Backtesting

Full portfolio — H1 / H4

Six-strategy portfolio · Long and short · 1 May 2003 → 30 Sept 2025 · 22.42 years

Portfolio simulation · $1,000,000 initial deposit

4,959 Trades
1.37 Profit factor
52.81% Win rate
39.49 Return / drawdown
9.80% Maximum drawdown
8.11% CAGR

Cumulative return

0%100%200%300%400%200320072012201620212025Full portfolio — Cumulative return+456.2%

Cumulative return on the $1,000,000 simulated account, from the report's month-by-month record.

Drawdown

-6%-4%-2%0%200320072012201620212025Full portfolio — Drawdown-7.8%

How far the account sat below its own previous high at every point in the test. The deepest point is the maximum drawdown — rebuilt here from the trade record, and it matches the 9.80% the report states.

Return by year

2003: -3.0%2004: +2.9%2005: +5.0%2006: +8.0%2007: +11.7%2008: +14.6%2009: +12.4%2010: +15.6%2011: +11.6%2012: +20.6%2013: +11.5%2014: +6.8%2015: +2.9%2016: +11.5%2017: +7.2%2018: +5.7%2019: +5.4%2020: +7.4%2021: +4.0%2022: +2.9%2023: +8.8%2024: +4.6%2025: +2.9%-10%0%10%20%30%2003200720112015201920232025Full portfolio — Return by year

Compounded return for each calendar year of the test.

Month by month

269Months traded
65.8% Profitable months — 177 of 269
22/23Profitable years
Monthly return as a percentage of account equity at the start of that month.
YearJanFebMarAprMayJunJulAugSepOctNovDecYear
2003+1.0-0.5+1.0+0.6-0.3+2.3-3.0-4.0-3.0
2004+0.6+0.5-1.7+0.8-0.2+0.1-1.1+3.3-1.5+0.5+1.6+0.0+2.9
2005+1.2+4.4+0.3-1.4-1.1-0.6+0.6-0.9+0.4+2.5+0.4-0.8+5.0
2006+0.4+0.9+2.7-0.9+0.1+1.8-2.6+1.3-1.1+2.6+0.4+2.2+8.0
2007-0.5-1.0-0.6+6.1-2.1+1.5+1.5-0.3+3.2+1.2-0.4+2.9+11.7
2008+2.0+2.3+1.7+1.6+2.1+1.6-0.9+0.3-0.2+1.2+0.2+1.9+14.6
2009+1.9+1.1+2.0-0.2+2.8+1.1+3.1-1.5-2.0+1.5+0.5+1.4+12.4
2010+2.8-0.8+2.1+5.5-1.7+3.4+1.5-0.2+2.5+0.1-0.4-0.2+15.6
2011+0.6+2.3+0.3+0.9+0.9-1.3+1.3+4.1+2.4+1.7-0.3-1.6+11.6
2012+4.3+1.5+2.5+1.4-0.9+1.4-2.0+3.4+3.3+1.5+3.8-1.0+20.6
2013+3.8-0.4+1.0+3.0+1.6-0.3-0.1+1.8+1.3-0.4-1.0+0.7+11.5
2014-0.1-1.6+1.3-1.8+0.1+2.9+0.6-1.0+1.9+1.1+3.0+0.4+6.8
2015+2.9-0.7-1.2+1.6-1.0+0.1-0.8+2.3+1.3-1.0-0.2-0.4+2.9
2016-0.1+0.9+1.3+1.9-0.8+3.7-0.0+3.3-0.3-0.1-0.4+1.6+11.5
2017+1.3+0.8-0.6+0.2+1.2+1.4-0.3+1.3-0.9+1.2-0.9+2.2+7.2
2018+1.9+0.3-0.1-0.1-0.9+1.0+1.1+1.6-0.9+0.8-0.8+1.6+5.7
2019+0.9+0.5+2.7-0.7+0.1+1.1+0.0-1.1+0.7+0.1-0.0+1.1+5.4
2020+1.9-0.0+0.4-0.5+0.6+0.5+2.4-0.0+0.9+0.8-1.0+1.4+7.4
2021-0.0+0.2+0.2+0.0+2.7-0.7+0.3-0.9-0.6+1.6-0.3+1.3+4.0
2022-0.2+0.4-0.9+0.9+0.0+1.1-0.7+0.9+0.5+0.0+0.3+0.4+2.9
2023+0.8+0.9+1.6+1.0+0.9+1.6-0.3-0.1-0.9+0.6+1.5+0.9+8.8
2024-0.0+0.7+0.6+1.1+0.1+0.0+0.9+0.6+0.3+0.2-0.1-0.1+4.6
2025-0.2+0.2+1.2+0.5+0.1+0.4-0.1+0.4+0.3+2.9

Trade composition

  • Winning vs losing trades

    2,619 wins(52.8%)2,340 losses

  • Gross profit vs gross loss

    $17,016,100 won(57.7%)$12,453,842 lost

  • Average win vs average loss

    $6,497.17 per win(55.0%)$5,322.15 per loss

  • Longest winning vs losing streak

    11 wins in a row(55.0%)9 losses in a row

How the result breaks down across every trade in the test.

Portfolio simulation · $1,000,000 initial deposit

Statistics

Wins / losses ratio
1.12
Payout ratio
1.22
Expectancy
$920.00
Standard deviation
$7,943.48
Market exposure
27.04%
Average bars in trade
6.41
AHPR
19.84
Z-score
1.62
Z-probability
5.26%
Longest stagnation
484 d
Stagnation
5.92%

Trades

Winning trades
2,619
Losing trades
2,340
Cancelled / expired
1
Gross profit
$17,016,100.00
Gross loss
$12,453,842.00
Average win
$6,497.17
Average loss
$5,322.15
Largest win
$122,093.06
Largest loss
-$13,456.38
Longest winning streak
11
Longest losing streak
9
Average bars in wins
7.07
Average bars in losses
5.67

Headline metrics

Net profit
$4,562,258.50
Total return
+456.2%
Sharpe ratio
1.69
Average trade
$920.00
Average yearly profit
$207,375.36
Average yearly return
20.74%
Maximum drawdown
$115,535.75
Annual return / max drawdown
0.83
R expectancy
0.17
Strategy quality number
1.16
SQN score
2.56
Profit in ticks
1,027,728

Source document

Portfolio As of May 2026.pdf

PDF · 23 pages · 369 KB

The source report also contains breakdown charts (profit by hour, by weekday, long versus short, by trade duration) and the trade-by-trade list.

SHA-2568f17b4055cc3190ac2102e50f11fbf6e1e2a045dab5fb121e781e09b70b85a51

Simulated results. These figures come from historical backtests, not live trading. Backtested performance is hypothetical, benefits from hindsight, and is not a reliable indicator of future results.

Our live, independently verified track record is on the results page.