← backtests · 09-16 20:45Z · MOCK data

robustness fx.momentum USDJPY

Scenariosscore 0.00 · INCONCLUSIVE

Scenario	Trades	Exp R	PF
baseline	24	−0.705	0.22
costs: spread x2.0	24	−0.713	0.22
costs: spread x3.0	24	−0.721	0.21
costs: slippage x2.0	24	−0.714	0.21
costs: slippage x4.0	24	−0.734	0.20
costs: commission x2.0	24	−0.717	0.21
execution delay +1 bar(s)	24	−0.708	0.21
execution delay +2 bar(s)	24	−0.725	0.15
missing data 2%	24	−0.698	0.20
missing data 5%	19	−0.563	0.31
param mom_threshold x0.8	23	−0.455	0.40
param mom_threshold x1.2	19	−0.459	0.44
param rsi_low x0.8	28	−0.626	0.28
param rsi_low x1.2	19	−0.759	0.13
param rsi_high x0.8	10	−0.646	0.42
param rsi_high x1.2	25	−0.597	0.29
param stop_atr x0.8	25	−0.449	0.40
param stop_atr x1.2	24	−0.606	0.21
param target_r x0.8	22	−0.522	0.29
param target_r x1.2	24	−0.705	0.21
volatility x1.5 (MOCK world regenerated)	19	−0.505	0.30

Monte Carlotrade bootstrap and order permutation