Performance Overview
Jan 2, 2025 – Jun 24, 2026 · 1 MNQ contract · $1.08/RT commission
Net P&L
$24,322
+$0.00 vs baseline
Total Trades
748
1.9 trades/day avg
Win Rate
61.23%
458W / 290L
Profit Factor
2.41
Gross $41,558 / $17,236
Max Drawdown
($1,091)
Jun 11–24, 2026
Sharpe Ratio
7.63
Sortino: 14.99
R-Squared
0.9731
Strong-linear equity
Avg MAE/Trade
$55.80
Avg MFE: $96.68
Avg MFE/Trade
$96.68
MFE/MAE ratio: 1.73×
Avg Duration
29.4 min
Median: ~17 min
Max Win Streak
13
Max loss streak: 7
✦ Net Result: $24,322.30
v11 posts $24,322.30 net — +$0.00 vs baseline. PF 2.41, WR 61.23%, max DD ($1,091). R² of 0.9731 confirms strong equity linearity over 385 trading days.
✦ Thursday Strength Detected
Thursday trades generated $5,874 net — 24.2% of total P&L from just one day of the week. PF 2.58, WR 57.4%. Tuesday is the weakest day at 57.1% WR. A modest but real day-of-week skew.
✦ Duration Edge: 120-240min Trades Win More
Trades lasting 120-240min have a PF of 5.55 with 66.7% win rate. The <30min bracket is the weakest at PF 1.76. The system’s edge concentrates in this duration band.
✦ Slippage Resilience: Strong
Even at 3 ticks/fill adverse slippage (round trip), net drops to $23,200 — still 95.4% of base. At 1 tick: $23,948. The strategy can absorb realistic real-world fill degradation.
Equity Curve & Drawdown
385 trading days · daily resolution
Cumulative Net P&L — Linear Regression Overlay (R² annotated)
Session Analysis
3 sessions · DST-adjusted · 748 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 748 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: 1.73× — the system on average reaches 1.73× its adverse excursion in the favorable direction before closing. America 1 has the highest avg MFE ($100.81) and MAE ($58.28), confirming it is the highest-amplitude session. America 3 has the tightest MAE ($36.42) — very clean entries. Trades with MAE running >2× the average that still won (39 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
748 exits across 7 exit types
Exit Type Distribution (donut)
Exit Type Performance Table
Monthly Breakdown
18 months · Jan 25–Jun 26 · all 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 29.4 min · Median ~17 min · Max 215 min
Trade Count by Duration Bucket
Profit Factor & Win Rate by Duration
Duration Bucket Performance
✦ 120-240min Is Your Strongest Duration Edge
The 120-240min bucket has a PF of 5.55 and 66.7% win rate — among the highest-quality trades in the system. The <30min bucket is the weakest at PF 1.76. 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: $25.05/day avg — 19 days..
VIX 15–20: $71.91/day avg — 219 days. (73% of sample).
VIX 20–25: $148.12/day avg — 44 days..
VIX 25–30: $33.65/day avg — 8 days. Limited sample.
VIX >30: $145.63/day avg — 9 days. Limited sample.
⚠ 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
481 longs · 267 shorts · per session
Long vs Short Net P&L by Session
Long Trades
481
64.3% of total
Long Net P&L
$10,794
44.4% of total
Short Trades
267
35.7% of total
Short Net P&L
$13,529
55.6% of total
Short Win Rate
73.0%
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
13
Consecutive winners
Max Loss Streak
7
Consecutive losers
Avg Win Streak
2.7
Actual avg across all win streaks
Avg Loss Streak
1.7
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 $24,322 to $23,948, retaining 98.5% of P&L. At 2 ticks (unusual but possible in fast markets): $23,574, still 96.9%. Even at 3 ticks (worst-case fills): $23,200, retaining 95.4%. 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) | $25,130.14 |
| Total Commission | ($807.84) |
| Net P&L | $24,322.30 |
| Gross Profit | $41,557.80 |
| Gross Loss | ($17,235.50) |
| Profit Factor | 2.41 |
| Max Drawdown | ($1,091.00) |
| vs baseline | +$0.00 |
| Avg MAE / Trade | ($55.80) |
| Avg MFE / Trade | $96.68 |
| MFE/MAE Ratio | 1.73× |
Activity & VIX
| Total Trades | 748 |
| Trading Days | 385 |
| Winning Trades | 458 (61.2%) |
| Losing Trades | 290 (38.8%) |
| Avg Trades / Day | 1.9 |
| Avg Time in Trade | 29.4 min |
| Max Win Streak | 13 |
| Max Loss Streak | 7 |
| Best VIX Regime | 20–25 ($148/day) |
| Dominant Regime | VIX 15–20 (73% of days) |
Exit Breakdown
| Profit Target | 233 (31.1%) |
| Stop Loss | 413 (55.2%) |
| Max Profit Cap | 1 (0.1%) |
| Max Loss Cap | 2 (0.3%) |
| Max Bars | 42 (5.6%) |
| No-Trade Cutoff + Session Close | 57 (7.6%) |
| Best Day | $653.20 (02-27) |
| Worst Day | ($329.50) (12-11) |
Risk Ratios
| Sharpe Ratio | 7.6269 |
| Sortino Ratio | 14.9943 |
| R-Squared | 0.9731 |
| DD / Net P&L | 4.5% |
| Best Month PF | 8.89 (Jan 26) |
| Worst Month PF | 1.09 (Dec 25) |
| Thu PF (Day Edge) | 2.58 |
| Best Duration PF | 5.55 (120-240min) |
| Slip@1t Retained | 98.5% |
| Slip@3t Retained | 95.4% |