[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirWIFUSDT · 12h · 2024-03-03 → 2026-09-01 · 1,824 bars in 1.3ms
Net P&L
+3.84%
$383.89
Max drawdown
-37.81%
Max run-up
+59.95%
Trades
63
39.7% win rate
Profit factor
1.04
2024-03-03drawdown · worst -37.81%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2024-03-03 → 2025-09-01 | +1.37% | -37.81% | 36 | 42% |
| Validation | 2025-09-01 → 2026-03-02 | +13.63% | -8.27% | 9 | 33% |
| Out-of-sample | 2026-03-02 → 2026-09-01 | -9.85% | -12.93% | 18 | 39% |
Risk-adjusted
- Sharpe
- 0.23
- Sortino
- 0.35
- Calmar
- 0.04
- Return ÷ max drawdown
- 0.10
- CAGR
- +1.52%
- Exposure
- 96.5%
Per trade
- Expectancy
- $6.09 · +0.62%
- Average win / loss
- $358.04 / −$225.45
- Payoff ratio
- 1.59
- Largest win / loss
- $1,680.14 / −$882.56
- Longest losing streak(winning: 3)
- 7 trades
Drawdown over time
- Max drawdown
- -37.81%
- Longest time under water(still going at the end)
- 884 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$166.22
- Funding
- −$524.47
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 90
- Benchmark(buy and hold)
- -87.53%
Monte Carlo
1,000 alternative histories, each 63 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 | -40.04% | +1.28% | +91.18% |
| Max drawdown | -46.77% | -27.34% | -13.86% |
49% of histories lost money, and 19% had a deeper drawdown than this run’s -37.81%. 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
WIFUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
63 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 63 | long | 2026-08-22 00:00 @ 0.20 | 2026-09-01 00:00 @ 0.20 | 10d | $9.13 | +0.35% | end of data |
| 62 | short | 2026-08-11 00:00 @ 0.14 | 2026-08-21 12:00 @ 0.18 | 10d 12h | −$882.56 | -31.36% | signal |
| 61 | short | 2026-07-27 12:00 @ 0.15 | 2026-08-10 12:00 @ 0.14 | 14d | $178.12 | +6.43% | signal |
| 60 | long | 2026-07-26 12:00 @ 0.16 | 2026-07-27 00:00 @ 0.15 | 12h | −$68.15 | -2.45% | signal |
| 59 | short | 2026-07-23 00:00 @ 0.15 | 2026-07-26 00:00 @ 0.15 | 3d | −$41.55 | -1.49% | signal |
| 58 | long | 2026-07-22 00:00 @ 0.15 | 2026-07-22 12:00 @ 0.15 | 12h | −$22.74 | -0.81% | signal |
| 57 | short | 2026-05-28 00:00 @ 0.19 | 2026-07-21 12:00 @ 0.15 | 54d 12h | $467.43 | +17.40% | signal |
| 56 | short | 2026-05-27 00:00 @ 0.19 | 2026-05-27 12:00 @ 0.19 | 12h | $15.76 | +0.59% | signal |
| 55 | short | 2026-05-25 00:00 @ 0.19 | 2026-05-26 12:00 @ 0.20 | 1d 12h | −$149.19 | -5.49% | signal |
| 54 | short | 2026-05-23 12:00 @ 0.18 | 2026-05-24 12:00 @ 0.19 | 1d | −$152.76 | -5.54% | signal |
| 53 | long | 2026-05-03 00:00 @ 0.19 | 2026-05-23 00:00 @ 0.19 | 20d | $37.98 | +1.38% | signal |
| 52 | short | 2026-05-02 00:00 @ 0.19 | 2026-05-02 12:00 @ 0.19 | 12h | $11.98 | +0.44% | signal |
| 51 | short | 2026-05-01 00:00 @ 0.18 | 2026-05-01 12:00 @ 0.19 | 12h | −$62.40 | -2.26% | signal |
| 50 | long | 2026-04-21 00:00 @ 0.20 | 2026-04-30 12:00 @ 0.18 | 9d 12h | −$252.96 | -8.96% | signal |
| 49 | short | 2026-04-19 12:00 @ 0.20 | 2026-04-20 12:00 @ 0.20 | 1d | $29.55 | +1.05% | signal |
| 48 | long | 2026-04-16 12:00 @ 0.21 | 2026-04-19 00:00 @ 0.20 | 2d 12h | −$91.84 | -3.23% | signal |
| 47 | short | 2026-04-15 00:00 @ 0.19 | 2026-04-16 00:00 @ 0.20 | 1d | −$101.47 | -3.54% | signal |
| 46 | short | 2026-04-11 12:00 @ 0.19 | 2026-04-14 12:00 @ 0.20 | 3d | −$47.93 | -1.67% | signal |
| 45 | short | 2026-01-17 12:00 @ 0.38 | 2026-04-11 00:00 @ 0.20 | 83d 12h | $1,199.44 | +46.54% | signal |
| 44 | long | 2026-01-14 00:00 @ 0.42 | 2026-01-17 00:00 @ 0.39 | 3d | −$202.80 | -7.72% | signal |
| 43 | short | 2026-01-12 12:00 @ 0.37 | 2026-01-13 12:00 @ 0.38 | 1d | −$51.76 | -1.96% | signal |
| 42 | long | 2026-01-11 12:00 @ 0.38 | 2026-01-12 00:00 @ 0.38 | 12h | −$50.02 | -1.89% | signal |
| 41 | long | 2026-01-05 12:00 @ 0.39 | 2026-01-11 00:00 @ 0.38 | 5d 12h | −$65.76 | -2.46% | signal |
| 40 | short | 2025-09-21 12:00 @ 0.89 | 2026-01-05 00:00 @ 0.41 | 105d 12h | $1,277.48 | +54.36% | signal |
| 39 | long | 2025-09-16 00:00 @ 0.88 | 2025-09-21 00:00 @ 0.90 | 5d | $43.84 | +1.87% | signal |
| 38 | long | 2025-09-15 00:00 @ 0.93 | 2025-09-15 12:00 @ 0.88 | 12h | −$125.09 | -5.28% | signal |
| 37 | long | 2025-09-14 00:00 @ 0.98 | 2025-09-14 12:00 @ 0.94 | 12h | −$92.62 | -3.87% | signal |
| 36 | short | 2025-08-24 12:00 @ 0.87 | 2025-09-13 12:00 @ 0.98 | 20d | −$321.41 | -12.99% | signal |
| 35 | long | 2025-08-23 12:00 @ 0.89 | 2025-08-24 00:00 @ 0.91 | 12h | $33.74 | +1.37% | signal |
| 34 | short | 2025-08-22 12:00 @ 0.82 | 2025-08-23 00:00 @ 0.93 | 12h | −$348.04 | -13.63% | signal |
| 33 | short | 2025-08-20 12:00 @ 0.84 | 2025-08-22 00:00 @ 0.85 | 1d 12h | −$46.89 | -1.83% | signal |
| 32 | long | 2025-08-19 00:00 @ 0.87 | 2025-08-20 00:00 @ 0.83 | 1d | −$129.39 | -4.98% | signal |
| 31 | short | 2025-08-17 12:00 @ 0.91 | 2025-08-18 12:00 @ 0.87 | 1d | $88.03 | +3.42% | signal |
| 30 | long | 2025-07-26 00:00 @ 1.07 | 2025-08-17 00:00 @ 0.88 | 22d | −$482.87 | -17.91% | signal |
| 29 | long | 2025-07-15 00:00 @ 1.01 | 2025-07-25 12:00 @ 1.06 | 10d 12h | $103.62 | +3.88% | signal |
| 28 | short | 2025-06-25 12:00 @ 0.85 | 2025-07-14 12:00 @ 1.05 | 19d | −$650.23 | -22.96% | signal |
| 27 | long | 2025-06-24 12:00 @ 0.86 | 2025-06-25 00:00 @ 0.87 | 12h | $28.28 | +1.00% | signal |
| 26 | short | 2025-06-23 12:00 @ 0.70 | 2025-06-24 00:00 @ 0.83 | 12h | −$575.90 | -19.40% | signal |
| 25 | long | 2025-04-24 00:00 @ 0.54 | 2025-06-23 00:00 @ 0.69 | 60d | $771.57 | +27.79% | signal |
| 24 | short | 2024-12-22 00:00 @ 1.89 | 2025-04-23 12:00 @ 0.56 | 122d 12h | $1,680.14 | +71.31% | signal |
| 23 | long | 2024-12-21 00:00 @ 2.11 | 2024-12-21 12:00 @ 2.15 | 12h | $46.70 | +1.99% | signal |
| 22 | long | 2024-09-25 00:00 @ 1.99 | 2024-12-20 12:00 @ 1.73 | 86d 12h | −$499.18 | -20.22% | signal |
| 21 | short | 2024-09-23 00:00 @ 1.69 | 2024-09-24 12:00 @ 1.92 | 1d 12h | −$342.94 | -13.42% | signal |
| 20 | long | 2024-09-22 00:00 @ 1.78 | 2024-09-22 12:00 @ 1.69 | 12h | −$122.14 | -4.72% | signal |
| 19 | long | 2024-09-19 12:00 @ 1.73 | 2024-09-21 12:00 @ 1.71 | 2d | −$38.31 | -1.48% | signal |
| 18 | short | 2024-08-28 12:00 @ 1.61 | 2024-09-19 00:00 @ 1.62 | 21d 12h | −$16.13 | -0.62% | signal |
| 17 | long | 2024-08-24 12:00 @ 1.90 | 2024-08-28 00:00 @ 1.57 | 3d 12h | −$479.99 | -17.65% | signal |
| 16 | short | 2024-08-10 00:00 @ 1.82 | 2024-08-24 00:00 @ 1.84 | 14d | −$39.74 | -1.46% | signal |
| 15 | long | 2024-08-08 12:00 @ 1.70 | 2024-08-09 12:00 @ 1.85 | 1d | $233.66 | +8.75% | signal |
| 14 | short | 2024-07-30 12:00 @ 2.34 | 2024-08-08 00:00 @ 1.61 | 8d 12h | $775.23 | +31.30% | signal |
| 13 | long | 2024-07-29 12:00 @ 2.51 | 2024-07-30 00:00 @ 2.28 | 12h | −$235.50 | -9.29% | signal |
| 12 | short | 2024-07-27 12:00 @ 2.64 | 2024-07-29 00:00 @ 2.41 | 1d 12h | $212.45 | +8.56% | signal |
| 11 | short | 2024-06-16 00:00 @ 2.42 | 2024-07-27 00:00 @ 2.67 | 41d | −$241.16 | -9.48% | signal |
| 10 | short | 2024-06-13 12:00 @ 2.51 | 2024-06-15 12:00 @ 2.41 | 2d | $96.15 | +3.82% | signal |
| 9 | short | 2024-06-12 00:00 @ 2.54 | 2024-06-13 00:00 @ 2.67 | 1d | −$123.18 | -4.83% | signal |
| 8 | short | 2024-06-08 12:00 @ 2.69 | 2024-06-11 12:00 @ 2.68 | 3d | $10.87 | +0.43% | signal |
| 7 | long | 2024-05-28 12:00 @ 3.68 | 2024-06-08 00:00 @ 2.86 | 10d 12h | −$620.91 | -22.98% | signal |
| 6 | short | 2024-05-11 12:00 @ 3.01 | 2024-05-28 00:00 @ 3.40 | 16d 12h | −$350.03 | -12.55% | signal |
| 5 | long | 2024-05-09 12:00 @ 2.81 | 2024-05-11 00:00 @ 2.97 | 1d 12h | $156.66 | +5.70% | signal |
| 4 | long | 2024-05-03 12:00 @ 2.81 | 2024-05-09 00:00 @ 2.78 | 5d 12h | −$40.13 | -1.45% | signal |
| 3 | short | 2024-05-01 12:00 @ 2.40 | 2024-05-03 00:00 @ 2.73 | 1d 12h | −$401.46 | -14.03% | signal |
| 2 | short | 2024-04-29 00:00 @ 2.65 | 2024-05-01 00:00 @ 2.50 | 2d | $155.64 | +5.52% | signal |
| 1 | long | 2024-03-04 00:00 @ 1.61 | 2024-04-28 12:00 @ 2.71 | 55d 12h | $1,287.58 | +51.50% | 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.