← backtests · 09-16 20:43Z · MOCK data
research fx.trend_following GBPUSD
isolated fx.trend_following GBPUSD
Return+0.45%CAGR 0.19%
Max drawdown1.65%404 days
Sharpe / Sortino0.16 / 0.11Calmar 0.12
Trades23win 39% · PF 1.13
Expectancy+0.019R$20 per trade
Costs$108financing $-120 · turnover 6.6
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 9 | −0.74 | −2,020 |
| usd weakening | 9 | +0.56 | +1,702 |
| usd strengthening | 5 | +0.42 | +773 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| tokyo | 1 | +0.60 | +163 |
| london | 5 | +0.05 | +126 |
| sydney | 2 | −0.27 | −89 |
| new york | 4 | −0.76 | −1,063 |
| sydney,tokyo | 1 | −0.91 | −293 |
| tokyo,london | 3 | +0.96 | +887 |
| london,new york | 5 | −0.01 | +225 |
| sydney,new york | 2 | +0.62 | +499 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 5 | −0.62 | −1,006 |
| normal variance | 3 | −0.69 | −683 |
| thesis confirmed | 2 | +2.08 | +1,533 |
| unexpected event | 5 | −0.87 | −1,335 |
| excessive leverage | 1 | −1.79 | −518 |
| favourable variance | 7 | +1.09 | +2,464 |
- spread sane
- 3
- confidence minimum
- 7
- no conflicting position
- 18
- market liquidity allows entry
- 5
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.trend_following
- fx.trend_following@1.0.0