Deep historical drawdown
Max drawdown reached 93.5% (peak 2025-07-07, trough 2025-08-26). A repeat of this drawdown could be unrecoverable.
High win rate with asymmetric losses
A 87% win rate looks great, but the average loss is 3.4× the average win (50 vs 15). This profile accumulates small wins and gives them back in rare large losses — strategy robustness depends on tail risk.
The real drawdown is deeper than it looks
Max equity drawdown reached 93.5%, while the balance curve shows only 38.2%. The gap is the floating loss of open positions that the balance curve hides.
Long drawdown recovery
The longest stretch from an equity peak to a new high lasted 168 days. An investor in this strategy must be prepared for months without new highs.
Monday is a toxic day
100% of net daily losses fall on Monday (UTC). Worth reviewing what happens to the trading that day.
Consistently profitable months
16 of 19 months closed positive (84%). A strong indicator of consistent performance.