← backtests · 09-16 20:50Z · MOCK data
research crypto.volatility ETHUSD
isolated crypto.volatility ETHUSD
Return+1.89%CAGR 0.79%
Max drawdown3.95%644 days
Sharpe / Sortino0.39 / 0.42Calmar 0.20
Trades141win 41% · PF 1.12
Expectancy+0.035R$13 per trade
Costs$2,288financing $-232 · turnover 8.0
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 52 | +0.04 | +685 |
| usd weakening | 53 | +0.08 | +1,398 |
| usd strengthening | 36 | −0.04 | −188 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| high | 6 | +0.01 | +84 |
| thin | 35 | +0.10 | +1,313 |
| normal | 50 | −0.10 | −1,513 |
| us hours | 50 | +0.13 | +2,010 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 36 | −0.65 | −7,060 |
| normal variance | 46 | −0.62 | −8,558 |
| thesis confirmed | 10 | +1.78 | +5,581 |
| unexpected event | 1 | −0.38 | −110 |
| favourable variance | 48 | +0.82 | +12,041 |
- spread sane
- 3
- event policy
- 9
- confidence minimum
- 175
- portfolio volatility
- 1
- consecutive loss pause
- 2
- no conflicting position
- 108
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.volatility
- crypto.volatility@1.0.0