← backtests · 09-16 20:47Z · MOCK data
research fx.macro_regime EURUSD
isolated fx.macro_regime EURUSD
Return+1.23%CAGR 0.51%
Max drawdown1.25%383 days
Sharpe / Sortino0.54 / 0.30Calmar 0.41
Trades27win 48% · PF 1.70
Expectancy+0.144R$46 per trade
Costs$103financing $-66 · turnover 6.3
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 19 | +0.14 | +748 |
| usd weakening | 5 | −0.32 | −583 |
| usd strengthening | 3 | +0.96 | +1,064 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 2 | +0.41 | +232 |
| london | 4 | +0.50 | +743 |
| new york | 5 | −0.05 | −143 |
| sydney,tokyo | 2 | +1.07 | +685 |
| tokyo,london | 4 | +0.12 | +174 |
| london,new york | 10 | −0.13 | −463 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 5 | −0.53 | −928 |
| normal variance | 4 | −0.11 | −143 |
| thesis confirmed | 1 | +2.97 | +1,085 |
| unexpected event | 5 | −0.39 | −675 |
| favourable variance | 12 | +0.50 | +1,890 |
- spread sane
- 13
- event policy
- 3
- confidence minimum
- 2
- no conflicting position
- 1
- 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.macro_regime
- fx.macro_regime@1.0.0