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Commodities Momentum

ActiveFuturesMT5

lars.hVerified+·Commodities momentum · daysView trader

Return 12m

+42.3%

536 days of history

Max drawdown

20.4%

Current 13.7%

Sortino

1.79

Sharpe 1.11 · PSR 0.92

Compliance

15/17

88% of Epochs kept

Risk score

54 · Medium

Capacity used

95%

120/126 seats · $380k

Trade analytics

Last 30 closed trades · risk measured at the initial stop

Avg risk / trade

0.91%

median 0.92% · max 1.11%

Avg planned R:R

1 : 2.03

target distance ÷ stop distance

Realized R:R

1 : 1.89

avg win +1.65R · avg loss −0.87R

Expectancy

+0.22R

per trade

SQN

0.92

Poor

Kelly fraction

13.3%

optimal f · use ¼–½ in practice

Win rate

43.3%

profit factor 1.44

Consecutive W / L

3 / 4

longest streaks

Largest win / loss

+2.6R / −1.0R

Avg hold

7.1d / 5.8d

winners / losers

Avg MAE / MFE

0.67R / 1.06R

adverse / favorable excursion

Capture ratio

89%

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 +6.6R

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	10	20
Win rate	50%	40%
Expectancy	+0.42R	+0.12R
Total R	+4.2R	+2.4R
Equity PnL	+4.2%	+1.6%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Sep 25, 05:54	XAGUSD short	0.89%	1:2.2	−1.00R	8.9h
Sep 16, 20:16	XAUUSD long	0.83%	1:1.7	−0.85R	1.5d
Sep 11, 08:42	XAGUSD short	0.86%	1:1.9	−0.97R	1.7d
Aug 11, 14:43	UKOIL short	1.00%	1:1.8	−0.92R	13.0d
Jul 24, 11:28	XAUUSD long	0.91%	1:2.3	+2.26R	5.8d
Jul 10, 03:56	XAUUSD long	0.96%	1:2.5	+2.60R	3.9d
Jun 12, 21:10	UKOIL short	0.81%	1:2.2	−0.62R	1.9d
May 19, 02:46	XAGUSD short	0.99%	1:2.0	+1.67R	11.9d
May 18, 12:44	XAGUSD short	0.80%	1:1.8	−0.94R	4.6d
Apr 2, 00:08	UKOIL short	0.70%	1:2.0	+1.83R	1.2d
Mar 3, 13:22	XAGUSD short	0.93%	1:2.5	−1.02R	11.1d
Jan 5, 13:41	XAGUSD short	0.85%	1:1.8	−0.75R	5.9d

Performance statistics

Based on 30 trades over 536 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	1Y	All
Strategy	−5.3%	−1.5%	−0.3%	−3.7%	+22.7%	+42.3%	+49.6%
Followers	−5.3%	−1.5%	−0.3%	−3.7%	+22.7%	+42.3%	+49.6%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+84.4%
Excess vs BTC	−5.6%	−2.5%	−11.6%	−74.9%	−33.0%	−27.2%	−34.8%

Returns

Return 1m: −1.5%
Return 3m: −0.3%
Return 12m: +42.3%
Return since start: +49.6%
CAGR: +31.6%

Risk

Max drawdown: 20.4%
Volatility (ann.): 28.2%
Downside deviation: 17.6%
Ulcer index: 9.86%
VaR / CVaR 95% (daily): 2.19% / 2.74%
VaR / CVaR 99% (daily): 3.31% / 3.74%
Longest time under water: 187 days
Max / avg leverage: 3.4x / 1.5x
Top-3 trades share of PnL: 20%

Risk-adjusted

Sharpe: 1.11
Sortino: 1.79
Calmar: 1.55
Recovery factor: 2.43
Probabilistic Sharpe (PSR): 0.92
Omega ratio: 1.17
Gain-to-pain: 0.17

Trades

Trades: 30
Win rate: 46%
Payoff ratio: 1.93
Profit factor: 1.64
Expectancy: 52 bps
Tail ratio: 2.9
Avg holding time: 4.8 d

Consistency

Profitable months: 68%
Equity curve R²: 0.74
Longest losing streak: 10 days
Skew / kurtosis: 0.90 / 7.5
Consistency score: 59/100

Benchmark (vs BTC)

Beta: 0.09
Alpha (ann.): +26.0%
Correlation / R²: 0.19 / 0.03
Up / down capture: 16% / 10%
Tracking error: 57.6%
Information ratio: -0.45

Strategy vs BTC

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

Daily return pair365 daysFit · β0.09

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.06Correlation0.10

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d0.10Volatility 90d28.5%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−2.19%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−20.4%	Apr 2, 2026	Aug 6, 2026	Ongoing	126 d	—
2	−19.2%	Jul 24, 2025	Oct 16, 2025	Jan 17, 2026	84 d	93 d
3	−8.5%	Apr 18, 2025	May 22, 2025	Jun 12, 2025	34 d	21 d
4	−5.7%	Jan 21, 2026	Feb 11, 2026	Feb 28, 2026	21 d	17 d
5	−4.7%	Mar 23, 2026	Mar 27, 2026	Mar 30, 2026	4 d	3 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

45%

55%

46%

47%

50%

47%

52%

Exposure

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

Gross exposure111% of equityPeak166%

Average share of exposure

XAGUSD67% · 76.6%
UKOIL23% · 26.3%
XAUUSD9% · 10.6%

Performance by instrument

Share of net PnL