← backtests · 09-16 20:52Z · MOCK data
research crypto.market_structure BTCUSD
isolated crypto.market_structure BTCUSD
Return−7.28%CAGR -3.13%
Max drawdown8.94%863 days
Sharpe / Sortino-1.21 / -1.34Calmar -0.35
Trades210win 35% · PF 0.74
Expectancy−0.136R$-35 per trade
Costs$4,129financing $-402 · turnover 15.4
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 78 | −0.25 | −5,222 |
| usd weakening | 83 | −0.08 | −1,560 |
| usd strengthening | 49 | −0.04 | −503 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| high | 8 | −0.29 | −681 |
| thin | 55 | −0.06 | −706 |
| normal | 85 | −0.17 | −3,529 |
| us hours | 62 | −0.15 | −2,369 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 3 | −0.82 | −887 |
| wrong regime | 57 | −0.63 | −9,788 |
| normal variance | 76 | −0.80 | −16,494 |
| thesis confirmed | 25 | +1.91 | +13,423 |
| unexpected event | 1 | −1.07 | −285 |
| favourable variance | 48 | +0.49 | +6,747 |
- spread sane
- 3
- event policy
- 7
- confidence minimum
- 226
- portfolio volatility
- 1
- consecutive loss pause
- 22
- no conflicting position
- 202
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.market_structure
- crypto.market_structure@1.0.0