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GBPUSD London Breakout

ActiveForexMT5

mateo.rqConnected·London breakout · intradayView trader

Return 12m

+28.1%

375 days of history

Max drawdown

10.9%

Current 1.0%

Sortino

2.29

Sharpe 1.50 · PSR 0.94

Compliance

11/12

92% of Epochs kept

Risk score

34 · Low

Capacity used

57%

143/253 seats · $760k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.68%

median 0.68% · max 0.84%

Avg planned R:R

1 : 1.81

target distance ÷ stop distance

Realized R:R

1 : 1.89

avg win +1.57R · avg loss −0.83R

Expectancy

+0.45R

per trade

SQN

3.68

Excellent

Kelly fraction

28.9%

optimal f · use ¼–½ in practice

Win rate

53.5%

profit factor 2.17

Consecutive W / L

11 / 7

longest streaks

Largest win / loss

+2.5R / −1.5R

Avg hold

6.2h / 5.8h

winners / losers

Avg MAE / MFE

0.60R / 1.18R

adverse / favorable excursion

Capture ratio

84%

of MFE kept by winners

R-multiple distribution

How many trades ended at each multiple of initial risk

Cumulative R

Trade-by-trade equity in R units · total +181.5R

Risk per trade

% of equity at risk on each trade, with the average line

Performance by time

Total R by day of week or close hour (UTC)

Long vs short

	Long	Short
Trades	243	157
Win rate	51%	57%
Expectancy	+0.41R	+0.53R
Total R	+98.8R	+82.8R
Equity PnL	+66.9%	+55.0%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 6, 09:57	GBPUSD long	0.57%	1:2.2	−0.83R	2.9h
Oct 5, 08:19	GBPUSD short	0.69%	1:1.5	+1.64R	6.5h
Oct 5, 16:31	GBPUSD long	0.74%	1:2.0	+2.18R	3.4h
Oct 2, 11:13	GBPUSD long	0.57%	1:2.2	−0.62R	8.1h
Oct 2, 07:21	GBPUSD short	0.67%	1:2.1	−0.87R	7.0h
Oct 2, 07:10	GBPUSD long	0.64%	1:1.7	+1.44R	21.8h
Oct 1, 07:39	GBPUSD long	0.72%	1:2.1	−0.60R	7.2h
Oct 1, 16:33	GBPUSD short	0.54%	1:1.5	+0.98R	6.7h
Sep 30, 14:08	GBPUSD long	0.66%	1:1.9	+1.56R	1.5h
Sep 30, 12:00	GBPUSD long	0.79%	1:1.9	+1.77R	3.0h
Sep 30, 10:57	GBPUSD short	0.78%	1:1.7	−0.76R	4.5h
Sep 30, 12:17	GBPUSD long	0.73%	1:1.8	+1.52R	7.1h

Performance statistics

Based on 523 trades over 375 days. Metric set v1.4 · recomputable from raw exchange data.

Trailing returns

Strategy NAV, realized follower results after costs, and BTC over the same windows

Period	1W	1M	3M	6M	YTD	1Y	All
Strategy	+1.2%	+9.3%	+12.4%	+19.9%	+29.6%	+28.1%	+29.7%
Followers	+1.2%	+9.3%	+12.3%	+19.7%	+29.2%	+27.6%	+29.1%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+66.2%
Excess vs BTC	+0.8%	+8.3%	+1.1%	−51.3%	−26.1%	−41.4%	−36.5%

Returns

Return 1m: +9.3%
Return 3m: +12.4%
Return 12m: +28.1%
Return since start: +29.7%
CAGR: +28.8%

Risk

Max drawdown: 10.9%
Volatility (ann.): 17.9%
Downside deviation: 11.8%
Ulcer index: 4.34%
VaR / CVaR 95% (daily): 1.45% / 1.87%
VaR / CVaR 99% (daily): 2.42% / 2.83%
Longest time under water: 156 days
Max / avg leverage: 7x / 3.2x
Top-3 trades share of PnL: 15%

Risk-adjusted

Sharpe: 1.50
Sortino: 2.29
Calmar: 2.64
Recovery factor: 2.72
Probabilistic Sharpe (PSR): 0.94
Omega ratio: 1.22
Gain-to-pain: 0.22

Trades

Trades: 523
Win rate: 50%
Payoff ratio: 1.71
Profit factor: 1.71
Expectancy: 2 bps
Tail ratio: 2.4
Avg holding time: 6.3 h

Consistency

Profitable months: 71%
Equity curve R²: 0.76
Longest losing streak: 6 days
Skew / kurtosis: 0.03 / 3.4
Consistency score: 71/100

Benchmark (vs BTC)

Beta: 0.00
Alpha (ann.): +26.9%
Correlation / R²: 0.00 / 0.00
Up / down capture: 2% / −4%
Tracking error: 59.3%
Information ratio: -0.65

Strategy vs BTC

Daily return pairs with the regression fit (slope = beta), and how beta and correlation change over time

Daily return pair365 daysFit · β0.00

BTC daily return →

Rolling 90-day beta & correlation

Oct 5, 2026Beta-0.08Correlation-0.21

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 5, 2026Sharpe 90d2.76Volatility 90d18.4%

Volatility (ann.)

Return distribution

Daily returns vs a fitted normal curve — bars beyond the curve are fat-tail days

Up daysDown daysNormal fitVaR 95%−1.45%

Worst drawdowns

The five deepest peak-to-trough episodes and how long recovery took

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−10.9%	Nov 4, 2025	Feb 2, 2026	Apr 10, 2026	90 d	67 d
2	−8.8%	Jun 29, 2026	Jul 13, 2026	Sep 18, 2026	14 d	67 d
3	−7.2%	May 28, 2026	Jun 10, 2026	Jun 22, 2026	13 d	12 d
4	−2.6%	May 1, 2026	May 9, 2026	May 14, 2026	8 d	5 d
5	−2.3%	Apr 25, 2026	Apr 28, 2026	May 1, 2026	3 d	3 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

50%

52%

57%

53%

60%

50%

46%

Exposure

Gross exposure, % of equity (last 120 days), and where it sits

Gross exposure134% of equityPeak717%

Average share of exposure

GBPUSD100% · 480.2%

Performance by instrument

Share of net PnL