Algorithm Suite Comparison
Foxrock Fintech offers two complementary algorithmic trading suites, each with distinct methodologies and performance characteristics. Both systems have been rigorously backtested with conservative assumptions to ensure real-world applicability.
Key Performance Insights
Gravity: Structural Excellence
Gravity 2.0 achieves the highest Sharpe ratio (4.12) among our algorithms, indicating superior risk-adjusted returns. The system's 54% annualized return with a 12% maximum drawdown demonstrates disciplined risk management and consistent performance across market cycles.
Liquidity: Volume-Driven Growth
Liquidity delivers the highest absolute returns (4,235% total) through sophisticated volume profile analysis. The 41.6% win rate and 1.88 profit factor demonstrate consistent profitability, while the 3.2-day average trade duration enables rapid capital recycling.
Complementary Strengths
The two suites employ different market analysis methodologies, making them complementary rather than competitive. Together, they provide diversified exposure to different market patterns and trading opportunities, reducing correlation and enhancing portfolio resilience.
| Metric | Gravity Suite | Liquidity Suite |
|---|---|---|
| Core Methodology | Structural Pattern Recognition | Volume Profile & VWAP Analysis |
| Total Return (2019-2025) | 1,911% | 4,235% |
| Annualized Return | 54% | 74% |
| Sharpe Ratio | 4.12 | 3.85 |
| Sortino Ratio | N/A | 11.56 |
| Maximum Drawdown | 12% | 14.03% |
| Win Rate | N/A | 41.6% |
| Profit Factor | N/A | 1.88 |
| Average Trade Duration | 5.2 days | 3.2 days |
| Market Coverage | Top 500 US Equities | Top 500 US Equities |
| Timeframes | EOD & 60-Minute | EOD & 60-Minute |
How Liquidity Works
Liquidity is built on the principle that price levels where significant volume has traded represent natural support, resistance, and breakout zones. By combining Volume Profile and VWAP analysis with real-time liquidity verification, we identify high-probability trading opportunities with optimal risk-reward characteristics.
Liquidity-Based Methodology
- Volume Profile & VWAP Analysis: Our core methodology identifies key price levels where significant volume concentration occurs and where price has traded with high volume-weighted average prices. These levels represent natural support, resistance, and breakout zones.
- Multiple Algorithmic Setups: Liquidity comprises a suite of specialized algorithms, each designed to trade specific setups around Volume Profile and VWAP levels. Each algorithm targets distinct market conditions and price action patterns.
- Optimized Confirmation Gates: Each setup is protected by a comprehensive framework of confirmation filters and gates, including volume ratio analysis, real-time liquidity verification, risk-reward optimization, and minimum distance requirements to profit targets.
Backtest Robustness & Real-World Credibility
A critical differentiator of Liquidity's performance statistics is our conservative, real-world methodology. Unlike many algorithmic trading backtests that optimize for theoretical returns, Liquidity's metrics reflect practical, achievable performance.
- Execution Realism: Trades are executed at the close of the following bar—one full session later for EOD trades and one hour later for 60-minute trades. This conservative assumption ensures realistic slippage and market impact.
- Volume & Liquidity Constraints: Trade size is capped at 3% of the average volume of the last 20 bars for each ticker, ensuring we can execute our full position without moving the market against us.
- Cost Provisions: All backtest results include a 30 basis point (0.30%) provision for trading costs, accounting for commissions, bid-ask spreads, and market impact.
Performance Metrics (yearly averages)
Total Return
4,235%
Avg Yearly Return
72.2%
Sharpe Ratio
3.87
Sortino Ratio
11.1
Max Drawdown
6.24%
Win Rate
41.7%
Benchmark Comparison: Liquidity vs S&P 500
Over the 2019-2025 backtest period, Liquidity significantly outperformed a simple buy-and-hold S&P 500 investment:
| Metric | Liquidity | S&P 500 | Advantage |
|---|---|---|---|
| Final Portfolio Value | $43.3M | $2.6M | +$40.7M |
| Total Return | 4,235% | 165% | +4,070% |
| Outperformance Multiple | Liquidity generated 16.4x more wealth per dollar invested | 1,539% | |
How Gravity Works
Our proprietary research has identified specific structural formations in price action that demonstrate predictable magnetic properties—what we call "gravity structures." These patterns emerge across multiple timeframes and asset classes, representing natural equilibrium points where price consolidates before directional moves.
Rather than relying on traditional indicators (moving averages, RSI, MACD), our system identifies these structural patterns directly from price action, then waits for precise confirmation signals before initiating trades. This approach provides lower false signal rates, higher probability entries, and scalability across markets.
The Five-Step Process
- Pattern Identification: Our algorithms continuously scan the market, identifying gravity structures as they form. This process is fully automated and operates in real-time across both EOD and intraday timeframes.
- Confirmation Waiting: Once a pattern is identified, the system monitors for subsequent price movement and precise confirmation signals. This disciplined approach reduces false signals and ensures high-probability entries.
- Entry Execution: When confirmation criteria are met, the system calculates optimal position sizing based on portfolio risk limits and executes the trade with mathematical precision.
- Risk Definition: Stop-loss levels are positioned just below key structural support, while take-profit targets are set at the level of the original gravity structure. This creates a defined risk framework for every trade.
- Position Management: All open positions are managed through our institutional risk management module, which applies UCITS-compliant position limits, portfolio-level constraints, and real-time monitoring.
Performance Metrics (yearly averages)
Total Return
1,911%
AVG Yearly Return
56%
Sharpe Ratio
3.8
Sortino Ratio
10.2
Max Drawdown
5.0%
Win Rate
36.3%
Benchmark Comparison: Gravity vs S&P 500
Over the 2019-2025 backtest period, Gravity significantly outperformed a simple buy-and-hold S&P 500 investment:
| Metric | Gravity | S&P 500 | Advantage |
|---|---|---|---|
| Final Portfolio Value | $20.1M | $2.6M | +$17.5M |
| Total Return | 1,911% | 165% | +1,746% |
| Outperformance Multiple | Gravity generated ~7.6× more wealth per dollar invested | 1,539% | |
Gravity 1.0 vs Gravity 2.0: Detailed Comparison
| Metric | Gravity 1.0 | Gravity 2.0 | Improvement |
|---|---|---|---|
| Total Return | 1,112% | 1,911% | +71% |
| Annualized Return | 43% | 54% | +25% |
| Sharpe Ratio | 3.73 | 4.12 | +10% |
| Sortino Ratio | 9.71 | 12.51 | +29% |
| Maximum Drawdown | 14% | 12% | -2% |
| Calmar Ratio | 3.20 | 4.46 | +39% |
| Final Portfolio Value | $12.1M | $20.1M | +66% |
| Total Trades | 12,096 | 18,155 | +50% |
| Average Trade Duration | 8.9 days | 5.2 days | -42% |
| Win Rate | 36% | 36% | — |
| Profit Factor | 2.01 | 2.07 | +3% |
Gravity 2.0's 42% reduction in average trade duration is a significant feature. Shorter trades mean faster capital recycling, reduced overnight risk exposure, better opportunity capture, and more efficient portfolio utilization. This allows the same algorithm to trade the same ticker more frequently, explaining the 50% increase in total trades and superior overall returns.
Ready to Explore Our Algorithms?
Contact our team to discuss how Gravity and Liquidity can enhance your trading strategy.