Strategy performance
Walk-forward backtest of our production trading strategy on Binance perpetual futures from 2022 to 2026. Headline numbers below come from the audited out-of-sample run (held-out validation period starts 2024-09-01). Charts show the equity-curve shape from a local replay of the same logic.
Last regenerated: Wed, 13 May 2026 21:54:03 GMT
$1,000 → ?
Equal-weighted across BTC/ETH/SOL, from 2022-03-04 to 2026-04-19. Reinvesting all gains. Backtested with 10 bps round-trip fees and a -15% drawdown halt.
Past performance does not guarantee future returns. This is a backtest, not a live trading record.
Equity curve
Portfolio equity, equal-weighted.
How often do trades fire?
Across BTC + ETH + SOL: ~23.6 trades/month totalPer-symbol expectations come from FR11's walk-forward OOS run (the audited cadence). Local replay below shows the month-by-month distribution — it's coarser-grained so trade counts are lower, but the shape reflects when signals cluster (bull regime peaks) vs. starve (chop / dd-halt periods).
Drawdown
Underwater curve — how far below the running peak we ever got. The dd_halt overlay forces this to recover before resuming.
Monthly returns
Per-month return, compounded. YTD totals on the right are the year's compounded return.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | +8.6% | +2.9% | +19.4% | +13.7% | +2.4% | +15.1% | +17.7% | +16.7% | +8.0% | +2.6% | +172% | ||
| 2023 | +26.3% | -2.4% | +16.1% | +0.0% | +1.9% | +4.4% | +0.0% | +2.7% | +0.0% | +0.0% | +0.0% | +0.0% | +56% |
| 2024 | +1.9% | -1.5% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +2.2% | +11.2% | +4.4% | +19% |
| 2025 | +0.0% | +5.7% | +5.3% | +8.8% | +3.5% | +1.6% | +0.0% | -1.2% | +0.0% | +0.0% | +0.0% | +4.6% | +32% |
| 2026 | +0.0% | +18.3% | -1.2% | -0.0% | +17% |
Methodology
- Rule: proxy_qqq decile (q85/q15) + 36h horizon
- Universe: BTCUSDT, ETHUSDT, SOLUSDT
- Cost: 10 bps round-trip flat (taker fee × 2, no maker rebates)
- Drawdown halt: pause new entries when 30-day rolling DD ≤-15%, resume when equity recovers above 95% of prior peak
- Walk-forward cutoff: 2024-09-01 — everything after is held-out OOS
- Source: FR11_realistic_cost.json — walk-forward OOS dd_halt variant
Honest caveats
- Past performance does not guarantee future returns.
- Backtest covers crypto bull market 2022-2026 — a uniquely favourable macro window.
- Real-world execution may differ from backtest assumptions (10 bps round-trip, instant fills, no exchange outages).
- FR11 used global q85/q15 thresholds; production trades per-symbol thresholds (BTC 85/15, ETH/SOL 75/25) which would open more trades.
- Drawdown numbers reflect the dd_halt overlay; without it, max DD reaches ~-25%.
- Headline Sharpe is the walk-forward OOS number — out-of-sample, held out, not the in-sample optimization.