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Commodities Momentum

ActiveFuturesMT5

diego.oqVerified+·Commodities momentum · daysView trader

Return (all)

+18.3%

267 days of history

Max drawdown

14.9%

Current 8.6%

Sortino

1.48

Sharpe 0.95 · PSR 0.79

Compliance

7/8

88% of Epochs kept

Risk score

44 · Medium

Capacity used

89%

304/343 seats · $1M

Trade analytics

Last 30 closed trades · risk measured at the initial stop

Avg risk / trade

0.77%

median 0.75% · max 0.96%

Avg planned R:R

1 : 2.43

target distance ÷ stop distance

Realized R:R

1 : 2.25

avg win +1.95R · avg loss −0.87R

Expectancy

+0.16R

per trade

SQN

0.64

Poor

Kelly fraction

8.5%

optimal f · use ¼–½ in practice

Win rate

36.7%

profit factor 1.30

Consecutive W / L

4 / 5

longest streaks

Largest win / loss

+2.7R / −1.2R

Avg hold

3.8d / 3.6d

winners / losers

Avg MAE / MFE

0.69R / 1.10R

adverse / favorable excursion

Capture ratio

82%

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 +4.9R

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	17	13
Win rate	41%	31%
Expectancy	+0.27R	+0.03R
Total R	+4.6R	+0.4R
Equity PnL	+2.9%	+0.6%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 06:16	COPPER short	0.81%	1:2.1	+1.50R	4.5d
Sep 28, 00:56	COPPER long	0.71%	1:2.1	−0.89R	3.0d
Sep 8, 05:53	UKOIL short	0.92%	1:2.1	−0.78R	1.6h
Sep 4, 16:02	COPPER long	0.60%	1:2.3	+1.91R	2.5d
Sep 3, 18:03	COPPER long	0.65%	1:2.7	−1.17R	4.9d
Sep 2, 01:06	XAGUSD long	0.60%	1:2.3	−0.61R	3.0d
Aug 12, 06:56	COPPER long	0.93%	1:2.3	+2.66R	11.1h
Aug 10, 16:40	COPPER long	0.91%	1:2.6	−0.91R	12.7d
Aug 5, 13:19	XAGUSD short	0.72%	1:2.4	−0.81R	1.2d
Jul 27, 11:17	UKOIL short	0.69%	1:3.0	−1.14R	17.7h
Jul 13, 08:59	UKOIL short	0.70%	1:2.8	−0.63R	1.3h
Jun 26, 17:33	XAGUSD long	0.60%	1:2.2	+1.74R	16.6h

Performance statistics

Based on 30 trades over 267 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	−7.4%	−1.7%	+1.1%	+15.8%	+18.3%	+18.3%
Followers	−7.4%	−1.7%	+1.1%	+15.8%	+18.3%	+18.3%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+42.4%	+42.4%
Excess vs BTC	−7.8%	−2.7%	−10.2%	−55.4%	−24.1%	−24.1%

Returns

Return 1m: −1.7%
Return 3m: +1.1%
Return 12m: Insufficient data
Return since start: +18.3%
CAGR: +25.8%

Risk

Max drawdown: 14.9%
Volatility (ann.): 28.2%
Downside deviation: 18.2%
Ulcer index: 7.15%
VaR / CVaR 95% (daily): 2.13% / 2.88%
VaR / CVaR 99% (daily): 3.59% / 3.65%
Longest time under water: 141 days
Max / avg leverage: 3.1x / 1.4x
Top-3 trades share of PnL: 18%

Risk-adjusted

Sharpe: 0.95
Sortino: 1.48
Calmar: 1.73
Recovery factor: 1.23
Probabilistic Sharpe (PSR): 0.79
Omega ratio: 1.14
Gain-to-pain: 0.14

Trades

Trades: 30
Win rate: 43%
Payoff ratio: 2.29
Profit factor: 1.73
Expectancy: 11 bps
Tail ratio: 2.7
Avg holding time: 3.9 d

Consistency

Profitable months: 60%
Equity curve R²: 0.55
Longest losing streak: 7 days
Skew / kurtosis: 0.39 / 4.1
Consistency score: 71/100

Benchmark (vs BTC)

Beta: 0.05
Alpha (ann.): +23.8%
Correlation / R²: 0.10 / 0.01
Up / down capture: 8% / 2%
Tracking error: 61.5%
Information ratio: -0.62

Strategy vs BTC

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

Daily return pair267 daysFit · β0.05

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta0.07Correlation0.13

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d0.69Volatility 90d29.7%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−2.13%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−14.9%	Feb 24, 2026	Apr 26, 2026	Jul 16, 2026	61 d	81 d
2	−9.5%	Jul 28, 2026	Sep 12, 2026	Sep 23, 2026	46 d	11 d
3	−8.6%	Sep 28, 2026	Oct 6, 2026	Ongoing	8 d	—
4	−2.9%	Feb 17, 2026	Feb 19, 2026	Feb 22, 2026	2 d	3 d
5	−2.7%	Jul 16, 2026	Jul 21, 2026	Jul 25, 2026	5 d	4 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

55%

44%

42%

45%

58%

55%

53%

Exposure

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

Gross exposure72% of equityPeak105%

Average share of exposure

COPPER52% · 33.3%
UKOIL33% · 21.5%
XAGUSD15% · 9.6%

Performance by instrument

Share of net PnL