← backtests · 09-16 20:45Z · MOCK data
research fx.breakout EURUSD
isolated fx.breakout EURUSD
Return−1.26%CAGR -0.53%
Max drawdown2.10%417 days
Sharpe / Sortino-0.45 / -0.19Calmar -0.25
Trades36win 14% · PF 0.67
Expectancy−0.094R$-35 per trade
Costs$329financing $-38 · turnover 20.0
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 14 | −0.18 | −797 |
| usd weakening | 11 | +0.07 | +166 |
| usd strengthening | 11 | −0.16 | −626 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 1 | −0.32 | −93 |
| london | 6 | −0.20 | −360 |
| sydney | 4 | +0.44 | +612 |
| new york | 5 | −0.63 | −999 |
| sydney,tokyo | 3 | −0.41 | −391 |
| tokyo,london | 1 | −0.45 | −149 |
| london,new york | 16 | +0.07 | +124 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 3 | −0.85 | −769 |
| false breakout | 24 | −0.25 | −1,887 |
| normal variance | 2 | −0.69 | −501 |
| thesis confirmed | 2 | +2.41 | +1,481 |
| unexpected event | 2 | −1.05 | −645 |
| favourable variance | 3 | +1.25 | +1,063 |
- spread sane
- 21
- event policy
- 11
- confidence minimum
- 26
- consecutive loss pause
- 2
- no conflicting position
- 7
- market liquidity allows entry
- 16
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.breakout
- fx.breakout@1.0.0