← backtests · 09-16 20:44Z · MOCK data
research fx.momentum EURUSD
isolated fx.momentum EURUSD
Return−2.19%CAGR -0.93%
Max drawdown4.96%783 days
Sharpe / Sortino-0.40 / -0.25Calmar -0.19
Trades59win 42% · PF 0.80
Expectancy−0.124R$-37 per trade
Costs$557financing $-348 · turnover 33.2
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 10 | −0.27 | −809 |
| usd weakening | 29 | −0.09 | −478 |
| usd strengthening | 20 | −0.10 | −905 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 8 | +0.06 | +207 |
| sydney | 1 | +1.88 | +599 |
| new york | 21 | −0.03 | −239 |
| sydney,tokyo | 7 | −0.04 | −71 |
| tokyo,london | 2 | −1.04 | −686 |
| london,new york | 20 | −0.34 | −2,002 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 14 | −0.83 | −3,488 |
| normal variance | 11 | −0.96 | −3,322 |
| thesis confirmed | 10 | +1.87 | +5,891 |
| unexpected event | 7 | −1.02 | −2,344 |
| excessive leverage | 2 | −3.35 | −1,991 |
| favourable variance | 15 | +0.66 | +3,062 |
- spread sane
- 4
- event policy
- 7
- confidence minimum
- 23
- broker:MARKET CLOSED
- 1
- portfolio volatility
- 2
- no conflicting position
- 53
- market liquidity allows entry
- 5
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.momentum
- fx.momentum@1.0.0