← backtests · 09-16 20:43Z · MOCK data
research fx.trend_following USDJPY
isolated fx.trend_following USDJPY
Return−1.72%CAGR -0.73%
Max drawdown2.20%831 days
Sharpe / Sortino-0.49 / -0.39Calmar -0.33
Trades32win 31% · PF 0.66
Expectancy−0.178R$-54 per trade
Costs$127financing $-146 · turnover 7.2
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 12 | +0.05 | +87 |
| usd weakening | 12 | −0.47 | −1,827 |
| usd strengthening | 8 | −0.08 | +23 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 2 | −1.03 | −677 |
| london | 3 | −0.60 | −542 |
| new york | 4 | +0.30 | +441 |
| sydney,tokyo | 5 | −0.77 | −1,166 |
| tokyo,london | 3 | +0.88 | +776 |
| london,new york | 12 | −0.36 | −1,200 |
| sydney,new york | 3 | +0.83 | +652 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 2 | −0.42 | −313 |
| wrong regime | 4 | −0.48 | −684 |
| normal variance | 2 | −0.83 | −476 |
| thesis confirmed | 3 | +2.04 | +1,682 |
| unexpected event | 13 | −0.78 | −2,977 |
| excessive leverage | 1 | −1.89 | −590 |
| favourable variance | 7 | +0.66 | +1,641 |
- spread sane
- 4
- event policy
- 1
- confidence minimum
- 6
- no conflicting position
- 10
- market liquidity allows entry
- 2
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.trend_following
- fx.trend_following@1.0.0