← backtests · 09-16 20:48Z · MOCK data
research cmd.momentum XAUUSD
isolated cmd.momentum XAUUSD
Return+0.24%CAGR 0.10%
Max drawdown5.50%551 days
Sharpe / Sortino0.05 / 0.04Calmar 0.02
Trades62win 37% · PF 1.02
Expectancy−0.021R$4 per trade
Costs$711financing $-152 · turnover 16.6
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 17 | −0.62 | −3,275 |
| usd weakening | 23 | +0.25 | +2,135 |
| usd strengthening | 22 | +0.15 | +1,383 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| day | 26 | +0.15 | +1,441 |
| high | 4 | −0.52 | −718 |
| normal | 20 | −0.19 | −774 |
| overnight thin | 12 | +0.04 | +294 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 1 | −1.04 | −372 |
| wrong regime | 23 | −0.86 | −5,943 |
| normal variance | 7 | −0.96 | −1,902 |
| thesis confirmed | 14 | +2.23 | +10,158 |
| unexpected event | 6 | −1.02 | −1,908 |
| excessive leverage | 2 | −2.72 | −1,785 |
| favourable variance | 9 | +0.72 | +1,995 |
- spread sane
- 3
- event policy
- 4
- confidence minimum
- 16
- broker:MARKET CLOSED
- 2
- portfolio volatility
- 2
- no conflicting position
- 51
- 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:cmd.momentum
- cmd.momentum@1.0.0