← backtests · 09-16 20:47Z · MOCK data
robustness fx.breakout GBPUSD
robustness fx.breakout GBPUSD
| Scenario | Trades | Exp R | PF |
|---|---|---|---|
| baseline | 13 | +0.534 | 3.41 |
| costs: spread x2.0 | 13 | +0.517 | 3.27 |
| costs: spread x3.0 | 13 | +0.500 | 3.14 |
| costs: slippage x2.0 | 13 | +0.518 | 3.26 |
| costs: slippage x4.0 | 13 | +0.487 | 2.99 |
| costs: commission x2.0 | 13 | +0.520 | 3.27 |
| execution delay +1 bar(s) | 13 | +0.522 | 3.67 |
| execution delay +2 bar(s) | 13 | +0.551 | 3.88 |
| missing data 2% | 13 | +0.343 | 1.79 |
| missing data 5% | 9 | +0.405 | 2.44 |
| param max_bb_width_pct x0.8 | 8 | +0.695 | 3.97 |
| param max_bb_width_pct x1.2 | 15 | +0.235 | 1.63 |
| param min_rv_ratio x0.8 | 25 | +0.318 | 2.41 |
| param min_rv_ratio x1.2 | 4 | +1.143 | 10.15 |
| param stop_atr x0.8 | 13 | +0.577 | 2.66 |
| param stop_atr x1.2 | 12 | +0.300 | 2.36 |
| param target_r x0.8 | 13 | +0.532 | 3.34 |
| param target_r x1.2 | 13 | +0.332 | 2.38 |
| volatility x1.5 (MOCK world regenerated) | 12 | +0.438 | 2.43 |
- Final return p5 / p50 / p95
- -0.2% / 3.4% / 7.6%
- Max drawdown p50 / p95
- 0.8% / 1.7%
- P(loss)
- 6.2%
- P(drawdown > 20%)
- 0.0%