Equity · cumulative % from the start of the record
Shaded: out of sample, days never used to build or tune the strategy. Band: the middle 90% of 2,000 paths with the same daily returns in a resampled order.
Statistics
- Total return
- +27.7%
- CAGR
- +13.0%
- Sharpe
- 2.15annualised
- Sortino
- 3.21annualised
- Max drawdown
- −4.15%peak to trough, % of starting capital
- Worst day
- −3.52%9 May 2025
- Worst month
- −1.34%Feb 2026
- Days
- 730
Total return, Sharpe, max drawdown and days are the record’s own figures. Sortino, worst day, worst month, CAGR are computed on this page from its daily series, annualised at the series’ own 365 observations a year.
In sample and out of sample
| Stretch | Dates | Return | Sharpe | Max drawdown | Days |
|---|---|---|---|---|---|
| In-sample: the months the rule was chosen on | 30 Sep 2024 – 31 Mar 2026 | +22.1% | 2.07 | −4.1% | 547 |
| Out-of-sample: held out of the rule search | 1 Apr 2026 – 30 Sep 2026 | +5.7% | 3.03 | −1.1% | 183 |
Monte Carlo · 2,000 resampled paths
| Over the next | Chance of a loss | Return, 5th / 50th / 95th percentile | Max drawdown, typical / 1 in 20 |
|---|---|---|---|
| 90 days | 4% | +0.1% / +2.6% / +6.0% | −1.1% / −1.9% |
| 180 days | <1% | +1.7% / +5.5% / +9.8% | −1.2% / −2.1% |
| 365 days | <1% | +5.7% / +11.0% / +17.3% | −1.5% / −2.4% |
Daily returns of the out-of-sample days (183 days), resampled in blocks of about ten days. Resampling reorders the days this record had; it cannot add a market it never saw.
Drawdown · peak to trough, % of starting capital
Rolling Sharpe · 63-day window, annualised
Monthly returns
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 30 Sep 2024 to 30 Sep 2026, 730 days in the record.
- Returns are measured as % of starting capital.
- Costs: 5-minute checks at the mid, 10-minute TWAP fills. Half the fills at the maker fee, half at the taker fee plus 2 bps slippage; funding charged on both legs. $8,000 book: 20 pairs at $200 a leg. No compounding. Open trades are marked to market every hour.
- Partly out-of-sample: the shaded stretches, 183 of the 730 days, were never used to build or tune the strategy; the rest overlaps the data it was tuned on, which tends to flatter the result.
Record: Backtest · Binance · 730 days · net of costs · in-sample and out-of-sample. Exported 14 Oct 2026 from platform commit c6e04beb (ML-Stat-Arb-Signal-Service ops/pulsar_intrabar.py (branch pulsar-intrabar-5m): monthly point-in-time screen, delisted coins included, 2543 trades).