← backtests · 09-16 20:45Z · MOCK data
research fx.breakout USDJPY
isolated fx.breakout USDJPY
Return+1.14%CAGR 0.48%
Max drawdown2.43%667 days
Sharpe / Sortino0.35 / 0.18Calmar 0.20
Trades32win 28% · PF 1.34
Expectancy+0.098R$36 per trade
Costs$221financing $-127 · turnover 12.7
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 19 | +0.09 | +413 |
| usd weakening | 7 | +0.43 | +995 |
| usd strengthening | 6 | −0.26 | −272 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 7 | −0.54 | −1,141 |
| sydney | 1 | −0.16 | −54 |
| new york | 7 | +0.45 | +1,171 |
| sydney,tokyo | 6 | +0.81 | +1,403 |
| london,new york | 11 | −0.08 | −243 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 6 | −0.86 | −1,631 |
| false breakout | 16 | −0.20 | −1,023 |
| thesis confirmed | 4 | +2.44 | +3,219 |
| excessive leverage | 1 | −2.32 | −669 |
| favourable variance | 5 | +0.81 | +1,241 |
- spread sane
- 31
- event policy
- 16
- confidence minimum
- 42
- consecutive loss pause
- 1
- no conflicting position
- 6
- market liquidity allows entry
- 27
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.breakout
- fx.breakout@1.0.0