Research
Strategy comparison
| Strategy | Trades | Win rate (Wilson 95% CI) | Expectancy (R) | Expectancy 95% CI | Max drawdown | Current balance |
|---|---|---|---|---|---|---|
| paper-donchiandonchian-breakout | n=33 | 15.2% (6.7%–30.9%) | -0.55R | -0.92 … -0.17 | 20.8% | £8,331.56 |
| paper-rsi-mrrsi-mean-reversion | n=62 | 98.4% (91.4%–99.7%) | +1.30R | 1.22 … 1.37 | 1.7% | £22,204.79 |
Welch's t-test on R-multiples (paper-donchian vs paper-rsi-mr): Difference is statistically significant at p<0.05 (p=3.72e-11) n_paper-donchian=33, n_paper-rsi-mr=62, t=-9.49, df=34.5
Regime breakdown
Closed trades grouped by entry regime. Win rate shown with Wilson 95% CI; expectancy is mean R-multiple per trade.
paper-donchian
By trend
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| trending_up | 3 | 0.0% (0.0%–56.2%) | -1.00R | -£300.98 |
| trending_down | 8 | 37.5% (13.7%–69.4%) | +0.13R | £126.78 |
| ranging | 22 | 9.1% (2.5%–27.8%) | -0.73R | -£1,494.24 |
| unknown | 0 | — | — | — |
By volatility
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| low | 6 | 83.3% (43.6%–97.0%) | +1.50R | £879.17 |
| normal | 7 | 0.0% (0.0%–35.4%) | -1.00R | -£679.47 |
| high | 20 | 0.0% (0.0%–16.1%) | -1.00R | -£1,868.14 |
| unknown | 0 | — | — | — |
By session
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| asian | 7 | 42.9% (15.8%–75.0%) | +0.29R | £197.84 |
| london | 6 | 0.0% (0.0%–39.0%) | -1.00R | -£578.95 |
| overlap_london_ny | 16 | 6.3% (1.1%–28.3%) | -0.81R | -£1,180.31 |
| ny | 2 | 50.0% (9.5%–90.5%) | +0.50R | £79.87 |
| off_hours | 2 | 0.0% (0.0%–65.8%) | -1.00R | -£186.89 |
By day of week
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| Mon | 7 | 0.0% (0.0%–35.4%) | -1.00R | -£659.96 |
| Tue | 4 | 50.0% (15.0%–85.0%) | +0.50R | £187.10 |
| Wed | 1 | 100.0% (20.7%–100.0%) | +2.01R | £197.99 |
| Thu | 6 | 16.7% (3.0%–56.4%) | -0.50R | -£293.31 |
| Fri | 13 | 7.7% (1.4%–33.3%) | -0.77R | -£913.37 |
| Sat | 0 | — | — | — |
| Sun | 2 | 0.0% (0.0%–65.8%) | -1.00R | -£186.89 |
Trend × volatility heatmap (expectancy R)
trend ↓ / vol →
low
normal
high
unknown
trending_up
-1.00R (n=1)
-1.00R (n=1)
-1.00R (n=1)
—
trending_down
+2.00R (n=3)
-1.00R (n=1)
-1.00R (n=4)
—
ranging
+2.00R (n=2)
-1.00R (n=5)
-1.00R (n=15)
—
unknown
—
—
—
—
paper-rsi-mr
By trend
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| trending_up | 0 | — | — | — |
| trending_down | 0 | — | — | — |
| ranging | 62 | 98.4% (91.4%–99.7%) | +1.30R | £12,204.79 |
| unknown | 0 | — | — | — |
By volatility
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| low | 0 | — | — | — |
| normal | 1 | 100.0% (20.7%–100.0%) | +1.33R | £133.45 |
| high | 61 | 98.4% (91.3%–99.7%) | +1.30R | £12,071.34 |
| unknown | 0 | — | — | — |
By session
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| asian | 0 | — | — | — |
| london | 1 | 0.0% (0.0%–79.3%) | -1.00R | -£101.40 |
| overlap_london_ny | 61 | 100.0% (94.1%–100.0%) | +1.33R | £12,306.19 |
| ny | 0 | — | — | — |
| off_hours | 0 | — | — | — |
By day of week
| Regime | n | Win rate (95% CI) | Expectancy (R) | Total PnL |
|---|---|---|---|---|
| Mon | 0 | — | — | — |
| Tue | 1 | 100.0% (20.7%–100.0%) | +1.33R | £133.45 |
| Wed | 0 | — | — | — |
| Thu | 0 | — | — | — |
| Fri | 61 | 98.4% (91.3%–99.7%) | +1.30R | £12,071.34 |
| Sat | 0 | — | — | — |
| Sun | 0 | — | — | — |
Trend × volatility heatmap (expectancy R)
trend ↓ / vol →
low
normal
high
unknown
trending_up
—
—
—
—
trending_down
—
—
—
—
ranging
—
+1.33R (n=1)
+1.30R (n=61)
—
unknown
—
—
—
—
Drawdown forensics
| Strategy | Start (UTC) | Trough (UTC) | Depth | Duration | Dominant entry regime during the period |
|---|---|---|---|---|---|
| paper-donchian | 2026-05-15 09:40:50 UTC | 2026-06-09 16:54:52 UTC | 20.8% | 2394 snapshots | ranging (21/26 entries) |
| paper-rsi-mr | No drawdowns >5% | ||||
Pre-registered hypotheses
No hypotheses recorded yet. Add one via /notes with category = "hypothesis".