[Famous-Q] Time-series momentum (90-bar)
public
@djgambhirNEIROUSDT · 12h · 2024-10-31 → 2026-09-01 · 1,341 bars in 1.9ms
Net P&L
-19.10%
−$1,910.33
Max drawdown
-37.13%
Max run-up
+26.16%
Trades
40
30.0% win rate
Profit factor
0.73
2024-10-31drawdown · worst -37.13%2026-09-01
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2024-10-31 → 2025-12-07 | -13.63% | -37.13% | 28 | 32% |
| Validation | 2025-12-07 → 2026-04-20 | -0.83% | -9.68% | 8 | 25% |
| Out-of-sample | 2026-04-20 → 2026-09-01 | -5.54% | -13.07% | 4 | 25% |
Risk-adjusted
- Sharpe
- -0.23
- Sortino
- -0.34
- Calmar
- -0.29
- Return ÷ max drawdown
- -0.51
- CAGR
- -10.91%
- Exposure
- 96.9%
Per trade
- Expectancy
- −$47.76 · -1.50%
- Average win / loss
- $422.48 / −$249.29
- Payoff ratio
- 1.69
- Largest win / loss
- $1,766.73 / −$1,156.15
- Longest losing streak(winning: 2)
- 7 trades
Drawdown over time
- Max drawdown
- -37.13%
- Longest time under water(still going at the end)
- 660 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$86.95
- Funding
- $2.91
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 90
- Benchmark(buy and hold)
- -94.83%
Monte Carlo
1,000 alternative histories, each 40 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 | -52.80% | -20.83% | +45.80% |
| Max drawdown | -57.03% | -34.97% | -16.52% |
76% of histories lost money, and 44% had a deeper drawdown than this run’s -37.13%. 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
NEIROUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
40 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 40 | long | 2026-08-21 00:00 @ 0.00 | 2026-09-01 00:00 @ 0.00 | 11d | −$106.55 | -5.20% | end of data |
| 39 | short | 2026-08-17 12:00 @ 0.00 | 2026-08-20 12:00 @ 0.00 | 3d | −$538.20 | -24.65% | signal |
| 38 | long | 2026-08-09 00:00 @ 0.00 | 2026-08-17 00:00 @ 0.00 | 8d | −$96.03 | -4.35% | signal |
| 37 | short | 2026-06-01 00:00 @ 0.00 | 2026-08-08 12:00 @ 0.00 | 68d 12h | $443.89 | +21.17% | signal |
| 36 | long | 2026-04-16 12:00 @ 0.00 | 2026-05-31 12:00 @ 0.00 | 45d | −$202.30 | -9.42% | signal |
| 35 | short | 2026-04-15 12:00 @ 0.00 | 2026-04-16 00:00 @ 0.00 | 12h | −$396.52 | -17.65% | signal |
| 34 | long | 2026-04-14 12:00 @ 0.00 | 2026-04-15 00:00 @ 0.00 | 12h | $28.30 | +1.26% | signal |
| 33 | short | 2026-01-17 12:00 @ 0.00 | 2026-04-14 00:00 @ 0.00 | 86d 12h | $965.29 | +48.31% | signal |
| 32 | long | 2026-01-14 12:00 @ 0.00 | 2026-01-17 00:00 @ 0.00 | 2d 12h | −$125.77 | -6.20% | signal |
| 31 | short | 2026-01-12 12:00 @ 0.00 | 2026-01-14 00:00 @ 0.00 | 1d 12h | −$191.83 | -9.23% | signal |
| 30 | long | 2026-01-11 12:00 @ 0.00 | 2026-01-12 00:00 @ 0.00 | 12h | −$71.02 | -3.39% | signal |
| 29 | long | 2026-01-04 12:00 @ 0.00 | 2026-01-11 00:00 @ 0.00 | 6d 12h | −$250.16 | -11.59% | signal |
| 28 | short | 2025-09-14 00:00 @ 0.00 | 2026-01-04 00:00 @ 0.00 | 112d | $1,220.77 | +65.90% | signal |
| 27 | short | 2025-08-17 00:00 @ 0.00 | 2025-09-13 12:00 @ 0.00 | 27d 12h | −$96.42 | -5.14% | signal |
| 26 | long | 2025-08-15 12:00 @ 0.00 | 2025-08-16 12:00 @ 0.00 | 1d | −$52.83 | -2.80% | signal |
| 25 | long | 2025-08-09 00:00 @ 0.00 | 2025-08-15 00:00 @ 0.00 | 6d | −$111.12 | -5.79% | signal |
| 24 | long | 2025-08-05 00:00 @ 0.00 | 2025-08-08 12:00 @ 0.00 | 3d 12h | $1.61 | +0.08% | signal |
| 23 | long | 2025-08-03 12:00 @ 0.00 | 2025-08-04 12:00 @ 0.00 | 1d | $20.36 | +1.07% | signal |
| 22 | long | 2025-08-02 12:00 @ 0.00 | 2025-08-03 00:00 @ 0.00 | 12h | −$39.31 | -2.05% | signal |
| 21 | short | 2025-08-01 12:00 @ 0.00 | 2025-08-02 00:00 @ 0.00 | 12h | $38.40 | +2.01% | signal |
| 20 | long | 2025-07-28 00:00 @ 0.00 | 2025-08-01 00:00 @ 0.00 | 4d | −$334.20 | -16.74% | signal |
| 19 | short | 2025-07-25 12:00 @ 0.00 | 2025-07-27 12:00 @ 0.00 | 2d | −$44.20 | -2.20% | signal |
| 18 | long | 2025-07-15 00:00 @ 0.00 | 2025-07-25 00:00 @ 0.00 | 10d | −$136.08 | -6.67% | signal |
| 17 | short | 2025-07-12 00:00 @ 0.00 | 2025-07-14 12:00 @ 0.00 | 2d 12h | $69.75 | +3.45% | signal |
| 16 | short | 2025-06-26 12:00 @ 0.00 | 2025-07-11 12:00 @ 0.00 | 15d | −$1,156.15 | -50.00% | signal |
| 15 | long | 2025-05-10 00:00 @ 0.00 | 2025-06-26 00:00 @ 0.00 | 47d | $195.52 | +8.64% | signal |
| 14 | short | 2025-05-04 00:00 @ 0.00 | 2025-05-09 12:00 @ 0.00 | 5d 12h | −$1,000.57 | -39.80% | signal |
| 13 | long | 2025-05-03 00:00 @ 0.00 | 2025-05-03 12:00 @ 0.00 | 12h | −$189.04 | -7.38% | signal |
| 12 | short | 2025-04-28 00:00 @ 0.00 | 2025-05-02 12:00 @ 0.00 | 4d 12h | −$225.89 | -8.63% | signal |
| 11 | long | 2025-04-26 12:00 @ 0.00 | 2025-04-27 12:00 @ 0.00 | 1d | −$178.72 | -6.71% | signal |
| 10 | short | 2024-12-19 12:00 @ 0.00 | 2025-04-26 00:00 @ 0.00 | 127d 12h | $1,766.73 | +79.56% | signal |
| 9 | long | 2024-12-16 12:00 @ 0.00 | 2024-12-19 00:00 @ 0.00 | 2d 12h | −$538.67 | -22.87% | signal |
| 8 | short | 2024-12-15 12:00 @ 0.00 | 2024-12-16 00:00 @ 0.00 | 12h | −$71.97 | -3.03% | signal |
| 7 | long | 2024-12-14 12:00 @ 0.00 | 2024-12-15 00:00 @ 0.00 | 12h | −$51.09 | -2.14% | signal |
| 6 | long | 2024-12-07 00:00 @ 0.00 | 2024-12-14 00:00 @ 0.00 | 7d | −$112.90 | -4.68% | signal |
| 5 | long | 2024-12-06 00:00 @ 0.00 | 2024-12-06 12:00 @ 0.00 | 12h | −$50.03 | -2.06% | signal |
| 4 | short | 2024-12-02 12:00 @ 0.00 | 2024-12-05 12:00 @ 0.00 | 3d | −$64.55 | -2.64% | signal |
| 3 | short | 2024-11-26 12:00 @ 0.00 | 2024-12-02 00:00 @ 0.00 | 5d 12h | −$547.95 | -21.24% | signal |
| 2 | long | 2024-11-24 12:00 @ 0.00 | 2024-11-26 00:00 @ 0.00 | 1d 12h | $138.34 | +5.44% | signal |
| 1 | long | 2024-10-31 12:00 @ 0.00 | 2024-11-24 00:00 @ 0.00 | 23d 12h | $180.79 | +7.23% | 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.