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USDCAD Session Fade v2

ActiveForexMT5

sana.aVerified·Mean reversion · sessionView trader

Return (all)

+10.8%

360 days of history

Max drawdown

6.1%

Current 5.1%

Sortino

1.87

Sharpe 1.24 · PSR 0.89

Compliance

11/12

92% of Epochs kept

Risk score

18 · Low

Capacity used

79%

442/563 seats · $1.7M

Trade analytics

Last 382 closed trades · risk measured at the initial stop

Avg risk / trade

0.50%

median 0.51% · max 0.62%

Avg planned R:R

1 : 0.86

target distance ÷ stop distance

Realized R:R

1 : 0.91

avg win +0.75R · avg loss −0.83R

Expectancy

+0.07R

per trade

SQN

0.92

Poor

Kelly fraction

9.8%

optimal f · use ¼–½ in practice

Win rate

57.1%

profit factor 1.21

Consecutive W / L

8 / 8

longest streaks

Largest win / loss

+1.2R / −1.6R

Avg hold

8.5h / 9.0h

winners / losers

Avg MAE / MFE

0.56R / 0.69R

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 +28.2R

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	225	157
Win rate	59%	55%
Expectancy	+0.10R	+0.03R
Total R	+23.4R	+4.9R
Equity PnL	+12.0%	+3.0%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 5, 10:17	USDCAD long	0.59%	1:0.8	−0.74R	0.5h
Oct 5, 15:39	USDCHF short	0.45%	1:0.9	−0.81R	3.8h
Oct 5, 07:28	AUDUSD long	0.42%	1:1.0	+1.07R	7.9h
Oct 5, 07:10	AUDUSD long	0.56%	1:0.8	−0.69R	11.2h
Oct 1, 15:12	AUDUSD long	0.45%	1:1.0	−1.05R	2.5h
Oct 1, 15:34	AUDUSD short	0.43%	1:0.7	+0.68R	6.4h
Oct 1, 13:51	USDCHF short	0.49%	1:0.8	−0.61R	3.1h
Oct 1, 08:49	USDCHF long	0.61%	1:0.9	−0.79R	0.8h
Sep 29, 15:54	USDCAD long	0.61%	1:0.7	−0.83R	5.0h
Sep 28, 08:05	AUDUSD short	0.54%	1:0.9	+0.68R	1.9h
Sep 25, 07:18	USDCAD long	0.48%	1:1.0	+0.71R	1.0h
Sep 25, 14:41	USDCHF short	0.44%	1:0.8	−0.90R	5.2h

Performance statistics

Based on 382 trades over 360 days. Metric set v1.4 · recomputable from raw exchange data.Thin sample — treat with caution

Trailing returns

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

Period	1W	1M	3M	6M	YTD	All
Strategy	−0.7%	−2.0%	−2.8%	−4.7%	+7.6%	+10.8%
Followers	−0.7%	−2.0%	−2.9%	−4.8%	+7.4%	+10.5%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+70.3%
Excess vs BTC	−1.1%	−3.0%	−14.1%	−75.9%	−48.1%	−59.5%

Returns

Return 1m: −2.0%
Return 3m: −2.8%
Return 12m: Insufficient data
Return since start: +10.8%
CAGR: +11.0%

Risk

Max drawdown: 6.1%
Volatility (ann.): 8.7%
Downside deviation: 5.8%
Ulcer index: 2.92%
VaR / CVaR 95% (daily): 0.77% / 0.92%
VaR / CVaR 99% (daily): 1.17% / 1.20%
Longest time under water: 178 days
Max / avg leverage: 5.9x / 2.6x
Top-3 trades share of PnL: 11%

Risk-adjusted

Sharpe: 1.24
Sortino: 1.87
Calmar: 1.80
Recovery factor: 1.77
Probabilistic Sharpe (PSR): 0.89
Omega ratio: 1.18
Gain-to-pain: 0.18

Trades

Trades: 382
Win rate: 60%
Payoff ratio: 0.81
Profit factor: 1.21
Expectancy: 2 bps
Tail ratio: 1.9
Avg holding time: 8.9 h

Consistency

Profitable months: 54%
Equity curve R²: 0.56
Longest losing streak: 6 days
Skew / kurtosis: 0.12 / 3.4
Consistency score: 84/100

Benchmark (vs BTC)

Beta: 0.02
Alpha (ann.): +9.7%
Correlation / R²: 0.10 / 0.01
Up / down capture: 3% / 0%
Tracking error: 56.9%
Information ratio: -1.05

Strategy vs BTC

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

Daily return pair360 daysFit · β0.02

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.03Correlation0.16

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d-1.23Volatility 90d9.1%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.77%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−6.1%	Apr 11, 2026	Sep 19, 2026	Ongoing	161 d	—
2	−2.5%	Nov 8, 2025	Nov 25, 2025	Dec 9, 2025	17 d	14 d
3	−2.1%	Mar 22, 2026	Mar 31, 2026	Apr 3, 2026	9 d	3 d
4	−1.8%	Dec 28, 2025	Jan 2, 2026	Jan 6, 2026	5 d	4 d
5	−1.4%	Feb 13, 2026	Feb 22, 2026	Feb 27, 2026	9 d	5 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

40%

58%

61%

43%

47%

55%

54%

Exposure

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

Gross exposure199% of equityPeak230%

Average share of exposure

USDCAD88% · 128%
USDCHF7% · 10.8%
AUDUSD4% · 6.5%

Performance by instrument

Share of net PnL