← backtests · 09-16 20:43Z · MOCK data
research fx.trend_following EURUSD
isolated fx.trend_following EURUSD
Return−0.33%CAGR -0.14%
Max drawdown2.22%812 days
Sharpe / Sortino-0.11 / -0.06Calmar -0.06
Trades24win 38% · PF 0.92
Expectancy−0.047R$-14 per trade
Costs$129financing $-131 · turnover 7.7
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 8 | −0.02 | +91 |
| usd weakening | 11 | −0.02 | −145 |
| usd strengthening | 5 | −0.14 | −279 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 5 | −0.19 | −169 |
| sydney | 1 | −1.02 | −360 |
| new york | 4 | −0.31 | −438 |
| sydney,tokyo | 2 | +1.06 | +551 |
| tokyo,london | 2 | −1.06 | −594 |
| london,new york | 9 | +0.34 | +1,031 |
| sydney,new york | 1 | −1.01 | −354 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 4 | −1.02 | −1,202 |
| normal variance | 5 | −0.91 | −1,437 |
| thesis confirmed | 3 | +2.52 | +2,409 |
| unexpected event | 6 | −0.77 | −1,414 |
| favourable variance | 6 | +0.75 | +1,312 |
- spread sane
- 1
- event policy
- 2
- confidence minimum
- 7
- no conflicting position
- 14
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.trend_following
- fx.trend_following@1.0.0