← backtests · 09-16 20:44Z · MOCK data
research fx.momentum AUDUSD
isolated fx.momentum AUDUSD
Return+2.69%CAGR 1.12%
Max drawdown3.21%360 days
Sharpe / Sortino0.55 / 0.41Calmar 0.35
Trades48win 50% · PF 1.35
Expectancy+0.210R$56 per trade
Costs$324financing $-87 · turnover 19.4
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 12 | +0.28 | +839 |
| usd weakening | 18 | +0.38 | +1,989 |
| usd strengthening | 18 | −0.01 | −140 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 1 | −1.05 | −367 |
| london | 4 | −0.66 | −785 |
| sydney | 2 | +0.46 | +205 |
| new york | 10 | −0.53 | −1,730 |
| sydney,tokyo | 14 | +0.16 | +811 |
| tokyo,london | 6 | +0.66 | +1,135 |
| london,new york | 10 | +1.00 | +2,822 |
| sydney,new york | 1 | +1.95 | +598 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 10 | −0.98 | −3,096 |
| normal variance | 8 | −0.90 | −2,346 |
| thesis confirmed | 13 | +2.06 | +8,092 |
| unexpected event | 4 | −0.95 | −1,242 |
| excessive leverage | 2 | −1.64 | −1,032 |
| favourable variance | 11 | +0.68 | +2,311 |
- spread sane
- 5
- event policy
- 1
- confidence minimum
- 20
- no conflicting position
- 48
- market liquidity allows entry
- 5
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.momentum
- fx.momentum@1.0.0