← backtests · 09-16 20:45Z · MOCK data
research fx.breakout GBPUSD
isolated fx.breakout GBPUSD
Return−2.54%CAGR -1.07%
Max drawdown5.43%798 days
Sharpe / Sortino-0.63 / -0.39Calmar -0.20
Trades49win 18% · PF 0.66
Expectancy−0.167R$-52 per trade
Costs$436financing $-95 · turnover 25.3
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 24 | −0.47 | −3,283 |
| usd weakening | 15 | −0.19 | −952 |
| usd strengthening | 10 | +0.59 | +1,699 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 1 | −0.19 | −60 |
| london | 7 | −0.59 | −1,286 |
| sydney | 2 | +1.29 | +850 |
| new york | 4 | −0.67 | −867 |
| sydney,tokyo | 3 | +0.35 | +283 |
| tokyo,london | 1 | +3.40 | +981 |
| london,new york | 30 | −0.27 | −2,373 |
| sydney,new york | 1 | −0.16 | −64 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 7 | −1.04 | −2,197 |
| false breakout | 26 | −0.32 | −2,545 |
| normal variance | 4 | −0.89 | −1,115 |
| thesis confirmed | 5 | +2.61 | +3,999 |
| unexpected event | 2 | −1.19 | −764 |
| excessive leverage | 1 | −2.41 | −733 |
| favourable variance | 4 | +0.65 | +820 |
- spread sane
- 33
- event policy
- 10
- confidence minimum
- 36
- consecutive loss pause
- 3
- no conflicting position
- 9
- market liquidity allows entry
- 28
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