Strategy Report: orb

Live Trading Summary

Performance by Version

Equity Curve

Monthly P&L

Backtest Results

ORB — Opening Range Breakout on XAU/USD.

Defines the opening range as the high/low of the first ``orb_range_minutes``
after ``orb_session_start_hour`` UTC. A long signal fires when price closes
above the range high; a short signal fires when price closes below the range
low. Positions are closed at ``session_end_hour`` UTC or by SL/TP.

BACKTEST RESULTS AS OF 24/06/2026 (365 day lookback):

Signals: 30 total, 30 filled, 0 unfilled
Total P&L: 650.76
Final capital: 1650.76
Total Trades: 30
Exits: 18 stop loss, 11 take profit, 1 signal
Total Wins: 12
Win Rate: 40.0%
Avg Win Size: 36.18
Avg Loss Size: -14.48
Profit Factor: 2.50
Avg Position Size: 0.8033 units
Avg Trade Length: 9d 21h 12m
Sharpe Ratio: 1.85
Sortino Ratio: 6.53
Calmar Ratio: 8.05
Max Drawdown: -8.1%
CAGR: 65.4%
Ann. Volatility: 29.5%
Performance By Direction:
  Long: 30 trades, 40.0% win rate, Avg P&L 21.69
Performance By Session:
  Overlap: 26 trades, 38.5% win rate, Avg P&L 18.51
  Us_Late: 4 trades, 50.0% win rate, Avg P&L 42.39

Performance By Year:
  2023: 22 trades, Return 17.0%, Sharpe 1.20, Sortino 3.30, Calmar 1.33
  2024: 48 trades, Return 91.2%, Sharpe 2.06, Sortino 6.80, Calmar 9.26
  2025: 30 trades, Return 130.3%, Sharpe 2.66, Sortino 11.83, Calmar 20.49
  2026: 8 trades, Return 14.5%, Sharpe 1.37, Sortino 4.84, Calmar 2.13

Recent 14-Day Backtest

Trade History