STS.

NQ Portfolio - Performance Tear Sheet

Rules-based NQ strategies · multi-strategy alerts · 1-3 contracts vol-scaled · 2011-2026

Key Performance

$1,112,232
Net P&L (15yr)
+1,112.2%
Total Return
18.1%
CAGR
1.35
Sharpe
2.60
Sortino
1.55
Profit Factor
45.5%
Win Rate
3,500
Trades
$318
Expectancy
20.4%
Max Drawdown
CFTC Rule 4.41 - Hypothetical performance disclosure. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Equity Curve - cumulative P&L (NQ mini, 1-3 contracts)

$0 startnet $1,112,2322011 to 2026, cumulative P&L

Annual P&L - profitable 13 of 16 years (best: +$281,973 in 2025 · worst: -$4,889 in 2011)

'11'12'13'14'15'16'17'18'19'20'21'22'23'24'25'26The three losing years, on their own scaleUnder 2px on the shared dollar scale: the smallest years in the book.2011-$4,8892012-$2402013-$2,899

Self-computed robustness tests

t-stat clears the 3.0 hurdleDeflated Sharpe passes >90%Probabilistic Sharpe passesPer-era PF 1.01 to 1.86 rising
Hypothetical backtest. STS Futures provides educational tools, not investment advice. Trading involves substantial risk of loss. Past performance, including backtested results, does not guarantee future results. Results are hypothetical and backtested at 1 to 3 contracts scaled by volatility, no compounding, with commissions and slippage included in net P&L. They do not reflect live trading and real fills will differ. You are solely responsible for your trading decisions. We are not registered investment advisors. © 2026 STS Futures · stsfutures.com Page 1 of 4.
STS.

Risk & Drawdown

How deep, how long, how often

Underwater Equity Curve - dollars below high-water mark

$-60k$-30k$0k
Worst peak-to-trough: -$51,836 (June-July 2026) · shown in $ so dollar risk reads at true depth across all years.

Daily Return Distribution

Right-skewed (+1.76), fat-tailed (raw kurtosis 12.8, excess 9.8) - a few big winners carry it. Vertical line = 0%. Daily returns on days with a closed trade, running-equity basis.

Monte-Carlo Drawdown Expectation

MC median $46kMC p95 $68krealized $52k$0$100k
The backtested drawdown sat at the 72nd percentile of 10,000 reshuffled orderings: most orderings came out better than the one we got. Reshuffle band: ~$46k median / ~$68k p95 per mini.

Monthly Returns ($000s) - green = profit

JFMAMJJASONDYr
2011-2k-1k0k-1k-1k-5k
20120k-2k-1k-1k1k2k0k-2k-1k2k1k0k-0k
2013-4k-1k-1k-1k-2k0k-2k-3k0k8k4k-1k-3k
2014-1k1k4k-2k2k-2k2k0k4k5k0k-1k+10k
2015-2k1k0k-4k2k-2k5k0k-4k3k1k1k+1k
2016-4k1k8k4k6k-2k1k-2k0k2k4k2k+20k
2017-1k2k2k-1k4k2k4k8k-6k-2k3k4k+19k
20183k10k-10k9k-2k-6k5k1k1k7k11k2k+29k
20196k-3k1k9k-9k3k3k8k-3k1k8k6k+30k
20207k13k-12k18k-5k9k8k7k-6k-1k7k8k+51k
2021-1k3k-3k10k28k-5k0k1k0k18k24k43k+118k
202211k-12k11k12k7k6k13k-1k2k24k22k2k+96k
20238k-8k11k-6k12k10k25k19k-3k0k25k3k+96k
202418k-1k-9k27k-7k-4k53k52k7k3k13k68k+219k
20250k53k27k35k11k-11k11k15k26k60k48k7k+282k
202627k47k14k18k5k33k-12k17k+148k
3 Largest Drawdowns ($ depth)
Jun-Jul 2026$51,836 · rec 15d
Jun-Jul 2025$29,014 · rec 25d
COVID 2020$25,981 · rec 35d
Risk Metrics (volatility, downside dev, VaR and the tail/shape figures: daily returns over all 3,910 weekdays with flat days zero-filled; running-equity denominator; annualised by sqrt-252)
Ulcer index7.62
Volatility12.6%
Downside dev6.5%
VaR 95-0.93%
Tail / Shape
CVaR 95-1.39%
Skew+2.31
Kurtosis (raw)20.1
Max consec L14
CFTC Rule 4.41 - Hypothetical performance. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. © 2026 STS Futures · stsfutures.com Page 2 of 4.
STS.

Anti-Overfit Evidence

Is the edge real? - five stability checks on the same trade series

Per-Era 4yr Profit Factor - rising, never <1

1.0111-141.2015-181.4519-221.8623-26
Axis starts at PF 1.0 (breakeven). Four non-overlapping 4-year eras. Positive every era and climbing 1.01 to 1.86 = strengthening edge, not decay.

Rolling 12-month Sharpe

-2.11.04.1
Stays positive across regimes; not propped up by one period.

Stability - 8 sequential in-sample blocks (net P&L)

B1B2B3B4B5B6B7B8
7/8 sequential blocks profitable (only the 2011 era marginally negative). These are chronological slices of one backtest specified on the whole sample, not out-of-sample tests: no refit is performed on each prior window.

Cost / Slippage Sensitivity - net P&L vs round-turn cost

$825k$962k$1100k
Break-even = $200 RT vs ~$10 real. Survives 10× punitive cost.

Parameter Plateau - PF across 817 swept configs

95% profitable, median 1.53. Deployed PF 1.55 sits mid-plateau - not a lucky knife-edge optimum.

Anti-Overfit Scorecard

>90%
Deflated Sharpe (pass)
PASS
Probabilistic Sharpe
1.86
Per-era PF (latest)
>3.0
Harvey-Liu t-stat (pass)
CFTC Rule 4.41 - Hypothetical performance. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. © 2026 STS Futures · stsfutures.com Page 3 of 4.
STS.

Attribution, Trade Analytics & Sizing

Pure alpha · how it trades · how to size it

Benchmark regression

Withdrawn pending re-derivation. The beta, R-squared, annualized alpha and down-capture figures previously shown here did not reconcile against each other or against this document's own CAGR and volatility, so they have been removed rather than restated. They return only when re-derived from a single stated regression (benchmark series and source, return frequency, window) that reconciles internally.

Beta to Market

NQ daily return →strategy →
Each dot = one day. The shallow green fit (β=0.20) over a diffuse cloud = returns are largely independent of NQ direction.

Market Capture vs NQ

Withdrawn pending re-derivation. Up-capture and down-capture came from the same benchmark regression as the beta and alpha figures withdrawn above, and the chart caption contradicted the down-capture tile. Both return together, from one stated regression, or not at all.

Avg Excursion / Trade

MFEMAE
Edge ratio 1.67 - winners run 1.67× further than losers.
Trade Analytics
Profit factor1.55
Payoff ratio1.86
Expectancy$318
Win rate45.5%
Time in marketWithdrawn
Long / Short3,032 / 468

Full Risk-Adjusted Suite

Sharpe1.35
Sortino2.60
Calmar / MAR0.89
SterlingWithdrawn
Tail ratioWithdrawn
Recovery factorWithdrawn
Max DD ($)$51,836 (4.3% of peak)
Max DD (%)20.4% (early era)
Longest underwater1,154 calendar days
Annualized18.1%
Positive months65%

Recommended Minimum Account Size

InstrumentBook DD, 1 to 3 contracts vol-scaled (backtested / reshuffle median)Minimum accountCushion (vs reshuffle median)
Micro (MNQ)~$5,200 / ~$4,500$16,0003.5×
Mini (NQ)~$52,000 / ~$45,000$160,0003.5×
Four figures are withdrawn pending re-derivation. Each was published as a bare number that reproduces from no stated definition, so it is held back rather than restated. Recovery factor 33.2: this document's own net profit over either stated max drawdown gives 21.5 closed-trade or 20.2 intrabar. Sterling 1.39: CAGR over the average of the three largest annual drawdowns gives 1.37. Tail ratio 1.67: the mean of the top decile of daily returns over the mean of the bottom decile gives 1.66, on this basis and the prior one. Time in market 35%: no reading reproduces it; share of weekdays holding a position is 67%. Each returns only when re-derived from one stated definition and basis.
Honest risk note: the backtested max drawdown of $51,836 is NOT a favorable draw. Across 10,000 reshuffled orderings of the same trades it sits at the 72nd percentile: about 72% of orderings came out better than the one that actually happened, and the realized figure is deeper than the $45,379 median reshuffle. Reshuffling puts a likelier max drawdown at ~$46k median and ~$68k at the 95th percentile for the 1 to 3 contract vol-scaled book, and one ordering in twenty was worse than that. What this is and is not: it is the distribution of maximum drawdown across reshuffled orderings of the SAME trades, not a forecast. It assumes trade order is exchangeable, and this book violates that: mean absolute per-trade P&L runs about 6.7x larger in the last third of the record than the first, so a global reshuffle drops large-scale trades into a small-scale equity curve and the band is conservative. Method-dependent: reshuffles that preserve the record's scale regime (within-calendar-year stratified, stationary block bootstrap) give a materially shallower band than the global reshuffle published here, so the figure above is the conservative one of the methods we ran. Size conservatively - mini backed by $160k+, micro by $16k+.
CFTC Rule 4.41 - Hypothetical performance. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. © 2026 STS Futures · stsfutures.com Page 4 of 4.