← backtests · 09-16 20:47Z · MOCK data
research cmd.trend WTI
isolated cmd.trend WTI
Return−0.09%CAGR -0.04%
Max drawdown1.30%845 days
Sharpe / Sortino0.03 / 0.02Calmar -0.03
Trades27win 33% · PF 0.97
Expectancy−0.009R$-3 per trade
Costs$58financing $-58 · turnover 1.3
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 9 | −0.40 | −1,000 |
| usd weakening | 10 | −0.38 | −1,112 |
| usd strengthening | 8 | +0.90 | +2,025 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| day | 16 | +0.02 | +200 |
| high | 2 | +1.27 | +653 |
| thin | 1 | −0.13 | −31 |
| normal | 4 | −0.49 | −646 |
| overnight thin | 4 | −0.26 | −264 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 1 | −0.63 | −234 |
| wrong regime | 7 | −0.51 | −987 |
| normal variance | 2 | −1.07 | −628 |
| thesis confirmed | 3 | +1.73 | +1,581 |
| unexpected event | 8 | −0.52 | −1,199 |
| favourable variance | 6 | +0.84 | +1,378 |
- spread sane
- 8
- event policy
- 2
- confidence minimum
- 8
- broker:MARKET CLOSED
- 1
- no conflicting position
- 23
- market liquidity allows entry
- 6
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:cmd.trend
- cmd.trend@1.0.0