t3_momentum_xsT · Trendbacktestrelatório · 24 de jul. de 2026, 01:16

T3 Momentum Cross-Sectional

Rank semanal do universo por retorno de 90 dias ajustado por volatilidade; compra o top-3 equal-weight e vai 100% caixa quando o BTC fecha abaixo da EMA200 diária. Rebalanceio executado sempre na abertura seguinte, com fee e slippage por perna. Ganha quando a liderança persiste (alt season); perde em rotação rápida e fica de fora do bear por construção.

paramstimeframe=1dmomentum_days=90vol_days=90top_n=3decision_weekday=6regime_symbol=BTCUSDTregime_ema=200min_score_history=91initial_equity=10000fee_rate=0.00055slippage_bps=2

Como funciona

o que abre, o que arrisca e o que fecha a operação

Momentum cross-sectional de carteira: ranqueia o universo por retorno ajustado por vol, compra o top-N equal-weight e vai a caixa no bear de BTC.

direçãoSó compradotimeframe1d

Abreo gatilho de entrada

No fechamento do dia de decisão (weekday 6, 6=domingo UTC), ranqueia os símbolos por retorno de 90d / vol anualizada de 90d e compra o top 3 equal-weight — desde que o BTC feche acima da EMA200 (gate de regime); senão fica 100% caixa. Rebalanceio executado na abertura do dia seguinte.

Arriscasizing e proteção

Sizing por peso-alvo (all-in no top-N, equal-weight 1/top_n cada), sem alavancagem; o gate de regime de BTC é o controle de risco de mercado.

Fechao gatilho de saída

Sem stop/alvo por posição: a saída é o rebalanceio semanal (um símbolo que sai do top-N é vendido) ou o gate de regime (BTC < EMA200 zera o book pra caixa).

Customizar & testar

ajuste os parâmetros, escolha as moedas e rode um backtest sob demanda

Parâmetros

Janela de momentummomentum_days

30365

Dias do retorno usado no ranking

Janela de volvol_days

20365

Dias da volatilidade que ajusta o retorno

Top-Ntop_n

110

Quantos símbolos comprar (equal-weight)

Dia de rebalanceiodecision_weekday

Dia da semana da decisão (0=segunda .. 6=domingo, UTC)

EMA de regime do BTCregime_ema

50400

Período da EMA do BTC pro gate caixa/investido

Símbolos

Carregando universo do serviço…

Baselinerelatório pré-gerado · defaults

Simulador de capital

informe um capital e veja volume e fluxo de taxa projetados no período

Capital

Cashback (maker rebate)

maker 2.0 bps · taker 5.50 bps
cashback 60% · $10,000 sobre $10k ref

Volume projetado$916.48K$383/dia · 2395d de backtest

Custo de taxa (taker)▼ paga

-$504-$0.21/dia · 5.50 bps efetivos · fee de taker paga no fill

Curva de capital

equity, volume, gestão de risco e blotter do símbolo selecionado

ALLperíodo completo+8343.1%eq 844.3K

Volume gerado · PORTFOLIO$916,477

Volume gerado · estratégia$2.74M4 símbolos

Gestão de risco

sizing, stop e alavancagem · PORTFOLIO

Sizingall-in

Risco por trade—

Tipo de stopnone

Múltiplo ATR—

Alavancagem máx1×

Trailingnão

Retorno total8.3K%

CAGR96.6%

Sharpe1.30

Sortino2.10

Max DD63.1%

Duração DD716d

Blotter

histórico de operações · PORTFOLIO

119 tradesentry desc

Entrada	Saída	Lado	Entry	Exit	Notional	PnL	PnL %	R	Saída por	Barras
11/05/26, 00:00	18/05/26, 00:00	long	82,194.14	77,414.91	$6,540	-$199	-1.99%	—	signal	7
11/05/26, 00:00	18/05/26, 00:00	long	0.1125	0.1089	$6,629	-$110	-1.10%	—	signal	7
11/05/26, 00:00	18/05/26, 00:00	long	10.72	9.56	$6,371	-$368	-3.68%	—	signal	7
13/10/25, 00:00	10/11/25, 00:00	long	196.88	164.43	$5,792	-$525	-5.25%	—	signal	28
22/09/25, 00:00	13/10/25, 00:00	long	32.87	22.47	$6,076	-$1,145	-11.45%	—	signal	21
01/09/25, 00:00	22/09/25, 00:00	long	200.61	235.99	$6,781	+$582	+5.82%	—	signal	21
18/08/25, 00:00	01/09/25, 00:00	long	3.08	2.77	$6,662	-$356	-3.56%	—	signal	14
11/08/25, 00:00	10/11/25, 00:00	long	22.03	15.92	$5,840	-$923	-9.23%	—	signal	91
14/07/25, 00:00	11/08/25, 00:00	long	2.86	3.18	$7,112	+$414	+4.14%	—	signal	28
02/06/25, 00:00	10/11/25, 00:00	long	2,684.35	3,580.59	$5,530	+$1,517	+15.17%	—	signal	161
26/05/25, 00:00	02/06/25, 00:00	long	23.44	20.86	$6,342	-$372	-3.72%	—	signal	7
19/05/25, 00:00	14/07/25, 00:00	long	170.52	161.02	$6,925	-$216	-2.16%	—	signal	56
28/04/25, 00:00	26/05/25, 00:00	long	0.0128	0.0141	$6,729	+$420	+4.20%	—	signal	28
21/04/25, 00:00	28/04/25, 00:00	long	137.80	147.87	$6,869	+$238	+2.38%	—	signal	7
21/04/25, 00:00	19/05/25, 00:00	long	2.10	2.43	$7,846	+$564	+5.64%	—	signal	28
21/04/25, 00:00	18/08/25, 00:00	long	93,798.43	117,330.43	$8,632	+$1,154	+11.54%	—	signal	119
24/03/25, 00:00	31/03/25, 00:00	long	86,061.31	82,336.63	$6,354	-$144	-1.44%	—	signal	7
24/03/25, 00:00	31/03/25, 00:00	long	132.80	124.72	$6,297	-$201	-2.01%	—	signal	7
24/03/25, 00:00	31/03/25, 00:00	long	2.44	2.13	$6,090	-$408	-4.08%	—	signal	7
03/03/25, 00:00	10/03/25, 00:00	long	178.68	126.39	$6,776	-$1,165	-11.65%	—	signal	7
27/01/25, 00:00	03/03/25, 00:00	long	24.01	17.40	$6,565	-$1,051	-10.51%	—	signal	35
16/12/24, 00:00	10/03/25, 00:00	long	102,987.80	80,674.56	$5,612	-$742	-7.42%	—	signal	84
02/12/24, 00:00	16/12/24, 00:00	long	0.0295	0.0342	$5,722	+$650	+6.50%	—	signal	14
18/11/24, 00:00	10/03/25, 00:00	long	1.26	2.14	$5,015	+$3,549	+35.49%	—	signal	112
28/10/24, 00:00	18/11/24, 00:00	long	178.95	237.57	$8,936	+$1,253	+12.53%	—	signal	21
21/10/24, 00:00	02/12/24, 00:00	long	74,749.78	97,245.55	$11,458	+$1,490	+14.90%	—	signal	42
21/10/24, 00:00	27/01/25, 00:00	long	0.2502	0.3357	$13,848	+$3,274	+32.74%	—	signal	98
14/10/24, 00:00	28/10/24, 00:00	long	0.0750	0.0617	$6,059	-$592	-5.92%	—	signal	14
07/10/24, 00:00	21/10/24, 00:00	long	26.92	28.96	$6,650	+$252	+2.52%	—	signal	14
30/09/24, 00:00	14/10/24, 00:00	long	65,581.31	62,827.13	$6,420	-$150	-1.50%	—	signal	14
23/09/24, 00:00	30/09/24, 00:00	long	27.29	29.02	$6,884	+$207	+2.07%	—	signal	7
23/09/24, 00:00	07/10/24, 00:00	long	144.62	146.37	$6,638	+$39.86	+0.40%	—	signal	14
23/09/24, 00:00	21/10/24, 00:00	long	0.5813	0.5483	$7,114	-$209	-2.09%	—	signal	28
26/08/24, 00:00	02/09/24, 00:00	long	64,202.94	57,256.65	$6,428	-$371	-3.71%	—	signal	7
26/08/24, 00:00	02/09/24, 00:00	long	158.91	128.39	$6,142	-$656	-6.56%	—	signal	7
26/08/24, 00:00	02/09/24, 00:00	long	0.5997	0.5467	$6,495	-$304	-3.04%	—	signal	7
29/07/24, 00:00	05/08/24, 00:00	long	68,229.14	58,132.87	$6,246	-$503	-5.03%	—	signal	7
15/07/24, 00:00	29/07/24, 00:00	long	3,262.38	3,267.38	$6,749	+$1.45	+0.01%	—	signal	14
15/07/24, 00:00	05/08/24, 00:00	long	147.60	138.26	$5,520	-$110	-1.10%	—	signal	21
15/07/24, 00:00	05/08/24, 00:00	long	0.5212	0.5226	$6,198	+$17.84	+0.18%	—	signal	21
01/07/24, 00:00	08/07/24, 00:00	long	146.61	131.57	$6,322	-$345	-3.45%	—	signal	7
17/06/24, 00:00	01/07/24, 00:00	long	0.1365	0.1244	$6,822	-$319	-3.19%	—	signal	14
03/06/24, 00:00	08/07/24, 00:00	long	3,783.01	2,929.64	$5,760	-$744	-7.44%	—	signal	35
20/05/24, 00:00	17/06/24, 00:00	long	169.38	151.21	$6,095	-$351	-3.51%	—	signal	28
06/05/24, 00:00	20/05/24, 00:00	long	0.0462	0.0431	$6,660	-$241	-2.41%	—	signal	14
29/04/24, 00:00	06/05/24, 00:00	long	3,262.94	3,134.61	$6,598	-$136	-1.36%	—	signal	7
29/04/24, 00:00	03/06/24, 00:00	long	0.1464	0.1572	$6,277	+$271	+2.71%	—	signal	35
22/04/24, 00:00	29/04/24, 00:00	long	0.0489	0.0456	$6,230	-$222	-2.22%	—	signal	7
15/04/24, 00:00	08/07/24, 00:00	long	65,586.79	55,819.83	$5,551	-$461	-4.61%	—	signal	84
08/04/24, 00:00	15/04/24, 00:00	long	0.0616	0.0440	$5,543	-$927	-9.27%	—	signal	7
01/04/24, 00:00	29/04/24, 00:00	long	201.88	137.89	$5,710	-$1,136	-11.36%	—	signal	28
25/03/24, 00:00	22/04/24, 00:00	long	0.1770	0.1581	$5,486	-$240	-2.40%	—	signal	28
18/03/24, 00:00	25/03/24, 00:00	long	202.00	183.98	$6,535	-$309	-3.09%	—	signal	7
11/03/24, 00:00	18/03/24, 00:00	long	0.0828	0.0630	$5,901	-$804	-8.04%	—	signal	7
11/03/24, 00:00	08/04/24, 00:00	long	69,141.35	69,348.83	$6,186	-$0.16	-0.00%	—	signal	28
04/03/24, 00:00	11/03/24, 00:00	long	0.0318	0.0353	$6,721	+$341	+3.41%	—	signal	7
26/02/24, 00:00	01/04/24, 00:00	long	3,132.17	3,648.07	$6,911	+$549	+5.49%	—	signal	35
05/02/24, 00:00	26/02/24, 00:00	long	42,578.81	51,754.55	$7,163	+$717	+7.17%	—	signal	21
29/01/24, 00:00	05/02/24, 00:00	long	0.1033	0.1005	$6,328	-$90.47	-0.90%	—	signal	7
22/01/24, 00:00	29/01/24, 00:00	long	2,457.51	2,255.55	$6,928	-$301	-3.01%	—	signal	7
15/01/24, 00:00	22/01/24, 00:00	long	14.77	15.39	$6,716	+$136	+1.36%	—	signal	7
08/01/24, 00:00	15/01/24, 00:00	long	43,925.68	41,726.55	$6,028	-$158	-1.58%	—	signal	7
01/01/24, 00:00	08/01/24, 00:00	long	0.5953	0.4689	$5,617	-$670	-6.70%	—	signal	7
18/12/23, 00:00	01/01/24, 00:00	long	41,694.60	42,305.54	$8,002	+$53.80	+0.54%	—	signal	14
11/12/23, 00:00	04/03/24, 00:00	long	37.79	42.64	$7,792	+$463	+4.63%	—	signal	84
04/12/23, 00:00	11/12/23, 00:00	long	39,987.80	43,801.34	$6,908	+$311	+3.11%	—	signal	7
13/11/23, 00:00	04/12/23, 00:00	long	19.05	21.95	$7,459	+$607	+6.07%	—	signal	21
16/10/23, 00:00	13/11/23, 00:00	long	28,242.09	37,078.18	$9,461	+$1,297	+12.97%	—	signal	28
02/10/23, 00:00	16/10/23, 00:00	long	0.5240	0.4871	$6,582	-$245	-2.45%	—	signal	14
02/10/23, 00:00	18/12/23, 00:00	long	9.55	14.03	$11,087	+$2,427	+24.27%	—	signal	77
02/10/23, 00:00	11/03/24, 00:00	long	28.29	144.47	$12,437	+$12,588	+125.88%	—	signal	161
07/08/23, 00:00	21/08/23, 00:00	long	29,083.86	26,170.66	$6,401	-$341	-3.41%	—	signal	14
31/07/23, 00:00	07/08/23, 00:00	long	7.55	7.10	$6,540	-$208	-2.08%	—	signal	7
17/07/23, 00:00	21/08/23, 00:00	long	0.7387	0.5381	$6,064	-$957	-9.57%	—	signal	35
10/07/23, 00:00	21/08/23, 00:00	long	21.53	21.76	$5,764	+$179	+1.79%	—	signal	42
17/04/23, 00:00	10/07/23, 00:00	long	0.5143	0.4677	$6,612	-$329	-3.29%	—	signal	84
10/04/23, 00:00	17/04/23, 00:00	long	0.0210	0.0245	$6,938	+$531	+5.31%	—	signal	7
20/03/23, 00:00	10/04/23, 00:00	long	0.0457	0.0400	$7,051	-$477	-4.77%	—	signal	21
27/02/23, 00:00	20/03/23, 00:00	long	23.10	21.86	$6,912	-$194	-1.94%	—	signal	21
20/02/23, 00:00	17/07/23, 00:00	long	1,701.91	1,920.59	$6,365	+$414	+4.14%	—	signal	147
13/02/23, 00:00	20/02/23, 00:00	long	21.49	24.85	$7,420	+$534	+5.34%	—	signal	7
30/01/23, 00:00	27/02/23, 00:00	long	0.0232	0.0221	$6,078	-$76.48	-0.76%	—	signal	28
23/01/23, 00:00	30/01/23, 00:00	long	0.0883	0.0902	$6,526	+$64.22	+0.64%	—	signal	7
23/01/23, 00:00	13/02/23, 00:00	long	0.0493	0.0436	$6,122	-$312	-3.12%	—	signal	21
23/01/23, 00:00	31/07/23, 00:00	long	24,170.50	29,265.35	$6,745	+$867	+8.67%	—	signal	189
28/03/22, 00:00	11/04/22, 00:00	long	46,822.70	42,131.87	$6,506	-$347	-3.47%	—	signal	14
28/03/22, 00:00	11/04/22, 00:00	long	0.2693	0.2351	$6,028	-$405	-4.05%	—	signal	14
28/03/22, 00:00	11/04/22, 00:00	long	0.8576	0.7536	$6,483	-$422	-4.22%	—	signal	14
27/12/21, 00:00	03/01/22, 00:00	long	115.11	113.04	$6,627	-$63.93	-0.64%	—	signal	7
27/12/21, 00:00	03/01/22, 00:00	long	0.5115	0.4567	$6,329	-$362	-3.62%	—	signal	7
27/12/21, 00:00	03/01/22, 00:00	long	6.73	5.91	$6,280	-$410	-4.10%	—	signal	7
13/12/21, 00:00	20/12/21, 00:00	long	87.96	107.53	$8,263	+$823	+8.23%	—	signal	7
13/12/21, 00:00	20/12/21, 00:00	long	4,129.99	3,921.73	$7,248	-$191	-1.91%	—	signal	7
13/12/21, 00:00	20/12/21, 00:00	long	5.46	5.01	$7,131	-$309	-3.09%	—	signal	7
29/11/21, 00:00	06/12/21, 00:00	long	0.2668	0.1827	$5,569	-$1,045	-10.45%	—	signal	7
08/11/21, 00:00	06/12/21, 00:00	long	2.69	5.40	$5,551	+$3,898	+38.98%	—	signal	28
11/10/21, 00:00	08/11/21, 00:00	long	0.2531	0.3008	$7,814	+$710	+7.10%	—	signal	28
20/09/21, 00:00	11/10/21, 00:00	long	0.7407	0.7473	$7,405	+$88.38	+0.88%	—	signal	21
13/09/21, 00:00	20/09/21, 00:00	long	0.2167	0.1566	$6,342	-$1,024	-10.24%	—	signal	7
23/08/21, 00:00	06/12/21, 00:00	long	67.16	86.31	$14,396	+$3,539	+35.39%	—	signal	105
16/08/21, 00:00	23/08/21, 00:00	long	47,015.42	49,263.43	$6,577	+$150	+1.50%	—	signal	7
09/08/21, 00:00	16/08/21, 00:00	long	0.0811	0.1081	$7,304	+$1,037	+10.37%	—	signal	7
02/08/21, 00:00	09/08/21, 00:00	long	2,555.23	3,013.46	$7,195	+$588	+5.88%	—	signal	7
02/08/21, 00:00	13/09/21, 00:00	long	0.6673	0.8123	$12,150	+$1,657	+16.57%	—	signal	42
02/08/21, 00:00	29/11/21, 00:00	long	97.58	200.67	$18,503	+$11,196	+111.96%	—	signal	119
26/04/21, 00:00	24/05/21, 00:00	long	0.4117	0.2134	$6,186	-$1,902	-19.02%	—	signal	28
12/04/21, 00:00	26/04/21, 00:00	long	1.38	1.04	$12,222	-$1,772	-17.72%	—	signal	14
01/03/21, 00:00	24/05/21, 00:00	long	30.49	24.50	$17,381	+$1,927	+19.27%	—	signal	84
22/02/21, 00:00	01/03/21, 00:00	long	57,487.00	45,153.61	$6,406	-$773	-7.73%	—	signal	7
01/02/21, 00:00	24/05/21, 00:00	long	0.1145	0.3061	$20,458	+$36,532	+365.32%	—	signal	112
18/01/21, 00:00	12/04/21, 00:00	long	18.60	31.63	$12,206	+$5,379	+53.79%	—	signal	84
28/12/20, 00:00	18/01/21, 00:00	long	0.005239	0.009114	$8,695	+$3,300	+33.00%	—	signal	21
23/11/20, 00:00	28/12/20, 00:00	long	0.4612	0.2842	$4,789	-$963	-9.63%	—	signal	35
26/10/20, 00:00	23/11/20, 00:00	long	12.14	14.52	$8,302	+$739	+7.39%	—	signal	28
12/10/20, 00:00	01/02/21, 00:00	long	18,648.51	33,118.48	$14,598	+$5,269	+52.69%	—	signal	112
03/08/20, 00:00	26/10/20, 00:00	long	0.2849	0.2533	$7,530	-$564	-5.64%	—	signal	84
20/07/20, 00:00	03/08/20, 00:00	long	9,227.69	11,078.48	$7,832	+$710	+7.10%	—	signal	14
20/07/20, 00:00	12/10/20, 00:00	long	9.12	10.83	$9,472	+$2,309	+23.09%	—	signal	84
20/07/20, 00:00	22/02/21, 00:00	long	846.84	1,934.20	$42,454	+$21,077	+210.77%	—	signal	217

Métricas por símbolo

a régua do torneio, símbolo a símbolo

Símbolo	Tier	Retorno total	CAGR	Sharpe	Sortino	Max DD	Duração DD	Win rate	Profit factor	Payoff	Trades	Exposição	Turnover	Volume total	Fees pagas
PORTFOLIO	ALL	8.3K%	96.6%	1.30	2.10	63.1%	716d	45.4%	1.34	1.61	119	57.0%	102.9×	$60.1M	$33.1K
PORTFOLIO	LARGE	6K%	86.9%	1.47	2.25	46.2%	730d	43.6%	2.82	3.64	39	57.0%	36.0×	$12.2M	$6,708
PORTFOLIO	MID	8.9K%	98.9%	1.13	2.17	65.6%	924d	42.9%	1.47	1.96	77	57.1%	70.1×	$44.7M	$24.6K
PORTFOLIO	LOW	-73.0%	-21.2%	0.07	0.09	94.5%	1701d	30.8%	0.86	1.93	65	54.0%	51.4×	$730.9K	$401.98

Funciona melhor por tamanho de ativo?

média das métricas-chave por tier — LARGE vs MID vs LOW

CAGR · média por tier

LARGE · 1 ativo86.9%

MID · 1 ativo98.9%

LOW · 1 ativo-21.2%

Sharpe · média por tier

LARGE · 1 ativo1.47

MID · 1 ativo1.13

LOW · 1 ativo0.07

Max DD · média por tier

LARGE · 1 ativo46.2%

MID · 1 ativo65.6%

LOW · 1 ativo94.5%

Live

estado de execução em produção

Aguardando conexão live — posições abertas, PnL ativo e risco máximo aparecem aqui quando o bot subir no VPS (Fase 3).

Posições abertas

SímboloLadoQtdEntradauPnL

PnL do dia

—

pré-cashback · bps de volume

Risco

Inventário / banda—

Kill switch—

WS privado—