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ES Mean Reversion

RookieFuturesMT5

kenji.qVerified·Mean reversion · 1–2 daysView trader

Return (all)

+4.8%

98 days of history

Max drawdown

3.6%

Current 1.7%

Sortino

3.82

Sharpe 2.50 · PSR 0.90

Compliance

1/1

Rookie stage

Risk score

33 · Low

Capacity used

39%

9/23 seats · $70k

Trade analytics

Last 64 closed trades · risk measured at the initial stop

1 risk flag

Avg risk / trade

0.67%

median 0.68% · max 0.82%

Avg planned R:R

1 : 0.83

target distance ÷ stop distance

Realized R:R

1 : 0.84

avg win +0.70R · avg loss −0.83R

Expectancy

+0.12R

per trade

SQN

1.32

Poor

Kelly fraction

17.9%

optimal f · use ¼–½ in practice

Win rate

62.5%

profit factor 1.40

Consecutive W / L

6 / 4

longest streaks

Largest win / loss

+1.1R / −1.0R

Avg hold

1.5d / 1.1d

winners / losers

Avg MAE / MFE

0.56R / 0.69R

adverse / favorable excursion

Capture ratio

84%

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 +8.0R

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	40	24
Win rate	63%	63%
Expectancy	+0.11R	+0.15R
Total R	+4.4R	+3.6R
Equity PnL	+3.2%	+2.3%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 5, 00:25	US500 short	0.76%	1:0.7	+0.69R	2.0d
Oct 5, 23:02	US500 short	0.52%	1:0.8	+0.57R	2.8d
Oct 2, 16:22	US500 long	0.81%	1:0.9	−0.82R	3.4d
Oct 2, 11:56	US500 short	0.52%	1:0.8	+0.80R	2.1d
Oct 2, 19:14	US500 long	0.55%	1:0.7	−0.63R	3.7h
Oct 2, 17:41	US500 short	0.64%	1:0.9	+0.66R	13.8h
Sep 30, 14:22	US500 short	0.74%	1:1.0	+0.59R	1.0d
Sep 30, 10:46	US500 short	0.57%	1:0.9	+0.74R	2.5d
Sep 24, 10:14	US500 short	0.55%	1:0.9	+0.93R	3.5h
Sep 23, 22:53	US500 short	0.63%	1:0.9	+0.92R	1.7h
Sep 23, 11:41	US500 long	0.64%	1:0.7	+0.47R	5.8h
Sep 21, 05:34	US500 long	0.63%	1:0.8	−0.96R	1.6d

Performance statistics

Based on 64 trades over 98 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	+1.9%	−0.5%	+4.3%	+4.8%	+4.8%
Followers	+1.9%	−0.5%	+4.3%	+4.8%	+4.8%
BTC	+0.4%	+1.0%	+11.3%	+6.4%	+6.4%
Excess vs BTC	+1.5%	−1.5%	−7.0%	−1.6%	−1.6%

Returns

Return 1m: −0.5%
Return 3m: +4.3%
Return 12m: Insufficient data
Return since start: +4.8%
CAGR: +19.1%

Risk

Max drawdown: 3.6%
Volatility (ann.): 7.1%
Downside deviation: 4.6%
Ulcer index: 1.37%
VaR / CVaR 95% (daily): 0.53% / 0.78%
VaR / CVaR 99% (daily): 1.35% / 1.35%
Longest time under water: 36 days
Max / avg leverage: 2x / 1.2x
Top-3 trades share of PnL: 29%

Risk-adjusted

Sharpe: 2.50
Sortino: 3.82
Calmar: 5.30
Recovery factor: 1.33
Probabilistic Sharpe (PSR): 0.90
Omega ratio: 1.43
Gain-to-pain: 0.43

Trades

Trades: 64
Win rate: 67%
Payoff ratio: 0.77
Profit factor: 1.52
Expectancy: 19 bps
Tail ratio: 2.6
Avg holding time: 1.3 d

Consistency

Profitable months: 60%
Equity curve R²: 0.63
Longest losing streak: 5 days
Skew / kurtosis: -0.07 / 5.8
Consistency score: 52/100

Benchmark (vs BTC)

Beta: 0.00
Alpha (ann.): +17.6%
Correlation / R²: 0.03 / 0.00
Up / down capture: 2% / −2%
Tracking error: 50.2%
Information ratio: -0.35

Strategy vs BTC

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

Daily return pair98 daysFit · β0.00

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.01Correlation0.03

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d2.36Volatility 90d7.3%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.53%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−3.6%	Aug 31, 2026	Sep 30, 2026	Ongoing	30 d	—
2	−1.2%	Jul 13, 2026	Jul 16, 2026	Jul 25, 2026	3 d	9 d
3	−0.8%	Aug 21, 2026	Aug 24, 2026	Aug 28, 2026	3 d	4 d
4	−0.6%	Aug 14, 2026	Aug 18, 2026	Aug 19, 2026	4 d	1 d
5	−0.5%	Aug 5, 2026	Aug 8, 2026	Aug 13, 2026	3 d	5 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

57%

43%

71%

50%

79%

64%

43%

Exposure

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

Gross exposure269% of equityPeak269%

Average share of exposure

US500100% · 141%

Performance by instrument

Share of net PnL