Generated: 2026-08-14 10:24 | test 2025-12-01..2026-08-13
Cost experiment (10bp round trip default vs 0)
| run | PF | trades | total ret | max_dd | win% |
|---|
| V1 full-cost | 0.77 | 2560 | -14.8% | 15.2% | 44.1% |
V1 full-cost — by side / entry hour
- long: $-4687 (849 trades)
- short: $-7778 (431 trades)
| entry ET | pnl | n |
|---|
| 09:30 | $-5852 | 653 |
| 11:00 | $+178 | 39 |
| 11:30 | $-357 | 5 |
| 12:30 | $-6185 | 565 |
| 13:00 | $-248 | 18 |
| month | pnl | n |
|---|
| 2025-12 | $-4207 | 371 |
| 2026-01 | $-4880 | 359 |
| 2026-02 | $+880 | 334 |
| 2026-03 | $-4258 | 216 |
| V1 zero-cost | 0.92 | 6202 | -9.9% | 12.4% | 49.2% |
V1 zero-cost — by side / entry hour
- long: $+1301 (2054 trades)
- short: $-11235 (1047 trades)
| entry ET | pnl | n |
|---|
| 09:30 | $-7972 | 1608 |
| 11:00 | $-103 | 60 |
| 11:30 | $-118 | 15 |
| 12:00 | $-121 | 4 |
| 12:30 | $-1352 | 1396 |
| 13:00 | $-268 | 18 |
| month | pnl | n |
|---|
| 2025-12 | $-688 | 383 |
| 2026-01 | $-2555 | 353 |
| 2026-02 | $+1848 | 336 |
| 2026-03 | $-1391 | 383 |
| 2026-04 | $-3411 | 379 |
| 2026-05 | $-1748 | 358 |
| 2026-06 | $-1396 | 373 |
| 2026-07 | $-714 | 395 |
| 2026-08 | $+122 | 141 |
| V2 flip full-cost | 0.88 | 4434 | -15.3% | 15.3% | 46.6% |
V2 flip full-cost — by side / entry hour
- long: $-720 (1499 trades)
- short: $-10522 (718 trades)
| entry ET | pnl | n |
|---|
| 09:30 | $-3009 | 1139 |
| 11:00 | $-1576 | 67 |
| 11:30 | $-352 | 12 |
| 12:00 | $+91 | 2 |
| 12:30 | $-6385 | 978 |
| 13:00 | $-11 | 19 |
| month | pnl | n |
|---|
| 2025-12 | $-5860 | 373 |
| 2026-01 | $-744 | 346 |
| 2026-02 | $-1841 | 334 |
| 2026-03 | $-514 | 378 |
| 2026-04 | $+444 | 355 |
| 2026-05 | $-160 | 345 |
| 2026-06 | $-2567 | 86 |
| V2 flip zero-cost | 1.01 | 6160 | +0.9% | 8.9% | 49.5% |
V2 flip zero-cost — by side / entry hour
- long: $+5360 (2077 trades)
- short: $-4510 (1003 trades)
| entry ET | pnl | n |
|---|
| 09:30 | $+1164 | 1585 |
| 11:00 | $-750 | 81 |
| 11:30 | $+272 | 18 |
| 12:00 | $+31 | 3 |
| 12:30 | $+184 | 1373 |
| 13:00 | $-51 | 20 |
| month | pnl | n |
|---|
| 2025-12 | $-1496 | 380 |
| 2026-01 | $+1962 | 357 |
| 2026-02 | $+3271 | 339 |
| 2026-03 | $-1776 | 380 |
| 2026-04 | $+1018 | 362 |
| 2026-05 | $+4263 | 361 |
| 2026-06 | $-1375 | 374 |
| 2026-07 | $-5010 | 383 |
| 2026-08 | $-7 | 144 |