← backtests · 09-16 20:48Z · MOCK data
research cmd.breakout WTI
isolated cmd.breakout WTI
Return−1.22%CAGR -0.51%
Max drawdown3.25%443 days
Sharpe / Sortino-0.22 / -0.22Calmar -0.16
Trades92win 22% · PF 0.89
Expectancy−0.037R$-13 per trade
Costs$447financing $-134 · turnover 9.8
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 31 | −0.06 | −677 |
| usd weakening | 37 | −0.01 | −252 |
| usd strengthening | 24 | −0.05 | −291 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| day | 64 | −0.09 | −2,071 |
| high | 17 | −0.33 | −1,721 |
| normal | 11 | +0.71 | +2,572 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 11 | −0.82 | −2,691 |
| false breakout | 47 | −0.31 | −4,293 |
| normal variance | 3 | −1.02 | −849 |
| thesis confirmed | 10 | +2.52 | +7,217 |
| unexpected event | 9 | −0.83 | −2,191 |
| excessive leverage | 2 | −1.61 | −1,004 |
| favourable variance | 10 | +0.87 | +2,592 |
- spread sane
- 10
- event policy
- 13
- confidence minimum
- 44
- consecutive loss pause
- 6
- no conflicting position
- 30
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:cmd.breakout
- cmd.breakout@1.0.0