[Mine-Q] Trend + momentum ensemble

public
@djgambhir

NEIROUSDT · 12h · 2024-11-29 → 2026-09-01 · 1,282 bars in 6.8ms

Net P&L
+33.76%
$3,375.57
Max drawdown
-27.96%
Max run-up
+69.33%
Trades
39
41.0% win rate
Profit factor
1.62
2024-11-29drawdown · worst -27.96%2026-09-01
TrainingValidationOut-of-sample
SegmentPeriodReturnMax drawdownTradesWin rate
Training2024-11-29 → 2025-12-18+32.15%-27.96%2236%
Validation2025-12-18 → 2026-04-25+8.95%-9.56%863%
Out-of-sample2026-04-25 → 2026-09-01-7.10%-12.70%933%

Risk-adjusted

Sharpe
0.74
Sortino
1.22
Calmar
0.65
Return ÷ max drawdown
1.21
CAGR
+18.04%
Exposure
80.8%

Per trade

Expectancy
$86.55 · +3.47%
Average win / loss
$554.01 / −$238.63
Payoff ratio
2.32
Largest win / loss
$1,787.18 / −$597.84
Longest losing streak(winning: 4)
5 trades

Drawdown over time

Max drawdown
-27.96%
Longest time under water
333 days
Worst drawdown recovered in
333 days
Under water at the end
138 days

Costs and mechanics

Fees paid
−$117.80
Funding
$72.36
Liquidations
0
Warmup bars(loaded before the start date)
149
Benchmark(buy and hold)
-95.59%

Monte Carlo

1,000 alternative histories, each 39 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-17.83%+30.13%+125.52%
Max drawdown-28.23%-15.28%-8.22%

18% of histories lost money, and 6% had a deeper drawdown than this run’s -27.96%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.

Settings

ema200 length
150
ema50 length
50
roc20 length
20
macd fast length
12
macd slow length
26
macd signal length
9
atr14 length
14
Long entry: roc20 > ▢
0
Long entry: macd.hist > ▢
0
Short entry: roc20 < ▢
0
Short entry: macd.hist < ▢
0
Stop loss (× atr14)
3
Leverage (×)
1
Position size (% of equity)
25

2 variants tested of this strategy. Across that many tries, luck alone would be expected to reach a Sharpe of about 0.39 — this run’s 0.74 is above it, which is a start, not proof.

NEIROUSDT with every trade

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

Trades

39 trades

#SideEntryExitHeldP&LReturnClosed by
1long2024-12-01 00:00 @ 0.002024-12-01 12:00 @ 0.0012h−$36.75-1.47%signal
2long2024-12-02 00:00 @ 0.002024-12-02 12:00 @ 0.0012h−$378.23-15.19%signal
3long2024-12-03 00:00 @ 0.002024-12-03 12:00 @ 0.0012h−$100.72-4.20%signal
4long2024-12-07 00:00 @ 0.002024-12-09 12:00 @ 0.002d 12h$54.01+2.28%signal
5short2024-12-11 00:00 @ 0.002025-02-27 00:00 @ 0.0078d$1,787.18+74.95%signal
6short2025-03-03 12:00 @ 0.002025-03-26 12:00 @ 0.0023d$326.55+11.53%signal
7short2025-03-28 12:00 @ 0.002025-04-22 12:00 @ 0.0025d$483.58+16.60%signal
8short2025-05-04 00:00 @ 0.002025-05-08 12:00 @ 0.004d 12h−$37.27-1.23%signal
9long2025-05-09 12:00 @ 0.002025-05-30 12:00 @ 0.0021d$1,372.25+45.37%signal
10short2025-06-07 00:00 @ 0.002025-06-10 00:00 @ 0.003d−$597.84-17.75%signal
11long2025-06-10 12:00 @ 0.002025-06-13 00:00 @ 0.002d 12h−$587.83-18.27%signal
12short2025-06-13 12:00 @ 0.002025-06-24 12:00 @ 0.0011d−$126.91-4.13%reverse
13long2025-06-25 00:00 @ 0.002025-06-25 12:00 @ 0.0012h−$64.32-2.12%signal
14long2025-06-30 00:00 @ 0.002025-06-30 12:00 @ 0.0012h−$107.39-3.55%signal
15long2025-07-03 00:00 @ 0.002025-07-24 00:00 @ 0.0021d$27.15+0.91%signal
16short2025-07-29 00:00 @ 0.002025-08-11 00:00 @ 0.0013d−$12.86-0.43%signal
17long2025-08-13 00:00 @ 0.002025-08-15 00:00 @ 0.002d−$316.66-10.55%signal
18short2025-08-15 12:00 @ 0.002025-08-23 00:00 @ 0.007d 12h−$174.81-5.98%signal
19short2025-08-26 00:00 @ 0.002025-09-09 00:00 @ 0.0014d−$293.79-10.21%signal
20long2025-09-13 00:00 @ 0.002025-09-15 12:00 @ 0.002d 12h−$312.03-11.13%signal
21short2025-09-19 00:00 @ 0.002025-12-04 00:00 @ 0.0076d$1,712.52+62.83%signal
22short2025-12-13 00:00 @ 0.002026-01-02 00:00 @ 0.0020d$56.26+1.78%signal
23short2026-01-13 00:00 @ 0.002026-01-13 12:00 @ 0.0012h−$125.02-3.95%signal
24short2026-01-14 12:00 @ 0.002026-01-15 00:00 @ 0.0012h$120.66+3.85%signal
25short2026-01-15 12:00 @ 0.002026-01-16 00:00 @ 0.0012h$67.37+2.13%signal
26short2026-01-16 12:00 @ 0.002026-01-17 00:00 @ 0.0012h−$30.86-0.97%signal
27short2026-01-17 12:00 @ 0.002026-01-18 00:00 @ 0.0012h$51.13+1.61%signal
28short2026-01-18 12:00 @ 0.002026-03-13 00:00 @ 0.0053d 12h$1,369.82+42.96%signal
29short2026-03-20 12:00 @ 0.002026-04-14 00:00 @ 0.0024d 12h−$164.09-4.65%signal
30long2026-04-16 00:00 @ 0.002026-05-16 12:00 @ 0.0030d 12h$415.01+11.89%signal
31long2026-05-22 00:00 @ 0.002026-05-23 12:00 @ 0.001d 12h−$408.44-11.36%signal
32long2026-05-24 00:00 @ 0.002026-05-26 12:00 @ 0.002d 12h−$242.18-6.94%signal
33short2026-05-27 00:00 @ 0.002026-07-04 00:00 @ 0.0038d$777.13+22.65%signal
34short2026-07-09 12:00 @ 0.002026-07-26 12:00 @ 0.0017d$16.03+0.44%signal
35short2026-07-30 00:00 @ 0.002026-08-01 00:00 @ 0.002d−$360.00-9.92%signal
36long2026-08-10 00:00 @ 0.002026-08-11 12:00 @ 0.001d 12h−$486.03-13.73%stop loss
37long2026-08-12 00:00 @ 0.002026-08-14 12:00 @ 0.002d 12h−$216.67-6.34%signal
38short2026-08-18 12:00 @ 0.002026-08-20 00:00 @ 0.001d 12h−$307.84-9.15%signal
39long2026-08-20 12:00 @ 0.002026-09-01 00:00 @ 0.0011d 12h$227.48+6.92%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.

← Browse other results