ 0.23 | 2025-02-28 12:00 @ 0.22 | 12h | −$45.90 | -2.08% | signal |
| 82 | short | 2025-02-25 12:00 @ 0.23 | 2025-02-27 12:00 @ 0.23 | 2d | $10.10 | +0.46% | signal |
| 81 | long | 2025-02-24 12:00 @ 0.25 | 2025-02-25 00:00 @ 0.24 | 12h | −$76.49 | -3.44% | signal |
| 80 | short | 2025-01-18 12:00 @ 0.24 | 2025-02-24 00:00 @ 0.25 | 36d 12h | −$32.69 | -1.47% | signal |
| 79 | long | 2024-10-15 00:00 @ 0.16 | 2025-01-18 00:00 @ 0.25 | 95d | $1,018.86 | +51.61% | signal |
| 78 | long | 2024-10-12 12:00 @ 0.16 | 2024-10-14 12:00 @ 0.16 | 2d | −$50.56 | -2.54% | signal |
| 77 | short | 2024-10-09 12:00 @ 0.16 | 2024-10-12 00:00 @ 0.16 | 2d 12h | $5.98 | +0.30% | signal |
| 76 | short | 2024-10-05 12:00 @ 0.15 | 2024-10-09 00:00 @ 0.16 | 3d 12h | −$83.21 | -4.15% | signal |
| 75 | long | 2024-07-02 00:00 @ 0.13 | 2024-10-05 00:00 @ 0.16 | 95d | $461.14 | +24.39% | signal |
| 74 | short | 2024-07-01 00:00 @ 0.12 | 2024-07-01 12:00 @ 0.13 | 12h | −$61.53 | -3.23% | signal |
| 73 | short | 2024-06-10 12:00 @ 0.12 | 2024-06-30 12:00 @ 0.13 | 20d | −$142.46 | -7.34% | signal |
| 72 | long | 2024-06-09 12:00 @ 0.12 | 2024-06-10 00:00 @ 0.12 | 12h | $7.09 | +0.37% | signal |
| 71 | short | 2024-06-08 12:00 @ 0.11 | 2024-06-09 00:00 @ 0.11 | 12h | −$37.56 | -1.93% | signal |
| 70 | long | 2024-05-31 12:00 @ 0.11 | 2024-06-08 00:00 @ 0.11 | 7d 12h | $3.35 | +0.17% | signal |
| 69 | short | 2024-05-30 12:00 @ 0.11 | 2024-05-31 00:00 @ 0.11 | 12h | −$12.88 | -0.66% | signal |
| 68 | long | 2024-05-29 12:00 @ 0.11 | 2024-05-30 00:00 @ 0.11 | 12h | −$1.01 | -0.05% | signal |
| 67 | short | 2024-05-23 12:00 @ 0.12 | 2024-05-29 00:00 @ 0.11 | 5d 12h | $104.30 | +5.42% | signal |
| 66 | long | 2024-05-07 12:00 @ 0.12 | 2024-05-23 00:00 @ 0.12 | 15d 12h | $0.08 | +0.00% | signal |
| 65 | short | 2024-05-06 00:00 @ 0.12 | 2024-05-07 00:00 @ 0.12 | 1d | $37.51 | +1.96% | signal |
| 64 | long | 2024-05-04 00:00 @ 0.12 | 2024-05-05 12:00 @ 0.12 | 1d 12h | −$26.47 | -1.38% | signal |
| 63 | short | 2024-03-23 00:00 @ 0.12 | 2024-05-03 12:00 @ 0.12 | 41d 12h | −$63.54 | -3.28% | signal |
| 62 | long | 2024-03-21 12:00 @ 0.12 | 2024-03-22 12:00 @ 0.12 | 1d | −$32.86 | -1.69% | signal |
| 61 | short | 2024-03-20 12:00 @ 0.12 | 2024-03-21 00:00 @ 0.12 | 12h | −$54.41 | -2.77% | signal |
| 60 | long | 2024-01-24 00:00 @ 0.11 | 2024-03-20 00:00 @ 0.11 | 56d | $38.95 | +2.00% | signal |
| 59 | long | 2024-01-12 00:00 @ 0.11 | 2024-01-23 12:00 @ 0.11 | 11d 12h | $8.00 | +0.41% | signal |
| 58 | short | 2024-01-09 12:00 @ 0.10 | 2024-01-11 12:00 @ 0.11 | 2d | −$70.08 | -3.56% | signal |
| 57 | long | 2023-12-30 00:00 @ 0.11 | 2024-01-09 00:00 @ 0.10 | 10d | −$41.07 | -2.08% | signal |
| 56 | short | 2023-12-26 00:00 @ 0.11 | 2023-12-29 12:00 @ 0.11 | 3d 12h | −$4.53 | -0.23% | signal |
| 55 | long | 2023-09-14 12:00 @ 0.08 | 2023-12-25 12:00 @ 0.11 | 102d | $541.82 | +29.40% | signal |
| 54 | short | 2023-08-26 12:00 @ 0.08 | 2023-09-14 00:00 @ 0.08 | 18d 12h | −$91.11 | -4.88% | signal |
| 53 | long | 2023-08-25 12:00 @ 0.08 | 2023-08-26 00:00 @ 0.08 | 12h | −$0.01 | -0.00% | signal |
| 52 | long | 2023-08-24 12:00 @ 0.08 | 2023-08-25 00:00 @ 0.08 | 12h | −$26.04 | -1.39% | signal |
| 51 | short | 2023-08-17 00:00 @ 0.07 | 2023-08-24 00:00 @ 0.08 | 7d | −$76.85 | -4.06% | signal |
| 50 | short | 2023-08-16 00:00 @ 0.08 | 2023-08-16 12:00 @ 0.08 | 12h | $0.85 | +0.04% | signal |
| 49 | long | 2023-07-21 12:00 @ 0.08 | 2023-08-15 12:00 @ 0.08 | 25d | −$90.73 | -4.74% | signal |
| 48 | short | 2023-07-18 12:00 @ 0.08 | 2023-07-21 00:00 @ 0.08 | 2d 12h | −$29.11 | -1.52% | signal |
| 47 | long | 2023-07-07 12:00 @ 0.08 | 2023-07-18 00:00 @ 0.08 | 10d 12h | $43.76 | +2.29% | signal |
| 46 | long | 2023-06-21 12:00 @ 0.07 | 2023-07-07 00:00 @ 0.08 | 15d 12h | $165.59 | +8.86% | signal |
| 45 | short | 2023-06-20 00:00 @ 0.07 | 2023-06-21 00:00 @ 0.07 | 1d | −$20.44 | -1.09% | signal |
| 44 | long | 2023-04-30 00:00 @ 0.07 | 2023-06-19 12:00 @ 0.07 | 50d 12h | $90.85 | +4.91% | signal |
| 43 | short | 2023-04-28 12:00 @ 0.07 | 2023-04-29 12:00 @ 0.07 | 1d | −$36.65 | -1.97% | signal |
| 42 | long | 2023-04-23 12:00 @ 0.07 | 2023-04-28 00:00 @ 0.07 | 4d 12h | −$23.01 | -1.23% | signal |
| 41 | short | 2023-04-19 12:00 @ 0.07 | 2023-04-23 00:00 @ 0.07 | 3d 12h | −$17.33 | -0.93% | signal |
| 40 | short | 2023-03-31 12:00 @ 0.07 | 2023-04-19 00:00 @ 0.07 | 18d 12h | −$39.09 | -2.08% | signal |
| 39 | long | 2023-03-27 12:00 @ 0.06 | 2023-03-31 00:00 @ 0.06 | 3d 12h | $21.76 | +1.16% | signal |
| 38 | short | 2023-03-24 12:00 @ 0.06 | 2023-03-27 00:00 @ 0.06 | 2d 12h | −$27.56 | -1.46% | signal |
| 37 | short | 2023-03-23 12:00 @ 0.06 | 2023-03-24 00:00 @ 0.07 | 12h | −$83.35 | -4.38% | signal |
| 36 | long | 2023-03-13 12:00 @ 0.07 | 2023-03-23 00:00 @ 0.06 | 9d 12h | −$167.74 | -8.63% | signal |
| 35 | short | 2023-03-10 12:00 @ 0.06 | 2023-03-13 00:00 @ 0.06 | 2d 12h | −$320.88 | -15.85% | signal |
| 34 | long | 2022-12-29 00:00 @ 0.05 | 2023-03-10 00:00 @ 0.06 | 71d | $170.10 | +8.58% | signal |
| 33 | short | 2022-12-25 12:00 @ 0.05 | 2022-12-28 12:00 @ 0.05 | 3d | $22.25 | +1.13% | signal |
| 32 | short | 2022-11-09 12:00 @ 0.06 | 2022-12-25 00:00 @ 0.05 | 45d 12h | $107.98 | +5.54% | signal |
| 31 | long | 2022-10-29 12:00 @ 0.06 | 2022-11-09 00:00 @ 0.06 | 10d 12h | −$163.26 | -8.20% | signal |
| 30 | short | 2022-10-25 00:00 @ 0.06 | 2022-10-29 00:00 @ 0.06 | 4d | −$75.19 | -3.74% | signal |
| 29 | long | 2022-10-23 12:00 @ 0.06 | 2022-10-24 12:00 @ 0.06 | 1d | $14.31 | +0.71% | signal |
| 28 | long | 2022-10-22 12:00 @ 0.06 | 2022-10-23 00:00 @ 0.06 | 12h | −$0.36 | -0.02% | signal |
| 27 | short | 2022-10-18 12:00 @ 0.06 | 2022-10-22 00:00 @ 0.06 | 3d 12h | $26.90 | +1.35% | signal |
| 26 | short | 2022-10-14 00:00 @ 0.06 | 2022-10-18 00:00 @ 0.06 | 4d | −$57.96 | -2.88% | signal |
| 25 | long | 2022-10-13 00:00 @ 0.06 | 2022-10-13 12:00 @ 0.06 | 12h | −$49.69 | -2.45% | signal |
| 24 | short | 2022-10-11 12:00 @ 0.06 | 2022-10-12 12:00 @ 0.06 | 1d | −$33.03 | -1.62% | signal |
| 23 | short | 2022-08-26 12:00 @ 0.06 | 2022-10-11 00:00 @ 0.06 | 45d 12h | $24.02 | +1.18% | signal |
| 22 | short | 2022-08-20 00:00 @ 0.06 | 2022-08-26 00:00 @ 0.07 | 6d | −$57.34 | -2.81% | signal |
| 21 | long | 2022-07-29 00:00 @ 0.07 | 2022-08-19 12:00 @ 0.06 | 21d 12h | −$134.11 | -6.46% | signal |
| 20 | short | 2022-06-26 00:00 @ 0.06 | 2022-07-28 12:00 @ 0.07 | 32d 12h | −$222.98 | -10.46% | signal |
| 19 | short | 2022-06-15 00:00 @ 0.06 | 2022-06-25 12:00 @ 0.06 | 10d 12h | −$442.51 | -19.74% | signal |
| 18 | long | 2022-06-14 00:00 @ 0.06 | 2022-06-14 12:00 @ 0.06 | 12h | −$195.99 | -8.55% | signal |
| 17 | long | 2022-05-20 00:00 @ 0.07 | 2022-06-13 12:00 @ 0.06 | 24d 12h | −$339.69 | -14.30% | signal |
| 16 | short | 2022-05-17 00:00 @ 0.07 | 2022-05-19 12:00 @ 0.07 | 2d 12h | −$192.35 | -7.93% | signal |
| 15 | long | 2022-05-16 00:00 @ 0.07 | 2022-05-16 12:00 @ 0.07 | 12h | −$124.57 | -5.07% | signal |
| 14 | long | 2022-05-12 00:00 @ 0.07 | 2022-05-15 12:00 @ 0.07 | 3d 12h | −$145.88 | -5.85% | signal |
| 13 | long | 2022-04-20 00:00 @ 0.06 | 2022-05-11 12:00 @ 0.06 | 21d 12h | −$31.45 | -1.26% | signal |
| 12 | short | 2022-04-18 12:00 @ 0.06 | 2022-04-19 12:00 @ 0.06 | 1d | −$67.14 | -2.67% | signal |
| 11 | long | 2022-04-16 00:00 @ 0.06 | 2022-04-18 00:00 @ 0.06 | 2d | −$76.82 | -3.03% | signal |
| 10 | short | 2022-04-13 12:00 @ 0.06 | 2022-04-15 12:00 @ 0.06 | 2d | −$66.24 | -2.60% | signal |
| 9 | short | 2022-04-10 12:00 @ 0.06 | 2022-04-13 00:00 @ 0.06 | 2d 12h | $135.13 | +5.37% | signal |
| 8 | short | 2022-04-09 12:00 @ 0.06 | 2022-04-10 00:00 @ 0.06 | 12h | −$30.87 | -1.22% | signal |
| 7 | short | 2022-04-07 12:00 @ 0.06 | 2022-04-09 00:00 @ 0.06 | 1d 12h | $63.19 | +2.52% | signal |
| 6 | long | 2022-03-30 12:00 @ 0.07 | 2022-04-07 00:00 @ 0.06 | 5d 12h | −$340.90 | -13.13% | signal |
| 5 | long | 2022-03-28 12:00 @ 0.07 | 2022-03-30 00:00 @ 0.07 | 1d 12h | −$81.10 | -3.10% | signal |
| 4 | short | 2022-03-27 12:00 @ 0.07 | 2022-03-28 00:00 @ 0.07 | 12h | −$92.51 | -3.51% | signal |
| 3 | short | 2022-03-26 12:00 @ 0.06 | 2022-03-27 00:00 @ 0.07 | 12h | −$76.44 | -2.88% | signal |
| 2 | long | 2022-03-12 00:00 @ 0.06 | 2022-03-26 00:00 @ 0.06 | 14d | $169.77 | +6.49% | signal |
| 1 | short | 2022-01-01 12:00 @ 0.08 | 2022-03-11 12:00 @ 0.06 | 66d | $462.63 | +18.51% | 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.