Performance Overview
Jan 3, 2025 – Jun 22, 2026 · 1 MNQ contract · $1.08/RT commission
Net P&L
$15,144
+$0.00 vs baseline
Total Trades
373
1.0 trades/day avg
Win Rate
60.32%
225W / 148L
Profit Factor
2.81
Gross $23,512 / $8,367
Max Drawdown
($441)
Feb 3 – Mar 5, 2025
Sharpe Ratio
7.29
Sortino: 17.60
R-Squared
0.9912
Near-perfect-linear equity
Avg MAE/Trade
$48.10
Avg MFE: $112.94
Avg MFE/Trade
$112.94
MFE/MAE ratio: 2.35×
Avg Duration
47.2 min
Median: ~35 min
Max Win Streak
12
Max loss streak: 5
✦ Net Result: $15,144.30
Opt17h posts $15,144.30 net — +$0.00 vs baseline. PF 2.81, WR 60.32%, max DD ($441). R² of 0.9912 confirms near-perfect equity linearity over 382 trading days.
✦ Wednesday Strength Detected
Wednesday trades generated $3,772 net — 24.9% of total P&L from just one day of the week. PF 2.82, WR 57.0%. Monday is the weakest day at 59.5% WR. A modest but real day-of-week skew.
✦ Duration Edge: >240min Trades Win More
Trades lasting >240min have a PF of 316.10 with 100.0% win rate. The <30min bracket is the weakest at PF 1.51. The system’s edge concentrates in this duration band.
✦ Slippage Resilience: Strong
Even at 3 ticks/fill adverse slippage (round trip), net drops to $14,585 — still 96.3% of base. At 1 tick: $14,958. The strategy can absorb realistic real-world fill degradation.
Equity Curve & Drawdown
382 trading days · daily resolution
Cumulative Net P&L — Linear Regression Overlay (R² annotated)
Session Analysis
3 sessions · DST-adjusted · 373 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 373 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: 2.35× — the system on average reaches 2.35× its adverse excursion in the favorable direction before closing. America 3 has the highest avg MFE ($136.13) and MAE ($40.99), confirming it is the highest-amplitude session. America 3 has the tightest MAE ($40.99) — very clean entries. Trades with MAE running >2× the average that still won (21 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
373 exits across 6 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 47.2 min · Median ~35 min · Max 264 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 316.10 and 100.0% win rate — among the highest-quality trades in the system. The <30min bucket is the weakest at PF 1.51. 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: $43.21/day avg — 16 days..
VIX 15–20: $64.82/day avg — 155 days. (73% of sample).
VIX 20–25: $98.28/day avg — 27 days..
VIX 25–30: $70.15/day avg — 6 days. Limited sample.
VIX >30: $166.46/day avg — 8 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
201 longs · 172 shorts · per session
Long vs Short Net P&L by Session
Long Trades
201
53.9% of total
Long Net P&L
$5,817
38.4% of total
Short Trades
172
46.1% of total
Short Net P&L
$9,327
61.6% of total
Short Win Rate
50.6%
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
12
Consecutive winners
Max Loss Streak
5
Consecutive losers
Avg Win Streak
2.6
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 $15,144 to $14,958, retaining 98.8% of P&L. At 2 ticks (unusual but possible in fast markets): $14,771, still 97.5%. Even at 3 ticks (worst-case fills): $14,585, retaining 96.3%. 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) | $15,547.14 |
| Total Commission | ($402.84) |
| Net P&L | $15,144.30 |
| Gross Profit | $23,511.50 |
| Gross Loss | ($8,367.20) |
| Profit Factor | 2.81 |
| Max Drawdown | ($440.80) |
| vs baseline | +$0.00 |
| Avg MAE / Trade | ($48.10) |
| Avg MFE / Trade | $112.94 |
| MFE/MAE Ratio | 2.35× |
Activity & VIX
| Total Trades | 373 |
| Trading Days | 382 |
| Winning Trades | 225 (60.3%) |
| Losing Trades | 148 (39.7%) |
| Avg Trades / Day | 1.0 |
| Avg Time in Trade | 47.2 min |
| Max Win Streak | 12 |
| Max Loss Streak | 5 |
| Best VIX Regime | >30 ($166/day) |
| Dominant Regime | VIX 15–20 (73% of days) |
Exit Breakdown
| Profit Target | 53 (14.2%) |
| News Skip | 4 (1.1%) |
| Stop Loss | 218 (58.4%) |
| Max Profit Cap | 1 (0.3%) |
| Max Bars | 45 (12.1%) |
| Session End | 52 (13.9%) |
| Best Day | $510.70 (01-30) |
| Worst Day | ($313.30) (03-05) |
Risk Ratios
| Sharpe Ratio | 7.2871 |
| Sortino Ratio | 17.6013 |
| R-Squared | 0.9912 |
| DD / Net P&L | 2.9% |
| Best Month PF | 50.37 (May 26) |
| Worst Month PF | 1.30 (Feb 25) |
| Wed PF (Day Edge) | 2.82 |
| Best Duration PF | 316.10 (>240min) |
| Slip@1t Retained | 98.8% |
| Slip@3t Retained | 96.3% |