← backtests · 09-16 21:09Z · MOCK data
lab fx.macro_regime EURUSD
isolated fx.macro_regime EURUSD
Return−0.08%CAGR -0.14%
Max drawdown0.34%128 days
Sharpe / Sortino-0.21 / -0.16Calmar -0.42
Trades7win 43% · PF 0.80
Expectancy−0.027R$-11 per trade
Costs$23financing $-10 · turnover 6.8
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 4 | +0.15 | +207 |
| usd weakening | 2 | −0.43 | −299 |
| usd strengthening | 1 | +0.05 | +15 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 1 | −0.85 | −297 |
| new york | 1 | +0.05 | +15 |
| sydney,tokyo | 1 | −0.16 | −48 |
| tokyo,london | 1 | −0.01 | −2 |
| london,new york | 3 | +0.26 | +255 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 3 | −0.38 | −388 |
| normal variance | 1 | −0.01 | −2 |
| favourable variance | 3 | +0.32 | +313 |
- spread sane
- 3
- event policy
- 1
- market liquidity allows entry
- 2
MOCK data: results demonstrate the machinery, not edge in real markets
- risk
- risk-1.0.0+e561f3f2
- 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