← backtests · 09-16 20:50Z · MOCK data
research crypto.momentum BTCUSD
isolated crypto.momentum BTCUSD
Return−0.67%CAGR -0.28%
Max drawdown2.29%867 days
Sharpe / Sortino-0.15 / -0.13Calmar -0.12
Trades77win 45% · PF 0.93
Expectancy−0.052R$-9 per trade
Costs$1,251financing $-238 · turnover 4.4
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 22 | −0.11 | −661 |
| usd weakening | 33 | +0.05 | +942 |
| usd strengthening | 22 | −0.14 | −951 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| high | 2 | −0.44 | −291 |
| thin | 20 | −0.10 | −575 |
| normal | 31 | −0.09 | −821 |
| us hours | 24 | +0.07 | +1,018 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 28 | −0.74 | −6,364 |
| normal variance | 11 | −0.94 | −3,088 |
| thesis confirmed | 6 | +1.93 | +4,114 |
| unexpected event | 3 | −0.62 | −539 |
| favourable variance | 29 | +0.59 | +5,208 |
- event policy
- 3
- confidence minimum
- 34
- no conflicting position
- 153
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:crypto.momentum
- crypto.momentum@1.0.0