[Famous-Q] Time-series momentum (90-bar)
public
@djgambhir1000BONKUSDT · 12h · 2024-01-06 → 2026-09-01 · 1,938 bars in 1.2ms
Net P&L
-31.19%
−$3,118.56
Max drawdown
-56.74%
Max run-up
+61.04%
Trades
63
34.9% win rate
Profit factor
0.60
2024-01-06drawdown · worst -56.74%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2024-01-06 → 2025-08-09 | -33.58% | -56.74% | 44 | 34% |
| Validation | 2025-08-09 → 2026-02-19 | +0.72% | -14.21% | 7 | 29% |
| Out-of-sample | 2026-02-19 → 2026-09-01 | +2.86% | -11.19% | 12 | 42% |
Risk-adjusted
- Sharpe
- -0.25
- Sortino
- -0.36
- Calmar
- -0.23
- Return ÷ max drawdown
- -0.55
- CAGR
- -13.15%
- Exposure
- 96.7%
Per trade
- Expectancy
- −$49.50 · -1.92%
- Average win / loss
- $210.80 / −$189.18
- Payoff ratio
- 1.11
- Largest win / loss
- $794.71 / −$1,250.08
- Longest losing streak(winning: 4)
- 7 trades
Drawdown over time
- Max drawdown
- -56.74%
- Longest time under water(still going at the end)
- 965 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$106.44
- Funding
- −$434.55
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 90
- Benchmark(buy and hold)
- -70.74%
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 | -63.95% | -31.76% | +24.81% |
| Max drawdown | -66.32% | -43.61% | -20.92% |
84% of histories lost money, and 18% had a deeper drawdown than this run’s -56.74%. 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
1000BONKUSDT 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 |
|---|---|---|---|---|---|---|---|
| 1 | long | 2024-01-07 00:00 @ 0.01 | 2024-01-22 12:00 @ 0.01 | 15d 12h | $18.51 | +0.74% | signal |
| 2 | short | 2024-01-23 00:00 @ 0.01 | 2024-01-24 12:00 @ 0.01 | 1d 12h | −$112.03 | -4.47% | signal |
| 3 | short | 2024-01-25 00:00 @ 0.01 | 2024-01-27 00:00 @ 0.01 | 2d | −$177.45 | -7.17% | signal |
| 4 | long | 2024-01-27 12:00 @ 0.01 | 2024-01-28 00:00 @ 0.01 | 12h | $26.67 | +1.10% | signal |
| 5 | short | 2024-01-28 12:00 @ 0.01 | 2024-02-15 00:00 @ 0.01 | 17d 12h | −$361.20 | -14.81% | signal |
| 6 | long | 2024-02-15 12:00 @ 0.01 | 2024-02-16 00:00 @ 0.01 | 12h | −$41.52 | -1.77% | signal |
| 7 | short | 2024-02-16 12:00 @ 0.01 | 2024-02-18 00:00 @ 0.01 | 1d 12h | $150.35 | +6.43% | signal |
| 8 | long | 2024-02-18 12:00 @ 0.01 | 2024-02-23 00:00 @ 0.01 | 4d 12h | −$295.50 | -12.44% | signal |
| 9 | short | 2024-02-23 12:00 @ 0.01 | 2024-02-27 12:00 @ 0.01 | 4d | −$432.95 | -18.81% | signal |
| 10 | short | 2024-02-28 00:00 @ 0.01 | 2024-02-28 12:00 @ 0.02 | 12h | −$171.48 | -7.82% | signal |
| 11 | long | 2024-02-29 00:00 @ 0.02 | 2024-04-14 00:00 @ 0.02 | 45d | −$673.65 | -31.32% | signal |
| 12 | short | 2024-04-14 12:00 @ 0.02 | 2024-05-03 00:00 @ 0.03 | 18d 12h | −$1,250.08 | -63.06% | signal |
| 13 | long | 2024-05-03 12:00 @ 0.03 | 2024-05-09 00:00 @ 0.02 | 5d 12h | −$188.67 | -11.30% | signal |
| 14 | short | 2024-05-09 12:00 @ 0.02 | 2024-05-17 12:00 @ 0.02 | 8d | −$61.75 | -3.81% | signal |
| 15 | long | 2024-05-18 00:00 @ 0.02 | 2024-06-17 00:00 @ 0.03 | 30d | $28.06 | +1.75% | signal |
| 16 | short | 2024-06-17 12:00 @ 0.02 | 2024-06-26 00:00 @ 0.02 | 8d 12h | $2.92 | +0.18% | signal |
| 17 | short | 2024-06-26 12:00 @ 0.02 | 2024-06-28 00:00 @ 0.02 | 1d 12h | −$145.73 | -9.02% | signal |
| 18 | short | 2024-06-28 12:00 @ 0.02 | 2024-07-02 00:00 @ 0.03 | 3d 12h | −$158.43 | -10.04% | signal |
| 19 | long | 2024-07-02 12:00 @ 0.03 | 2024-07-03 00:00 @ 0.03 | 12h | −$57.37 | -3.73% | signal |
| 20 | short | 2024-07-03 12:00 @ 0.02 | 2024-07-22 00:00 @ 0.03 | 18d 12h | −$525.18 | -34.45% | signal |
| 21 | short | 2024-07-22 12:00 @ 0.03 | 2024-07-23 00:00 @ 0.03 | 12h | $52.86 | +3.79% | signal |
| 22 | long | 2024-07-23 12:00 @ 0.03 | 2024-07-25 00:00 @ 0.03 | 1d 12h | −$56.65 | -4.03% | signal |
| 23 | short | 2024-07-25 12:00 @ 0.03 | 2024-07-26 12:00 @ 0.03 | 1d | −$71.81 | -5.16% | signal |
| 24 | long | 2024-07-27 00:00 @ 0.03 | 2024-07-28 00:00 @ 0.03 | 1d | −$17.92 | -1.30% | signal |
| 25 | long | 2024-07-28 12:00 @ 0.03 | 2024-08-01 00:00 @ 0.02 | 3d 12h | −$191.14 | -13.95% | signal |
| 26 | long | 2024-08-01 12:00 @ 0.02 | 2024-08-04 00:00 @ 0.02 | 2d 12h | −$158.96 | -12.02% | signal |
| 27 | short | 2024-08-04 12:00 @ 0.02 | 2024-08-08 12:00 @ 0.02 | 4d | $33.46 | +2.61% | signal |
| 28 | short | 2024-08-09 00:00 @ 0.02 | 2024-09-19 12:00 @ 0.02 | 41d 12h | $254.92 | +19.75% | signal |
| 29 | short | 2024-09-20 00:00 @ 0.02 | 2024-09-27 00:00 @ 0.02 | 7d | −$256.45 | -18.93% | signal |
| 30 | long | 2024-09-27 12:00 @ 0.02 | 2024-10-08 12:00 @ 0.02 | 11d | −$84.14 | -6.52% | signal |
| 31 | short | 2024-10-09 00:00 @ 0.02 | 2024-10-11 00:00 @ 0.02 | 2d | $39.95 | +3.15% | signal |
| 32 | long | 2024-10-11 12:00 @ 0.02 | 2024-11-04 12:00 @ 0.02 | 24d | −$174.54 | -13.64% | signal |
| 33 | short | 2024-11-05 00:00 @ 0.02 | 2024-11-05 12:00 @ 0.02 | 12h | −$74.28 | -6.01% | signal |
| 34 | long | 2024-11-06 00:00 @ 0.02 | 2024-12-28 00:00 @ 0.03 | 52d | $726.99 | +59.73% | signal |
| 35 | short | 2024-12-28 12:00 @ 0.03 | 2025-04-13 00:00 @ 0.01 | 105d 12h | $794.71 | +56.81% | signal |
| 36 | short | 2025-04-13 12:00 @ 0.01 | 2025-04-14 12:00 @ 0.01 | 1d | $8.27 | +0.52% | signal |
| 37 | short | 2025-04-15 00:00 @ 0.01 | 2025-04-18 12:00 @ 0.01 | 3d 12h | $104.60 | +6.54% | signal |
| 38 | short | 2025-04-19 00:00 @ 0.01 | 2025-04-20 00:00 @ 0.01 | 1d | −$75.29 | -4.63% | signal |
| 39 | short | 2025-04-20 12:00 @ 0.01 | 2025-04-21 00:00 @ 0.01 | 12h | −$28.33 | -1.76% | signal |
| 40 | long | 2025-04-21 12:00 @ 0.01 | 2025-06-07 00:00 @ 0.01 | 46d 12h | $290.22 | +18.14% | signal |
| 41 | short | 2025-06-07 12:00 @ 0.02 | 2025-06-08 00:00 @ 0.02 | 12h | −$0.19 | -0.01% | signal |
| 42 | long | 2025-06-08 12:00 @ 0.02 | 2025-06-10 00:00 @ 0.02 | 1d 12h | $203.26 | +12.15% | signal |
| 43 | short | 2025-06-10 12:00 @ 0.02 | 2025-07-07 12:00 @ 0.02 | 27d | −$544.38 | -31.59% | signal |
| 44 | long | 2025-07-08 00:00 @ 0.02 | 2025-08-21 12:00 @ 0.02 | 44d 12h | −$111.13 | -7.00% | signal |
| 45 | short | 2025-08-22 00:00 @ 0.02 | 2025-08-23 00:00 @ 0.02 | 1d | −$178.03 | -11.42% | signal |
| 46 | long | 2025-08-23 12:00 @ 0.02 | 2025-08-24 12:00 @ 0.02 | 1d | −$49.45 | -3.26% | signal |
| 47 | short | 2025-08-25 00:00 @ 0.02 | 2026-01-04 12:00 @ 0.01 | 132d 12h | $689.35 | +45.88% | signal |
| 48 | long | 2026-01-05 00:00 @ 0.01 | 2026-01-19 12:00 @ 0.01 | 14d 12h | −$389.86 | -23.28% | signal |
| 49 | long | 2026-01-20 00:00 @ 0.01 | 2026-01-20 12:00 @ 0.01 | 12h | −$51.37 | -3.26% | signal |
| 50 | short | 2026-01-21 00:00 @ 0.01 | 2026-01-22 00:00 @ 0.01 | 1d | −$63.08 | -4.03% | signal |
| 51 | short | 2026-01-22 12:00 @ 0.01 | 2026-04-10 00:00 @ 0.01 | 77d 12h | $530.03 | +34.22% | signal |
| 52 | long | 2026-04-10 12:00 @ 0.01 | 2026-04-11 12:00 @ 0.01 | 1d | $7.96 | +0.47% | signal |
| 53 | short | 2026-04-12 00:00 @ 0.01 | 2026-04-14 00:00 @ 0.01 | 2d | −$57.08 | -3.39% | signal |
| 54 | long | 2026-04-14 12:00 @ 0.01 | 2026-04-15 00:00 @ 0.01 | 12h | −$31.45 | -1.88% | signal |
| 55 | long | 2026-04-15 12:00 @ 0.01 | 2026-04-19 00:00 @ 0.01 | 3d 12h | $18.86 | +1.14% | signal |
| 56 | short | 2026-04-19 12:00 @ 0.01 | 2026-04-20 12:00 @ 0.01 | 1d | −$17.58 | -1.06% | signal |
| 57 | long | 2026-04-21 00:00 @ 0.01 | 2026-04-27 12:00 @ 0.01 | 6d 12h | $35.07 | +2.11% | signal |
| 58 | long | 2026-04-28 00:00 @ 0.01 | 2026-04-30 12:00 @ 0.01 | 2d 12h | $2.16 | +0.13% | signal |
| 59 | short | 2026-05-01 00:00 @ 0.01 | 2026-05-03 00:00 @ 0.01 | 2d | −$43.39 | -2.60% | signal |
| 60 | long | 2026-05-03 12:00 @ 0.01 | 2026-05-23 00:00 @ 0.01 | 19d 12h | −$91.19 | -5.49% | signal |
| 61 | short | 2026-05-23 12:00 @ 0.01 | 2026-05-24 00:00 @ 0.01 | 12h | −$93.76 | -5.73% | signal |
| 62 | long | 2026-05-24 12:00 @ 0.01 | 2026-05-28 12:00 @ 0.01 | 4d | −$191.79 | -11.89% | signal |
| 63 | short | 2026-05-29 00:00 @ 0.01 | 2026-09-01 00:00 @ 0.00 | 95d | $618.50 | +39.50% | 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.