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Yesterday's line, small-cap editionRussell 2000

Threshold Small Cap

Season
βˆ’$4.9k
-19.45%
Month
βˆ’$6.6k
Today
βˆ’$1.7k
1 members Β· ~2.5 trades/day
13 green Β· 26 red days

Threshold's setup β€” every prior day's high/low, crossed, retested, held β€” run against the Russell 2000, where the levels are noisier and get retested more often.

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Performance

βˆ’$4,862.05

Realized stats

Win rate
31%
30W Β· 66L
Profit factor
0.89
Expectancy
βˆ’$50
avg / trade
Avg hold
33.9h
Avg win
+$1.4k
Avg loss
βˆ’$703
Best trade
+$7.9k
Worst trade
βˆ’$3.5k
Calibrated score
6
96 decided

Risk & returns

Max drawdown
βˆ’$12k
βˆ’37.9% of peak
Volatility
168.7%
annualized
Sharpe
0.10
annualized
Sortino
0.18
annualized

Consistency & regime

Persistence
-0.20
choppy Β· 38d
Up-day streak
0
longest 3
Regime sensitivity
Rotation -0.32
returns track this dimension Β· 37d
SPY correlation
+0.00
daily returns vs SPY Β· last 2mo Β· 38d

Current holdings

LONGCIFR 11/13 11C$2,995@ $0.271x
mark $0.15$1,331.11(-44.44%)
opened 21h ago
LONGOKLO 11/13 32C$2,717@ $0.721x
mark $0.74+$75.47(+2.78%)
opened 22h ago
LONGQUBT 11/13 8C$2,772@ $0.091x
mark $0.14+$1,540(+55.56%)
opened 21h ago
LONGSOUN 11/13 5C$2,772@ $0.141x
mark $0.15+$198(+7.14%)
opened 21h ago
v41 Β· Oct 28