[Famous-Q] Time-series momentum (90-bar)

public
@djgambhir

POPCATUSDT · 12h · 2024-10-06 → 2026-09-01 · 1,390 bars in 1.0ms

Net P&L
+5.10%
$509.66
Max drawdown
-30.58%
Max run-up
+58.77%
Trades
56
35.7% win rate
Profit factor
1.08
2024-10-06drawdown · worst -30.58%2026-09-01
TrainingValidationOut-of-sample
SegmentPeriodReturnMax drawdownTradesWin rate
Training2024-10-06 → 2025-11-27+10.46%-30.58%3231%
Validation2025-11-27 → 2026-04-15+5.10%-6.46%1145%
Out-of-sample2026-04-15 → 2026-09-01-9.47%-16.70%1338%

Risk-adjusted

Sharpe
0.23
Sortino
0.35
Calmar
0.09
Return ÷ max drawdown
0.17
CAGR
+2.65%
Exposure
95.9%

Per trade

Expectancy
$9.10 · +0.72%
Average win / loss
$353.26 / −$182.10
Payoff ratio
1.94
Largest win / loss
$1,863.88 / −$790.95
Longest losing streak(winning: 4)
8 trades

Drawdown over time

Max drawdown
-30.58%
Longest time under water(still going at the end)
477 days
Worst drawdown recovered in
not recovered

Costs and mechanics

Fees paid
−$146.31
Funding
−$202.99
Liquidations
0
Warmup bars(loaded before the start date)
90
Benchmark(buy and hold)
-96.23%

Monte Carlo

1,000 alternative histories, each 56 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%)TypicalLucky (95%)
Return-36.58%+2.74%+79.53%
Max drawdown-41.25%-22.51%-12.20%

46% of histories lost money, and 21% had a deeper drawdown than this run’s -30.58%. 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

POPCATUSDT with every trade

Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss

Trades

56 trades

#SideEntryExitHeldP&LReturnClosed by
1long2024-10-07 00:00 @ 1.402024-11-26 00:00 @ 1.3250d−$313.08-12.52%signal
2short2024-11-26 12:00 @ 1.252024-11-29 12:00 @ 1.373d−$219.50-9.06%signal
3long2024-11-30 00:00 @ 1.362024-12-02 00:00 @ 1.342d−$52.13-2.20%signal
4short2024-12-02 12:00 @ 1.152024-12-04 00:00 @ 1.391d 12h−$493.04-20.95%signal
5long2024-12-04 12:00 @ 1.432024-12-05 00:00 @ 1.3312h−$153.78-6.89%signal
6long2024-12-05 12:00 @ 1.382024-12-06 12:00 @ 1.351d−$69.13-3.15%signal
7short2024-12-07 00:00 @ 1.432024-12-07 12:00 @ 1.5212h−$135.65-6.24%signal
8long2024-12-08 00:00 @ 1.532024-12-08 12:00 @ 1.5112h−$34.29-1.60%signal
9short2024-12-09 00:00 @ 1.522025-03-24 00:00 @ 0.21105d$1,863.88+87.41%signal
10long2025-03-24 12:00 @ 0.232025-03-25 12:00 @ 0.251d$194.71+7.49%signal
11short2025-03-26 00:00 @ 0.242025-04-12 12:00 @ 0.2617d 12h−$145.80-5.51%signal
12long2025-04-13 00:00 @ 0.272025-04-14 00:00 @ 0.241d−$240.18-9.20%signal
13long2025-04-14 12:00 @ 0.272025-04-15 00:00 @ 0.2812h$87.68+3.44%signal
14short2025-04-15 12:00 @ 0.252025-04-18 00:00 @ 0.252d 12h−$60.84-2.37%signal
15long2025-04-18 12:00 @ 0.242025-04-20 12:00 @ 0.242d$27.36+1.07%signal
16long2025-04-21 00:00 @ 0.252025-06-07 00:00 @ 0.3347d$738.94+28.82%signal
17short2025-06-07 12:00 @ 0.352025-06-08 00:00 @ 0.3512h$31.55+1.15%signal
18long2025-06-08 12:00 @ 0.362025-06-09 00:00 @ 0.3612h−$22.68-0.82%signal
19short2025-06-09 12:00 @ 0.382025-06-10 00:00 @ 0.4012h−$198.16-7.20%signal
20long2025-06-10 12:00 @ 0.402025-06-12 12:00 @ 0.352d−$351.71-13.02%signal
21short2025-06-13 00:00 @ 0.342025-07-15 00:00 @ 0.3732d−$216.20-8.27%signal
22long2025-07-15 12:00 @ 0.362025-07-18 12:00 @ 0.393d$201.62+7.88%signal
23short2025-07-19 00:00 @ 0.372025-07-19 12:00 @ 0.3812h−$67.43-2.58%signal
24long2025-07-20 00:00 @ 0.392025-07-25 00:00 @ 0.365d−$178.53-6.89%signal
25short2025-07-25 12:00 @ 0.372025-07-27 12:00 @ 0.382d−$94.05-3.69%signal
26long2025-07-28 00:00 @ 0.382025-08-01 00:00 @ 0.314d−$509.41-20.18%signal
27short2025-08-01 12:00 @ 0.302025-08-02 00:00 @ 0.3012h$37.32+1.56%signal
28long2025-08-02 12:00 @ 0.292025-08-03 00:00 @ 0.2912h−$67.64-2.81%signal
29short2025-08-03 12:00 @ 0.292025-08-04 00:00 @ 0.3012h−$7.51-0.31%signal
30long2025-08-04 12:00 @ 0.302025-08-17 00:00 @ 0.3012d 12h−$50.83-2.13%signal
31short2025-08-17 12:00 @ 0.302025-08-23 00:00 @ 0.305d 12h$12.46+0.52%signal
32short2025-08-23 12:00 @ 0.292026-01-05 00:00 @ 0.11134d 12h$1,497.44+62.96%signal
33long2026-01-05 12:00 @ 0.112026-01-09 00:00 @ 0.103d 12h−$157.93-5.74%signal
34short2026-01-09 12:00 @ 0.102026-01-10 12:00 @ 0.101d−$38.13-1.41%signal
35short2026-01-11 00:00 @ 0.102026-01-14 00:00 @ 0.113d−$231.65-8.57%signal
36short2026-01-14 12:00 @ 0.112026-01-15 12:00 @ 0.101d$215.85+8.16%signal
37short2026-01-16 00:00 @ 0.092026-03-19 00:00 @ 0.0662d$1,089.63+40.36%signal
38short2026-03-19 12:00 @ 0.052026-03-23 00:00 @ 0.053d 12h$152.66+5.14%signal
39long2026-03-23 12:00 @ 0.052026-03-24 00:00 @ 0.0512h$39.61+1.32%signal
40short2026-03-24 12:00 @ 0.052026-03-25 12:00 @ 0.051d−$196.78-6.52%signal
41long2026-03-26 00:00 @ 0.052026-03-27 00:00 @ 0.051d−$193.48-6.51%signal
42short2026-03-27 12:00 @ 0.052026-04-08 00:00 @ 0.0511d 12h−$181.42-6.21%signal
43long2026-04-08 12:00 @ 0.052026-05-01 00:00 @ 0.0622d 12h$284.86+9.90%signal
44long2026-05-01 12:00 @ 0.062026-05-29 00:00 @ 0.0527d 12h−$308.57-10.46%signal
45short2026-05-29 12:00 @ 0.052026-05-30 00:00 @ 0.0512h−$54.61-1.90%signal
46long2026-05-30 12:00 @ 0.052026-05-31 00:00 @ 0.0512h−$20.03-0.70%signal
47short2026-05-31 12:00 @ 0.052026-07-20 12:00 @ 0.0450d$407.34+14.28%signal
48long2026-07-21 00:00 @ 0.042026-07-28 12:00 @ 0.047d 12h−$232.57-7.87%signal
49short2026-07-29 00:00 @ 0.042026-07-29 12:00 @ 0.0412h−$0.26-0.01%signal
50short2026-07-30 00:00 @ 0.042026-08-02 12:00 @ 0.043d 12h−$258.86-8.94%signal
51long2026-08-03 00:00 @ 0.042026-08-05 00:00 @ 0.052d$28.15+0.99%signal
52short2026-08-05 12:00 @ 0.042026-08-07 00:00 @ 0.041d 12h$106.94+3.77%signal
53short2026-08-07 12:00 @ 0.042026-08-15 12:00 @ 0.048d$33.31+1.16%signal
54long2026-08-16 00:00 @ 0.042026-08-16 12:00 @ 0.0412h$13.87+0.48%signal
55short2026-08-17 00:00 @ 0.042026-08-22 00:00 @ 0.055d−$790.95-27.49%signal
56long2026-08-22 12:00 @ 0.062026-09-01 00:00 @ 0.059d 12h−$208.70-7.79%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.

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