[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirDOGEUSDT · 12h · 2022-01-01 → 2026-09-01 · 3,409 bars in 2.8ms
Net P&L
+38.36%
$3,836.13
Max drawdown
-34.53%
Max run-up
+104.27%
Trades
102
32.4% win rate
Profit factor
1.36
2022-01-01drawdown · worst -34.53%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | +5.62% | -29.28% | 65 | 35% |
| Validation | 2024-10-19 → 2025-09-25 | +19.53% | -29.35% | 19 | 16% |
| Out-of-sample | 2025-09-25 → 2026-09-01 | +9.60% | -10.05% | 18 | 39% |
Risk-adjusted
- Sharpe
- 0.40
- Sortino
- 0.60
- Calmar
- 0.21
- Return ÷ max drawdown
- 1.11
- CAGR
- +7.21%
- Exposure
- 97.0%
Per trade
- Expectancy
- $37.61 · +1.76%
- Average win / loss
- $443.62 / −$156.57
- Payoff ratio
- 2.83
- Largest win / loss
- $4,346.79 / −$886.66
- Longest losing streak(winning: 3)
- 7 trades
Drawdown over time
- Max drawdown
- -34.53%
- Longest time under water
- 740 days
- Worst drawdown recovered in
- not recovered
- Under water at the end
- 647 days
Costs and mechanics
- Fees paid
- −$285.32
- Funding
- −$552.30
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 92
- Benchmark(buy and hold)
- -51.22%
Monte Carlo
1,000 alternative histories, each 102 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 | -32.05% | +30.01% | +214.80% |
| Max drawdown | -43.94% | -25.48% | -14.19% |
26% of histories lost money, and 19% had a deeper drawdown than this run’s -34.53%. 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
DOGEUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
102 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | short | 2022-01-01 12:00 @ 0.17 | 2022-01-18 12:00 @ 0.17 | 17d | $79.68 | +3.19% | signal |
| 2 | short | 2022-01-19 00:00 @ 0.16 | 2022-03-29 12:00 @ 0.15 | 69d 12h | $267.80 | +10.63% | signal |
| 3 | long | 2022-03-30 00:00 @ 0.14 | 2022-03-30 12:00 @ 0.14 | 12h | −$15.59 | -0.60% | signal |
| 4 | short | 2022-03-31 00:00 @ 0.14 | 2022-03-31 12:00 @ 0.15 | 12h | −$44.27 | -1.71% | signal |
| 5 | short | 2022-04-01 00:00 @ 0.14 | 2022-04-04 00:00 @ 0.15 | 3d | −$159.08 | -6.19% | signal |
| 6 | long | 2022-04-04 12:00 @ 0.16 | 2022-05-08 00:00 @ 0.13 | 33d 12h | −$469.93 | -18.56% | signal |
| 7 | short | 2022-05-08 12:00 @ 0.13 | 2022-07-28 00:00 @ 0.07 | 80d 12h | $1,122.45 | +46.49% | signal |
| 8 | long | 2022-07-28 12:00 @ 0.07 | 2022-08-10 12:00 @ 0.07 | 13d | $56.40 | +2.09% | signal |
| 9 | short | 2022-08-11 00:00 @ 0.07 | 2022-08-13 00:00 @ 0.07 | 2d | −$41.75 | -1.54% | signal |
| 10 | long | 2022-08-13 12:00 @ 0.07 | 2022-08-22 00:00 @ 0.07 | 8d 12h | −$142.70 | -5.29% | signal |
| 11 | short | 2022-08-22 12:00 @ 0.07 | 2022-08-24 12:00 @ 0.07 | 2d | −$55.90 | -2.10% | signal |
| 12 | long | 2022-08-25 00:00 @ 0.07 | 2022-08-29 00:00 @ 0.06 | 4d | −$242.91 | -9.17% | signal |
| 13 | short | 2022-08-29 12:00 @ 0.06 | 2022-08-30 00:00 @ 0.06 | 12h | −$87.70 | -3.39% | signal |
| 14 | long | 2022-08-30 12:00 @ 0.06 | 2022-08-31 00:00 @ 0.06 | 12h | −$97.96 | -3.82% | signal |
| 15 | short | 2022-08-31 12:00 @ 0.06 | 2022-09-09 12:00 @ 0.06 | 9d | −$34.16 | -1.34% | signal |
| 16 | long | 2022-09-10 00:00 @ 0.06 | 2022-09-11 00:00 @ 0.06 | 1d | $27.81 | +1.10% | signal |
| 17 | short | 2022-09-11 12:00 @ 0.06 | 2022-10-22 00:00 @ 0.06 | 40d 12h | $197.50 | +7.77% | signal |
| 18 | long | 2022-10-22 12:00 @ 0.06 | 2022-10-23 00:00 @ 0.06 | 12h | $7.88 | +0.30% | signal |
| 19 | short | 2022-10-23 12:00 @ 0.06 | 2022-10-26 12:00 @ 0.07 | 3d | −$380.88 | -14.70% | signal |
| 20 | long | 2022-10-27 00:00 @ 0.07 | 2022-12-13 12:00 @ 0.09 | 47d 12h | $567.40 | +22.73% | signal |
| 21 | short | 2022-12-14 00:00 @ 0.09 | 2022-12-25 00:00 @ 0.08 | 11d | $391.10 | +14.82% | signal |
| 22 | short | 2022-12-25 12:00 @ 0.08 | 2023-01-29 12:00 @ 0.09 | 35d | −$451.80 | -16.51% | signal |
| 23 | long | 2023-01-30 00:00 @ 0.09 | 2023-02-28 00:00 @ 0.08 | 29d | −$282.21 | -10.76% | signal |
| 24 | short | 2023-02-28 12:00 @ 0.08 | 2023-04-04 00:00 @ 0.10 | 34d 12h | −$436.29 | -17.09% | signal |
| 25 | long | 2023-04-04 12:00 @ 0.10 | 2023-04-07 00:00 @ 0.09 | 2d 12h | −$364.87 | -14.93% | signal |
| 26 | short | 2023-04-07 12:00 @ 0.08 | 2023-04-11 00:00 @ 0.08 | 3d 12h | −$80.15 | -3.41% | signal |
| 27 | long | 2023-04-11 12:00 @ 0.09 | 2023-05-07 12:00 @ 0.08 | 26d | −$249.76 | -10.71% | signal |
| 28 | short | 2023-05-08 00:00 @ 0.08 | 2023-05-08 12:00 @ 0.07 | 12h | $42.66 | +1.88% | signal |
| 29 | short | 2023-05-09 00:00 @ 0.07 | 2023-07-15 12:00 @ 0.07 | 67d 12h | −$28.75 | -1.26% | signal |
| 30 | long | 2023-07-16 00:00 @ 0.07 | 2023-07-16 12:00 @ 0.07 | 12h | −$28.58 | -1.26% | signal |
| 31 | short | 2023-07-17 00:00 @ 0.07 | 2023-07-20 12:00 @ 0.07 | 3d 12h | −$92.61 | -4.09% | signal |
| 32 | long | 2023-07-21 00:00 @ 0.07 | 2023-08-17 00:00 @ 0.07 | 27d | −$126.76 | -5.65% | signal |
| 33 | short | 2023-08-17 12:00 @ 0.07 | 2023-10-02 00:00 @ 0.06 | 45d 12h | $137.19 | +6.20% | signal |
| 34 | long | 2023-10-02 12:00 @ 0.06 | 2023-10-03 00:00 @ 0.06 | 12h | −$60.19 | -2.68% | signal |
| 35 | short | 2023-10-03 12:00 @ 0.06 | 2023-10-23 12:00 @ 0.06 | 20d | −$110.19 | -4.94% | signal |
| 36 | long | 2023-10-24 00:00 @ 0.07 | 2024-01-13 00:00 @ 0.08 | 81d | $291.08 | +13.21% | signal |
| 37 | short | 2024-01-13 12:00 @ 0.08 | 2024-01-14 00:00 @ 0.08 | 12h | −$22.83 | -1.00% | signal |
| 38 | long | 2024-01-14 12:00 @ 0.08 | 2024-01-15 00:00 @ 0.08 | 12h | −$85.89 | -3.78% | signal |
| 39 | short | 2024-01-15 12:00 @ 0.08 | 2024-02-18 00:00 @ 0.08 | 33d 12h | −$33.34 | -1.48% | signal |
| 40 | long | 2024-02-18 12:00 @ 0.08 | 2024-02-26 12:00 @ 0.08 | 8d | −$1.39 | -0.06% | signal |
| 41 | long | 2024-02-27 00:00 @ 0.09 | 2024-04-18 00:00 @ 0.15 | 51d | $1,239.60 | +55.34% | signal |
| 42 | short | 2024-04-18 12:00 @ 0.15 | 2024-04-20 00:00 @ 0.16 | 1d 12h | −$131.27 | -5.15% | signal |
| 43 | short | 2024-04-20 12:00 @ 0.15 | 2024-04-21 00:00 @ 0.16 | 12h | −$174.69 | -6.94% | signal |
| 44 | long | 2024-04-21 12:00 @ 0.16 | 2024-04-22 12:00 @ 0.16 | 1d | −$40.61 | -1.64% | signal |
| 45 | short | 2024-04-23 00:00 @ 0.16 | 2024-05-03 12:00 @ 0.13 | 10d 12h | $436.81 | +17.73% | signal |
| 46 | long | 2024-05-04 00:00 @ 0.15 | 2024-05-07 12:00 @ 0.16 | 3d 12h | $177.83 | +6.91% | signal |
| 47 | short | 2024-05-08 00:00 @ 0.15 | 2024-05-29 00:00 @ 0.17 | 21d | −$253.19 | -9.67% | signal |
| 48 | long | 2024-05-29 12:00 @ 0.16 | 2024-05-30 12:00 @ 0.16 | 1d | −$88.92 | -3.48% | signal |
| 49 | short | 2024-05-31 00:00 @ 0.16 | 2024-05-31 12:00 @ 0.16 | 12h | −$25.88 | -1.02% | signal |
| 50 | long | 2024-06-01 00:00 @ 0.16 | 2024-06-05 00:00 @ 0.16 | 4d | $30.45 | +1.21% | signal |
| 51 | long | 2024-06-05 12:00 @ 0.16 | 2024-06-07 00:00 @ 0.16 | 1d 12h | −$43.35 | -1.71% | signal |
| 52 | long | 2024-06-07 12:00 @ 0.16 | 2024-06-08 00:00 @ 0.15 | 12h | −$207.51 | -8.23% | signal |
| 53 | short | 2024-06-08 12:00 @ 0.15 | 2024-06-13 12:00 @ 0.14 | 5d | $36.53 | +1.48% | signal |
| 54 | short | 2024-06-14 00:00 @ 0.14 | 2024-06-14 12:00 @ 0.14 | 12h | −$24.25 | -0.98% | signal |
| 55 | long | 2024-06-15 00:00 @ 0.13 | 2024-06-18 00:00 @ 0.13 | 3d | −$118.17 | -4.78% | signal |
| 56 | short | 2024-06-18 12:00 @ 0.12 | 2024-08-22 00:00 @ 0.11 | 64d 12h | $309.81 | +12.68% | signal |
| 57 | short | 2024-08-22 12:00 @ 0.11 | 2024-08-24 00:00 @ 0.11 | 1d 12h | −$155.00 | -6.15% | signal |
| 58 | long | 2024-08-24 12:00 @ 0.11 | 2024-08-25 12:00 @ 0.11 | 1d | −$77.05 | -3.10% | signal |
| 59 | long | 2024-08-26 00:00 @ 0.11 | 2024-08-27 00:00 @ 0.11 | 1d | −$102.71 | -4.17% | signal |
| 60 | short | 2024-08-27 12:00 @ 0.10 | 2024-09-19 00:00 @ 0.10 | 22d 12h | $10.04 | +0.41% | signal |
| 61 | long | 2024-09-19 12:00 @ 0.10 | 2024-09-23 00:00 @ 0.11 | 3d 12h | $38.01 | +1.56% | signal |
| 62 | long | 2024-09-23 12:00 @ 0.11 | 2024-10-08 00:00 @ 0.11 | 14d 12h | $29.17 | +1.19% | signal |
| 63 | short | 2024-10-08 12:00 @ 0.11 | 2024-10-09 12:00 @ 0.11 | 1d | −$58.14 | -2.37% | signal |
| 64 | short | 2024-10-10 00:00 @ 0.11 | 2024-10-11 00:00 @ 0.11 | 1d | $40.48 | +1.66% | signal |
| 65 | long | 2024-10-11 12:00 @ 0.11 | 2024-12-27 00:00 @ 0.31 | 76d 12h | $4,346.79 | +177.27% | signal |
| 66 | short | 2024-12-27 12:00 @ 0.32 | 2025-01-04 12:00 @ 0.39 | 8d | −$770.93 | -21.78% | signal |
| 67 | long | 2025-01-05 00:00 @ 0.39 | 2025-01-05 12:00 @ 0.38 | 12h | −$111.01 | -3.32% | signal |
| 68 | short | 2025-01-06 00:00 @ 0.38 | 2025-01-18 00:00 @ 0.42 | 12d | −$288.47 | -8.69% | signal |
| 69 | short | 2025-01-18 12:00 @ 0.40 | 2025-04-24 00:00 @ 0.18 | 95d 12h | $1,805.60 | +55.62% | signal |
| 70 | short | 2025-04-24 12:00 @ 0.17 | 2025-04-25 00:00 @ 0.18 | 12h | −$194.94 | -5.27% | signal |
| 71 | long | 2025-04-25 12:00 @ 0.18 | 2025-04-30 00:00 @ 0.17 | 4d 12h | −$173.80 | -4.76% | signal |
| 72 | long | 2025-04-30 12:00 @ 0.18 | 2025-05-04 00:00 @ 0.18 | 3d 12h | −$13.50 | -0.37% | signal |
| 73 | long | 2025-05-04 12:00 @ 0.17 | 2025-05-06 12:00 @ 0.17 | 2d | −$185.26 | -5.14% | signal |
| 74 | long | 2025-05-07 00:00 @ 0.17 | 2025-05-08 00:00 @ 0.17 | 1d | −$9.14 | -0.26% | signal |
| 75 | long | 2025-05-08 12:00 @ 0.18 | 2025-06-13 12:00 @ 0.18 | 36d | −$170.44 | -4.80% | signal |
| 76 | long | 2025-06-14 00:00 @ 0.18 | 2025-06-15 12:00 @ 0.17 | 1d 12h | −$125.84 | -3.58% | signal |
| 77 | short | 2025-06-16 00:00 @ 0.18 | 2025-06-19 00:00 @ 0.17 | 3d | $93.06 | +2.67% | signal |
| 78 | short | 2025-06-19 12:00 @ 0.17 | 2025-06-20 00:00 @ 0.17 | 12h | −$45.70 | -1.30% | signal |
| 79 | long | 2025-06-20 12:00 @ 0.17 | 2025-06-21 00:00 @ 0.16 | 12h | −$177.13 | -5.07% | signal |
| 80 | short | 2025-06-21 12:00 @ 0.16 | 2025-07-14 12:00 @ 0.21 | 23d | −$886.66 | -25.72% | signal |
| 81 | long | 2025-07-15 00:00 @ 0.20 | 2025-09-01 00:00 @ 0.21 | 48d | $220.00 | +6.82% | signal |
| 82 | short | 2025-09-01 12:00 @ 0.22 | 2025-09-08 12:00 @ 0.23 | 7d | −$264.42 | -8.06% | signal |
| 83 | long | 2025-09-09 00:00 @ 0.24 | 2025-09-24 00:00 @ 0.24 | 15d | −$75.06 | -2.34% | signal |
| 84 | long | 2025-09-24 12:00 @ 0.24 | 2025-09-27 00:00 @ 0.23 | 2d 12h | −$145.07 | -4.54% | signal |
| 85 | short | 2025-09-27 12:00 @ 0.23 | 2025-09-29 00:00 @ 0.24 | 1d 12h | −$103.56 | -3.28% | signal |
| 86 | long | 2025-09-29 12:00 @ 0.23 | 2025-10-11 00:00 @ 0.19 | 11d 12h | −$521.50 | -16.64% | signal |
| 87 | short | 2025-10-11 12:00 @ 0.19 | 2026-01-05 00:00 @ 0.15 | 85d 12h | $697.76 | +23.24% | signal |
| 88 | long | 2026-01-05 12:00 @ 0.15 | 2026-01-08 12:00 @ 0.14 | 3d | −$152.51 | -4.80% | signal |
| 89 | short | 2026-01-09 00:00 @ 0.14 | 2026-01-15 00:00 @ 0.15 | 6d | −$118.12 | -3.76% | signal |
| 90 | long | 2026-01-15 12:00 @ 0.14 | 2026-01-17 00:00 @ 0.14 | 1d 12h | −$124.83 | -4.01% | signal |
| 91 | short | 2026-01-17 12:00 @ 0.14 | 2026-03-23 00:00 @ 0.09 | 64d 12h | $1,052.66 | +34.19% | signal |
| 92 | short | 2026-03-23 12:00 @ 0.09 | 2026-03-28 12:00 @ 0.09 | 5d | $37.50 | +1.12% | signal |
| 93 | short | 2026-03-29 00:00 @ 0.09 | 2026-04-10 12:00 @ 0.09 | 12d 12h | −$57.53 | -1.72% | signal |
| 94 | long | 2026-04-11 00:00 @ 0.09 | 2026-04-11 12:00 @ 0.09 | 12h | −$32.26 | -0.97% | signal |
| 95 | short | 2026-04-12 00:00 @ 0.09 | 2026-04-14 00:00 @ 0.09 | 2d | −$43.32 | -1.30% | signal |
| 96 | long | 2026-04-14 12:00 @ 0.09 | 2026-04-15 00:00 @ 0.09 | 12h | −$53.84 | -1.62% | signal |
| 97 | long | 2026-04-15 12:00 @ 0.09 | 2026-04-19 00:00 @ 0.09 | 3d 12h | $36.16 | +1.09% | signal |
| 98 | short | 2026-04-19 12:00 @ 0.09 | 2026-04-20 12:00 @ 0.09 | 1d | −$3.38 | -0.10% | signal |
| 99 | long | 2026-04-21 00:00 @ 0.10 | 2026-04-27 12:00 @ 0.10 | 6d 12h | $105.88 | +3.20% | signal |
| 100 | long | 2026-04-28 00:00 @ 0.10 | 2026-06-03 00:00 @ 0.09 | 36d | −$225.99 | -6.77% | signal |
| 101 | short | 2026-06-03 12:00 @ 0.09 | 2026-08-20 12:00 @ 0.08 | 78d | $605.91 | +18.46% | signal |
| 102 | long | 2026-08-21 00:00 @ 0.08 | 2026-09-01 00:00 @ 0.08 | 11d | $100.50 | +2.93% | 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.