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Gap Fade

ActiveStocksMT5

sofia.fqVerified+·Gap fade · intradayView trader

Return 12m

+25.5%

586 days of history

Max drawdown

13.6%

Current 2.7%

Sortino

3.52

Sharpe 2.30 · PSR 1.00

Compliance

15/19

79% of Epochs kept

Risk score

55 · Medium

Capacity used

61%

111/183 seats · $550k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.90%

median 0.90% · max 1.13%

Avg planned R:R

1 : 1.15

target distance ÷ stop distance

Realized R:R

1 : 1.17

avg win +1.00R · avg loss −0.85R

Expectancy

+0.23R

per trade

SQN

2.41

Good

Kelly fraction

22.7%

optimal f · use ¼–½ in practice

Win rate

58.3%

profit factor 1.64

Consecutive W / L

8 / 8

longest streaks

Largest win / loss

+1.6R / −1.6R

Avg hold

1.0h / 1.1h

winners / losers

Avg MAE / MFE

0.58R / 0.85R

adverse / favorable excursion

Capture ratio

85%

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 +90.3R

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	249	151
Win rate	55%	64%
Expectancy	+0.15R	+0.34R
Total R	+38.5R	+51.8R
Equity PnL	+37.7%	+46.4%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 12:50	COIN long	1.05%	1:1.0	+0.69R	0.1h
Oct 6, 21:15	AAPL long	0.74%	1:1.4	+1.26R	0.8h
Oct 6, 12:43	COIN long	1.10%	1:1.3	−0.74R	0.2h
Oct 6, 10:52	AAPL short	0.70%	1:1.3	+0.85R	0.3h
Oct 6, 14:50	COIN long	0.79%	1:1.2	+1.05R	0.3h
Oct 6, 12:38	COIN long	0.81%	1:1.4	−0.92R	2.1h
Oct 6, 00:57	COIN long	0.99%	1:1.0	+0.96R	5.1h
Oct 6, 09:56	COIN long	0.78%	1:1.1	−0.67R	0.3h
Oct 6, 19:44	AAPL long	0.83%	1:1.3	−1.18R	0.4h
Oct 6, 23:38	MSTR long	1.06%	1:1.4	+1.51R	0.1h
Oct 5, 12:49	AAPL long	1.04%	1:1.0	+0.57R	1.4h
Oct 5, 12:46	COIN long	0.98%	1:1.0	+1.03R	0.1h

Performance statistics

Based on 4,831 trades over 586 days. Metric set v1.4 · recomputable from raw exchange data.

Trailing returns

Strategy NAV, realized follower results after costs, and BTC over the same windows

Period	1W	1M	3M	6M	YTD	1Y	All
Strategy	+1.3%	+2.6%	+0.4%	+10.5%	+8.3%	+25.5%	+86.4%
Followers	+1.2%	+2.2%	−0.8%	+7.9%	+4.4%	+19.6%	+72.6%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+142.5%
Excess vs BTC	+0.9%	+1.6%	−10.9%	−60.7%	−47.4%	−44.0%	−56.0%

Returns

Return 1m: +2.6%
Return 3m: +0.4%
Return 12m: +25.5%
Return since start: +86.4%
CAGR: +47.4%

Risk

Max drawdown: 13.6%
Volatility (ann.): 17.6%
Downside deviation: 11.5%
Ulcer index: 4.83%
VaR / CVaR 95% (daily): 1.41% / 1.84%
VaR / CVaR 99% (daily): 2.03% / 2.53%
Longest time under water: 169 days
Max / avg leverage: 2.5x / 1.1x
Top-3 trades share of PnL: 20%

Risk-adjusted

Sharpe: 2.30
Sortino: 3.52
Calmar: 3.49
Recovery factor: 6.35
Probabilistic Sharpe (PSR): 1.00
Omega ratio: 1.36
Gain-to-pain: 0.36

Trades

Trades: 4,831
Win rate: 61%
Payoff ratio: 1.08
Profit factor: 1.69
Expectancy: 2 bps
Tail ratio: 3.0
Avg holding time: 1.1 h

Consistency

Profitable months: 86%
Equity curve R²: 0.82
Longest losing streak: 8 days
Skew / kurtosis: -0.06 / 3.7
Consistency score: 59/100

Benchmark (vs BTC)

Beta: 0.05
Alpha (ann.): +36.5%
Correlation / R²: 0.17 / 0.03
Up / down capture: 9% / −1%
Tracking error: 54.6%
Information ratio: -0.55

Strategy vs BTC

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

Daily return pair365 daysFit · β0.05

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.07Correlation0.23

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d0.18Volatility 90d16.6%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−1.41%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−13.6%	Jan 19, 2026	Mar 15, 2026	Jul 8, 2026	55 d	115 d
2	−6.0%	Aug 30, 2026	Sep 8, 2026	Ongoing	9 d	—
3	−5.7%	Nov 27, 2025	Dec 19, 2025	Jan 2, 2026	22 d	14 d
4	−4.9%	Jun 3, 2025	Jun 5, 2025	Jun 21, 2025	2 d	16 d
5	−4.9%	Mar 25, 2025	Apr 2, 2025	Apr 13, 2025	8 d	11 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

51%

58%

57%

51%

54%

61%

Exposure

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

Gross exposure105% of equityPeak123%

Average share of exposure

COIN65% · 60.7%
AAPL32% · 30.2%
MSTR3% · 3%

Performance by instrument

Share of net PnL