|
r |
vol |
sharpe |
dd |
mdd |
calmar |
mcalmar |
buypos |
sellpos |
ticker |
startdt |
enddt |
shortwin |
longwin |
strat |
desc |
category |
abssharpe |
| 1 |
0.009571 |
0.005549 |
1.724906 |
-0.003138 |
-0.202431 |
-3.050060 |
-0.047281 |
1 |
-1 |
ZQ=F |
2000-09-01 |
2025-04-17 |
None |
200 |
donchian |
30DFF |
rate |
1.724906 |
| 2 |
0.905893 |
0.963440 |
0.940270 |
-0.841757 |
-0.989897 |
-1.076194 |
-0.915139 |
1 |
0 |
SOL-USD |
2020-04-10 |
2025-04-19 |
None |
200 |
donchian |
Solana |
crypto |
0.940270 |
| 0 |
0.621317 |
0.690756 |
0.899475 |
-0.833990 |
-0.998017 |
-0.744994 |
-0.622552 |
1 |
1 |
BTC-USD |
2014-09-17 |
2025-04-12 |
None |
200 |
donchian |
Bitcoin |
crypto |
0.899475 |
| 1 |
-0.320051 |
0.378682 |
-0.845171 |
-0.999529 |
-0.481587 |
0.320201 |
0.664575 |
1 |
-1 |
HE=F |
2000-12-15 |
2025-04-17 |
None |
200 |
donchian |
Hoggs |
soft |
0.845171 |
| 2 |
0.556816 |
0.722450 |
0.770733 |
-0.689695 |
-0.978007 |
-0.807337 |
-0.569337 |
1 |
0 |
BNB-USD |
2017-11-09 |
2025-04-19 |
None |
200 |
donchian |
Bnb |
crypto |
0.770733 |
| 1 |
-5.350803 |
7.076328 |
-0.756155 |
-1.000000 |
-0.954151 |
5.350803 |
5.607919 |
1 |
-1 |
UNI-USD |
2019-10-21 |
2025-04-17 |
None |
200 |
donchian |
Uniswap |
crypto |
0.756155 |
| 2 |
-0.485568 |
0.763151 |
-0.636267 |
-0.883529 |
-0.796198 |
0.549578 |
0.609858 |
1 |
0 |
DOT-USD |
2020-08-20 |
2025-04-19 |
None |
200 |
donchian |
Polkadot |
crypto |
0.636267 |
| 1 |
0.010403 |
0.016506 |
0.630289 |
-0.034417 |
-0.243942 |
-0.302269 |
-0.042647 |
1 |
-1 |
ZT=F |
2000-06-02 |
2025-04-17 |
None |
200 |
donchian |
2YNote |
rate |
0.630289 |
| 0 |
0.103118 |
0.173428 |
0.594586 |
-0.443638 |
-0.918175 |
-0.232437 |
-0.112308 |
1 |
1 |
GC=F |
2000-08-30 |
2025-04-17 |
None |
200 |
donchian |
Gold |
metal |
0.594586 |
| 0 |
0.619724 |
1.136768 |
0.545163 |
-0.901929 |
-0.996815 |
-0.687109 |
-0.621704 |
1 |
1 |
LINK-USD |
2017-11-09 |
2025-04-19 |
None |
200 |
donchian |
Chainlink |
crypto |
0.545163 |
| 0 |
0.607173 |
1.292890 |
0.469624 |
-0.922585 |
-0.997755 |
-0.658121 |
-0.608538 |
1 |
1 |
DOGE-USD |
2017-11-09 |
2025-04-19 |
None |
200 |
donchian |
Dogecoin |
crypto |
0.469624 |
| 0 |
0.110144 |
0.236143 |
0.466430 |
-0.538513 |
-0.963619 |
-0.204534 |
-0.114303 |
1 |
1 |
NQ=F |
2000-09-18 |
2025-04-17 |
None |
200 |
donchian |
Nasdaq |
equity |
0.466430 |
| 2 |
0.051844 |
0.117464 |
0.441357 |
-0.248920 |
-0.759072 |
-0.208274 |
-0.068299 |
1 |
0 |
ES=F |
2000-09-18 |
2025-04-17 |
None |
200 |
donchian |
SP500 |
equity |
0.441357 |
| 3 |
-0.073017 |
0.185099 |
-0.394476 |
-0.849990 |
-0.449768 |
0.085904 |
0.162344 |
0 |
-1 |
CC=F |
2000-01-03 |
2025-04-17 |
None |
200 |
donchian |
Cocoa |
soft |
0.394476 |
| 3 |
-0.228670 |
0.584694 |
-0.391093 |
-0.874435 |
-0.523430 |
0.261506 |
0.436868 |
0 |
-1 |
XRP-USD |
2017-11-09 |
2025-04-19 |
None |
200 |
donchian |
Ripple |
crypto |
0.391093 |
| 2 |
0.073248 |
0.201682 |
0.363187 |
-0.568640 |
-0.863586 |
-0.128813 |
-0.084819 |
1 |
0 |
HG=F |
2000-08-30 |
2025-04-17 |
None |
200 |
donchian |
Copper |
metal |
0.363187 |
| 3 |
-0.193209 |
0.534507 |
-0.361472 |
-0.956134 |
-0.738264 |
0.202074 |
0.261708 |
0 |
-1 |
ETH-USD |
2017-11-09 |
2025-04-19 |
None |
200 |
donchian |
Ethereum |
crypto |
0.361472 |
| 1 |
-0.147221 |
0.413772 |
-0.355803 |
-0.981545 |
-0.750036 |
0.149989 |
0.196286 |
1 |
-1 |
LBS=F |
2000-07-17 |
2023-05-15 |
None |
200 |
donchian |
RLLumber |
soft |
0.355803 |
| 2 |
-0.018070 |
0.051653 |
-0.349830 |
-0.344988 |
-0.137705 |
0.052378 |
0.131221 |
1 |
0 |
GBPUSD=X |
2003-12-01 |
2025-04-19 |
None |
200 |
donchian |
Sterling |
fx |
0.349830 |
| 3 |
-0.057007 |
0.177015 |
-0.322043 |
-0.825625 |
-0.386316 |
0.069047 |
0.147565 |
0 |
-1 |
PL=F |
1997-10-29 |
2025-04-17 |
None |
200 |
donchian |
Platinum |
metal |
0.322043 |
| 3 |
-0.053296 |
0.169798 |
-0.313876 |
-0.792134 |
-0.352919 |
0.067281 |
0.151014 |
0 |
-1 |
ZS=F |
2000-09-15 |
2025-04-17 |
None |
200 |
donchian |
Soybean |
soft |
0.313876 |
| 2 |
0.077623 |
0.250404 |
0.309992 |
-0.469629 |
-0.885899 |
-0.165286 |
-0.087621 |
1 |
0 |
KC=F |
2000-01-03 |
2025-04-17 |
None |
200 |
donchian |
Coffee |
soft |
0.309992 |
| 0 |
0.307161 |
1.004571 |
0.305764 |
-0.934519 |
-0.993186 |
-0.328684 |
-0.309269 |
1 |
1 |
LTC-USD |
2014-09-17 |
2025-04-19 |
None |
200 |
donchian |
Litecoin |
crypto |
0.305764 |
| 0 |
0.053343 |
0.180525 |
0.295490 |
-0.509795 |
-0.717647 |
-0.104637 |
-0.074331 |
1 |
1 |
LE=F |
2001-03-01 |
2025-04-17 |
None |
200 |
donchian |
LCattle |
soft |
0.295490 |
| 3 |
0.207732 |
0.712032 |
0.291746 |
-0.689938 |
-0.829435 |
-0.301088 |
-0.250451 |
0 |
-1 |
AVAX-USD |
2020-07-13 |
2025-04-19 |
None |
200 |
donchian |
Avalanche |
crypto |
0.291746 |
| 1 |
0.011915 |
0.040968 |
0.290829 |
-0.119674 |
-0.307255 |
-0.099560 |
-0.038778 |
1 |
-1 |
ZF=F |
2000-09-21 |
2025-04-17 |
None |
200 |
donchian |
5YTreas |
rate |
0.290829 |
| 2 |
-0.021830 |
0.076046 |
-0.287060 |
-0.387779 |
-0.121250 |
0.056294 |
0.180039 |
1 |
0 |
CHF=X |
2003-09-17 |
2025-04-19 |
None |
200 |
donchian |
Swiss |
fx |
0.287060 |
| 0 |
0.359515 |
1.290130 |
0.278666 |
-0.928285 |
-0.997186 |
-0.387290 |
-0.360530 |
1 |
1 |
MATIC-USD |
2019-04-28 |
2025-03-24 |
None |
200 |
donchian |
Matic |
crypto |
0.278666 |
| 0 |
0.085091 |
0.317732 |
0.267807 |
-0.758460 |
-0.917133 |
-0.112189 |
-0.092779 |
1 |
1 |
SI=F |
2000-08-30 |
2025-04-17 |
None |
200 |
donchian |
Silver |
metal |
0.267807 |
| 3 |
-0.152444 |
0.598159 |
-0.254856 |
-0.936557 |
-0.843677 |
0.162771 |
0.180691 |
0 |
-1 |
ADA-USD |
2017-11-09 |
2025-04-19 |
None |
200 |
donchian |
ADA |
crypto |
0.254856 |
| 1 |
-0.146547 |
0.583072 |
-0.251336 |
-0.994585 |
-0.818714 |
0.147345 |
0.178996 |
1 |
-1 |
NG=F |
2000-08-30 |
2025-04-17 |
None |
200 |
donchian |
NatGas |
energy |
0.251336 |
| 1 |
0.029307 |
0.117862 |
0.248652 |
-0.388635 |
-0.675549 |
-0.075410 |
-0.043382 |
1 |
-1 |
JPY=X |
1996-10-30 |
2025-04-19 |
None |
200 |
donchian |
Yen |
fx |
0.248652 |
| 3 |
-0.047112 |
0.192218 |
-0.245097 |
-0.768251 |
-0.460507 |
0.061324 |
0.102305 |
0 |
-1 |
ZC=F |
2000-07-17 |
2025-04-17 |
None |
200 |
donchian |
Corn |
soft |
0.245097 |
| 2 |
-0.015305 |
0.067111 |
-0.228061 |
-0.329111 |
-0.168894 |
0.046505 |
0.090622 |
1 |
0 |
AUDUSD=X |
2006-05-16 |
2025-04-19 |
None |
200 |
donchian |
Aussie |
fx |
0.228061 |
| 0 |
0.028413 |
0.128319 |
0.221423 |
-0.356087 |
-0.610577 |
-0.079791 |
-0.046534 |
1 |
1 |
MXN=X |
2003-12-01 |
2025-04-19 |
None |
200 |
donchian |
MXPeso |
fx |
0.221423 |
| 3 |
-0.039972 |
0.223482 |
-0.178859 |
-0.711878 |
-0.449065 |
0.056150 |
0.089011 |
0 |
-1 |
ZW=F |
2000-07-17 |
2025-04-17 |
None |
200 |
donchian |
ChicagoWheat |
soft |
0.178859 |
| 1 |
0.010751 |
0.062010 |
0.173380 |
-0.209572 |
-0.461796 |
-0.051302 |
-0.023282 |
1 |
-1 |
ZN=F |
2000-09-21 |
2025-04-17 |
None |
200 |
donchian |
10YNote |
rate |
0.173380 |
| 0 |
0.064270 |
0.411241 |
0.156284 |
-0.874251 |
-0.922710 |
-0.073515 |
-0.069654 |
1 |
1 |
CL=F |
2000-08-23 |
2025-04-17 |
None |
200 |
donchian |
Crude |
energy |
0.156284 |
| 3 |
-0.025039 |
0.225047 |
-0.111263 |
-0.755747 |
-0.547390 |
0.033132 |
0.045743 |
0 |
-1 |
SB=F |
2000-03-01 |
2025-04-17 |
None |
200 |
donchian |
Sugar |
soft |
0.111263 |
| 3 |
-0.021826 |
0.203721 |
-0.107138 |
-0.655424 |
-0.462157 |
0.033301 |
0.047227 |
0 |
-1 |
KE=F |
2000-09-21 |
2025-04-17 |
None |
200 |
donchian |
KCWheat |
soft |
0.107138 |
| 2 |
-0.005993 |
0.063583 |
-0.094255 |
-0.274948 |
-0.219383 |
0.021797 |
0.027318 |
1 |
0 |
EURUSD=X |
2003-12-01 |
2025-04-19 |
None |
200 |
donchian |
Euro |
fx |
0.094255 |
| 3 |
-0.004442 |
0.068410 |
-0.064936 |
-0.393634 |
-0.418494 |
0.011285 |
0.010615 |
0 |
-1 |
ZB=F |
2000-09-21 |
2025-04-17 |
None |
200 |
donchian |
TBond |
rate |
0.064936 |
| 0 |
0.004220 |
0.087834 |
0.048044 |
-0.277922 |
-0.375756 |
-0.015184 |
-0.011230 |
1 |
1 |
CAD=X |
2003-09-17 |
2025-04-19 |
None |
200 |
donchian |
CAD |
fx |
0.048044 |