← backtests · 09-16 20:43Z · MOCK data
research fx.trend_following AUDUSD
isolated fx.trend_following AUDUSD
Return+1.79%CAGR 0.75%
Max drawdown0.93%244 days
Sharpe / Sortino0.68 / 0.56Calmar 0.81
Trades20win 55% · PF 2.05
Expectancy+0.235R$90 per trade
Costs$68financing $-84 · turnover 3.9
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 4 | +0.33 | +464 |
| usd weakening | 11 | +0.14 | +647 |
| usd strengthening | 5 | +0.36 | +682 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 1 | +2.94 | +977 |
| london | 3 | +0.30 | +319 |
| new york | 4 | −0.31 | −377 |
| sydney,tokyo | 4 | +0.64 | +913 |
| london,new york | 6 | +0.18 | +454 |
| sydney,new york | 2 | −0.78 | −494 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 3 | −0.62 | −552 |
| normal variance | 2 | −0.55 | −320 |
| thesis confirmed | 2 | +2.99 | +2,024 |
| unexpected event | 4 | −0.65 | −844 |
| favourable variance | 9 | +0.48 | +1,486 |
- spread sane
- 2
- event policy
- 2
- confidence minimum
- 8
- no conflicting position
- 15
- market liquidity allows entry
- 2
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.trend_following
- fx.trend_following@1.0.0