Strategy Report: vei
Live Trading Summary
| Metric |
Value |
| Total Trades |
8 |
| Wins |
3 |
| Losses |
5 |
| Win Rate |
37.5% |
| Total P&L |
-10.91 |
| Max Drawdown |
-64.21 |
| Avg Win |
+21.11 |
| Avg Loss |
-14.85 |
| Version | Trades | Win Rate | Total P&L | Avg Win | Avg Loss | Max DD |
|---|
| v1.51.0-paper | 1 | 100.0% | +£25.39 | +£25.39 | +0.00 | -£0.00 |
| v1.47.0-paper | 1 | 100.0% | +£27.91 | +£27.91 | +0.00 | -£0.00 |
| v1.45.0-paper | 2 | 0.0% | -£24.00 | +£0.00 | -12.00 | -£24.00 |
| v1.37.0-paper | 1 | 100.0% | +£10.03 | +£10.03 | +0.00 | -£0.00 |
| v1.34.0-paper | 2 | 0.0% | -£31.99 | +£0.00 | -16.00 | -£31.99 |
| v1.27.0-paper | 1 | 0.0% | -£18.24 | +£0.00 | -18.24 | -£18.24 |
Equity Curve
Monthly P&L
Backtest Results
VEI (Volatility Expansion Index) trend-following strategy.
Mechanism:
VEI = ATR(short) / ATR(long)
Regime classification:
VEI < vei_stable_threshold → stable environment, trend setups work
VEI > vei_expansion_threshold → expanding volatility, skip or close
Direction:
EMA(fast) crossing above EMA(slow) → bullish trend
EMA(fast) crossing below EMA(slow) → bearish trend
Entry: EMA crossover in stable VEI regime (VEI < stable threshold)
Exit: VEI rises above expansion threshold OR opposite EMA cross
BACKTEST RESULTS AS OF 25/03/2026 (365 day lookback):
Signals: 181 total, 140 filled, 41 unfilled
Total P&L: 626.82
Final capital: 1626.82
Total Trades: 140
Exits: 59 stop loss, 66 take profit, 15 signal
Total Wins: 67
Win Rate: 47.9%
Avg Win Size: 16.73
Avg Loss Size: -12.26
Profit Factor: 1.37
Avg Position Size: 42367 units
Avg Trade Length: 1h 13m (4.9 candles)
Sharpe Ratio: 1.61
Sortino Ratio: 2.68
Max Drawdown: -18.1%
CAGR: 64.1%
Ann. Volatility: 20.1%
Performance By Direction:
Long: 140 trades, 47.9% win rate, Avg P&L 4.48
Performance By Session:
Asia: 84 trades, 42.9% win rate, Avg P&L 2.00
London: 53 trades, 54.7% win rate, Avg P&L 7.99
Overlap: 3 trades, 66.7% win rate, Avg P&L 11.78
Recent 14-Day Backtest
Trade History
| Date |
Instrument |
Direction |
Entry |
Exit |
P&L |
| 2026-03-17 01:15 |
USD_JPY |
LONG |
159.35 |
159.05 |
-18.24 |
| 2026-03-19 04:00 |
USD_JPY |
SHORT |
159.62 |
159.75 |
-14.03 |
| 2026-03-19 05:45 |
USD_JPY |
LONG |
159.75 |
159.6 |
-17.96 |
| 2026-03-20 02:30 |
USD_JPY |
LONG |
158.29 |
158.42 |
+10.03 |
| 2026-03-24 01:45 |
USD_JPY |
LONG |
158.56 |
158.48 |
-5.98 |
| 2026-03-24 08:00 |
USD_JPY |
SHORT |
158.47 |
158.69 |
-18.02 |
| 2026-03-24 09:17 |
USD_JPY |
LONG |
158.68 |
159.02 |
+27.91 |
| 2026-03-25 04:00 |
USD_JPY |
LONG |
158.82 |
159.06 |
+25.39 |