Strategy vs QQQ Review
All strategy curves are clipped to the same available window and normalized to start at 100. This makes the comparison about relative performance over the same dates.
Main Candidate Curves
All Local Curves
Main-Window Results
Ranking
| Strategy | Return | MaxDD | Sharpe | Read |
|---|---|---|---|---|
| Wei_ETH_NR_1h_p22_long_only | +73.66% | -17.24% | 1.42 | Highest absolute return among main candidates; beats QQQ but drawdown is material. |
| QQQ buy-and-hold | +63.40% | -22.77% | 1.05 | Strong baseline over this period. |
| Wei_ETH_NR_1m_current_best | +29.62% | -12.23% | 1.09 | Lower drawdown, but far below QQQ return. |
| BTC_ETH_ZScore_1h | +28.77% | -34.51% | 0.51 | Too much drawdown for the return profile. |
| BTC_V1_2_window360_alpaca_1m | +23.63% | -0.17% | 9.94 | Uses Alpaca Crypto 1-minute BTC/USD and ETH/USD; looks extremely smooth, so execution/PnL assumptions need a second audit before launch. |
| BTC_V1_2_window720_alpaca_1m | +12.42% | -0.34% | 4.61 | Same family, slower window; lower return but still high risk-adjusted profile in this model. |
| BTC_CTA_Donchian_stored_1m | -37.57% | -49.12% | -0.59 | Current stored run is not acceptable. |
| BTC_ETH_ZScore_stored_1m | -99.98% | -99.98% | -8.71 | Stored minute run is broken or badly specified; keep out of shortlist. |
What NR Means
NR is Normalized Return: EWMA(log return) / EWMA(abs(log return)). It measures directional persistence after scaling by recent volatility. High positive NR means recent returns are persistently positive; values near zero mean direction is weak.
Current Takeaway
BTC V1-2 is promising on 1-minute Alpaca crypto bars by Sharpe and drawdown, but its return is below QQQ in this conservative spread-PnL model. The next check is to reconcile this model against the original live-monitor accounting and KuCoin/Binance execution assumptions.