← backtests · 09-16 20:46Z · MOCK data
robustness fx.breakout EURUSD
robustness fx.breakout EURUSD
| Scenario | Trades | Exp R | PF |
|---|---|---|---|
| baseline | 13 | +0.331 | 2.14 |
| costs: spread x2.0 | 13 | +0.317 | 2.08 |
| costs: spread x3.0 | 13 | +0.303 | 2.01 |
| costs: slippage x2.0 | 13 | +0.310 | 2.05 |
| costs: slippage x4.0 | 13 | +0.274 | 1.87 |
| costs: commission x2.0 | 13 | +0.316 | 2.06 |
| execution delay +1 bar(s) | 13 | +0.340 | 1.75 |
| execution delay +2 bar(s) | 13 | +0.476 | 3.07 |
| missing data 2% | 13 | +0.296 | 1.88 |
| missing data 5% | 11 | +0.007 | 1.05 |
| param max_bb_width_pct x0.8 | 9 | −0.293 | 0.31 |
| param max_bb_width_pct x1.2 | 14 | +0.478 | 2.68 |
| param min_rv_ratio x0.8 | 33 | +0.079 | 1.19 |
| param min_rv_ratio x1.2 | 1 | −0.260 | 0.00 |
| param stop_atr x0.8 | 14 | +0.535 | 2.82 |
| param stop_atr x1.2 | 13 | +0.281 | 2.02 |
| param target_r x0.8 | 14 | +0.446 | 3.00 |
| param target_r x1.2 | 15 | +0.276 | 1.98 |
| volatility x1.5 (MOCK world regenerated) | 13 | +0.464 | 3.16 |
- Final return p5 / p50 / p95
- -1.4% / 1.9% / 6.1%
- Max drawdown p50 / p95
- 1.0% / 2.2%
- P(loss)
- 16.5%
- P(drawdown > 20%)
- 0.0%