Performance Overview
Jul 25 – Jun 26 · 1 MNQ contract · backtest fills
Total Trades
991
3.9 trades/day avg
Win Rate
55.90%
554W / 437L
Profit Factor
2.16
Gross $64,554 / $29,947
Max Drawdown
($1,168)
07-29 (from peak 07-02)
Avg Daily P&L
$136
Per CME trading day
Trading Days
255
CME session-days
Avg MAE/Trade
($53.52)
Avg MFE: $107.49
Avg MFE/Trade
$107.49
MFE/MAE ratio: 2.01×
Avg Duration
134.0 min
Median: ~75 min
Max Win Streak
13
Max loss streak: 7
Avg Monthly P&L
$2,884
12 months
✦ Net Result: $34,607.60
HUGO posts $34,607.60 net across 991 trades. PF 2.16, WR 55.90%, max DD ($1,168.00). Avg daily P&L $135.72 across 255 trading days.
✦ Friday Strength Detected
Friday sessions generated $10,467 net — 30.2% of total P&L from just one day of the week. PF 2.68, WR 57.8%. Monday is the weakest at 50.3% WR. A significant structural edge worth understanding and protecting.
✦ Duration Edge: >240min Trades Win More
Trades lasting >240min have a PF of 7.54 with 75.9% win rate. The <30min bracket is the weakest at PF 0.39. The system’s edge concentrates in longer-held trades.
✦ Slippage Resilience
At 3 ticks/fill adverse slippage (round trip), net drops to $33,121 — still 95.7% of base. At 1 tick: $34,112 (98.6%). With 991 trades, linear slippage costs add up faster than on lower-frequency systems, but the strategy still retains the large majority of its edge under realistic degradation.
Equity Curve & Drawdown
255 trading days · daily resolution
Cumulative Net P&L — Linear Regression Overlay (R² annotated)
Session Analysis
9 sessions (NY / EU / AS) · contiguous, non-overlapping windows · 991 trades
Avg P&L per Trade by Session
DD Impact if Session Removed (blue = worse DD without it)
Avg Winner vs Avg Loser by Session
Session Performance Table
✦ Session Windows Updated
Session times reflect the updated live settings (MichalEMA3790_15m_live_2026-07-01). Unlike the prior configuration, these 9 windows are now contiguous with no overlaps — each session hands off cleanly to the next (e.g. NY-A ends 11:30 exactly as NY-B begins), so trade-to-session attribution is unambiguous.
Session Exit Drill-Down
Per-session exit type breakdown with MAE/MFE by exit
MAE / MFE Analysis
Maximum Adverse & Favorable Excursion · all 991 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: 2.01× — the system on average reaches 2.01× its adverse excursion in the favorable direction before closing. NY-A has the highest avg MAE ($94.58) and MFE ($195.13), confirming it is the highest-amplitude session. AS-C has the tightest MAE ($33.19) — very clean entries. Trades with MAE running >2× the average that still won (27 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
991 exits across 3 exit types
Exit Type Distribution (donut)
Exit Type Performance Table
Monthly Breakdown
12 months · Jul 25–Jun 26 · 11 of 12 profitable
Monthly Performance Table
Day of Week Analysis
Monday–Friday (conventional futures day labeling) · structural edge detection
Friday accounts for 30.2% of total P&L with PF 2.68 and 57.8% win rate — a significant structural concentration worth monitoring.
Win Rate % & Profit Factor by Day
Day of Week Performance Table
✦ Note on Day Labeling
Each "day" here is the conventional futures trading session — e.g. Monday includes the Sunday 18:00 ET session open through Monday's day session. This matches how CME session dates are normally described by traders, even though the strategy's own internal session-reset clock (used for the equity curve and drawdown series) anchors slightly differently.
Trade Duration Analysis
Avg 134.0 min · Median ~75 min · Max 3390 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 7.54 and 75.9% win rate — among the highest-quality trades in the system. The <30min bucket is the weakest at PF 0.39. This suggests trade duration meaningfully affects edge quality; reviewing why the shorter-duration trades underperform could reveal a tightenable inefficiency.
VIX & Volatility Analysis
CBOE VIX daily · Jul 25 – Jun 26
Equity Curve vs VIX — Dual Axis
Daily P&L vs VIX (Scatter)
Avg Daily P&L by VIX Regime
VIX Regime Summary
VIX <15: $87.83/day avg — 24 days.
VIX 15-20: $128.52/day avg — 180 days. (71% of sample)
VIX 20-25: $140.97/day avg — 35 days.
VIX 25-30: $252.21/day avg — 15 days.
VIX >30: $648.50/day avg — 1 day. Limited sample.
⚠ VIX Regime Concentration Risk
71% of all trading days occurred in the VIX 15-20 band. Behavior outside this range is less tested. 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
572 longs · 419 shorts · per session
Long vs Short Net P&L by Session
Long Trades
572
57.7% of total
Long Net P&L
$14,947
43.2% of total
Short Trades
419
42.3% of total
Short Net P&L
$19,661
56.8% of total
Streak & Consistency Analysis
Trade-by-trade win/loss sequence
Trade Outcome Sequence (green = win, red = loss)
Consecutive Win & Loss Streak Distribution
Max Win Streak
13
Consecutive winners
Max Loss Streak
7
Consecutive losers
Avg Win Streak
2.5
Actual avg across all win streaks
Avg Loss Streak
2.0
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
At 1 tick RT slippage — realistic for MNQ in normal conditions — net drops from $34,608 to $34,112, retaining 98.6% of P&L. At 2 ticks: $33,617, still 97.1%. Even at 3 ticks (worst-case fills): $33,121, retaining 95.7%. Because this system trades often (991 trades/year), slippage costs compound faster than on a low-frequency strategy — worth confirming real fill quality on the live account.
Best & Worst Trading Days
Top/Bottom 20 days
Full Performance Summary
P&L Metrics
| Gross P&L (pre-comm) | $36,490.50 |
| Total Commission | ($1,882.90) |
| Net P&L | $34,607.60 |
| Gross Profit | $64,554.40 |
| Gross Loss | ($29,946.80) |
| Profit Factor | 2.16 |
| Max Drawdown | ($1,168.00) |
| Avg MAE / Trade | ($53.52) |
| Avg MFE / Trade | $107.49 |
| MFE/MAE Ratio | 2.01× |
Activity & VIX
| Total Trades | 991 |
| Trading Days | 255 |
| Winning Trades | 554 (55.9%) |
| Losing Trades | 437 (44.1%) |
| Avg Trades / Day | 3.9 |
| Avg Time in Trade | 134.0 min |
| Max Win Streak | 13 |
| Max Loss Streak | 7 |
| Best VIX Regime | >30 ($648/day, n=1) |
| Dominant Regime | VIX 15-20 (71% of days) |
Exit Breakdown
| Stop Loss | 576 (58.1%) |
| Forced Exit | 283 (28.6%) |
| Take Profit | 132 (13.3%) |
| Best Day | $1,293.20 (03-08) |
| Worst Day | ($509.70) (06-28) |
Risk Ratios
| Sharpe Ratio | 7.4934 |
| Sortino Ratio | 19.5287 |
| R-Squared | 0.9872 |
| DD / Net P&L | 3.4% |
| Best Month PF | 4.84 (Mar 26) |
| Worst Month PF | 0.89 (Jul 25) |
| Fri PF (Day Edge) | 2.68 |
| Best Duration PF | 7.54 (>240min) |
| Slip@1t Retained | 98.6% |
| Slip@3t Retained | 95.7% |