← backtests · 09-16 20:49Z · MOCK data
research cmd.macro_event WTI
isolated cmd.macro_event WTI
Return−0.27%CAGR -0.12%
Max drawdown2.81%369 days
Sharpe / Sortino-0.05 / -0.05Calmar -0.04
Trades77win 43% · PF 0.97
Expectancy−0.035R$-4 per trade
Costs$403financing $-126 · turnover 9.0
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 24 | +0.17 | +1,396 |
| usd weakening | 36 | −0.23 | −2,024 |
| usd strengthening | 17 | +0.08 | +354 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| day | 63 | −0.03 | −16 |
| high | 3 | +0.36 | +350 |
| normal | 6 | −0.12 | −256 |
| overnight thin | 5 | −0.21 | −352 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 21 | −0.60 | −3,655 |
| normal variance | 21 | −0.89 | −5,395 |
| thesis confirmed | 8 | +1.95 | +4,953 |
| unexpected event | 2 | −0.63 | −398 |
| favourable variance | 25 | +0.57 | +4,221 |
- spread sane
- 13
- event policy
- 29
- confidence minimum
- 117
- broker:MARKET CLOSED
- 2
- portfolio volatility
- 10
- no conflicting position
- 93
- market liquidity allows entry
- 7
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.macro_event
- cmd.macro_event@1.0.0