← backtests · 09-16 20:48Z · MOCK data
research cmd.momentum WTI
isolated cmd.momentum WTI
Return+0.04%CAGR 0.02%
Max drawdown2.47%607 days
Sharpe / Sortino0.02 / 0.01Calmar 0.01
Trades41win 37% · PF 1.01
Expectancy+0.009R$1 per trade
Costs$210financing $-65 · turnover 5.1
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 13 | −0.38 | −1,433 |
| usd weakening | 15 | +0.61 | +2,806 |
| usd strengthening | 13 | −0.29 | −1,329 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| day | 12 | −0.21 | −848 |
| high | 2 | +0.74 | +650 |
| normal | 14 | −0.28 | −1,338 |
| overnight thin | 13 | +0.40 | +1,580 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 10 | −0.81 | −2,335 |
| normal variance | 5 | −0.84 | −1,236 |
| thesis confirmed | 11 | +2.18 | +7,263 |
| unexpected event | 7 | −0.93 | −1,918 |
| excessive leverage | 4 | −1.85 | −2,455 |
| favourable variance | 4 | +0.65 | +725 |
- spread sane
- 2
- event policy
- 2
- confidence minimum
- 23
- broker:MARKET CLOSED
- 5
- no conflicting position
- 39
- market liquidity allows entry
- 1
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:cmd.momentum
- cmd.momentum@1.0.0