← backtests · 09-16 20:49Z · MOCK data
robustness cmd.momentum WTI
robustness cmd.momentum WTI
| Scenario | Trades | Exp R | PF |
|---|---|---|---|
| baseline | 14 | +0.188 | 1.32 |
| costs: spread x2.0 | 14 | +0.172 | 1.29 |
| costs: spread x3.0 | 14 | +0.157 | 1.26 |
| costs: slippage x2.0 | 14 | +0.182 | 1.31 |
| costs: slippage x4.0 | 14 | +0.169 | 1.28 |
| costs: commission x2.0 | 14 | +0.175 | 1.29 |
| execution delay +1 bar(s) | 14 | +0.036 | 1.20 |
| execution delay +2 bar(s) | 14 | +0.077 | 0.98 |
| missing data 2% | 14 | +0.318 | 1.61 |
| missing data 5% | 12 | −0.408 | 0.47 |
| param mom_threshold x0.8 | 22 | −0.091 | 0.88 |
| param mom_threshold x1.2 | 8 | −0.306 | 0.60 |
| param rsi_low x0.8 | 14 | +0.188 | 1.32 |
| param rsi_low x1.2 | 13 | +0.255 | 1.45 |
| param rsi_high x0.8 | 5 | −1.038 | 0.00 |
| param rsi_high x1.2 | 16 | +0.225 | 1.38 |
| param stop_atr x0.8 | 15 | −0.095 | 0.87 |
| param stop_atr x1.2 | 14 | +0.342 | 1.75 |
| param target_r x0.8 | 14 | +0.101 | 1.11 |
| param target_r x1.2 | 14 | +0.315 | 1.56 |
| volatility x1.5 (MOCK world regenerated) | 16 | +0.507 | 2.15 |
- Final return p5 / p50 / p95
- -3.0% / 1.3% / 5.8%
- Max drawdown p50 / p95
- 1.9% / 3.9%
- P(loss)
- 34.1%
- P(drawdown > 20%)
- 0.0%