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Index Carry & Roll

ActiveFuturesMT5

nordic.quantVerified+·Carry · weeksView trader

Return 12m

+9.4%

540 days of history

Max drawdown

4.1%

Current 0.5%

Sortino

1.98

Sharpe 1.33 · PSR 0.95

Compliance

15/15

100% of Epochs kept

Risk score

14 · Low

Capacity used

29%

286/1000 seats · $3M

Trade analytics

Last 140 closed trades · risk measured at the initial stop

Avg risk / trade

0.46%

median 0.46% · max 0.57%

Avg planned R:R

1 : 0.97

target distance ÷ stop distance

Realized R:R

1 : 0.97

avg win +0.83R · avg loss −0.85R

Expectancy

+0.29R

per trade

SQN

3.58

Excellent

Kelly fraction

34.9%

optimal f · use ¼–½ in practice

Win rate

67.9%

profit factor 2.06

Consecutive W / L

11 / 3

longest streaks

Largest win / loss

+1.2R / −1.4R

Avg hold

15.7d / 21.5d

winners / losers

Avg MAE / MFE

0.52R / 0.79R

adverse / favorable excursion

Capture ratio

82%

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 +40.5R

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	74	66
Win rate	65%	71%
Expectancy	+0.24R	+0.34R
Total R	+17.8R	+22.7R
Equity PnL	+7.9%	+10.9%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 07:34	US500 short	0.39%	1:1.2	+0.96R	11.5d
Oct 5, 04:36	US500 long	0.40%	1:0.8	−0.93R	37.1d
Oct 2, 06:37	US500 short	0.51%	1:1.1	+0.88R	9.1d
Sep 30, 20:23	UK100 long	0.55%	1:0.8	−0.94R	8.3d
Sep 24, 22:06	US500 long	0.52%	1:1.0	−0.68R	58.7d
Sep 21, 03:19	US500 short	0.48%	1:0.8	+0.78R	17.9d
Sep 17, 19:01	US500 short	0.56%	1:1.0	−1.00R	3.9d
Sep 15, 06:53	US500 long	0.49%	1:1.1	+1.03R	15.1d
Sep 11, 22:33	UK100 short	0.45%	1:1.0	+0.90R	12.3d
Sep 10, 04:40	US500 long	0.48%	1:1.0	+0.73R	2.2d
Sep 8, 04:02	US500 short	0.46%	1:1.1	−0.68R	23.4d
Aug 31, 19:48	US500 short	0.46%	1:0.9	−0.81R	22.7h

Performance statistics

Based on 140 trades over 540 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	−0.2%	+0.4%	+3.0%	+7.6%	+8.6%	+9.4%	+9.2%
Followers	−0.2%	+0.4%	+3.0%	+7.6%	+8.6%	+9.3%	+9.1%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+83.4%
Excess vs BTC	−0.6%	−0.6%	−8.3%	−63.6%	−47.1%	−60.1%	−74.2%

Returns

Return 1m: +0.4%
Return 3m: +3.0%
Return 12m: +9.4%
Return since start: +9.2%
CAGR: +6.1%

Risk

Max drawdown: 4.1%
Volatility (ann.): 4.6%
Downside deviation: 3.1%
Ulcer index: 1.80%
VaR / CVaR 95% (daily): 0.35% / 0.51%
VaR / CVaR 99% (daily): 0.66% / 0.83%
Longest time under water: 246 days
Max / avg leverage: 2.2x / 1x
Top-3 trades share of PnL: 10%

Risk-adjusted

Sharpe: 1.33
Sortino: 1.98
Calmar: 1.49
Recovery factor: 2.24
Probabilistic Sharpe (PSR): 0.95
Omega ratio: 1.20
Gain-to-pain: 0.20

Trades

Trades: 140
Win rate: 68%
Payoff ratio: 0.90
Profit factor: 1.91
Expectancy: 2 bps
Tail ratio: 1.8
Avg holding time: 17.5 d

Consistency

Profitable months: 68%
Equity curve R²: 0.52
Longest losing streak: 7 days
Skew / kurtosis: -0.06 / 4.9
Consistency score: 84/100

Benchmark (vs BTC)

Beta: 0.00
Alpha (ann.): +6.0%
Correlation / R²: 0.01 / 0.00
Up / down capture: 1% / −1%
Tracking error: 55.7%
Information ratio: -0.90

Strategy vs BTC

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

Daily return pair365 daysFit · β0.00

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.01Correlation0.06

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d2.78Volatility 90d4.4%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.35%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−4.1%	Sep 7, 2025	Jan 30, 2026	May 12, 2026	145 d	102 d
2	−2.3%	May 20, 2025	Jun 18, 2025	Sep 3, 2025	29 d	77 d
3	−1.2%	Sep 3, 2026	Sep 19, 2026	Sep 27, 2026	16 d	8 d
4	−0.8%	May 1, 2025	May 13, 2025	May 15, 2025	12 d	2 d
5	−0.7%	May 14, 2026	May 22, 2026	May 27, 2026	8 d	5 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

55%

50%

52%

62%

49%

51%

48%

Exposure

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

Gross exposure116% of equityPeak154%

Average share of exposure

US50064% · 43.2%
UK10036% · 23.8%

Performance by instrument

Share of net PnL

Index Carry & Roll

ActiveFuturesMT5

nordic.quantVerified+·Carry · weeksView trader

Return 12m

+9.4%

540 days of history

Max drawdown

4.1%

Current 0.5%

Sortino

1.98

Sharpe 1.33 · PSR 0.95

Compliance

15/15

100% of Epochs kept

Risk score

14 · Low

Capacity used

29%

286/1000 seats · $3M

Trade analytics

Last 140 closed trades · risk measured at the initial stop

Avg risk / trade

0.46%

median 0.46% · max 0.57%

Avg planned R:R

1 : 0.97

target distance ÷ stop distance

Realized R:R

1 : 0.97

avg win +0.83R · avg loss −0.85R

Expectancy

+0.29R

per trade

SQN

3.58

Excellent

Kelly fraction

34.9%

optimal f · use ¼–½ in practice

Win rate

67.9%

profit factor 2.06

Consecutive W / L

11 / 3

longest streaks

Largest win / loss

+1.2R / −1.4R

Avg hold

15.7d / 21.5d

winners / losers

Avg MAE / MFE

0.52R / 0.79R

adverse / favorable excursion

Capture ratio

82%

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 +40.5R

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	74	66
Win rate	65%	71%
Expectancy	+0.24R	+0.34R
Total R	+17.8R	+22.7R
Equity PnL	+7.9%	+10.9%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 07:34	US500 short	0.39%	1:1.2	+0.96R	11.5d
Oct 5, 04:36	US500 long	0.40%	1:0.8	−0.93R	37.1d
Oct 2, 06:37	US500 short	0.51%	1:1.1	+0.88R	9.1d
Sep 30, 20:23	UK100 long	0.55%	1:0.8	−0.94R	8.3d
Sep 24, 22:06	US500 long	0.52%	1:1.0	−0.68R	58.7d
Sep 21, 03:19	US500 short	0.48%	1:0.8	+0.78R	17.9d
Sep 17, 19:01	US500 short	0.56%	1:1.0	−1.00R	3.9d
Sep 15, 06:53	US500 long	0.49%	1:1.1	+1.03R	15.1d
Sep 11, 22:33	UK100 short	0.45%	1:1.0	+0.90R	12.3d
Sep 10, 04:40	US500 long	0.48%	1:1.0	+0.73R	2.2d
Sep 8, 04:02	US500 short	0.46%	1:1.1	−0.68R	23.4d
Aug 31, 19:48	US500 short	0.46%	1:0.9	−0.81R	22.7h

Performance statistics

Based on 140 trades over 540 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	−0.2%	+0.4%	+3.0%	+7.6%	+8.6%	+9.4%	+9.2%
Followers	−0.2%	+0.4%	+3.0%	+7.6%	+8.6%	+9.3%	+9.1%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+83.4%
Excess vs BTC	−0.6%	−0.6%	−8.3%	−63.6%	−47.1%	−60.1%	−74.2%

Returns

Return 1m: +0.4%
Return 3m: +3.0%
Return 12m: +9.4%
Return since start: +9.2%
CAGR: +6.1%

Risk

Max drawdown: 4.1%
Volatility (ann.): 4.6%
Downside deviation: 3.1%
Ulcer index: 1.80%
VaR / CVaR 95% (daily): 0.35% / 0.51%
VaR / CVaR 99% (daily): 0.66% / 0.83%
Longest time under water: 246 days
Max / avg leverage: 2.2x / 1x
Top-3 trades share of PnL: 10%

Risk-adjusted

Sharpe: 1.33
Sortino: 1.98
Calmar: 1.49
Recovery factor: 2.24
Probabilistic Sharpe (PSR): 0.95
Omega ratio: 1.20
Gain-to-pain: 0.20

Trades

Trades: 140
Win rate: 68%
Payoff ratio: 0.90
Profit factor: 1.91
Expectancy: 2 bps
Tail ratio: 1.8
Avg holding time: 17.5 d

Consistency

Profitable months: 68%
Equity curve R²: 0.52
Longest losing streak: 7 days
Skew / kurtosis: -0.06 / 4.9
Consistency score: 84/100

Benchmark (vs BTC)

Beta: 0.00
Alpha (ann.): +6.0%
Correlation / R²: 0.01 / 0.00
Up / down capture: 1% / −1%
Tracking error: 55.7%
Information ratio: -0.90

Strategy vs BTC

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

Daily return pair365 daysFit · β0.00

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.01Correlation0.06

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d2.78Volatility 90d4.4%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.35%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−4.1%	Sep 7, 2025	Jan 30, 2026	May 12, 2026	145 d	102 d
2	−2.3%	May 20, 2025	Jun 18, 2025	Sep 3, 2025	29 d	77 d
3	−1.2%	Sep 3, 2026	Sep 19, 2026	Sep 27, 2026	16 d	8 d
4	−0.8%	May 1, 2025	May 13, 2025	May 15, 2025	12 d	2 d
5	−0.7%	May 14, 2026	May 22, 2026	May 27, 2026	8 d	5 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

55%

50%

52%

62%

49%

51%

48%

Exposure

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

Gross exposure116% of equityPeak154%

Average share of exposure

US50064% · 43.2%
UK10036% · 23.8%

Performance by instrument

Share of net PnL