Replay-based simulation with execution modeling
Momentum Breakout v2.3
BT-2401-001
Momentum Breakout v2.2
BT-2401-002
Mean Reversion v1.8
BT-2401-003
S&P 500 | 2023-01 to 2023-12
Total Return
68.5%
vs 35.2% benchmark
Sharpe Ratio
1.92
Risk-adjusted
Max Drawdown
-8.2%
Recovery: 18 days
Total Trades
140
67.1% win rate