[Famous-Q] Time-series momentum (90-bar)
publicmade in Claude Code
@djgambhirWIFUSDT · Binance USD-M perpetual · 12h · 2024-03-03 → 2026-09-01 · 1,824 bars in 12.2ms
The rules
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WIFUSDT with every trade
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Month by month
17 of 31 months up · best +42.7% Mar 2024 · worst −19.8% Apr 2024 · 4 losing months in a row at worst
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | · | · | +42.7% | −19.8% | −8.0% | −1.1% | −3.2% | +4.6% | −0.9% | −1.2% | +8.8% | −15.8% | −5.4% |
| 2025 | +9.8% | +6.1% | +2.4% | +2.7% | +9.7% | −11.2% | −7.9% | −2.4% | −2.9% | +5.7% | +3.8% | +2.3% | +16.6% |
| 2026 | +1.3% | +3.5% | +0.6% | −5.1% | −3.4% | +3.6% | +2.0% | −8.3% | +0.5% | · | · | · | −5.9% |
Training · validation · out-of-sample
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Risk-adjusted
- Sharpe
- 0.23
- Sortino
- 0.35
- Calmar
- 0.04
- Return ÷ max drawdown
- 0.10
- CAGR
- +1.52%
- Exposure
- 96.5%
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Costs and mechanics
- Fees paid
- −$166.22
- Funding
- −$524.47
- Liquidations
- 0
- Warmup bars(the market’s first candles)
- 90
- Benchmark(buy and hold)
- -87.53%
Monte Carlo
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All 63 trades
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How this was run
Orders fill at the next candle’s open, never at the close that produced the signal. When one candle’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.
The period asked for began 2022-09-09, and the archive has too little WIFUSDT history before then to warm up on, so the test starts at 2024-03-03: the first candle with every indicator ready.