← backtests · 09-16 20:47Z · MOCK data
research fx.mean_reversion USDJPY
isolated fx.mean_reversion USDJPY
Return−1.71%CAGR -0.72%
Max drawdown1.92%663 days
Sharpe / Sortino-1.02 / -0.14Calmar -0.38
Trades4win 0% · PF 0.00
Expectancy−1.427R$-426 per trade
Costs$47financing $-2 · turnover 2.6
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 3 | −1.57 | −1,386 |
| usd strengthening | 1 | −1.00 | −320 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 2 | −1.83 | −1,103 |
| new york | 1 | −1.00 | −320 |
| tokyo,london | 1 | −1.05 | −282 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 1 | −1.01 | −258 |
| normal variance | 1 | −1.00 | −320 |
| unexpected event | 1 | −1.05 | −282 |
| excessive leverage | 1 | −2.65 | −845 |
- spread sane
- 12
- event policy
- 5
- confidence minimum
- 55
- risk reward minimum
- 55
- market liquidity allows entry
- 10
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