[Famous-Q] Time-series momentum (90-bar)
public
@djgambhir1000SHIBUSDT · 12h · 2022-01-01 → 2026-09-01 · 3,409 bars in 3.1ms
Net P&L
+34.65%
$3,464.60
Max drawdown
-32.01%
Max run-up
+82.01%
Trades
98
29.6% win rate
Profit factor
1.35
2022-01-01drawdown · worst -32.01%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-19 | +31.99% | -32.01% | 59 | 27% |
| Validation | 2024-10-19 → 2025-09-25 | -4.36% | -22.15% | 12 | 8% |
| Out-of-sample | 2025-09-25 → 2026-09-01 | +6.67% | -10.87% | 27 | 44% |
Risk-adjusted
- Sharpe
- 0.38
- Sortino
- 0.60
- Calmar
- 0.21
- Return ÷ max drawdown
- 1.08
- CAGR
- +6.58%
- Exposure
- 97.1%
Per trade
- Expectancy
- $35.35 · +1.51%
- Average win / loss
- $458.02 / −$142.29
- Payoff ratio
- 3.22
- Largest win / loss
- $2,240.44 / −$611.53
- Longest losing streak(winning: 6)
- 11 trades
Drawdown over time
- Max drawdown
- -32.01%
- Longest time under water
- 770 days
- Worst drawdown recovered in
- 275 days
- Under water at the end
- 636 days
Costs and mechanics
- Fees paid
- −$275.05
- Funding
- −$697.18
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 92
- Benchmark(buy and hold)
- -84.56%
Monte Carlo
1,000 alternative histories, each 98 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 | -24.56% | +31.74% | +157.33% |
| Max drawdown | -38.69% | -21.92% | -12.70% |
20% of histories lost money, and 14% had a deeper drawdown than this run’s -32.01%. 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
1000SHIBUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
98 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 98 | long | 2026-08-19 12:00 @ 0.00 | 2026-09-01 00:00 @ 0.01 | 12d 12h | $501.55 | +15.48% | end of data |
| 97 | long | 2026-08-03 00:00 @ 0.00 | 2026-08-19 00:00 @ 0.00 | 16d | −$342.14 | -10.29% | signal |
| 96 | short | 2026-08-02 00:00 @ 0.00 | 2026-08-02 12:00 @ 0.00 | 12h | −$111.04 | -3.31% | signal |
| 95 | short | 2026-07-28 12:00 @ 0.00 | 2026-08-01 12:00 @ 0.00 | 4d | −$241.56 | -7.07% | signal |
| 94 | long | 2026-07-26 12:00 @ 0.01 | 2026-07-28 00:00 @ 0.00 | 1d 12h | −$383.54 | -10.93% | signal |
| 93 | short | 2026-05-23 12:00 @ 0.01 | 2026-07-26 00:00 @ 0.00 | 63d 12h | $359.19 | +10.50% | signal |
| 92 | long | 2026-05-22 12:00 @ 0.01 | 2026-05-23 00:00 @ 0.01 | 12h | −$127.16 | -3.68% | signal |
| 91 | short | 2026-05-18 00:00 @ 0.01 | 2026-05-22 00:00 @ 0.01 | 4d | −$72.78 | -2.10% | signal |
| 90 | short | 2026-05-17 00:00 @ 0.01 | 2026-05-17 12:00 @ 0.01 | 12h | $8.20 | +0.24% | signal |
| 89 | long | 2026-04-28 00:00 @ 0.01 | 2026-05-16 12:00 @ 0.01 | 18d 12h | −$147.09 | -4.20% | signal |
| 88 | long | 2026-04-14 12:00 @ 0.01 | 2026-04-27 12:00 @ 0.01 | 13d | $101.31 | +2.91% | signal |
| 87 | short | 2026-04-11 12:00 @ 0.01 | 2026-04-14 00:00 @ 0.01 | 2d 12h | −$65.54 | -1.87% | signal |
| 86 | short | 2026-03-29 00:00 @ 0.01 | 2026-04-11 00:00 @ 0.01 | 13d | −$88.09 | -2.50% | signal |
| 85 | short | 2026-03-26 12:00 @ 0.01 | 2026-03-28 12:00 @ 0.01 | 2d | $23.61 | +0.67% | signal |
| 84 | short | 2026-03-25 12:00 @ 0.01 | 2026-03-26 00:00 @ 0.01 | 12h | $30.90 | +0.88% | signal |
| 83 | long | 2026-03-24 12:00 @ 0.01 | 2026-03-25 00:00 @ 0.01 | 12h | $46.76 | +1.34% | signal |
| 82 | long | 2026-03-23 12:00 @ 0.01 | 2026-03-24 00:00 @ 0.01 | 12h | $40.44 | +1.16% | signal |
| 81 | short | 2026-02-15 12:00 @ 0.01 | 2026-03-23 00:00 @ 0.01 | 35d 12h | $517.42 | +15.43% | signal |
| 80 | short | 2026-01-18 00:00 @ 0.01 | 2026-02-15 00:00 @ 0.01 | 28d | $542.14 | +16.85% | signal |
| 79 | long | 2026-01-14 00:00 @ 0.01 | 2026-01-17 12:00 @ 0.01 | 3d 12h | −$188.04 | -5.76% | signal |
| 78 | short | 2026-01-12 12:00 @ 0.01 | 2026-01-13 12:00 @ 0.01 | 1d | −$69.47 | -2.12% | signal |
| 77 | long | 2026-01-10 12:00 @ 0.01 | 2026-01-12 00:00 @ 0.01 | 1d 12h | −$76.06 | -2.30% | signal |
| 76 | long | 2026-01-05 00:00 @ 0.01 | 2026-01-10 00:00 @ 0.01 | 5d | −$143.72 | -4.31% | signal |
| 75 | short | 2025-10-07 12:00 @ 0.01 | 2026-01-04 12:00 @ 0.01 | 89d | $933.52 | +30.08% | signal |
| 74 | long | 2025-10-05 12:00 @ 0.01 | 2025-10-07 00:00 @ 0.01 | 1d 12h | $22.22 | +0.72% | signal |
| 73 | long | 2025-10-04 12:00 @ 0.01 | 2025-10-05 00:00 @ 0.01 | 12h | −$19.61 | -0.63% | signal |
| 72 | short | 2025-10-03 00:00 @ 0.01 | 2025-10-04 00:00 @ 0.01 | 1d | −$10.32 | -0.33% | signal |
| 71 | short | 2025-09-22 12:00 @ 0.01 | 2025-10-02 12:00 @ 0.01 | 10d | −$137.85 | -4.39% | signal |
| 70 | long | 2025-09-13 12:00 @ 0.01 | 2025-09-22 00:00 @ 0.01 | 8d 12h | −$414.32 | -12.77% | signal |
| 69 | short | 2025-08-25 12:00 @ 0.01 | 2025-09-13 00:00 @ 0.01 | 18d 12h | −$400.87 | -11.99% | signal |
| 68 | long | 2025-07-15 00:00 @ 0.01 | 2025-08-25 00:00 @ 0.01 | 41d | −$100.80 | -2.99% | signal |
| 67 | short | 2025-06-06 12:00 @ 0.01 | 2025-07-14 12:00 @ 0.01 | 38d | −$368.05 | -10.63% | signal |
| 66 | long | 2025-05-09 00:00 @ 0.01 | 2025-06-06 00:00 @ 0.01 | 28d | −$611.53 | -16.92% | signal |
| 65 | short | 2025-05-07 00:00 @ 0.01 | 2025-05-08 12:00 @ 0.01 | 1d 12h | −$199.28 | -5.44% | signal |
| 64 | long | 2025-05-05 12:00 @ 0.01 | 2025-05-06 12:00 @ 0.01 | 1d | −$82.60 | -2.24% | signal |
| 63 | long | 2025-04-23 12:00 @ 0.01 | 2025-05-05 00:00 @ 0.01 | 11d 12h | −$278.59 | -7.42% | signal |
| 62 | short | 2025-01-06 00:00 @ 0.02 | 2025-04-23 00:00 @ 0.01 | 107d | $1,465.53 | +43.26% | signal |
| 61 | long | 2025-01-05 00:00 @ 0.02 | 2025-01-05 12:00 @ 0.02 | 12h | −$85.53 | -2.51% | signal |
| 60 | short | 2024-12-26 00:00 @ 0.02 | 2025-01-04 12:00 @ 0.02 | 9d 12h | −$242.23 | -6.98% | signal |
| 59 | long | 2024-09-19 12:00 @ 0.01 | 2024-12-25 12:00 @ 0.02 | 97d | $1,693.73 | +55.60% | signal |
| 58 | short | 2024-06-05 12:00 @ 0.03 | 2024-09-19 00:00 @ 0.01 | 105d 12h | $1,288.15 | +47.28% | signal |
| 57 | long | 2024-05-28 12:00 @ 0.03 | 2024-06-05 00:00 @ 0.02 | 7d 12h | −$164.71 | -5.96% | signal |
| 56 | short | 2024-04-18 00:00 @ 0.02 | 2024-05-28 00:00 @ 0.03 | 40d | −$438.01 | -15.23% | signal |
| 55 | long | 2024-02-27 12:00 @ 0.01 | 2024-04-17 12:00 @ 0.02 | 50d | $2,240.44 | +96.78% | signal |
| 54 | short | 2024-02-25 12:00 @ 0.01 | 2024-02-27 00:00 @ 0.01 | 1d 12h | −$106.82 | -4.56% | signal |
| 53 | long | 2024-02-24 12:00 @ 0.01 | 2024-02-25 00:00 @ 0.01 | 12h | $0.09 | +0.00% | signal |
| 52 | long | 2024-02-23 12:00 @ 0.01 | 2024-02-24 00:00 @ 0.01 | 12h | −$9.98 | -0.43% | signal |
| 51 | long | 2024-02-22 00:00 @ 0.01 | 2024-02-23 00:00 @ 0.01 | 1d | −$9.01 | -0.38% | signal |
| 50 | long | 2024-02-19 12:00 @ 0.01 | 2024-02-21 12:00 @ 0.01 | 2d | −$108.16 | -4.56% | signal |
| 49 | long | 2024-02-18 12:00 @ 0.01 | 2024-02-19 00:00 @ 0.01 | 12h | −$14.86 | -0.63% | signal |
| 48 | short | 2024-01-20 12:00 @ 0.01 | 2024-02-18 00:00 @ 0.01 | 28d 12h | −$22.70 | -0.95% | signal |
| 47 | long | 2024-01-19 12:00 @ 0.01 | 2024-01-20 00:00 @ 0.01 | 12h | $7.47 | +0.31% | signal |
| 46 | long | 2023-10-26 12:00 @ 0.01 | 2024-01-19 00:00 @ 0.01 | 84d 12h | $194.77 | +8.35% | signal |
| 45 | short | 2023-09-08 12:00 @ 0.01 | 2023-10-26 00:00 @ 0.01 | 47d 12h | −$70.34 | -2.99% | signal |
| 44 | short | 2023-09-04 00:00 @ 0.01 | 2023-09-08 00:00 @ 0.01 | 4d | −$7.19 | -0.31% | signal |
| 43 | long | 2023-08-30 00:00 @ 0.01 | 2023-09-03 12:00 @ 0.01 | 4d 12h | −$156.75 | -6.56% | signal |
| 42 | long | 2023-08-29 00:00 @ 0.01 | 2023-08-29 12:00 @ 0.01 | 12h | −$53.02 | -2.21% | signal |
| 41 | long | 2023-07-26 00:00 @ 0.01 | 2023-08-28 12:00 @ 0.01 | 33d 12h | $37.46 | +1.56% | signal |
| 40 | short | 2023-04-27 12:00 @ 0.01 | 2023-07-25 12:00 @ 0.01 | 89d | $579.00 | +25.73% | signal |
| 39 | long | 2023-04-25 12:00 @ 0.01 | 2023-04-27 00:00 @ 0.01 | 1d 12h | −$15.10 | -0.67% | signal |
| 38 | long | 2023-04-24 12:00 @ 0.01 | 2023-04-25 00:00 @ 0.01 | 12h | −$16.71 | -0.74% | signal |
| 37 | short | 2023-04-20 00:00 @ 0.01 | 2023-04-24 00:00 @ 0.01 | 4d | $101.04 | +4.53% | signal |
| 36 | long | 2023-04-19 00:00 @ 0.01 | 2023-04-19 12:00 @ 0.01 | 12h | −$123.61 | -5.46% | signal |
| 35 | short | 2023-04-18 00:00 @ 0.01 | 2023-04-18 12:00 @ 0.01 | 12h | −$60.82 | -2.67% | signal |
| 34 | short | 2023-03-06 00:00 @ 0.01 | 2023-04-17 12:00 @ 0.01 | 42d 12h | −$63.18 | -2.75% | signal |
| 33 | short | 2023-03-05 00:00 @ 0.01 | 2023-03-05 12:00 @ 0.01 | 12h | −$16.50 | -0.72% | signal |
| 32 | long | 2023-01-13 00:00 @ 0.01 | 2023-03-04 12:00 @ 0.01 | 50d 12h | $360.07 | +16.30% | signal |
| 31 | short | 2023-01-12 00:00 @ 0.01 | 2023-01-12 12:00 @ 0.01 | 12h | −$10.14 | -0.46% | signal |
| 30 | long | 2023-01-11 00:00 @ 0.01 | 2023-01-11 12:00 @ 0.01 | 12h | −$79.69 | -3.57% | signal |
| 29 | short | 2022-12-06 00:00 @ 0.01 | 2023-01-10 12:00 @ 0.01 | 35d 12h | −$26.52 | -1.19% | signal |
| 28 | short | 2022-11-09 00:00 @ 0.01 | 2022-12-05 12:00 @ 0.01 | 26d 12h | $62.41 | +2.81% | signal |
| 27 | long | 2022-10-30 12:00 @ 0.01 | 2022-11-08 12:00 @ 0.01 | 9d | −$325.83 | -14.14% | signal |
| 26 | short | 2022-09-18 12:00 @ 0.01 | 2022-10-30 00:00 @ 0.01 | 41d 12h | −$239.81 | -10.15% | signal |
| 25 | short | 2022-09-16 12:00 @ 0.01 | 2022-09-18 00:00 @ 0.01 | 1d 12h | −$38.56 | -1.62% | signal |
| 24 | long | 2022-09-06 00:00 @ 0.01 | 2022-09-16 00:00 @ 0.01 | 10d | −$183.50 | -7.59% | signal |
| 23 | long | 2022-09-04 12:00 @ 0.01 | 2022-09-05 12:00 @ 0.01 | 1d | −$120.22 | -4.91% | signal |
| 22 | short | 2022-09-03 12:00 @ 0.01 | 2022-09-04 00:00 @ 0.01 | 12h | −$26.35 | -1.07% | signal |
| 21 | long | 2022-07-19 00:00 @ 0.01 | 2022-09-03 00:00 @ 0.01 | 46d | $32.15 | +1.31% | signal |
| 20 | short | 2022-07-17 12:00 @ 0.01 | 2022-07-18 12:00 @ 0.01 | 1d | −$47.13 | -1.92% | signal |
| 19 | short | 2022-07-12 12:00 @ 0.01 | 2022-07-17 00:00 @ 0.01 | 4d 12h | −$189.03 | -7.54% | signal |
| 18 | long | 2022-07-10 12:00 @ 0.01 | 2022-07-12 00:00 @ 0.01 | 1d 12h | −$230.90 | -9.00% | signal |
| 17 | short | 2022-06-28 00:00 @ 0.01 | 2022-07-10 00:00 @ 0.01 | 12d | −$143.66 | -5.52% | signal |
| 16 | long | 2022-06-27 00:00 @ 0.01 | 2022-06-27 12:00 @ 0.01 | 12h | $75.75 | +2.93% | signal |
| 15 | short | 2022-05-01 12:00 @ 0.02 | 2022-06-26 12:00 @ 0.01 | 56d | $973.95 | +41.66% | signal |
| 14 | long | 2022-04-19 12:00 @ 0.02 | 2022-05-01 00:00 @ 0.02 | 11d 12h | −$484.11 | -19.69% | signal |
| 13 | short | 2022-04-18 00:00 @ 0.02 | 2022-04-19 00:00 @ 0.03 | 1d | −$63.16 | -2.55% | signal |
| 12 | short | 2022-04-16 12:00 @ 0.03 | 2022-04-17 12:00 @ 0.03 | 1d | −$21.15 | -0.85% | signal |
| 11 | long | 2022-04-13 00:00 @ 0.03 | 2022-04-16 00:00 @ 0.03 | 3d | −$100.14 | -4.00% | signal |
| 10 | short | 2022-04-12 00:00 @ 0.02 | 2022-04-12 12:00 @ 0.02 | 12h | −$318.44 | -12.32% | signal |
| 9 | long | 2022-04-11 00:00 @ 0.02 | 2022-04-11 12:00 @ 0.02 | 12h | −$133.96 | -5.12% | signal |
| 8 | short | 2022-04-09 12:00 @ 0.02 | 2022-04-10 12:00 @ 0.02 | 1d | −$86.64 | -3.28% | signal |
| 7 | long | 2022-04-08 12:00 @ 0.02 | 2022-04-09 00:00 @ 0.02 | 12h | −$81.98 | -3.08% | signal |
| 6 | short | 2022-03-24 12:00 @ 0.02 | 2022-04-08 00:00 @ 0.02 | 14d 12h | −$17.58 | -0.66% | signal |
| 5 | long | 2022-03-19 00:00 @ 0.02 | 2022-03-24 00:00 @ 0.02 | 5d | $235.59 | +9.04% | signal |
| 4 | long | 2022-03-17 00:00 @ 0.02 | 2022-03-18 12:00 @ 0.02 | 1d 12h | −$114.01 | -4.33% | signal |
| 3 | short | 2022-03-16 00:00 @ 0.02 | 2022-03-16 12:00 @ 0.02 | 12h | −$51.12 | -1.93% | signal |
| 2 | long | 2022-03-08 12:00 @ 0.02 | 2022-03-15 12:00 @ 0.02 | 7d | −$219.14 | -8.11% | signal |
| 1 | short | 2022-01-01 12:00 @ 0.03 | 2022-03-08 00:00 @ 0.02 | 65d 12h | $807.75 | +32.31% | 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.