Sharpe
1.140
CAGR
17.60%
Max DD
-18.20%
Compare Report
shared research artifact
This public page shows an Alphrex compare-review artifact built from historical comparison outputs. It is not live audited performance, not broker-confirmed execution, and not an investment recommendation.
Donchian survived because it kept the best holdout support and benchmark-relative trade-off once MACD and time-series momentum were forced through the same window.
Active Return
5.90%
Tracking Error
11.80%
Beta
0.880
Candidates
3
Status
Approved
Saved
2026-04-27T08:00
Equity Curves
| Rank | Strategy | Validation | Sharpe | CAGR % | Max DD % | Active Return % | Tracking Error % | Beta |
|---|---|---|---|---|---|---|---|---|
| 1 |
Donchian Channel
QQQ
|
Credible | 1.140 | 17.60 | -18.20 | 5.90 | 11.80 | 0.880 |
| 2 |
MACD
QQQ
|
Mixed | 0.970 | 14.10 | -20.70 | 2.60 | 12.50 | 0.920 |
| 3 |
Time-Series Momentum
QQQ
|
Mixed | 0.830 | 12.80 | -24.50 | 1.10 | 14.90 | 0.950 |
The winner is the best of 3 compared candidates. The maximum of 3 draws is biased upward even when none of them has an edge, so read the headline Sharpe as a selection outcome, not an estimate.