ENAUSDTTrend following
TWFollows changes in the prevailing price trend.
Cumulative return
Drawdown
Daily observations. Headline Max Mark DD uses the full native-resolution simulation.
Strategy profile
- Direction
- Short
- BTC filter
- No
- Protective stop
- ATR
- Signal exit
- Yes
- Exit rules
- Signal / stop loss / take profit
- Position sizing
- Notional allocation
- Backtest start
- 2024-04-02
- Backtest end
- 2026-10-16 (exclusive)
- Closed positions
- 43
- Profitable trades
- 37.21%
- Best calendar month
- 49.57%
- Worst calendar month
- -14.84%
- Longest daily underwater spell
- 127 days
- Daily return volatility
- 2.68%
Rolling 12-month return
Trailing calendar-year return, without annualizing shorter windows. The first 12 months have no values.
Quarterly returns
Full calendar quarters only; partial quarters excluded. Consistency is the share of these quarters with a positive strategy return.
Time below previous peak
Days since the previous daily equity peak; resets to zero when that peak is recovered.
Rolling 90-day BTC correlation
Correlation of daily returns over 90 complete daily observations, from −1 to +1. Gaps mean undefined correlation. This does not indicate whether BTC is used in signals.
Monthly returns / %
Calendar-year performance
| Period | Strategy | BTC hold |
|---|---|---|
| 2024 | 86.10% | 43.44% |
| 2025 | 169.61% | -6.33% |
| 2026 | 22.76% | -6.18% |
First and last periods may be partial. Returns are not annualized.
Reading this report
Both curves begin at zero percent on the same effective start date. BTC is a spot buy-and-hold benchmark.
Profitable trades counts fully closed positions after costs and funding. It is not the percentage of positive days.
Different start dates describe different market histories; compare periods before comparing rankings.
Methodology & limitations
Historical simulation. Closed-bar signals and next-open execution; fees, slippage and historical funding included. BTC spot benchmark includes entry costs and no perpetual funding. Account value is compounded continuously without annual resets.
Observed research periods are not untouched out-of-sample data. Daily analytics use QuantStats; headline financial metrics use the saved backtest. Current instrument constraints are applied retrospectively. Leveraged simulations do not model exchange liquidation. Calculation cutoff: 2026-10-16, exclusive.