STS.

NQ Portfolio - Performance Tear Sheet

Rules-based NQ strategies · multi-strategy alerts · 1 contract · 2011-2026
VERIFIED · 2026-06-11

Key Performance

$1,000,906
Net P&L (15yr)
17.4%
CAGR
1.59
Sharpe
2.99
Sortino
15/16
Positive Years
1.34
Profit Factor
12.72%
Max Drawdown
1.37
Calmar
42.4%
Win Rate
5,424
Trades

Equity Curve - cumulative P&L (1 contract)

Annual P&L - profitable 15 of 16 years (worst: -$378 in 2015, breakeven)

'11'12'13'14'15'16'17'18'19'20'21'22'23'24'25'26

Independently Validated - 6 anti-overfit tests passed

Deflated Sharpe ~100%t-stat 4.63PBO 19.8%Walk-forward 7/8 +MinBTL 2.8 yrPlateau 95% of 817 +β 0.03 to NQ
Disclosures. STS Strategies 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/backtested at 1 contract, no compounding, and do not reflect live trading, slippage, or all commissions. You are solely responsible for your trading decisions. We are not registered investment advisors. © 2026 STS Strategies · stsdashboard.com Page 1 of 4.
STS.

Risk & Drawdown

How deep, how long, how often
VERIFIED · 2026-06-11

Underwater Equity Curve - dollars below high-water mark

$-27k$-14k$0k
Worst peak-to-trough: -$38,695 · shown in $ so fixed-1-contract risk reads at true depth across all years.

Daily Return Distribution

Right-skewed (+1.47), fat-tailed (kurt 7.6) - a few big winners carry it. Vertical line = 0%.

Monte-Carlo Drawdown Expectation

realized $39kMC median $52kMC p95 $80k$0$100k
Realized DD was lucky (2nd pct). Honest forward DD: ~$52k median / ~$80k p95.

Monthly Returns ($000s) - green = profit

JFMAMJJASONDYr
20111k3k-3k-0k-1k-0k0k+0k
2012-1k-3k-6k1k3k4k2k-2k1k2k0k2k+3k
2013-4k-1k-1k1k-2k2k-1k-2k1k7k7k-0k+7k
20141k2k6k0k1k-5k1k0k3k7k2k-1k+17k
2015-1k1k2k-1k3k-0k3k-4k-4k1k2k-1k+1k
2016-2k4k0k2k7k-5k1k-2k2k-1k3k6k+14k
2017-4k-1k1k1k-5k4k3k9k-7k-1k3k4k+7k
20182k17k3k10k-2k-1k8k2k2k7k1k5k+55k
20195k-7k19k0k-4k-1k0k6k2k2k9k-10k+22k
202012k16k-18k21k-8k14k6k8k8k1k8k-4k+63k
2021-3k-7k7k15k20k-7k7k5k-3k21k16k52k+121k
20226k-14k28k13k14k-1k2k15k6k26k26k7k+128k
20230k-9k6k5k3k7k-2k33k-2k13k16k8k+80k
202416k3k-3k21k-3k3k53k14k-13k-0k7k89k+188k
2025-0k98k12k39k-0k-12k36k7k35k58k18k28k+318k
2026-1k55k17k3k1k+76k
3 Largest Drawdowns
COVID 2020$38.7k · rec 41d
2022 bear$30.1k · rec 28d
May 2026$30.0k · ongoing
Risk Metrics
Ulcer index4.16
Volatility12.8%
Downside dev6.9%
VaR 95-0.90%
Tail / Shape
CVaR 95-1.33%
Skew+1.47
Kurtosis7.6
Max consec L14
Disclosures. STS Strategies 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/backtested at 1 contract, no compounding, and do not reflect live trading, slippage, or all commissions. You are solely responsible for your trading decisions. We are not registered investment advisors. © 2026 STS Strategies · stsdashboard.com Page 2 of 4.
STS.

Robustness & Anti-Overfit

Is the edge real? - five independent proofs
VERIFIED · 2026-06-11

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

11-1412-1513-1614-1715-1816-1917-2018-2119-2220-2321-2422-2523-26
Axis starts at PF 1.0 (breakeven). Positive every era and climbing 1.12 → 1.53 = strengthening edge, not decay.

Rolling 12-month Sharpe

-0.71.53.6
Stays positive across regimes; not propped up by one period.

Walk-Forward - 8 sequential OOS blocks (net P&L)

B1B2B3B4B5B6B7B8
7/8 out-of-sample blocks profitable (only the 2011 era marginally negative).

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 1.34 sits mid-plateau - not a lucky knife-edge optimum.

Anti-Overfit Scorecard

~100%
Deflated Sharpe
19.8%
PBO (CSCV)
2.8 yr
Min Backtest Length
4.63
Harvey-Liu t-stat
Disclosures. STS Strategies 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/backtested at 1 contract, no compounding, and do not reflect live trading, slippage, or all commissions. You are solely responsible for your trading decisions. We are not registered investment advisors. © 2026 STS Strategies · stsdashboard.com Page 3 of 4.
STS.

Attribution, Trade Analytics & Sizing

Pure alpha · how it trades · how to size it
VERIFIED · 2026-06-11

Uncorrelated to the Market - this is alpha, not index beta

0.03
Beta to NQ
0.2%
R² (NQ explains)
18.0%
Annualized Alpha
-1%
Down-capture (up when NQ falls)

Beta to Market

NQ daily return →strategy →
Each dot = one day. The flat green fit (β=0.03) over a diffuse cloud = returns are independent of NQ direction.

Market Capture vs NQ

Up +14%Down -2%
Catches NQ upside, slightly + when NQ falls = defensive.

Avg Excursion / Trade

MFEMAE
Edge ratio 1.67 - winners run 1.67× further than losers.
Trade Analytics
Profit factor1.34
Payoff ratio1.82
Expectancy$185
Win rate42.4%
Time in market35%
Long / Short3,601 / 1,823

Full Risk-Adjusted Suite

Sharpe1.59
Sortino2.99
Calmar / MAR1.37
Sterling1.39
Omega1.31
Gain-to-Pain5.22
Tail ratio1.65
Recovery factor33.2
Max DD$38,695 (12.72%)
DD duration537 td
Annualized18.9%
Positive months68%

Recommended Minimum Account Size

Instrument1-contract max DDMinimum accountCushion
Micro (MNQ)~$3,700$10,0002.7×
Mini (NQ)~$37,000$100,0002.7×
âš  Honest risk note: realized max drawdown was statistically favorable. Monte-Carlo indicates a likelier forward max drawdown of ~$52k-$80k per mini. Size conservatively - mini backed by $150k+, micro by $15k+.
Disclosures. STS Strategies 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/backtested at 1 contract, no compounding, and do not reflect live trading, slippage, or all commissions. You are solely responsible for your trading decisions. We are not registered investment advisors. © 2026 STS Strategies · stsdashboard.com Page 4 of 4.