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 window: 2024-05-08 09:00 -> 2026-05-08 08:00 Benchmark: QQQ buy-and-hold BTC V1-2: Alpaca 1m, resampled to 3m/5m/15m BTC fees tested: 2bp / 5bp / 10bp

Main Candidate Curves

Main candidate strategies versus QQQ normalized equity curves

All Local Curves

All local strategies versus QQQ normalized equity curves

Main-Window Results

Highest Return

+73.66%

Wei ETH NR 1h p=22 long_only

QQQ Benchmark

+63.40%

Same date window, daily close series

Best Sharpe

19.77

BTC V1-2 optimized, daily Sharpe after 2bp fee

Lowest Drawdown

-0.18%

BTC V1-2 optimized spread-PnL model

BTC V1-2 Optimized P&L

BTC V1-2 Best By Frequency

Ranking

Strategy	Return	MaxDD	Sharpe	Read
BTC_V1_2_optimized_1m_fee2bp	+40.97%	-0.18%	19.77	Best current fee-aware BTC V1-2 sweep: 360m window, z 1.5/0.5, signal persistence 2, Alpaca 1m bars.
BTC_V1_2_optimized_3m_fee2bp	+36.87%	-0.14%	19.43	Similar Sharpe with lower operational frequency; strongest practical alternative if 1m execution is too noisy.
BTC_V1_2_optimized_5m_fee2bp	+31.04%	-0.13%	17.94	Lower return but fewer trades; useful for execution-cost sensitivity.
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BTC_V1_2_window360_alpaca_1m_initial	+23.63%	-0.17%	9.94	Earlier unoptimized baseline; superseded by the fee-aware parameter sweep above.
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 the cleanest BTC candidate after the fee-aware sweep: 1m has the highest P&L, while 3m keeps similar Sharpe with fewer trades. The curve is unusually smooth, so the next check is to reconcile this model against original live-monitor accounting, exchange fills, and slippage.