← backtests · 09-16 20:46Z · MOCK data
research fx.mean_reversion EURUSD
isolated fx.mean_reversion EURUSD
Return−1.46%CAGR -0.62%
Max drawdown1.72%854 days
Sharpe / Sortino-1.01 / -0.21Calmar -0.36
Trades6win 17% · PF 0.14
Expectancy−0.829R$-243 per trade
Costs$60financing $-33 · turnover 3.4
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 2 | −1.33 | −717 |
| usd weakening | 2 | −0.11 | −71 |
| usd strengthening | 2 | −1.04 | −673 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 1 | −1.60 | −409 |
| sydney | 1 | −1.05 | −342 |
| new york | 1 | −1.07 | −308 |
| tokyo,london | 1 | +0.81 | +237 |
| london,new york | 2 | −1.03 | −639 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 3 | −1.04 | −947 |
| normal variance | 1 | −1.05 | −342 |
| excessive leverage | 1 | −1.60 | −409 |
| favourable variance | 1 | +0.81 | +237 |
- spread sane
- 13
- event policy
- 6
- confidence minimum
- 59
- risk reward minimum
- 53
- no conflicting position
- 1
- market liquidity allows entry
- 11
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.mean_reversion
- fx.mean_reversion@1.0.0