← backtests · 09-16 20:50Z · MOCK data
research crypto.momentum ETHUSD
isolated crypto.momentum ETHUSD
Return−4.28%CAGR -1.82%
Max drawdown4.56%862 days
Sharpe / Sortino-0.98 / -0.74Calmar -0.40
Trades80win 31% · PF 0.68
Expectancy−0.195R$-54 per trade
Costs$936financing $-160 · turnover 3.4
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 31 | −0.12 | −606 |
| usd weakening | 31 | −0.27 | −2,710 |
| usd strengthening | 18 | −0.20 | −967 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| high | 2 | −1.04 | −616 |
| thin | 24 | −0.02 | −164 |
| normal | 32 | +0.07 | +1,071 |
| us hours | 22 | −0.69 | −4,575 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 3 | −0.97 | −1,083 |
| wrong regime | 32 | −0.74 | −6,855 |
| normal variance | 20 | −0.88 | −5,248 |
| thesis confirmed | 5 | +1.93 | +3,175 |
| favourable variance | 20 | +0.95 | +5,728 |
- event policy
- 4
- confidence minimum
- 39
- consecutive loss pause
- 1
- no conflicting position
- 147
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:crypto.momentum
- crypto.momentum@1.0.0