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Commodities Momentum X

ActiveFuturesMT5

nadia.nVerified+·Commodities momentum · daysView trader

Return (all)

−5.4%

167 days of history

Max drawdown

10.7%

Current 7.9%

Sortino

-0.77

Sharpe -0.56 · PSR 0.35

Compliance

4/5

80% of Epochs kept

Risk score

57 · Medium

Capacity used

19%

27/140 seats · $420k

Trade analytics

Last 30 closed trades · risk measured at the initial stop

Avg risk / trade

0.89%

median 0.85% · max 1.15%

Avg planned R:R

1 : 1.74

target distance ÷ stop distance

Realized R:R

1 : 1.88

avg win +1.51R · avg loss −0.81R

Expectancy

+0.12R

per trade

SQN

0.57

Poor

Kelly fraction

8.0%

optimal f · use ¼–½ in practice

Win rate

40.0%

profit factor 1.25

Consecutive W / L

3 / 5

longest streaks

Largest win / loss

+2.2R / −1.0R

Avg hold

6.9d / 7.4d

winners / losers

Avg MAE / MFE

0.61R / 0.96R

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 +3.6R

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	22	8
Win rate	55%	0%
Expectancy	+0.48R	−0.86R
Total R	+10.5R	−6.8R
Equity PnL	+9.6%	−5.6%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Sep 30, 22:11	COPPER long	0.99%	1:1.5	−0.70R	20.6d
Sep 30, 23:48	XAUUSD long	0.73%	1:2.1	−0.65R	10.3d
Sep 25, 20:19	COPPER long	1.03%	1:1.5	−0.88R	2.5d
Sep 21, 01:31	COPPER long	0.78%	1:1.4	+1.49R	3.6d
Sep 16, 02:13	XAUUSD long	0.93%	1:2.0	+1.44R	3.7d
Sep 10, 11:36	COPPER long	0.84%	1:2.1	+2.15R	3.4d
Sep 8, 23:41	XAUUSD short	0.77%	1:1.9	−0.85R	11.5d
Sep 7, 21:37	XAUUSD long	1.02%	1:1.7	−0.69R	4.6d
Sep 1, 04:42	COPPER long	1.06%	1:2.1	+1.72R	1.9d
Aug 21, 16:30	COPPER long	1.08%	1:2.1	−0.62R	3.5d
Aug 20, 19:36	COPPER long	0.88%	1:1.5	−0.82R	2.5d
Jul 29, 03:15	COPPER long	0.70%	1:1.6	+0.92R	14.7d

Performance statistics

Based on 30 trades over 167 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	YTD	All
Strategy	−0.5%	+1.6%	−6.6%	−5.4%	−5.4%
Followers	−0.5%	+1.6%	−6.6%	−5.4%	−5.4%
BTC	+0.4%	+1.0%	+11.3%	+62.0%	+62.0%
Excess vs BTC	−0.9%	+0.6%	−17.9%	−67.4%	−67.4%

Returns

Return 1m: +1.6%
Return 3m: −6.6%
Return 12m: Insufficient data
Return since start: −5.4%
CAGR: −11.4%

Risk

Max drawdown: 10.7%
Volatility (ann.): 18.6%
Downside deviation: 13.6%
Ulcer index: 5.90%
VaR / CVaR 95% (daily): 1.71% / 1.98%
VaR / CVaR 99% (daily): 2.40% / 2.40%
Longest time under water: 97 days
Max / avg leverage: 3.5x / 1.6x
Top-3 trades share of PnL: 21%

Risk-adjusted

Sharpe: -0.56
Sortino: -0.77
Calmar: -1.07
Recovery factor: -0.50
Probabilistic Sharpe (PSR): 0.35
Omega ratio: 0.93
Gain-to-pain: -0.07

Trades

Trades: 30
Win rate: 47%
Payoff ratio: 1.65
Profit factor: 1.46
Expectancy: 2 bps
Tail ratio: 3.0
Avg holding time: 5.7 d

Consistency

Profitable months: 57%
Equity curve R²: 0.56
Longest losing streak: 6 days
Skew / kurtosis: 0.00 / 3.0
Consistency score: 64/100

Benchmark (vs BTC)

Beta: 0.07
Alpha (ann.): −18.5%
Correlation / R²: 0.20 / 0.04
Up / down capture: 4% / 8%
Tracking error: 56.1%
Information ratio: -2.35

Strategy vs BTC

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

Daily return pair167 daysFit · β0.07

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta0.03Correlation0.07

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d-1.39Volatility 90d18.7%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−1.71%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−10.7%	Jul 1, 2026	Sep 14, 2026	Ongoing	75 d	—
2	−5.7%	Apr 27, 2026	Jun 13, 2026	Jul 1, 2026	47 d	18 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

67%

46%

61%

33%

58%

46%

Exposure

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

Gross exposure237% of equityPeak259%

Average share of exposure

COPPER78% · 142.3%
XAUUSD22% · 39.6%

Performance by instrument

Share of net PnL