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USDCHF Session Fade Plus

ActiveForexMT5

zara.mVerified+·Mean reversion · sessionView trader

Return 12m

+21.0%

738 days of history

Max drawdown

13.1%

Current 8.6%

Sortino

0.87

Sharpe 0.59 · PSR 0.80

Compliance

21/24

88% of Epochs kept

Risk score

31 · Low

Capacity used

61%

114/186 seats · $560k

Trade analytics

Last 400 closed trades · risk measured at the initial stop

Avg risk / trade

0.64%

median 0.65% · max 0.80%

Avg planned R:R

1 : 0.77

target distance ÷ stop distance

Realized R:R

1 : 0.76

avg win +0.66R · avg loss −0.87R

Expectancy

+0.19R

per trade

SQN

2.67

Good

Kelly fraction

29.3%

optimal f · use ¼–½ in practice

Win rate

69.5%

profit factor 1.73

Consecutive W / L

19 / 6

longest streaks

Largest win / loss

+1.1R / −1.5R

Avg hold

8.3h / 9.2h

winners / losers

Avg MAE / MFE

0.52R / 0.67R

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 +76.9R

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	246	154
Win rate	69%	71%
Expectancy	+0.18R	+0.22R
Total R	+43.6R	+33.3R
Equity PnL	+28.7%	+22.2%

Recent trades

Closed	Instrument	Risk	Plan R:R	Result	Hold
Oct 5, 08:49	USDCHF short	0.59%	1:0.8	+0.81R	0.9h
Oct 5, 10:20	USDCHF short	0.78%	1:0.8	+0.89R	9.8h
Sep 30, 09:16	USDCHF short	0.66%	1:0.8	+0.72R	7.7h
Sep 28, 14:35	EURUSD long	0.79%	1:0.6	+0.38R	4.9h
Sep 28, 12:54	USDCHF long	0.53%	1:0.7	+0.70R	11.7h
Sep 25, 16:10	USDCHF long	0.62%	1:0.7	+0.71R	3.8h
Sep 25, 09:23	EURUSD long	0.71%	1:0.9	+0.54R	1.5d
Sep 24, 14:55	USDCHF short	0.61%	1:0.7	+0.74R	0.6h
Sep 21, 12:20	EURUSD long	0.60%	1:0.7	+0.37R	1.4h
Sep 18, 09:53	USDCHF short	0.60%	1:0.6	−0.82R	1.3h
Sep 18, 10:48	USDCHF long	0.63%	1:0.8	−0.79R	3.9h
Sep 15, 10:22	USDCHF long	0.56%	1:0.9	+0.99R	2.0h

Performance statistics

Based on 440 trades over 738 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	1Y	All
Strategy	−0.8%	+1.7%	−2.1%	−1.1%	+15.9%	+21.0%	+13.1%
Followers	−0.8%	+1.6%	−2.1%	−1.2%	+15.7%	+20.8%	+12.7%
BTC	+0.4%	+1.0%	+11.3%	+71.2%	+55.7%	+69.5%	+171.9%
Excess vs BTC	−1.2%	+0.7%	−13.4%	−72.3%	−39.9%	−48.5%	−158.7%

Returns

Return 1m: +1.7%
Return 3m: −2.1%
Return 12m: +21.0%
Return since start: +13.1%
CAGR: +6.3%

Risk

Max drawdown: 13.1%
Volatility (ann.): 11.4%
Downside deviation: 7.7%
Ulcer index: 6.58%
VaR / CVaR 95% (daily): 0.90% / 1.21%
VaR / CVaR 99% (daily): 1.47% / 1.81%
Longest time under water: 325 days
Max / avg leverage: 6.8x / 3.1x
Top-3 trades share of PnL: 14%

Risk-adjusted

Sharpe: 0.59
Sortino: 0.87
Calmar: 0.48
Recovery factor: 1.00
Probabilistic Sharpe (PSR): 0.80
Omega ratio: 1.08
Gain-to-pain: 0.08

Trades

Trades: 440
Win rate: 68%
Payoff ratio: 0.72
Profit factor: 1.53
Expectancy: 2 bps
Tail ratio: 2.3
Avg holding time: 8.5 h

Consistency

Profitable months: 58%
Equity curve R²: 0.54
Longest losing streak: 12 days
Skew / kurtosis: 0.08 / 4.0
Consistency score: 79/100

Benchmark (vs BTC)

Beta: 0.02
Alpha (ann.): +5.7%
Correlation / R²: 0.08 / 0.01
Up / down capture: 3% / 2%
Tracking error: 55.5%
Information ratio: -1.04

Strategy vs BTC

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

Daily return pair365 daysFit · β0.02

BTC daily return →

Rolling 90-day beta & correlation

Oct 6, 2026Beta0.04Correlation0.22

Rolling risk-adjusted performance

90-day rolling Sharpe ratio and annualized volatility, synced

Oct 6, 2026Sharpe 90d-0.89Volatility 90d9.2%

Volatility (ann.)

Return distribution

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

Up daysDown daysNormal fitVaR 95%−0.90%

Worst drawdowns

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

#	Depth	Peak	Trough	Recovered	Decline	Recovery
1	−13.1%	Feb 20, 2025	May 31, 2025	Jan 12, 2026	100 d	226 d
2	−11.3%	May 29, 2026	Sep 9, 2026	Ongoing	103 d	—
3	−9.3%	Nov 6, 2024	Dec 21, 2024	Feb 18, 2025	45 d	59 d
4	−3.9%	Oct 5, 2024	Oct 23, 2024	Nov 1, 2024	18 d	9 d
5	−3.3%	Mar 22, 2026	Apr 1, 2026	Apr 9, 2026	10 d	8 d

Day-of-week profile

Average daily return and share of up days by weekday

Share of up days

54%

50%

44%

53%

48%

49%

57%

Exposure

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

Gross exposure282% of equityPeak386%

Average share of exposure

USDCHF56% · 154.9%
EURUSD24% · 65.6%
USDCAD20% · 54.8%

Performance by instrument

Share of net PnL