← backtests · 09-16 20:47Z · MOCK data
research fx.macro_regime GBPUSD
isolated fx.macro_regime GBPUSD
Return−1.46%CAGR -0.62%
Max drawdown2.35%798 days
Sharpe / Sortino-0.74 / -0.40Calmar -0.26
Trades23win 30% · PF 0.36
Expectancy−0.196R$-64 per trade
Costs$93financing $-46 · turnover 5.2
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 14 | −0.15 | −662 |
| usd weakening | 5 | −0.27 | −429 |
| usd strengthening | 4 | −0.28 | −374 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 1 | −0.51 | −150 |
| london | 3 | −0.64 | −597 |
| sydney | 1 | −0.20 | −58 |
| new york | 5 | −0.08 | −163 |
| tokyo,london | 3 | −0.60 | −601 |
| london,new york | 10 | +0.03 | +104 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 7 | −0.32 | −697 |
| normal variance | 2 | −0.39 | −248 |
| unexpected event | 7 | −0.59 | −1,333 |
| favourable variance | 7 | +0.38 | +814 |
- spread sane
- 11
- event policy
- 3
- confidence minimum
- 6
- no conflicting position
- 1
- market liquidity allows entry
- 10
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