Backtest Results
Regime-Adaptive Rotation · PORTFOLIO · 2025-03-17 to 2026-07-09
Performance Summary
-19.3%
Total Return
31.7%
Win Rate (38/120)
2.72
Sharpe Ratio
-100.0%
Max Drawdown
-15.1%
Annualized Return
4.61
Sortino Ratio
-0.15
Calmar Ratio
0.80
Profit Factor
+6.96%
Avg Win
-4.79%
Avg Loss
$100000
Initial Capital
$80682
Final Capital
Equity Curve
Underwater Chart Drawdown from peak equity
Drawdown Periods Top 1 by severity
| # | Start | Trough | Recovery | Max DD | Days to Trough | Days to Recover | Total Days |
|---|---|---|---|---|---|---|---|
| 1 | 2025-05-15 | 2025-07-20 | — ongoing | -100.0% | 44 | — | 344 |
Per-Stock Breakdown 12 stocks traded
| Ticker | Trades | Total P&L | Avg P&L % |
|---|---|---|---|
| U | 3 | +$6146.58 | +4.55% |
| 8250 | 11 | +$1710.52 | +2.05% |
| 2320 | 12 | +$693.63 | +0.39% |
| EPAM | 13 | +$686.29 | +0.58% |
| BRK-B | 4 | $-847.45 | -0.22% |
| PYPL | 13 | $-916.65 | -0.52% |
| 2370 | 4 | $-1109.23 | -2.46% |
| 8100 | 12 | $-2664.80 | -2.20% |
| 1182 | 12 | $-2714.03 | -2.19% |
| 4260 | 12 | $-2886.81 | -2.51% |
| 2040 | 12 | $-2938.53 | -2.41% |
| 1302 | 12 | $-4714.36 | -3.93% |
Trade Log 120 trades · 38 wins · 82 losses
| # | Ticker | Entry Date | Entry | Exit Date | Exit | Side | P&L | P&L % | Reason |
|---|---|---|---|---|---|---|---|---|---|
| 1 | BRK-B | 2025-05-15 | 507.33 | 2025-06-12 | 484.42 | LONG | $-2305.62 | -4.52% | Stop loss |
| 2 | U | 2025-06-16 | 24.40 | 2025-07-07 | 27.33 | LONG | +$5810.98 | +12.01% | Target hit |
| 3 | BRK-B | 2025-06-16 | 490.23 | 2025-07-08 | 476.39 | LONG | $-1426.48 | -2.82% | Stop loss |
| 4 | U | 2025-07-17 | 36.52 | 2025-07-23 | 32.74 | LONG | $-5328.57 | -10.35% | Stop loss |
| 5 | BRK-B | 2025-07-17 | 473.40 | 2025-08-04 | 460.96 | LONG | $-1390.89 | -2.63% | Stop loss |
| 6 | U | 2025-08-11 | 33.19 | 2025-08-12 | 37.17 | LONG | +$5664.17 | +11.99% | Target hit |
| 7 | BRK-B | 2025-08-11 | 464.73 | 2025-09-04 | 506.91 | LONG | +$4275.54 | +9.08% | Monthly rebalance |
| 8 | EPAM | 2025-09-04 | 168.09 | 2025-09-10 | 156.86 | LONG | $-713.32 | -6.68% | Stop loss |
| 9 | 2040 | 2025-09-04 | 28.01 | 2025-09-14 | 26.65 | LONG | $-522.71 | -4.87% | Stop loss |
| 10 | 1302 | 2025-09-04 | 57.40 | 2025-09-14 | 53.87 | LONG | $-657.45 | -6.15% | Stop loss |
| 11 | 4260 | 2025-09-04 | 49.74 | 2025-09-29 | 54.29 | LONG | +$951.44 | +9.14% | Monthly rebalance |
| 12 | 1182 | 2025-09-04 | 12.29 | 2025-09-29 | 12.16 | LONG | $-116.35 | -1.01% | Monthly rebalance |
| 13 | 8100 | 2025-09-04 | 12.82 | 2025-09-29 | 13.68 | LONG | +$695.14 | +6.71% | Monthly rebalance |
| 14 | 2320 | 2025-09-04 | 54.95 | 2025-09-29 | 56.71 | LONG | +$326.39 | +3.20% | Monthly rebalance |
| 15 | PYPL | 2025-09-04 | 68.10 | 2025-09-29 | 69.31 | LONG | +$176.94 | +1.78% | Monthly rebalance |
| 16 | 8250 | 2025-09-04 | 23.27 | 2025-09-29 | 25.19 | LONG | +$855.26 | +8.23% | Monthly rebalance |
| 17 | EPAM | 2025-09-29 | 154.50 | 2025-10-10 | 144.00 | LONG | $-732.29 | -6.80% | Stop loss |
| 18 | 8250 | 2025-09-29 | 25.19 | 2025-10-12 | 24.40 | LONG | $-342.18 | -3.12% | Stop loss |
| 19 | PYPL | 2025-09-29 | 69.31 | 2025-10-16 | 65.84 | LONG | $-542.17 | -5.01% | Stop loss |
| 20 | 1302 | 2025-09-29 | 58.20 | 2025-10-19 | 55.15 | LONG | $-567.11 | -5.24% | Stop loss |
| 21 | 4260 | 2025-09-29 | 54.29 | 2025-10-23 | 55.14 | LONG | +$154.39 | +1.55% | Monthly rebalance |
| 22 | 1182 | 2025-09-29 | 12.16 | 2025-10-23 | 12.12 | LONG | $-43.80 | -0.31% | Monthly rebalance |
| 23 | 8100 | 2025-09-29 | 13.68 | 2025-10-23 | 13.28 | LONG | $-321.12 | -2.92% | Monthly rebalance |
| 24 | 2040 | 2025-09-29 | 30.96 | 2025-10-23 | 30.55 | LONG | $-152.20 | -1.33% | Monthly rebalance |
| 25 | 2320 | 2025-09-29 | 56.71 | 2025-10-23 | 60.91 | LONG | +$776.63 | +7.41% | Monthly rebalance |
| 26 | PYPL | 2025-10-23 | 69.29 | 2025-10-28 | 77.60 | LONG | +$1241.94 | +11.99% | Target hit |
| 27 | 2040 | 2025-10-23 | 30.55 | 2025-11-03 | 29.06 | LONG | $-519.73 | -4.88% | Stop loss |
| 28 | 4260 | 2025-10-23 | 55.14 | 2025-11-05 | 52.95 | LONG | $-424.54 | -3.97% | Stop loss |
| 29 | EPAM | 2025-10-23 | 156.73 | 2025-11-07 | 175.54 | LONG | +$1242.75 | +12.00% | Target hit |
| 30 | 1302 | 2025-10-23 | 54.00 | 2025-11-16 | 50.93 | LONG | $-604.10 | -5.69% | Stop loss |
| 31 | 8250 | 2025-10-23 | 24.04 | 2025-11-16 | 23.18 | LONG | $-382.82 | -3.57% | Stop loss |
| 32 | 1182 | 2025-10-23 | 12.12 | 2025-11-17 | 11.53 | LONG | $-525.98 | -4.94% | Monthly rebalance |
| 33 | 8100 | 2025-10-23 | 13.28 | 2025-11-17 | 13.14 | LONG | $-120.53 | -1.05% | Monthly rebalance |
| 34 | 2320 | 2025-10-23 | 60.91 | 2025-11-17 | 64.53 | LONG | +$609.71 | +5.94% | Monthly rebalance |
| 35 | 8100 | 2025-11-17 | 13.14 | 2025-11-18 | 12.47 | LONG | $-545.56 | -5.10% | Stop loss |
| 36 | 4260 | 2025-11-17 | 50.51 | 2025-11-26 | 48.16 | LONG | $-499.57 | -4.66% | Stop loss |
| 37 | 8250 | 2025-11-17 | 23.07 | 2025-11-26 | 22.14 | LONG | $-433.52 | -4.03% | Stop loss |
| 38 | 1182 | 2025-11-17 | 11.53 | 2025-12-01 | 10.96 | LONG | $-525.72 | -4.91% | Stop loss |
| 39 | EPAM | 2025-11-17 | 177.78 | 2025-12-03 | 199.11 | LONG | +$1248.52 | +12.00% | Target hit |
| 40 | 2040 | 2025-11-17 | 28.07 | 2025-12-11 | 28.07 | LONG | $-10.50 | +0.00% | Monthly rebalance |
| 41 | 2320 | 2025-11-17 | 64.53 | 2025-12-11 | 69.07 | LONG | +$726.85 | +7.03% | Monthly rebalance |
| 42 | PYPL | 2025-11-17 | 61.56 | 2025-12-11 | 61.50 | LONG | $-20.23 | -0.09% | Monthly rebalance |
| 43 | 1302 | 2025-11-17 | 51.10 | 2025-12-11 | 50.00 | LONG | $-236.39 | -2.15% | Monthly rebalance |
| 44 | 2040 | 2025-12-11 | 28.07 | 2025-12-16 | 26.93 | LONG | $-436.52 | -4.07% | Stop loss |
| 45 | 4260 | 2025-12-11 | 48.79 | 2025-12-22 | 46.47 | LONG | $-508.06 | -4.76% | Stop loss |
| 46 | 8250 | 2025-12-11 | 21.83 | 2025-12-24 | 20.86 | LONG | $-477.54 | -4.46% | Stop loss |
| 47 | 8100 | 2025-12-11 | 12.10 | 2025-12-28 | 11.39 | LONG | $-624.48 | -5.87% | Stop loss |
| 48 | 2320 | 2025-12-11 | 69.07 | 2025-12-28 | 65.60 | LONG | $-535.55 | -5.02% | Stop loss |
| 49 | 2370 | 2025-12-11 | 22.74 | 2025-12-28 | 21.23 | LONG | $-706.73 | -6.65% | Stop loss |
| 50 | 1182 | 2025-12-11 | 10.76 | 2025-12-29 | 10.30 | LONG | $-454.37 | -4.24% | Stop loss |
| 51 | PYPL | 2025-12-11 | 61.50 | 2026-01-02 | 57.80 | LONG | $-640.62 | -6.02% | Stop loss |
| 52 | EPAM | 2025-12-11 | 211.11 | 2026-01-05 | 206.61 | LONG | $-233.52 | -2.13% | Monthly rebalance |
| 53 | 1302 | 2025-12-11 | 50.00 | 2026-01-05 | 48.14 | LONG | $-399.73 | -3.72% | Monthly rebalance |
| 54 | PYPL | 2026-01-05 | 59.11 | 2026-01-13 | 56.28 | LONG | $-487.12 | -4.79% | Stop loss |
| 55 | 2320 | 2026-01-05 | 60.43 | 2026-01-26 | 67.68 | LONG | +$1185.99 | +12.00% | Target hit |
| 56 | 4260 | 2026-01-05 | 44.98 | 2026-01-29 | 44.42 | LONG | $-131.87 | -1.22% | Monthly rebalance |
| 57 | 1182 | 2026-01-05 | 10.30 | 2026-01-29 | 10.67 | LONG | +$348.40 | +3.60% | Monthly rebalance |
| 58 | 8100 | 2026-01-05 | 11.04 | 2026-01-29 | 11.36 | LONG | +$278.81 | +2.90% | Monthly rebalance |
| 59 | 2040 | 2026-01-05 | 26.07 | 2026-01-29 | 27.33 | LONG | +$470.91 | +4.83% | Monthly rebalance |
| 60 | EPAM | 2026-01-05 | 206.61 | 2026-01-29 | 208.92 | LONG | +$101.42 | +1.12% | Monthly rebalance |
| 61 | 1302 | 2026-01-05 | 48.14 | 2026-01-29 | 48.80 | LONG | +$126.62 | +1.37% | Monthly rebalance |
| 62 | 8250 | 2026-01-05 | 21.07 | 2026-01-29 | 23.16 | LONG | +$977.21 | +9.91% | Monthly rebalance |
| 63 | EPAM | 2026-01-29 | 208.92 | 2026-02-03 | 194.71 | LONG | $-707.40 | -6.80% | Stop loss |
| 64 | PYPL | 2026-01-29 | 52.95 | 2026-02-03 | 50.25 | LONG | $-532.84 | -5.10% | Stop loss |
| 65 | 2320 | 2026-01-29 | 69.51 | 2026-02-17 | 65.95 | LONG | $-535.54 | -5.12% | Stop loss |
| 66 | 1302 | 2026-01-29 | 48.80 | 2026-02-17 | 45.94 | LONG | $-610.95 | -5.86% | Stop loss |
| 67 | 8250 | 2026-01-29 | 23.16 | 2026-02-17 | 22.08 | LONG | $-486.57 | -4.65% | Stop loss |
| 68 | 4260 | 2026-01-29 | 44.42 | 2026-02-19 | 42.43 | LONG | $-470.47 | -4.49% | Stop loss |
| 69 | 1182 | 2026-01-29 | 10.67 | 2026-02-23 | 10.21 | LONG | $-452.77 | -4.32% | Stop loss |
| 70 | 8100 | 2026-01-29 | 11.36 | 2026-02-23 | 10.68 | LONG | $-623.79 | -5.99% | Stop loss |
| 71 | 2040 | 2026-01-29 | 27.33 | 2026-02-23 | 25.90 | LONG | $-545.09 | -5.22% | Stop loss |
| 72 | 4260 | 2026-02-24 | 40.32 | 2026-03-01 | 37.66 | LONG | $-653.99 | -6.61% | Stop loss |
| 73 | 1182 | 2026-02-24 | 10.02 | 2026-03-01 | 9.57 | LONG | $-452.07 | -4.53% | Stop loss |
| 74 | 2040 | 2026-02-24 | 25.69 | 2026-03-01 | 24.28 | LONG | $-546.59 | -5.50% | Stop loss |
| 75 | 2320 | 2026-02-24 | 62.02 | 2026-03-01 | 57.83 | LONG | $-667.98 | -6.75% | Stop loss |
| 76 | 1302 | 2026-02-24 | 44.70 | 2026-03-01 | 41.76 | LONG | $-651.27 | -6.58% | Stop loss |
| 77 | 2370 | 2026-02-24 | 20.74 | 2026-03-01 | 19.41 | LONG | $-636.77 | -6.43% | Stop loss |
| 78 | EPAM | 2026-02-24 | 128.82 | 2026-03-04 | 144.28 | LONG | +$1160.79 | +12.00% | Target hit |
| 79 | 8100 | 2026-02-24 | 9.96 | 2026-03-11 | 9.15 | LONG | $-802.97 | -8.13% | Stop loss |
| 80 | PYPL | 2026-02-24 | 46.88 | 2026-03-20 | 44.01 | LONG | $-606.50 | -6.12% | Monthly rebalance |
| 81 | EPAM | 2026-03-20 | 137.43 | 2026-04-09 | 122.75 | LONG | $-904.90 | -10.68% | Stop loss |
| 82 | PYPL | 2026-03-20 | 44.01 | 2026-04-15 | 49.29 | LONG | +$998.52 | +12.00% | Target hit |
| 83 | 1302 | 2026-04-16 | 45.74 | 2026-04-26 | 42.52 | LONG | $-599.90 | -7.04% | Stop loss |
| 84 | EPAM | 2026-04-16 | 126.81 | 2026-04-28 | 115.38 | LONG | $-765.74 | -9.01% | Stop loss |
| 85 | PYPL | 2026-04-16 | 49.81 | 2026-05-05 | 46.72 | LONG | $-529.64 | -6.20% | Stop loss |
| 86 | 4260 | 2026-04-16 | 40.62 | 2026-05-07 | 38.41 | LONG | $-464.94 | -5.43% | Stop loss |
| 87 | 1182 | 2026-04-16 | 9.59 | 2026-05-11 | 9.88 | LONG | +$249.77 | +3.07% | Monthly rebalance |
| 88 | 8100 | 2026-04-16 | 9.20 | 2026-05-11 | 9.79 | LONG | +$530.43 | +6.41% | Monthly rebalance |
| 89 | 2040 | 2026-04-16 | 29.62 | 2026-05-11 | 30.52 | LONG | +$246.89 | +3.04% | Monthly rebalance |
| 90 | 2320 | 2026-04-16 | 68.22 | 2026-05-11 | 68.52 | LONG | +$28.28 | +0.44% | Monthly rebalance |
| 91 | 8250 | 2026-04-16 | 24.29 | 2026-05-11 | 27.16 | LONG | +$985.55 | +11.83% | Monthly rebalance |
| 92 | 1182 | 2026-05-11 | 9.88 | 2026-05-13 | 9.56 | LONG | $-281.20 | -3.26% | Stop loss |
| 93 | 2040 | 2026-05-11 | 30.52 | 2026-05-13 | 29.10 | LONG | $-397.82 | -4.65% | Stop loss |
| 94 | 4260 | 2026-05-11 | 34.92 | 2026-05-14 | 32.51 | LONG | $-586.83 | -6.91% | Stop loss |
| 95 | 8100 | 2026-05-11 | 9.79 | 2026-05-18 | 9.17 | LONG | $-538.46 | -6.33% | Stop loss |
| 96 | 2320 | 2026-05-11 | 68.52 | 2026-05-19 | 64.27 | LONG | $-527.49 | -6.20% | Stop loss |
| 97 | EPAM | 2026-05-11 | 97.35 | 2026-06-01 | 109.03 | LONG | +$995.89 | +12.00% | Target hit |
| 98 | PYPL | 2026-05-11 | 45.07 | 2026-06-04 | 42.75 | LONG | $-439.24 | -5.15% | Monthly rebalance |
| 99 | 1302 | 2026-05-11 | 43.40 | 2026-06-04 | 44.40 | LONG | +$184.49 | +2.30% | Monthly rebalance |
| 100 | 8250 | 2026-05-11 | 27.16 | 2026-06-04 | 28.70 | LONG | +$466.49 | +5.67% | Monthly rebalance |
| 101 | 2320 | 2026-06-04 | 72.14 | 2026-06-04 | 68.88 | LONG | $-381.89 | -4.52% | Stop loss |
| 102 | 1182 | 2026-06-04 | 9.50 | 2026-06-08 | 9.25 | LONG | $-225.58 | -2.63% | Stop loss |
| 103 | 8100 | 2026-06-04 | 9.90 | 2026-06-08 | 9.40 | LONG | $-425.33 | -5.05% | Stop loss |
| 104 | 8250 | 2026-06-04 | 28.70 | 2026-06-17 | 32.14 | LONG | +$981.55 | +11.99% | Target hit |
| 105 | 4260 | 2026-06-04 | 35.12 | 2026-06-18 | 33.46 | LONG | $-398.39 | -4.72% | Stop loss |
| 106 | EPAM | 2026-06-04 | 97.59 | 2026-06-18 | 86.34 | LONG | $-960.23 | -11.53% | Stop loss |
| 107 | 1302 | 2026-06-04 | 44.40 | 2026-06-18 | 42.69 | LONG | $-326.31 | -3.85% | Stop loss |
| 108 | 2040 | 2026-06-04 | 27.38 | 2026-06-22 | 26.39 | LONG | $-306.85 | -3.62% | Stop loss |
| 109 | 2370 | 2026-06-04 | 32.47 | 2026-06-24 | 30.92 | LONG | $-401.98 | -4.77% | Stop loss |
| 110 | PYPL | 2026-06-04 | 42.75 | 2026-06-30 | 43.18 | LONG | +$74.80 | +1.01% | Monthly rebalance |
| 111 | EPAM | 2026-06-30 | 79.35 | 2026-07-02 | 88.87 | LONG | +$954.32 | +12.00% | Target hit |
| 112 | 8250 | 2026-06-30 | 32.66 | 2026-07-06 | 30.93 | LONG | $-432.91 | -5.30% | Stop loss |
| 113 | 1182 | 2026-06-30 | 8.86 | 2026-07-08 | 8.61 | LONG | $-234.36 | -2.82% | Stop loss |
| 114 | 1302 | 2026-06-30 | 40.30 | 2026-07-08 | 38.47 | LONG | $-372.26 | -4.54% | Stop loss |
| 115 | 4260 | 2026-06-30 | 30.20 | 2026-07-09 | 30.78 | LONG | +$146.02 | +1.92% | End of backtest |
| 116 | 8100 | 2026-06-30 | 10.60 | 2026-07-09 | 10.39 | LONG | $-166.94 | -1.98% | End of backtest |
| 117 | 2040 | 2026-06-30 | 26.70 | 2026-07-09 | 26.00 | LONG | $-218.32 | -2.62% | End of backtest |
| 118 | 2320 | 2026-06-30 | 64.70 | 2026-07-09 | 62.25 | LONG | $-311.77 | -3.79% | End of backtest |
| 119 | PYPL | 2026-06-30 | 43.18 | 2026-07-09 | 45.32 | LONG | +$389.51 | +4.96% | End of backtest |
| 120 | 2370 | 2026-06-30 | 29.88 | 2026-07-09 | 32.28 | LONG | +$636.25 | +8.03% | End of backtest |