← backtests · 09-16 20:47Z · MOCK data
research fx.macro_regime USDJPY
isolated fx.macro_regime USDJPY
Return+0.61%CAGR 0.25%
Max drawdown0.61%599 days
Sharpe / Sortino0.37 / 0.14Calmar 0.42
Trades7win 43% · PF 2.63
Expectancy+0.264R$87 per trade
Costs$19financing $23 · turnover 1.1
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 7 | +0.26 | +606 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| sydney | 1 | −0.21 | −74 |
| new york | 1 | −0.22 | −73 |
| sydney,tokyo | 2 | −0.04 | −27 |
| tokyo,london | 1 | +0.78 | +224 |
| london,new york | 2 | +0.79 | +555 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 2 | −0.21 | −146 |
| normal variance | 1 | −0.16 | −51 |
| unexpected event | 1 | −0.46 | −174 |
| favourable variance | 3 | +0.96 | +977 |
- spread sane
- 6
- event policy
- 1
- confidence minimum
- 2
- market liquidity allows entry
- 6
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.macro_regime
- fx.macro_regime@1.0.0