← backtests · 09-16 20:45Z · MOCK data
robustness fx.momentum GBPUSD
robustness fx.momentum GBPUSD
| Scenario | Trades | Exp R | PF |
|---|---|---|---|
| baseline | 25 | +0.305 | 1.83 |
| costs: spread x2.0 | 24 | +0.335 | 1.95 |
| costs: spread x3.0 | 24 | +0.320 | 1.90 |
| costs: slippage x2.0 | 25 | +0.291 | 1.79 |
| costs: slippage x4.0 | 25 | +0.264 | 1.70 |
| costs: commission x2.0 | 25 | +0.291 | 1.78 |
| execution delay +1 bar(s) | 24 | +0.401 | 1.89 |
| execution delay +2 bar(s) | 24 | +0.230 | 1.68 |
| missing data 2% | 26 | +0.347 | 1.91 |
| missing data 5% | 28 | −0.084 | 0.87 |
| param mom_threshold x0.8 | 30 | +0.075 | 1.06 |
| param mom_threshold x1.2 | 20 | +0.098 | 1.23 |
| param rsi_low x0.8 | 27 | +0.216 | 1.51 |
| param rsi_low x1.2 | 19 | +0.514 | 2.93 |
| param rsi_high x0.8 | 11 | +0.172 | 1.23 |
| param rsi_high x1.2 | 28 | +0.297 | 1.71 |
| param stop_atr x0.8 | 28 | +0.334 | 1.72 |
| param stop_atr x1.2 | 25 | +0.218 | 1.64 |
| param target_r x0.8 | 26 | +0.322 | 1.93 |
| param target_r x1.2 | 29 | +0.231 | 1.64 |
| volatility x1.5 (MOCK world regenerated) | 26 | −0.143 | 0.77 |
- Final return p5 / p50 / p95
- -1.2% / 3.9% / 9.1%
- Max drawdown p50 / p95
- 1.7% / 3.7%
- P(loss)
- 10.6%
- P(drawdown > 20%)
- 0.0%