All the statistics and performance from our portfolio of uncorrelated strategies trading futures intraday. Backtested on 7+ years of tick data with realistic costs and slippage modeled in. Strategies were trained on 2019–2024, 2025–2026 is true out-of-sample.
Total Return
+430%
~54% / year average
Total Return +430%
Cumulative profit over the full 2019–2026 backtest, sized at a flat 1.5% risk per trade with no compounding, so returns add up rather than snowball off a growing balance.
That works out to roughly +54% per year on average across the backtest, positive in every backtested year.
Sharpe Ratio
2.47
Sortino 4.68 · Calmar 4.28
Risk-Adjusted Returns
Sharpe 2.47, return per unit of total risk (volatility). Higher is better: above 2 is excellent, above 3 is rare even among top hedge funds. This 2.47 is the full 2019–2026 backtest, 2.39 in-sample, 2.81 out-of-sample.
Sortino 4.68, like Sharpe, but only counts downside volatility. A 4.68 means nearly all of the portfolio's movement is to the upside.
Calmar 4.28, annual return divided by worst drawdown: reward per unit of pain. 4.28 means it earns 4.28× its deepest loss each year.
Win Rate
55.9%
~1:1 avg risk : reward
Win Rate 55.9%
The share of trades that close in profit, 56 of every 100.
Win rate only matters alongside the payoff. At a ~1:1 risk-to-reward (wins and losses about the same size), winning 56% of the time is what produces a durable edge, and it held nearly identical out-of-sample.
Profit Factor
1.36
gross win / gross loss
Profit Factor 1.36
Profit factor is gross profit divided by gross loss — for every $1 the strategy loses, how many dollars it wins back.
Anything above 1.0 is profitable. A 1.36 means the portfolio earns $1.36 for every $1 it gives back, across 3,472 trades.
Max Drawdown
17%
76% green months
Max Drawdown 17%
Max drawdown is the largest peak-to-trough drop in the equity curve, the worst losing stretch you'd have had to sit through before new highs.
Lower is better. A 17% max drawdown (≈$25,553 on the $150k example account) over 7+ years is shallow for a portfolio averaging ~54% a year.
Market Beta
~0
≈0 equity corr · backtested
Market Beta ≈ 0
Beta measures how much the portfolio moves with the stock market. Across the 2019–2026 backtest, the portfolio's returns showed near-zero correlation to equities, it doesn't need stocks to go up to be profitable in the backtest.
The portfolio's edges are short-horizon order-flow setups in futures — breakouts, mean-reversions, and stop-run fades that aim to profit intraday, whether equities rise or fall. In 2022, when the S&P fell 19%, the portfolio returned +37% in the backtest.
Backtested1.5% risk per tradenon-compounding2019–2026realistic fills
Hypothetical / backtested performance, a simulated backtest (2025–2026 is walk-forward, out-of-sample), not live trading. Past performance is not indicative of future results. See our full Risk Disclosure.
Cumulative Return, Telonics vs S&P 500
RANGE
OUT-OF-SAMPLE
Telonics Portfolio S&P 500 Buy & Hold Out-of-sample — performance on data the portfolio has never seen
Telonics Portfolio S&P 500 Buy & Hold Out-of-sample — performance on data the portfolio has never seen
Year by Year & by Market
Positive in every year of the 2019–2026 backtest, including the 2022 bear market, where the S&P fell 19% and the portfolio returned +37% in the backtest.
Year
Trades
Win Rate
PF
Return
2019
442
54.8%
1.16
+26%
2020
459
56.6%
1.37
+56%
2021
479
55.5%
1.35
+51%
2022
455
51.6%
1.21
+37%
2023
467
56.7%
1.37
+62%
2024
449
57.5%
1.70
+101%
2025 OOS
511
56.2%
1.34
+60%
2026 OOS
210
60.5%
1.62
+36%
Market
Trades
Win Rate
PF
Return
NQ Nasdaq 100
1,076
61.0%
1.48
+249%
GC Gold
831
54.9%
1.23
+44%
YM Dow Jones
321
53.3%
1.27
+16%
ES S&P 500
606
52.3%
1.31
+64%
CL Crude Oil
638
53.3%
1.27
+57%
Out-of-Sample Validation (2025–2026)
Everything since 2025 is forward-tested on data the model never saw, and it held. Every key metric stayed in line with the backtest, while returning more than 3× the S&P over the same window.
OOS Return
+96%
vs S&P +28% · 18 months
OOS Sharpe
2.81
vs 2.39 in-sample
OOS Win Rate
57.4%
vs 55.5% in-sample
OOS Profit Factor
1.41
vs 1.35 in-sample
Past performance is not indicative of future results. All results shown are from backtested and walk-forward simulations on historical tick data, sized at 1.5% risk per trade on a non-compounding account, with 1-tick slippage applied at entry and exit. Dollar figures assume a $150,000 example account; percentage returns are independent of account size. Trading futures involves substantial risk of loss and is not suitable for all investors.
Live Engine, Forward Test REAL-TIME
The same engine, running live in real time on a standardized $150k example account, updated every 15 seconds. These are the engine's simulated fills on unseen forward data, not actual account statements. We run this portfolio on our own funded accounts; real results differ with fills, slippage, and account size. Connecting…
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Win Rate
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Profit Factor
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Drawdown
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Forward-Test Trades
Date
Market
Direction
R
P&L
Entry Price
Exit Price
Reason
No trades yet, waiting for market hours
Real-time forward test. The live engine's own simulated fills on a standardized $150k example account, updated in real time on unseen data, not actual account statements, and not a promise of the results of any real account. Simulated / hypothetical results have inherent limitations, and actual trading results differ. Trading futures involves substantial risk of loss and is not suitable for all investors; past performance is not indicative of future results. See our full Risk Disclosure.
These are the results. Now run them.
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