Performance
OOS backtests · TP/SL ±2% · fw=12–36 bars · data: Sep 2025 – Mar 2026
Overall — all regimes combined
Win Rate
71.2%
89W / 36L / 134N · 259 signals
Avg MFE
1.84%
max favourable excursion
Avg MAE
0.90%
max adverse excursion
Best Regime WR
82.2%
R1 · Shorts / BTC dump
Regime backtests
R1 · Shorts / BTC dump
2025-11-04 → 11-17
82.2%
73 signals (63 short / 10 long)
37W / 8L / 28N · max DD 6%
avg MFE 2.37% · avg MAE 0.80%
R2 · Longs / BTC pump
2025-09-25 → 10-08
54.2%
65 signals (49 long / 16 short)
13W / 11L / 41N · max DD 14%
avg MFE 1.11% · avg MAE 0.84%
R3 · Both / Chop
2025-12-01 → 12-14
69.0%
66 signals (47 short / 19 long)
20W / 9L / 37N · max DD 8%
avg MFE 1.64% · avg MAE 1.11%
R4 · BTC dominance
2025-10-15 → 10-28
70.4%
55 signals (32 short / 23 long)
19W / 8L / 28N · max DD 6%
avg MFE 1.84% · avg MAE 0.86%
PnL curves
Drawdown
By signal type
| Type |
Signals |
Wins |
Losses |
Neutral |
Win Rate |
Avg MFE |
| CORE_SHORT |
158 |
69 |
28 |
61 |
71.1% |
2.13% |
| CORE_LONG |
101 |
20 |
8 |
73 |
71.4% |
1.29% |
Win rate by strength score
OOS validation — oos_192
RunA · In-sample
2026-02-15 → 02-28
100%
32 signals (all short)
10W / 0L / 22N · fw=12 bars
avg MFE 1.51% · avg MAE 0.48%
RunB · Out-of-sample
2026-03-01 → 03-14
—
29 signals (all short)
0W / 0L / 29N · fw=12 bars
avg MFE 0.26% · avg MAE 0.64%
All neutral — no threshold hit within window
Run details
| Run |
Date Range |
Regime |
Signals |
Win Rate |
Avg MFE |
Avg MAE |
Max DD |
| R1 |
Nov 4 – Nov 17, 2025 |
BTC Dump |
73 |
82.2% |
2.37% |
0.80% |
6% |
| R2 |
Sep 25 – Oct 8, 2025 |
BTC Pump |
65 |
54.2% |
1.11% |
0.84% |
14% |
| R3 |
Dec 1 – Dec 14, 2025 |
Chop |
66 |
69.0% |
1.64% |
1.11% |
8% |
| R4 |
Oct 15 – Oct 28, 2025 |
BTC Dom |
55 |
70.4% |
1.84% |
0.86% |
6% |
| OOS-A |
Feb 15 – Feb 28, 2026 |
In-sample |
32 |
100% |
1.51% |
0.48% |
0% |
| OOS-B |
Mar 1 – Mar 14, 2026 |
Out-of-sample |
29 |
— |
0.26% |
0.64% |
0% |
Data sources: dev/reports/baselines_20260405_rerun/ · backtest/data/oos_192/ ·
Win = price hit TP (+2%) within forward window · Loss = price hit SL (−2%) ·
Neutral = neither hit within window · Win rate = W/(W+L) excluding neutral ·
fw=36 bars for R1–R4 · fw=12 bars for OOS runs