← backtests · 09-16 20:44Z · MOCK data
research fx.momentum GBPUSD
isolated fx.momentum GBPUSD
Return+0.46%CAGR 0.19%
Max drawdown3.44%546 days
Sharpe / Sortino0.10 / 0.09Calmar 0.06
Trades54win 39% · PF 1.06
Expectancy+0.019R$9 per trade
Costs$446financing $-154 · turnover 28.5
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 12 | −0.08 | −280 |
| usd weakening | 23 | +0.03 | +302 |
| usd strengthening | 19 | +0.07 | +438 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 4 | −0.28 | −379 |
| london | 5 | +0.32 | +505 |
| sydney | 2 | −0.46 | −234 |
| new york | 12 | +0.70 | +2,679 |
| sydney,tokyo | 9 | −0.26 | −636 |
| tokyo,london | 1 | −1.08 | −289 |
| london,new york | 19 | −0.31 | −1,849 |
| sydney,new york | 2 | +1.21 | +662 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 2 | −1.03 | −788 |
| wrong regime | 16 | −0.57 | −2,814 |
| normal variance | 14 | −0.92 | −3,876 |
| thesis confirmed | 12 | +1.94 | +7,317 |
| excessive leverage | 1 | −2.95 | −850 |
| favourable variance | 9 | +0.53 | +1,470 |
- spread sane
- 3
- event policy
- 4
- confidence minimum
- 35
- no conflicting position
- 63
- market liquidity allows entry
- 3
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