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Commodities Momentum

ActiveFuturesMT5

samir.aVerified+·Commodities momentum · daysView trader

Return 12m

+16.1%

623 days of history

Max drawdown

10.2%

Current 0.8%

Sortino

2.65

Sharpe 1.74 · PSR 0.99

Compliance

15/20

75% of Epochs kept

Risk score

50 · Medium

Capacity used

60%

78/130 seats · $390k

Trade analytics

Last 31 closed trades · risk measured at the initial stop

Avg risk / trade

0.83%

median 0.83% · max 1.05%

Avg planned R:R

1 : 1.73

target distance ÷ stop distance

Realized R:R

1 : 1.89

avg win +1.50R · avg loss −0.79R

Expectancy

+0.39R

per trade

SQN

1.81

Average

Kelly fraction

26.1%

optimal f · use ¼–½ in practice

Win rate

51.6%

profit factor 2.02

Consecutive W / L

6 / 5

longest streaks

Largest win / loss

+2.1R / −1.0R

Avg hold

4.7d / 4.9d

winners / losers

Avg MAE / MFE

0.60R / 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 +12.1R

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	16	15
Win rate	56%	47%
Expectancy	+0.59R	+0.18R
Total R	+9.4R	+2.7R
Equity PnL	+7.7%	+2.2%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Sep 15, 20:58	XAGUSD short	0.70%	1:1.7	−0.79R	4.0d
Sep 14, 05:46	XAUUSD long	0.71%	1:1.4	−0.83R	2.7d
Jul 29, 10:46	USOIL short	0.97%	1:1.5	−0.80R	11.5d
Jul 20, 05:22	XAUUSD short	1.01%	1:1.7	−0.67R	1.0d
Jul 13, 21:39	XAGUSD long	0.83%	1:1.5	−0.70R	2.5d
Jul 10, 05:04	XAGUSD short	0.83%	1:1.5	+1.20R	5.7d
Jul 6, 03:03	XAUUSD long	0.71%	1:1.9	+2.14R	7.9d
Jul 3, 07:36	XAGUSD long	0.83%	1:1.6	+1.88R	2.3d
Jun 18, 21:20	XAGUSD long	0.85%	1:1.8	+2.05R	4.4d
Jun 12, 14:11	USOIL short	0.91%	1:2.2	−0.99R	9.3d
Jun 10, 22:37	XAUUSD short	0.73%	1:1.7	−0.95R	3.8d
Jun 8, 10:20	USOIL short	0.86%	1:2.1	−1.04R	2.3d

Performance statistics

Based on 31 trades over 623 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	+0.0%	+2.2%	+9.3%	+3.3%	+13.9%	+16.1%	+36.8%
Followers	+0.0%	+2.2%	+9.3%	+3.3%	+13.9%	+16.1%	+36.7%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+148.6%
Excess vs BTC	−0.4%	+1.2%	−2.0%	−67.9%	−41.8%	−53.4%	−111.9%

Returns

Return 1m: +2.2%
Return 3m: +9.3%
Return 12m: +16.1%
Return since start: +36.8%
CAGR: +20.1%

Risk

Max drawdown: 10.2%
Volatility (ann.): 10.9%
Downside deviation: 7.2%
Ulcer index: 3.91%
VaR / CVaR 95% (daily): 0.86% / 1.20%
VaR / CVaR 99% (daily): 1.64% / 1.93%
Longest time under water: 162 days
Max / avg leverage: 3.3x / 1.5x
Top-3 trades share of PnL: 19%

Risk-adjusted

Sharpe: 1.74
Sortino: 2.65
Calmar: 1.97
Recovery factor: 3.60
Probabilistic Sharpe (PSR): 0.99
Omega ratio: 1.27
Gain-to-pain: 0.27

Trades

Trades: 31
Win rate: 48%
Payoff ratio: 1.68
Profit factor: 1.55
Expectancy: 22 bps
Tail ratio: 2.8
Avg holding time: 5.2 d

Consistency

Profitable months: 68%
Equity curve R²: 0.80
Longest losing streak: 11 days
Skew / kurtosis: 0.06 / 5.4
Consistency score: 62/100

Benchmark (vs BTC)

Beta: 0.04
Alpha (ann.): +16.5%
Correlation / R²: 0.18 / 0.03
Up / down capture: 5% / 1%
Tracking error: 53.7%
Information ratio: -0.92

Strategy vs BTC

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

Daily return pair365 daysFit · β0.04

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta0.06Correlation0.26

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d3.41Volatility 90d11.9%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.86%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−10.2%	Mar 24, 2026	Jun 15, 2026	Sep 3, 2026	83 d	80 d
2	−8.6%	May 19, 2025	Jul 2, 2025	Sep 30, 2025	44 d	90 d
3	−5.3%	Oct 22, 2025	Nov 5, 2025	Dec 7, 2025	14 d	32 d
4	−3.5%	Sep 7, 2026	Sep 19, 2026	Sep 29, 2026	12 d	10 d
5	−3.3%	Mar 25, 2025	Apr 15, 2025	May 19, 2025	21 d	34 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

49%

56%

61%

54%

47%

53%

61%

Exposure

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

Gross exposure146% of equityPeak159%

Average share of exposure

USOIL43% · 42.6%
XAUUSD35% · 34.7%
XAGUSD22% · 21.6%

Performance by instrument

Share of net PnL