Backtest
Total Return+19.2%
Sharpe Ratio1.35
Sortino2.05
Max Drawdown-14.3%
Win Rate56%
Profit Factor1.95
Walk-Forward Equity Curve12mo · vs SPY benchmark
Monthly Returns% per month
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
2025
+0.7
-0.2
+1.8
+0.0
+0.9
+2.0
+0.7
+0.4
2026
-0.8
+0.1
+1.6
+1.6
+1.8
-10%
+10%
By Strategy
| Strategy | Trades | Win % | Sharpe | Sortino | Expect. | PNL |
|---|---|---|---|---|---|---|
| exhaustion | 78 | 51% | 1.27 | 1.97 | +0.94R | +20.3% |
| mean revert RSI | 106 | 55% | 1.37 | 2.21 | +0.70R | +20.9% |
| vol breakout | 68 | 55% | 1.26 | 2.18 | +1.00R | +9.1% |
| donchian breakout 55 | 55 | 49% | 0.85 | 1.20 | +0.68R | +23.9% |
| donchian breakout 20 | 149 | 62% | 1.53 | 1.91 | +1.12R | +23.0% |
| momentum zscore | 131 | 62% | 1.50 | 2.47 | +1.08R | +15.4% |
Drawdownunderwater curve
Trade Return Distribution