Track record.
Five years of backtests, all on the same footing: $100,000 compounding account, 1% risk per trade, micro contracts, commissions and slippage taken off.
Net return
Max drawdown
Sharpe
Sortino
Calmar
Profit factor
Side by side.
| Measure | NQ Intraday | Gold Swing | Gold Intraday | Portfolio |
|---|---|---|---|---|
| Total return | +63.8% | +46.6% | +16.9% | +195.5% |
| CAGR | +10.4% | +8.0% | +3.2% | +24.2% |
| Max drawdown | −8.3% | −6.5% | −16.5% | −19.3% |
| Longest drawdown (days) | 275 | 533 | 1,019 | 451 |
| Sharpe | 1.13 | 1.23 | 0.50 | 1.58 |
| Sortino | 1.64 | 2.52 | 0.75 | 2.44 |
| Calmar | 1.26 | 1.22 | 0.19 | 1.26 |
| Profit factor | 1.20 | 1.91 | 1.13 | 1.29 |
| Win rate | 57% | 54% | 49% | 54% |
| Payoff (avg win / avg loss) | 0.92 | 1.64 | 1.17 | 1.10 |
| Expectancy $ / trade | $80 | $364 | $35 | $140 |
| Trades | 794 | 128 | 479 | 1,401 |
| Positive months | 64% | 59% | 63% | 63% |
| Worst month | −4.1% | −4.4% | −5.7% | −8.9% |
| Max losing streak (trades) | 6 | 8 | 7 | 9 |
Every year.
| Algorithm | 2021* | 2022 | 2023 | 2024 | 2025 | 2026* |
|---|---|---|---|---|---|---|
| NQ Intraday Algo | +6.0% | +8.7% | +3.5% | +15.1% | +11.8% | +6.7% |
| Gold Swing Algo | −0.4% | +5.4% | +1.5% | +16.5% | +15.9% | +1.9% |
| Gold Intraday Algo | −2.7% | +12.1% | −11.8% | +9.3% | +5.3% | +5.6% |
| Valmont Portfolio | +2.7% | +30.4% | −8.0% | +46.1% | +38.2% | +18.7% |
* 2021 covers Oct–Dec, 2026 covers Jan–Oct. Backtest, net of estimated commissions and slippage. Hypothetical performance has inherent limitations.