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OperationalRisk Engine 14msEpoch ends in —Solanaslot —· 0.4s

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US Small-Cap Momentum

ActiveStocksMT5

kenji.qVerified·Momentum · swingView trader

Return 12m

+31.8%

410 days of history

Max drawdown

15.2%

Current 11.4%

Sortino

1.08

Sharpe 0.73 · PSR 0.78

Compliance

11/13

85% of Epochs kept

Risk score

51 · Medium

Capacity used

72%

144/200 seats · $600k

Trade analytics

Last 260 closed trades · risk measured at the initial stop

Avg risk / trade

0.88%

median 0.89% · max 1.08%

Avg planned R:R

1 : 1.92

target distance ÷ stop distance

Realized R:R

1 : 1.85

avg win +1.58R · avg loss −0.85R

Expectancy

+0.16R

per trade

SQN

1.28

Poor

Kelly fraction

10.0%

optimal f · use ¼–½ in practice

Win rate

41.5%

profit factor 1.32

Consecutive W / L

4 / 8

longest streaks

Largest win / loss

+2.5R / −1.5R

Avg hold

4.8d / 4.8d

winners / losers

Avg MAE / MFE

0.68R / 1.04R

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 +41.2R

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	143	117
Win rate	37%	47%
Expectancy	+0.06R	+0.28R
Total R	+8.4R	+32.9R
Equity PnL	+7.0%	+30.6%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 5, 04:03	SMCI long	0.83%	1:1.5	+1.24R	2.7d
Oct 2, 07:29	SOFI long	0.96%	1:2.0	−1.02R	3.0d
Sep 30, 04:26	SMCI long	0.98%	1:1.5	−0.95R	4.4d
Sep 30, 17:55	IWM short	0.94%	1:1.7	+0.92R	8.8d
Sep 30, 18:29	SMCI short	1.01%	1:1.6	−0.71R	1.7d
Sep 25, 19:04	SMCI long	1.00%	1:1.6	−1.17R	6.1d
Sep 25, 19:02	IWM long	0.96%	1:2.2	−1.03R	4.0d
Sep 24, 10:36	SMCI long	0.89%	1:2.1	+1.80R	1.7h
Sep 22, 00:50	IWM long	0.90%	1:2.1	−0.74R	11.6h
Sep 22, 12:02	PLTR long	0.97%	1:2.4	−0.81R	8.2d
Sep 21, 16:19	SMCI long	0.72%	1:1.9	−0.88R	12.1h
Sep 21, 11:43	SMCI short	0.82%	1:2.2	−0.69R	3.1d

Performance statistics

Based on 260 trades over 410 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	+0.1%	−3.2%	+14.6%	+14.8%	+22.9%	+31.8%	+21.5%
Followers	+0.1%	−3.3%	+14.5%	+14.6%	+22.6%	+31.3%	+21.0%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+69.8%
Excess vs BTC	−0.3%	−4.2%	+3.3%	−56.4%	−32.8%	−37.7%	−48.4%

Returns

Return 1m: −3.2%
Return 3m: +14.6%
Return 12m: +31.8%
Return since start: +21.5%
CAGR: +18.9%

Risk

Max drawdown: 15.2%
Volatility (ann.): 29.8%
Downside deviation: 20.2%
Ulcer index: 7.41%
VaR / CVaR 95% (daily): 2.29% / 3.27%
VaR / CVaR 99% (daily): 3.84% / 5.19%
Longest time under water: 132 days
Max / avg leverage: 2.4x / 1.1x
Top-3 trades share of PnL: 19%

Risk-adjusted

Sharpe: 0.73
Sortino: 1.08
Calmar: 1.24
Recovery factor: 1.41
Probabilistic Sharpe (PSR): 0.78
Omega ratio: 1.11
Gain-to-pain: 0.11

Trades

Trades: 260
Win rate: 46%
Payoff ratio: 1.80
Profit factor: 1.53
Expectancy: 3 bps
Tail ratio: 2.9
Avg holding time: 5.0 d

Consistency

Profitable months: 53%
Equity curve R²: 0.67
Longest losing streak: 7 days
Skew / kurtosis: -0.04 / 4.6
Consistency score: 65/100

Benchmark (vs BTC)

Beta: 0.15
Alpha (ann.): +12.1%
Correlation / R²: 0.29 / 0.08
Up / down capture: 15% / 12%
Tracking error: 55.7%
Information ratio: -0.74

Strategy vs BTC

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

Daily return pair365 daysFit · β0.15

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.16Correlation0.27

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d1.95Volatility 90d30.7%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−2.29%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−15.2%	Oct 31, 2025	Dec 5, 2025	Jan 9, 2026	35 d	35 d
2	−14.5%	Feb 12, 2026	May 12, 2026	Jun 25, 2026	89 d	44 d
3	−14.0%	Aug 30, 2026	Sep 15, 2026	Ongoing	16 d	—
4	−13.3%	Aug 31, 2025	Oct 20, 2025	Oct 30, 2025	50 d	10 d
5	−10.8%	Jun 30, 2026	Jul 13, 2026	Aug 10, 2026	13 d	28 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

42%

58%

38%

50%

55%

53%

56%

Exposure

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

Gross exposure72% of equityPeak76%

Average share of exposure

IWM54% · 25%
SOFI21% · 9.7%
SMCI15% · 7%
PLTR9% · 4.2%

Performance by instrument

Share of net PnL