Equity · cumulative % from the start of the record
Statistics
- Total return
- +44.0%
- Sharpe
- 2.88annualised
- Sortino
- 5.26annualised
- Max drawdown
- −8.56%peak to trough, % of starting capital
- Worst day
- −4.21%21 Jul 2026
- Worst month
- −2.72%Feb 2026
- Days
- 207
Total return, Sharpe, max drawdown and days are the record’s own figures. Sortino, worst day, worst month are computed on this page from its daily series, annualised at the series’ own 250 observations a year. CAGR is omitted: the record spans less than a year.
Drawdown · peak to trough, % of starting capital
Rolling Sharpe · 63-day window, annualised
Monthly returns
YearJanFebMarAprMayJunJulAugSepOctNovDec
2025Janno dataFebno dataMarno dataAprno dataMayno dataJunno dataJulno dataAugno dataSepno dataOct+1.1%Nov+4.0%Dec+0.8%
2026Jan+11.9%Feb−2.7%Mar+8.0%Apr+1.4%May+2.2%Jun+8.2%Jul+7.6%Aug+1.4%Sepno dataOctno dataNovno dataDecno data
Outlined months are partial: the record starts or ends inside them.
How this was tested
- This is a backtest: the strategy simulated over historical market data. No money was traded.
- It covers 16 Oct 2025 to 13 Aug 2026, 207 days in the record.
- Returns are measured as % of starting capital.
- Costs: $2.50 commission per contract per side, 0.5 ticks of slippage, limit fills requiring 2 ticks through. On the 90 corrupt-quote days the quote is the close ±1 tick, the spread measured on the 117 clean sessions. Fine-bar exit fills are delayed one bar, so no fill sees the bar that triggered it.
- Not out-of-sample: this window overlaps the data the strategy was built or tuned on, which tends to flatter the result.
Record: Backtest · 207 sessions · net of costs · in-sample. Exported 28 Sep 2026 from platform commit d4aab28890 (D:/supernova_validation/runs/Q2_fx).