← backtests · 09-16 20:52Z · MOCK data
research crypto.market_structure ETHUSD
isolated crypto.market_structure ETHUSD
Return−1.96%CAGR -0.83%
Max drawdown6.55%564 days
Sharpe / Sortino-0.28 / -0.35Calmar -0.13
Trades224win 38% · PF 0.93
Expectancy−0.038R$-9 per trade
Costs$3,616financing $-351 · turnover 12.8
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 82 | −0.02 | −287 |
| usd weakening | 82 | −0.06 | −651 |
| usd strengthening | 60 | −0.04 | −1,018 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| high | 5 | +0.35 | +510 |
| thin | 53 | −0.04 | −458 |
| normal | 90 | 0.00 | +449 |
| us hours | 76 | −0.11 | −2,456 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 1 | −1.12 | −435 |
| wrong regime | 68 | −0.65 | −12,763 |
| normal variance | 67 | −0.72 | −14,221 |
| thesis confirmed | 33 | +1.92 | +19,053 |
| unexpected event | 4 | −0.86 | −939 |
| favourable variance | 51 | +0.49 | +7,349 |
- spread sane
- 1
- event policy
- 4
- confidence minimum
- 169
- portfolio volatility
- 2
- consecutive loss pause
- 13
- no conflicting position
- 203
- broker:BROKER REJECT (simulated requote)
- 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:crypto.market_structure
- crypto.market_structure@1.0.0