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Commodities Momentum Core

ActiveFuturesMT5

taro.iqConnected·Commodities momentum · daysView trader

Return (all)

+10.3%

230 days of history

Max drawdown

12.4%

Current 7.5%

Sortino

1.22

Sharpe 0.86 · PSR 0.75

Compliance

6/7

86% of Epochs kept

Risk score

41 · Medium

Capacity used

73%

218/300 seats · $900k

Trade analytics

Last 30 closed trades · risk measured at the initial stop

Avg risk / trade

0.75%

median 0.76% · max 0.94%

Avg planned R:R

1 : 1.81

target distance ÷ stop distance

Realized R:R

1 : 1.77

avg win +1.58R · avg loss −0.89R

Expectancy

+0.26R

per trade

SQN

1.11

Poor

Kelly fraction

16.6%

optimal f · use ¼–½ in practice

Win rate

46.7%

profit factor 1.55

Consecutive W / L

4 / 4

longest streaks

Largest win / loss

+2.3R / −1.4R

Avg hold

2.5d / 1.7d

winners / losers

Avg MAE / MFE

0.68R / 1.08R

adverse / favorable excursion

Capture ratio

83%

of MFE kept by winners

R-multiple distribution

How many trades ended at each multiple of initial risk

Cumulative R

Trade-by-trade equity in R units · total +7.9R

Risk per trade

% of equity at risk on each trade, with the average line

Performance by time

Total R by day of week or close hour (UTC)

Long vs short

	Long	Short
Trades	20	10
Win rate	45%	50%
Expectancy	+0.22R	+0.35R
Total R	+4.4R	+3.5R
Equity PnL	+4.5%	+2.1%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Sep 28, 06:31	USOIL long	0.58%	1:1.8	−0.88R	4.6d
Sep 17, 05:46	USOIL short	0.84%	1:2.1	−0.97R	5.3h
Sep 14, 17:28	USOIL long	0.81%	1:2.2	−0.79R	2.0h
Sep 4, 04:01	UKOIL short	0.70%	1:2.2	+1.75R	3.2d
Sep 3, 21:48	UKOIL long	0.67%	1:1.6	−0.92R	3.6d
Sep 2, 06:27	UKOIL short	0.73%	1:1.4	+1.36R	8.1h
Sep 1, 03:06	UKOIL short	0.82%	1:2.1	−0.80R	12.5h
Aug 28, 18:58	USOIL short	0.72%	1:1.8	−0.74R	6.6d
Aug 21, 07:37	USOIL long	0.76%	1:1.6	+1.00R	5.8h
Aug 3, 15:52	UKOIL long	0.90%	1:2.1	+1.81R	1.0d
Jul 23, 22:35	COPPER long	0.80%	1:1.5	−0.71R	1.5h
Jul 8, 03:49	USOIL long	0.74%	1:2.1	+2.06R	6.4d

Performance statistics

Based on 30 trades over 230 days. Metric set v1.4 · recomputable from raw exchange data.Thin sample — treat with caution

Trailing returns

Strategy NAV, realized follower results after costs, and BTC over the same windows

Period	1W	1M	3M	6M	YTD	All
Strategy	−4.1%	+3.9%	−2.9%	+7.9%	+10.3%	+10.3%
Followers	−4.1%	+3.9%	−2.9%	+7.9%	+10.3%	+10.3%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+26.1%	+26.1%
Excess vs BTC	−4.5%	+2.9%	−14.2%	−63.3%	−15.8%	−15.8%

Returns

Return 1m: +3.9%
Return 3m: −2.9%
Return 12m: Insufficient data
Return since start: +10.3%
CAGR: +16.8%

Risk

Max drawdown: 12.4%
Volatility (ann.): 20.5%
Downside deviation: 14.4%
Ulcer index: 5.50%
VaR / CVaR 95% (daily): 1.68% / 2.37%
VaR / CVaR 99% (daily): 3.39% / 3.62%
Longest time under water: 105 days
Max / avg leverage: 3x / 1.4x
Top-3 trades share of PnL: 17%

Risk-adjusted

Sharpe: 0.86
Sortino: 1.22
Calmar: 1.36
Recovery factor: 0.83
Probabilistic Sharpe (PSR): 0.75
Omega ratio: 1.13
Gain-to-pain: 0.13

Trades

Trades: 30
Win rate: 45%
Payoff ratio: 1.69
Profit factor: 1.38
Expectancy: 5 bps
Tail ratio: 2.6
Avg holding time: 3.1 d

Consistency

Profitable months: 56%
Equity curve R²: 0.29
Longest losing streak: 4 days
Skew / kurtosis: -0.27 / 4.0
Consistency score: 68/100

Benchmark (vs BTC)

Beta: 0.05
Alpha (ann.): +15.0%
Correlation / R²: 0.14 / 0.02
Up / down capture: 11% / 7%
Tracking error: 58.2%
Information ratio: -0.61

Strategy vs BTC

Daily return pairs with the regression fit (slope = beta), and how beta and correlation change over time

Daily return pair230 daysFit · β0.05

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.06Correlation0.14

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d-0.44Volatility 90d21.7%

Volatility (ann.)

Return distribution

Daily returns vs a fitted normal curve — bars beyond the curve are fat-tail days

Up daysDown daysNormal fitVaR 95%−1.68%

Worst drawdowns

The five deepest peak-to-trough episodes and how long recovery took

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−12.4%	Jun 23, 2026	Jul 31, 2026	Ongoing	38 d	—
2	−6.3%	May 4, 2026	Jun 10, 2026	Jun 18, 2026	37 d	8 d
3	−3.2%	Mar 7, 2026	Mar 20, 2026	Mar 29, 2026	13 d	9 d
4	−2.9%	Apr 2, 2026	Apr 6, 2026	Apr 11, 2026	4 d	5 d
5	−2.9%	Feb 21, 2026	Feb 28, 2026	Mar 7, 2026	7 d	7 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

64%

55%

50%

36%

45%

58%

61%

Exposure

Gross exposure, % of equity (last 120 days), and where it sits

Gross exposure64% of equityPeak154%

Average share of exposure

UKOIL59% · 60.1%
USOIL30% · 31%
COPPER11% · 10.8%

Performance by instrument

Share of net PnL