Performance Overview
Jan 2, 2025 – Jun 22, 2026 · 1 MNQ contract · $1.08/RT commission
Net P&L
$30,827
+$0.00 vs baseline
Total Trades
609
1.6 trades/day avg
Win Rate
54.19%
330W / 279L
Profit Factor
2.23
Gross $55,879 / $25,052
Max Drawdown
($721)
Mar 31 – Apr 3, 2025
Sharpe Ratio
7.27
Sortino: 14.58
R-Squared
0.9749
Strong-linear equity
Avg MAE/Trade
$73.65
Avg MFE: $142.61
Avg MFE/Trade
$142.61
MFE/MAE ratio: 1.94×
Avg Duration
73.5 min
Median: ~32 min
Max Win Streak
8
Max loss streak: 8
✦ Net Result: $30,826.90
v13 posts $30,826.90 net — +$0.00 vs baseline. PF 2.23, WR 54.19%, max DD ($721). R² of 0.9749 confirms strong equity linearity over 383 trading days.
✦ Wednesday Strength Detected
Wednesday trades generated $7,544 net — 24.5% of total P&L from just one day of the week. PF 2.33, WR 53.2%. Monday is the weakest day at 54.8% WR. A modest but real day-of-week skew.
✦ Duration Edge: >240min Trades Win More
Trades lasting >240min have a PF of 8.75 with 81.8% win rate. The <30min bracket is the weakest at PF 0.89. The system’s edge concentrates in this duration band.
✦ Slippage Resilience: Strong
Even at 3 ticks/fill adverse slippage (round trip), net drops to $29,913 — still 97.0% of base. At 1 tick: $30,522. The strategy can absorb realistic real-world fill degradation.
Equity Curve & Drawdown
383 trading days · daily resolution
Cumulative Net P&L — Linear Regression Overlay (R² annotated)
Session Analysis
2 sessions · DST-adjusted · 609 trades
Avg P&L per Trade by Session
DD Impact if Session Removed (green = worse DD without it)
Avg Winner vs Avg Loser by Session
Session Performance Table
Session Exit Drill-Down
Per-session exit type breakdown with MAE/MFE by exit
MAE / MFE Analysis
Maximum Adverse & Favorable Excursion · all 609 classified trades
MAE Distribution (how far against you before exit)
MFE Distribution (how far in your favor before exit)
MFE vs MAE Scatter (winners green, losers red)
✦ MAE/MFE Key Findings
Global avg MFE/MAE ratio: 1.94× — the system on average reaches 1.94× its adverse excursion in the favorable direction before closing. America 1 has the highest avg MFE ($147.64) and MAE ($75.24), confirming it is the highest-amplitude session. America 2 has the tightest MAE ($68.18) — very clean entries. Trades with MAE running >2× the average that still won (18 such trades) suggest the stop is being stressed before the move pays out; reviewing entry timing on those trades could tighten MAE without sacrificing winners.
Exit Analysis
609 exits across 5 exit types
Exit Type Distribution (donut)
Exit Type Performance Table
Monthly Breakdown
18 months · Jan 25–Jun 26 · 17/18 profitable
Monthly Performance Table
Day of Week Analysis
Monday–Friday · structural edge detection
Win Rate % & Profit Factor by Day
Day of Week Performance Table
Trade Duration Analysis
Avg 73.5 min · Median ~32 min · Max 332 min
Trade Count by Duration Bucket
Profit Factor & Win Rate by Duration
Duration Bucket Performance
✦ >240min Is Your Strongest Duration Edge
The >240min bucket has a PF of 8.75 and 81.8% win rate — among the highest-quality trades in the system. The <30min bucket is the weakest at PF 0.89. This suggests trade duration meaningfully affects edge quality; reviewing why other durations underperform could reveal a tightenable inefficiency.
VIX & Volatility Analysis
CBOE VIX daily · Jan 2025 – Jun 2026
Equity Curve vs VIX — Dual Axis
Daily P&L vs VIX (Scatter)
Avg Daily P&L by VIX Regime
VIX Regime Summary
VIX <15: $74.67/day avg — 24 days..
VIX 15–20: $84.50/day avg — 225 days. (73% of sample).
VIX 20–25: $136.33/day avg — 41 days..
VIX 25–30: $221.92/day avg — 9 days. Limited sample.
VIX >30: $243.55/day avg — 10 days..
⚠ VIX Regime Concentration Risk
73% of all trading days occurred in the VIX 15-20 band. Behavior outside this range is largely untested. If volatility shifts meaningfully outside this band for an extended period, performance expectations should be discounted. Consider a VIX-based position sizing multiplier to manage exposure outside the dominant regime.
Long vs Short Breakdown
346 longs · 263 shorts · per session
Long vs Short Net P&L by Session
Long Trades
346
56.8% of total
Long Net P&L
$13,420
43.5% of total
Short Trades
263
43.2% of total
Short Net P&L
$17,407
56.5% of total
Short Win Rate
52.9%
Larger avg P&L/trade
Streak & Consistency Analysis
Trade-by-trade win/loss sequence
Trade Outcome Sequence (green = win, red = loss)
Consecutive Win & Loss Streak Distribution
Max Win Streak
8
Consecutive winners
Max Loss Streak
8
Consecutive losers
Avg Win Streak
2.3
Actual avg across all win streaks
Avg Loss Streak
1.9
Actual avg across all loss streaks
Slippage Sensitivity Analysis
MNQ tick = $0.50 · round-trip adverse slippage impact
Net P&L Under Increasing Slippage (ticks/fill)
% P&L Retained vs Slippage Level
✦ Slippage Resilience: Strong
At 1 tick RT slippage — realistic for MNQ in normal conditions — net drops from $30,827 to $30,522, retaining 99.0% of P&L. At 2 ticks (unusual but possible in fast markets): $30,218, still 98.0%. Even at 3 ticks (worst-case fills): $29,913, retaining 97.0%. The strategy is resilient to real-world fill degradation.
Best & Worst Trading Days
Top/Bottom 20 days
Full Performance Summary
P&L Metrics
| Gross P&L (pre-comm) | $31,484.62 |
| Total Commission | ($657.72) |
| Net P&L | $30,826.90 |
| Gross Profit | $55,879.00 |
| Gross Loss | ($25,052.10) |
| Profit Factor | 2.23 |
| Max Drawdown | ($721.40) |
| vs baseline | +$0.00 |
| Avg MAE / Trade | ($73.65) |
| Avg MFE / Trade | $142.61 |
| MFE/MAE Ratio | 1.94× |
Activity & VIX
| Total Trades | 609 |
| Trading Days | 383 |
| Winning Trades | 330 (54.2%) |
| Losing Trades | 279 (45.8%) |
| Avg Trades / Day | 1.6 |
| Avg Time in Trade | 73.5 min |
| Max Win Streak | 8 |
| Max Loss Streak | 8 |
| Best VIX Regime | >30 ($244/day) |
| Dominant Regime | VIX 15–20 (73% of days) |
Exit Breakdown
| Profit Target | 146 (24.0%) |
| Stop Loss | 350 (57.5%) |
| Max Profit Lock | 30 (4.9%) |
| Forced Close + Session Close | 83 (13.6%) |
| Best Day | $660.20 (03-06) |
| Worst Day | ($486.60) (03-17) |
Risk Ratios
| Sharpe Ratio | 7.2704 |
| Sortino Ratio | 14.5832 |
| R-Squared | 0.9749 |
| DD / Net P&L | 2.3% |
| Best Month PF | 6.04 (Feb 26) |
| Worst Month PF | 0.96 (May 26) |
| Wed PF (Day Edge) | 2.33 |
| Best Duration PF | 8.75 (>240min) |
| Slip@1t Retained | 99.0% |
| Slip@3t Retained | 97.0% |