← backtests · 09-16 20:45Z · MOCK data

robustness fx.momentum EURUSD

Scenariosscore 0.05 · INCONCLUSIVE

Scenario	Trades	Exp R	PF
baseline	27	−0.077	0.92
costs: spread x2.0	27	−0.090	0.90
costs: spread x3.0	27	−0.098	0.89
costs: slippage x2.0	27	−0.088	0.91
costs: slippage x4.0	27	−0.109	0.87
costs: commission x2.0	27	−0.092	0.90
execution delay +1 bar(s)	27	−0.032	0.96
execution delay +2 bar(s)	27	−0.090	0.94
missing data 2%	30	−0.063	0.96
missing data 5%	26	−0.188	0.76
param mom_threshold x0.8	26	−0.337	0.50
param mom_threshold x1.2	27	−0.220	0.70
param rsi_low x0.8	27	−0.077	0.92
param rsi_low x1.2	19	−0.023	1.03
param rsi_high x0.8	14	−0.154	0.84
param rsi_high x1.2	30	−0.098	0.87
param stop_atr x0.8	28	+0.005	1.06
param stop_atr x1.2	26	−0.118	0.80
param target_r x0.8	0	—	—
param target_r x1.2	26	−0.105	0.88
volatility x1.5 (MOCK world regenerated)	28	−0.132	0.79

Monte Carlotrade bootstrap and order permutation