← backtests · 09-16 20:47Z · MOCK data
research fx.mean_reversion AUDUSD
isolated fx.mean_reversion AUDUSD
Return−2.42%CAGR -1.03%
Max drawdown2.53%838 days
Sharpe / Sortino-0.77 / -0.07Calmar -0.41
Trades3win 0% · PF 0.00
Expectancy−2.398R$-807 per trade
Costs$37financing $-4 · turnover 2.0
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| usd weakening | 2 | −0.79 | −494 |
| usd strengthening | 1 | −5.61 | −1,928 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 1 | −0.53 | −195 |
| london,new york | 2 | −3.33 | −2,227 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 1 | −1.05 | −299 |
| normal variance | 1 | −0.53 | −195 |
| excessive leverage | 1 | −5.61 | −1,928 |
- spread sane
- 20
- event policy
- 6
- confidence minimum
- 68
- risk reward minimum
- 68
- no conflicting position
- 3
- market liquidity allows entry
- 20
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.mean_reversion
- fx.mean_reversion@1.0.0