← backtests · 09-16 20:45Z · MOCK data

robustness fx.momentum AUDUSD

Scenariosscore 0.19 · INCONCLUSIVE

Scenario	Trades	Exp R	PF
baseline	28	−0.143	0.79
costs: spread x2.0	28	−0.157	0.76
costs: spread x3.0	28	−0.170	0.74
costs: slippage x2.0	28	−0.154	0.77
costs: slippage x4.0	28	−0.178	0.72
costs: commission x2.0	28	−0.153	0.77
execution delay +1 bar(s)	28	−0.124	0.84
execution delay +2 bar(s)	28	−0.149	0.80
missing data 2%	23	+0.148	1.43
missing data 5%	24	+0.173	1.46
param mom_threshold x0.8	28	+0.108	1.27
param mom_threshold x1.2	18	+0.017	1.00
param rsi_low x0.8	29	−0.174	0.73
param rsi_low x1.2	23	−0.054	0.92
param rsi_high x0.8	10	−0.252	0.66
param rsi_high x1.2	31	−0.153	0.76
param stop_atr x0.8	29	−0.171	0.78
param stop_atr x1.2	25	−0.134	0.77
param target_r x0.8	27	−0.162	0.74
param target_r x1.2	28	−0.235	0.61
volatility x1.5 (MOCK world regenerated)	29	−0.271	0.64

Monte Carlotrade bootstrap and order permutation