← backtests · 09-16 20:45Z · MOCK data
research fx.breakout AUDUSD
isolated fx.breakout AUDUSD
Return−0.04%CAGR -0.02%
Max drawdown1.72%455 days
Sharpe / Sortino0.04 / 0.03Calmar -0.01
Trades36win 22% · PF 0.99
Expectancy−0.013R$-1 per trade
Costs$254financing $-68 · turnover 14.2
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 11 | −0.19 | −703 |
| usd weakening | 16 | +0.13 | +791 |
| usd strengthening | 9 | −0.04 | −132 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 9 | −0.17 | −462 |
| new york | 6 | +0.25 | +644 |
| sydney,tokyo | 6 | −0.43 | −818 |
| tokyo,london | 3 | +0.58 | +554 |
| london,new york | 12 | +0.04 | +37 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 7 | −0.69 | −1,513 |
| false breakout | 18 | −0.29 | −1,599 |
| normal variance | 2 | −1.03 | −666 |
| thesis confirmed | 3 | +2.44 | +2,472 |
| unexpected event | 1 | −0.70 | −201 |
| favourable variance | 5 | +1.00 | +1,462 |
- spread sane
- 28
- event policy
- 5
- confidence minimum
- 32
- broker:MARKET CLOSED
- 1
- portfolio volatility
- 1
- consecutive loss pause
- 2
- no conflicting position
- 8
- market liquidity allows entry
- 30
MOCK data: results demonstrate the machinery, not edge in real markets
- risk
- risk-1.0.0+df3ec7da
- execution
- exec-1.0.0+821dd562
- confidence
- conf-1.0.0+18bcb659
- data_source
- mock
- feature_set
- fs-1.0.0+bbfe6af5
- regime_model
- regime-rules-1.0.0+ba09c5ab
- strategy:fx.breakout
- fx.breakout@1.0.0