← backtests · 09-16 20:47Z · MOCK data
research fx.macro_regime AUDUSD
isolated fx.macro_regime AUDUSD
Return−0.78%CAGR -0.33%
Max drawdown1.56%708 days
Sharpe / Sortino-0.27 / -0.17Calmar -0.21
Trades39win 26% · PF 0.77
Expectancy−0.076R$-20 per trade
Costs$123financing $-65 · turnover 6.9
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 30 | −0.14 | −1,249 |
| usd weakening | 4 | +0.71 | +892 |
| usd strengthening | 5 | −0.30 | −423 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 2 | +1.08 | +689 |
| london | 6 | −0.13 | −254 |
| sydney | 1 | 0.00 | −1 |
| new york | 9 | −0.17 | −407 |
| sydney,tokyo | 5 | −0.15 | −241 |
| tokyo,london | 3 | −0.18 | −60 |
| london,new york | 13 | −0.12 | −506 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| model error | 1 | −0.01 | −4 |
| wrong regime | 16 | −0.24 | −1,149 |
| normal variance | 4 | −0.25 | −306 |
| thesis confirmed | 1 | +2.93 | +923 |
| unexpected event | 8 | −0.72 | −1,860 |
| favourable variance | 9 | +0.54 | +1,616 |
- spread sane
- 11
- event policy
- 3
- confidence minimum
- 6
- broker:MARKET CLOSED
- 1
- consecutive loss pause
- 1
- no conflicting position
- 4
- 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