✦ Triple-Filtered Session Profile
This dataset removes New York 1 (9:35–10 ET), America 5 (13:30–15 ET), and Europe 3 (5:45–7:45 ET) from the full v1017 lineup. The result: 1,595 trades across 8 sessions, averaging 6.0 trades/day over 266 trading days. Net P&L of $30,194.70 is delivered with a max drawdown of ($712.88) — significantly tighter than the unfiltered dataset, reflecting America 5's removal as the primary DD driver.
✦ Consistent Monthly P&L Delivery
11 of 12 months were profitable, with the only near-flat month in Sep 25 ($-39.96). Peak months were Apr 26 ($5,934.34) and Mar 26 ($4,826.90). Removing America 5 (lowest PF session) reduced total P&L by ~$2,500 but meaningfully improved the risk profile and DD ceiling.
✦ Near-Neutral Long/Short Split
Longs (876 trades) generated $15,091.96 — 50.0% of total P&L — with a win rate of 52.4%. Shorts contributed $15,102.74 across 719 trades at 49.9% WR. With America 5 removed, the long-side macro bias normalises — both sides contribute almost equally to total P&L.
✦ VIX Regime: Best Above 20
Strategy maintains edge across all regimes. Avg daily P&L: $106/day below VIX 15 (24 days), $102/day in 15–20 band (203 days), $220/day at 20–25 (21 days), $443/day above 25 (4 days). VIX correlation: +0.1840.
Cumulative Net P&L
Daily P&L
Drawdown from Peak
✦ Asia 1 — Quality Crown
Asia 1 (18:35–20 ET) is the standout session in the entire lineup: 66.2% WR, PF 3.47, $55.24 avg/trade across 80 trades — the best avg/trade of any active session. Removing it would worsen max DD by $165.54. Non-negotiable keep.
✦ Asia 2 — High-Volume Backbone
Asia 2 (20–23:25 ET) is the highest-trade-count session: 308 trades, $5,165.68 net P&L, 50.6% WR, PF 1.55. Removing it worsens max DD by $300.60 — the largest DD impact of any session. Despite its modest WR it plays a critical structural role in equity smoothing.
✦ Asia 3 — Consistent Grinder
Asia 3 (0–1:30 ET) delivers 261 trades, $3,283.56 net P&L, 51.7% WR, PF 1.73. A reliable mid-volume session with a solid avg/trade of $12.58. Removing it worsens DD by $63.94. Solid mid-tier contributor that earns its place.
✦ Europe 1 — Low WR, DD Smoother
Europe 1 (1:30–3 ET) has the weakest win rate: 39.3% WR, PF 1.57, $12.38 avg/trade across 107 trades. However, removing it actually worsens max DD by $51.30 to ($764.18) — it acts as a subtle equity smoother. The $1,324.72 net contribution and DD role make it marginal but defensible.
✦ Europe 2 — High-Volume Earner
Europe 2 (3–5 ET) is the second-highest trade-count session: 281 trades, $5,049.76 net P&L, 53.7% WR, PF 1.72. Removing it worsens DD by $172.52. Together with Asia 2 it anchors the overnight equity curve. Strong keep.
✦ Europe 3 Excluded
Europe 3 (5:45–7:45 ET) is excluded from this dataset. Covers the pre-New York transition period where liquidity thins ahead of the London close and New York pre-market. Removed due to inconsistent edge during this transitional window.
✦ America 1 Excluded
America 1 (9:35–10 ET) is excluded from this dataset. As the first session after the New York open, America 1 captures the initial volatility burst but also carries the highest noise from gap fills and order-flow whipsaws. Removed to reduce erratic early-session drawdown.
✦ America 2 — Top New York Session
America 2 (10–11 ET) is the first active New York session and the highest-quality American window: 132 trades, $5,468.22 net P&L, 56.1% WR, PF 1.76, $41.43 avg/trade. Second only to Asia 1 in avg/trade quality. Removing it worsens DD by $239.06.
✦ America 3 — Best American PF
America 3 (11–12 ET) punches above its weight: 106 trades, $2,610.76 net P&L, 55.7% WR, PF 2.14 — the highest profit factor of any active New York session. Removing it actually improves max DD by $6.78, but at the cost of $2,610 in P&L. A high-quality, low-volume session worth keeping.
✦ America 4 — Volume with Cost
America 4 (12–13:30 ET) is the highest-trade-count New York session: 310 trades, $2,725.10 net P&L, but only 46.1% WR and PF 1.32 — the weakest active session by profit factor. Removing it worsens DD by $216.84 despite the poor quality metrics. Its volume provides structural balance.
✦ America 5 Excluded
America 5 (13:30–15 ET) is excluded from this dataset. In the unfiltered -America 1 -Europe 3 analysis, America 5 contributed $2,507.38 net P&L across 378 trades (48.9% WR, PF 1.35, $6.63 avg/trade) — the lowest quality metrics of all sessions — while being the primary driver of max drawdown, improving DD by +$264.82 when removed. The combination of the lowest avg/trade, lowest profit factor, and highest DD contribution made it the clearest candidate for exclusion. Its removal reduces total trade count by 19% while tightening the max drawdown ceiling significantly.
Net P&L by Session
Win Rate % by Session
Avg P&L per Trade by Session
Profit Factor by Session
Session Performance Table
| Session | Time (ET) | Trades | Win Rate | PF | Net P&L | Avg/Trade |
|---|
Monthly Net P&L
Win Rate % & Trade Count by Month
Monthly Profit Factor
Average Monthly VIX
Monthly Performance Table
| Month | Trades | Win Rate | Profit Factor | Avg VIX | Net P&L | Status |
|---|
Equity vs VIX — Dual Axis
Daily P&L vs VIX (Scatter)
Avg Daily P&L by VIX Regime
VIX Regime Summary
VIX <15: $106/day avg — 24 days.
VIX 15–20: $102/day avg — core zone; 203 days (~76% of trading days).
VIX 20–25: $220/day avg — elevated vol boosts captures; 21 days.
VIX 25–30: $443/day avg — peak performance; 4 days.
VIX Correlation: +0.1840
A mild positive correlation indicates DUOrc v1017 benefits from volatility. The -AM1 -AM5 -EU3 filtered dataset correlates at +0.1840 — with America 5 removed, some of the lower-quality low-VIX trades are gone, slightly cleaning up the signal. The strategy's multi-session design and adaptive exits capitalise on volatility bursts across all retained sessions.
Exit Type Distribution
Exit Breakdown Notes
ADX Drawdown Exit (631) — 39.6% of exits. Primary exit; protects peak profits adaptively via ADX-based drawdown threshold.
Candle Reversal Exit (605) — 37.9% of exits. Active momentum exit on candlestick reversal signals.
Profit Target (211) — 13.2% hit fixed TP; majority managed out before full target.
Stop Loss (85) — Only 5.3% hit hard stop; adaptive exits managing most risk first.
ADX Level Exit (61) — 3.8% of exits. Closes when ADX signals trend exhaustion.
Net P&L: Long vs Short
Win Rate: Long vs Short
Top 20 Best Days
| Date | P&L | VIX | Regime | Trades |
|---|
Top 20 Worst Days
| Date | P&L | VIX | Regime | Trades |
|---|
| Net P&L | $30,194.70 |
| Gross Profit | $73,688.78 |
| Gross Loss | ($43,494.08) |
| Profit Factor | 1.69 |
| Max Drawdown | ($712.88) |
| Avg Win | $90.08 |
| Avg Loss | ($55.98) |
| Largest Win | $437.96 |
| Largest Loss | ($401.54) |
| Win/Loss Ratio | 1.61 |
| Sharpe Ratio | 6.73 |
| Sortino Ratio | 9.68 |
| Commission | ($1,658.80) |
| Max Time to Recover | 6 trading days |
| Longest Flat Period | 22 trading days |
| Avg Trade | $18.93 |
| Profitable Months | 11 / 12 |
| Best Month | $5,934.34 (Apr 26) |
| Worst Month | ($39.96) (Sep 25) |
| Best Month PF | 2.74 (Aug 25) |
| Avg Monthly P&L | $2,516.22 |
| Max Consec. Wins | 11 |
| Max Consec. Losses | 11 |
| Avg MAE / Trade | ($55.61) |
| Avg MFE / Trade | $88.19 |
| Avg ETD / Trade | $69.26 |
| Avg Daily P&L | $113.51 |
| Total Trades | 1,595 |
| Trading Days | 266 |
| Winning Trades | 818 (51.3%) |
| Losing Trades | 777 (48.7%) |
| Avg Trades / Day | 6.0 |
| Avg Time in Market | 68.5 min |
| VIX Correlation | +0.1840 |
| Best VIX Regime | 25–30 ($443/day) |
| Days VIX >25 | 4 |
| Long / Short Split | 876 / 719 |