OFS-0594

ECONOMICS

Net

$3067

$/Month

$109

EV/Trade

$133.34

Trades/Week

0.2

WR%

56.5%

Comm Drag

10.3%

Profit Factor

5.49

Trades

TAIL & RISK

Worst MAE

$1510

p99 MAE

$1510

Tail Cliff

1.0×

Worst-5 Avg

$514

Max DD

$247

DD Events

Trades to Recover

Max W/L Streak

6 / 2

MAE PERCENTILE LADDER

Percentile	MAE $
p50	$100
p75	$160
p90	$280
p95	$330
p99	$1510
Worst-5 avg	$514
Worst	$1510

MAE THRESHOLD EXCEEDANCE

MAE ≥	Count	% of trades
$250	4	17.39%
$500	1	4.35%
$1,000	1	4.35%
$2,500	0	0.00%
$5,000	0	0.00%

CONFIG

cost

commission_per_side_override: None

data

series: csmid_flat

allow_unverified_source: False

exec

alpha: 0.5

variant: vb

markouts_on: True

exit

H: 384

retreat: 1.0

stop_loss: None

fill

model: trade_through

m1_resolution: False

fill_at_level_prob: 0.5

min_volume_at_level: 10

risk

flat_dte: 5

dte_offset: 3

cooldown_mode: off

cooldown_duration: 20

entry

z_long: 3.0

min_win: 0.05

z_short: 3.0

gates

dte: {'on': True, 'min_dte': 6}

hour: {'on': False, 'deny_hours': [13, 14], 'allow_hours': None}

news: {'on': False, 'events': ['eia_crude', 'fomc', 'cpi'], 'hard_exit_before': False, 'blackout_after_min': 60, 'blackout_before_min': 30}

flystd: {'on': False, 'window': 20, 'threshold': 'p90'}

crude_d5: {'on': False, 'threshold': 12.0}

centre

L: 192

mode: BB

L_fast: 5

L_slow: 20

sample_tf: M15

sigma_cap: 0.5

sample_mode: wall_clock

sigma_floor: 0.005

dual_mean_on: False

fix_at_entry: True

dual_agree_gate: False

lattice

on: False

distance_bands: [{'stop': 30.0, 'max_z': 1.5, 'min_z': 0.5, 'max_hold': 20}, {'stop': None, 'max_z': 2.5, 'min_z': 1.5, 'max_hold': 60}, {'stop': None, 'max_z': 99.0, 'min_z': 2.0, 'max_hold': 300}]

pyramid

on: False

levels: [2.0, 2.5, 3.0]

size_pct: [100.0, 50.0, 100.0, 200.0]

base_lots: 1.0

max_levels: 4

contracts

combos: ['front']

BUTTERFLY + Z-SCORE

Loading bar data...

EQUITY CURVE

MAE PER TRADE

MOVE CAPTURE — candle = available (MFE), body = captured (gross) median 44.4% · left on table $3430 · 23 trades

ENTRY Z vs NET (trade scatter)

DEPTH × DURATION (MAE vs hold)

WORST 5 TRADES (by MAE)

#	Side	Entry	Exit	Z	Net	MAE	Hold	DTE	DM	Exit
7	long	2022-03-09	2022-03-09	3.00	$1085	$1510	1	13	4	mean_cross
14	short	2022-10-13	2022-10-13	3.00	$155	$330	1	7	11	mean_cross
3	short	2021-10-11	2021-10-14	3.00	$115	$280	290	9	11	mean_cross
8	short	2022-03-10	2022-03-14	3.00	$635	$250	195	12	4	mean_cross
17	long	2023-04-02	2023-04-10	3.00	$-75	$200	384	17	5	horizon

PER YEAR

Year	Trades	WR%	Net	Worst MAE	Avg MAE
2021	5	40.0%	$153	$280	$84
2022	11	72.7%	$3081	$1510	$248
2023	7	42.9%	$-168	$200	$83

PER DTE BUCKET

DTE	Trades	WR%	Net	EV	MAE avg	MAE worst	Rolls	Timeouts
6-9 pre-roll	8	37.5%	$-73	$-9.11	-$109	-$330	0	0
10-25 core	15	66.7%	$3140	$209.31	-$191	-$1510	0	6

WIN RATE BY DTE

MAE BY DTE — bar = avg, circle = worst (tail)

PER SIDE

Side	Trades	WR%	Net	Worst MAE
short	12	75.0%	$2186	$330
long	11	36.4%	$881	$1510

CONDITIONAL RECOVERY (by MAE bucket)

MAE Bucket	Trades	Win%	Avg Net	Avg Hold	Worst MAE
$0-100	9	33.3%	$7	183.7	$70
$100-250	8	50.0%	$116	252.9	$200
$1K+	1	100.0%	$1085	1.0	$1510
$250-500	3	100.0%	$301	162.0	$330

Trades (23)

#	Side	Entry	Exit	Z	Net	MAE	Hold	DTE	DM	Tier	Exit
1	short	-0.35	-0.3	3.0	$-65.36	$50	23	6	8	B1_entry	dte_forced
2	long	-0.21	-0.24	3.0	$-45.36	$20	32	6	10	B1_entry	dte_forced
3	short	-0.06	-0.19	3.0	$114.64	$280	290	9	11	B1_entry	mean_cross
4	short	-0.01	-0.02	3.0	$-5.36	$50	384	21	12	B1_entry	horizon
5	long	-0.13	0.04	3.0	$154.64	$20	212	15	12	B1_entry	mean_cross
6	short	0.52	-0.57	3.0	$1074.64	$110	20	13	4	B1_entry	mean_cross
7	long	-1.66	-0.56	3.0	$1084.64	$1510	1	13	4	B1_entry	mean_cross
8	short	-0.24	-0.89	3.0	$634.64	$250	195	12	4	B1_entry	mean_cross
9	short	0.16	0.08	3.0	$64.64	$120	384	20	5	B1_entry	horizon
10	short	-0.25	-0.42	3.0	$154.64	$120	328	10	6	B1_entry	mean_cross
11	long	-0.37	-0.54	3.0	$-185.36	$160	42	7	6	B1_entry	dte_forced
12	long	-0.27	-0.29	3.0	$-35.36	$10	23	6	10	B1_entry	dte_forced
13	long	-0.3	-0.2	3.0	$84.64	$100	98	17	11	B1_entry	mean_cross
14	short	0.07	-0.1	3.0	$154.64	$330	1	7	11	B1_entry	mean_cross
15	long	-0.25	-0.16	3.0	$74.64	$0	10	10	12	B1_entry	mean_cross
16	long	-0.02	-0.03	3.0	$-25.36	$20	33	6	1	B1_entry	dte_forced
17	long	-0.27	-0.33	3.0	$-75.36	$200	384	17	5	B1_entry	horizon
18	short	-0.13	-0.15	3.0	$4.64	$20	384	19	6	B1_entry	horizon
19	short	-0.23	-0.15	3.0	$-95.36	$120	384	12	7	B1_entry	horizon
20	long	-0.19	-0.23	3.0	$-55.36	$70	384	20	8	B1_entry	horizon
21	short	0.32	0.17	3.0	$134.64	$30	178	10	11	B1_entry	mean_cross
22	long	-0.1	-0.18	3.0	$-95.36	$140	383	13	12	B1_entry	dte_forced
23	short	-0.13	-0.16	3.0	$14.64	$0	12	7	12	B1_entry	dte_forced