← backtests · 09-16 20:49Z · MOCK data
robustness cmd.breakout XAUUSD
robustness cmd.breakout XAUUSD
| Scenario | Trades | Exp R | PF |
|---|---|---|---|
| baseline | 30 | +0.318 | 2.45 |
| costs: spread x2.0 | 30 | +0.305 | 2.36 |
| costs: spread x3.0 | 30 | +0.293 | 2.27 |
| costs: slippage x2.0 | 30 | +0.299 | 2.32 |
| costs: slippage x4.0 | 30 | +0.260 | 2.07 |
| costs: commission x2.0 | 30 | +0.300 | 2.30 |
| execution delay +1 bar(s) | 28 | +0.224 | 2.01 |
| execution delay +2 bar(s) | 28 | +0.200 | 1.76 |
| missing data 2% | 29 | +0.326 | 2.25 |
| missing data 5% | 24 | +0.531 | 3.92 |
| param min_volume_z x0.8 | 38 | +0.284 | 2.11 |
| param min_volume_z x1.2 | 23 | +0.157 | 1.59 |
| param stop_atr x0.8 | 30 | +0.180 | 1.65 |
| param stop_atr x1.2 | 28 | +0.132 | 1.76 |
| param target_r x0.8 | 30 | +0.264 | 2.24 |
| param target_r x1.2 | 31 | +0.103 | 1.58 |
| volatility x1.5 (MOCK world regenerated) | 31 | +0.325 | 2.37 |
- Final return p5 / p50 / p95
- -0.6% / 4.7% / 11.0%
- Max drawdown p50 / p95
- 1.3% / 2.7%
- P(loss)
- 7.7%
- P(drawdown > 20%)
- 0.0%