← backtests · 09-16 20:50Z · MOCK data
research crypto.volatility BTCUSD
isolated crypto.volatility BTCUSD
Return−7.69%CAGR -3.31%
Max drawdown8.88%677 days
Sharpe / Sortino-1.58 / -1.52Calmar -0.37
Trades131win 33% · PF 0.60
Expectancy−0.211R$-59 per trade
Costs$2,617financing $-274 · turnover 9.6
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 39 | −0.40 | −4,129 |
| usd weakening | 58 | −0.02 | −589 |
| usd strengthening | 34 | −0.31 | −2,968 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| high | 9 | −0.19 | −305 |
| thin | 31 | −0.28 | −2,453 |
| normal | 40 | −0.29 | −3,010 |
| us hours | 51 | −0.11 | −1,919 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 1 | −1.06 | −395 |
| wrong regime | 38 | −0.80 | −8,407 |
| normal variance | 48 | −0.74 | −10,068 |
| thesis confirmed | 7 | +1.93 | +3,697 |
| unexpected event | 1 | −0.39 | −136 |
| favourable variance | 36 | +0.72 | +7,622 |
- spread sane
- 3
- event policy
- 4
- confidence minimum
- 172
- consecutive loss pause
- 3
- no conflicting position
- 109
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.volatility
- crypto.volatility@1.0.0