← backtests · 09-16 20:44Z · MOCK data
research fx.momentum USDJPY
isolated fx.momentum USDJPY
Return−0.94%CAGR -0.40%
Max drawdown3.91%565 days
Sharpe / Sortino-0.18 / -0.09Calmar -0.10
Trades39win 33% · PF 0.90
Expectancy−0.077R$-24 per trade
Costs$279financing $-117 · turnover 16.8
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 10 | +0.25 | +683 |
| usd weakening | 16 | −0.19 | −691 |
| usd strengthening | 13 | −0.19 | −933 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 3 | +0.10 | −71 |
| london | 3 | −1.61 | −1,656 |
| sydney | 2 | +0.45 | +207 |
| new york | 7 | −0.53 | −1,274 |
| sydney,tokyo | 9 | −0.28 | −619 |
| tokyo,london | 3 | +1.67 | +1,947 |
| london,new york | 12 | +0.15 | +524 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 1 | −1.02 | −409 |
| wrong regime | 12 | −0.84 | −3,254 |
| normal variance | 6 | −1.02 | −1,859 |
| thesis confirmed | 12 | +2.13 | +8,192 |
| unexpected event | 5 | −0.99 | −1,647 |
| excessive leverage | 2 | −3.32 | −2,005 |
| favourable variance | 1 | +0.23 | +41 |
- spread sane
- 4
- event policy
- 4
- confidence minimum
- 38
- broker:MARKET CLOSED
- 2
- no conflicting position
- 26
- market liquidity allows entry
- 3
- broker:BROKER REJECT (simulated requote)
- 1
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