Performance Overview
Jul 25 – Jun 26 · 1 MGC contract · backtest fills
Total Trades
2000
7.8 trades/day avg
Win Rate
48.75%
975W / 1025L
Profit Factor
1.98
Gross $119,360 / $60,348
Max Drawdown
($603)
05-14 (from peak 05-11)
Avg Daily P&L
$229
Per CME trading day
Trading Days
258
CME session-days
Avg MAE/Trade
($52.87)
Avg MFE: $104.32
Avg MFE/Trade
$104.32
MFE/MAE ratio: 1.97×
Avg Duration
31.6 min
Median: ~21 min
Max Win Streak
15
Max loss streak: 8
Avg Monthly P&L
$4,539
13 months
✦ Net Result: $59,012.00
AURA posts $59,012.00 net across 2000 trades. PF 1.98, WR 48.75%, max DD ($602.80). Avg daily P&L $228.73 across 258 trading days.
✦ Monday Strength Detected
Monday sessions generated $14,178 net — 24.0% of total P&L from just one day of the week. PF 2.17, WR 51.5%. Friday is the weakest at 45.0% WR. A significant structural edge worth understanding and protecting.
✦ Duration Edge: 120-240min Trades Win More
Trades lasting 120-240min have a PF of 24.04 with 87.5% win rate. The <30min bracket is the weakest at PF 1.30. The system’s edge concentrates in longer-held trades.
✦ Slippage Resilience
At 3 ticks/fill adverse slippage (round trip), net drops to $53,012 — still 89.8% of base. At 1 tick: $57,012 (96.6%). With 2000 trades, linear slippage costs add up faster than on lower-frequency systems, but the strategy still retains the large majority of its edge under realistic degradation.
Equity Curve & Drawdown
258 trading days · daily resolution
Cumulative Net P&L — Linear Regression Overlay (R² annotated)
Session Analysis
9 sessions (NY / EU / AS) · contiguous, non-overlapping windows · 2000 trades
Avg P&L per Trade by Session
DD Impact if Session Removed (blue = worse DD without it)
Avg Winner vs Avg Loser by Session
Session Performance Table
✦ Session Windows — Fully Non-Overlapping
Session times were extracted directly from the strategy source (AURA.cs live-setting defaults). All 9 windows are contiguous with zero overlap — each session hands off cleanly to the next (e.g. NY-A ends 11:00 exactly as NY-B begins), so every trade maps to exactly one session with no ambiguity.
Session Exit Drill-Down
Per-session exit type breakdown with MAE/MFE by exit
MAE / MFE Analysis
Maximum Adverse & Favorable Excursion · all 2000 classified trades
MAE Distribution (how far against you before exit)
MFE Distribution (how far in your favor before exit)
MFE vs MAE Scatter (winners green, losers red)
✦ MAE/MFE Key Findings
Global avg MFE/MAE ratio: 1.97× — the system on average reaches 1.97× its adverse excursion in the favorable direction before closing. NY-A has the highest avg MAE ($82.19) and MFE ($149.17), confirming it is the highest-amplitude session. NY-C has the tightest MAE ($36.72) — very clean entries. Trades with MAE running >2× the average that still won (54 such trades) suggest the stop is being stressed before the move pays out; reviewing entry timing on those trades could tighten MAE without sacrificing winners.
Exit Analysis
2000 exits across 3 exit types
Exit Type Distribution (donut)
Exit Type Performance Table
Monthly Breakdown
13 months · Jul 25–Jun 26 · 13 of 13 profitable
Monthly Performance Table
Day of Week Analysis
Monday–Friday (conventional futures day labeling) · structural edge detection
Monday accounts for 24.0% of total P&L with PF 2.17 and 51.5% win rate — a significant structural concentration worth monitoring.
Win Rate % & Profit Factor by Day
Day of Week Performance Table
✦ Note on Day Labeling
Each "day" here is the conventional futures trading session — e.g. Monday includes the Sunday 18:00 ET session open through Monday's day session. This matches how CME session dates are normally described by traders, even though the strategy's own internal session-reset clock (used for the equity curve and drawdown series) anchors slightly differently.
Trade Duration Analysis
Avg 31.6 min · Median ~21 min · Max 1743 min
Trade Count by Duration Bucket
Profit Factor & Win Rate by Duration
Duration Bucket Performance
✦ 120-240min Is Your Strongest Duration Edge
The 120-240min bucket has a PF of 24.04 and 87.5% win rate — among the highest-quality trades in the system. The <30min bucket is the weakest at PF 1.30. This suggests trade duration meaningfully affects edge quality; reviewing why the shorter-duration trades underperform could reveal a tightenable inefficiency.
GVZ & Volatility Analysis
CBOE Gold ETF Volatility Index (GVZ) daily · Jul 25 – Jun 26
Equity Curve vs GVZ — Dual Axis
Daily P&L vs GVZ (Scatter)
Avg Daily P&L by GVZ Regime
GVZ Regime Summary
GVZ <15: ($42.30)/day avg — 2 days. Limited sample.
GVZ 15-20: $35.77/day avg — 71 days.
GVZ 20-25: $196.11/day avg — 76 days.
GVZ 25-30: $214.79/day avg — 54 days.
GVZ >30: $546.43/day avg — 55 days.
⚠ GVZ Regime Concentration Risk
29% of all trading days occurred in the GVZ 20-25 band. Behavior outside this range is less tested. If volatility shifts meaningfully outside this band for an extended period, performance expectations should be discounted. Consider a GVZ-based position sizing multiplier to manage exposure outside the dominant regime.
Long vs Short Breakdown
915 longs · 1085 shorts · per session
Long vs Short Net P&L by Session
Long Trades
915
45.8% of total
Long Net P&L
$29,195
49.5% of total
Short Trades
1085
54.2% of total
Short Net P&L
$29,817
50.5% of total
Streak & Consistency Analysis
Trade-by-trade win/loss sequence
Trade Outcome Sequence (green = win, red = loss)
Consecutive Win & Loss Streak Distribution
Max Win Streak
15
Consecutive winners
Max Loss Streak
8
Consecutive losers
Avg Win Streak
2.0
Actual avg across all win streaks
Avg Loss Streak
2.1
Actual avg across all loss streaks
Slippage Sensitivity Analysis
MGC tick = $1.00 · round-trip adverse slippage impact
Net P&L Under Increasing Slippage (ticks/fill)
% P&L Retained vs Slippage Level
✦ Slippage Resilience
At 1 tick RT slippage — realistic for MGC in normal conditions — net drops from $59,012 to $57,012, retaining 96.6% of P&L. At 2 ticks: $55,012, still 93.2%. Even at 3 ticks (worst-case fills): $53,012, retaining 89.8%. Because this system trades often (2000 trades/year), slippage costs compound faster than on a low-frequency strategy — worth confirming real fill quality on the live account.
Best & Worst Trading Days
Top/Bottom 20 days
Full Performance Summary
P&L Metrics
| Gross P&L (pre-comm) | $63,812.00 |
| Total Commission | ($4,800.00) |
| Net P&L | $59,012.00 |
| Gross Profit | $119,360.00 |
| Gross Loss | ($60,348.00) |
| Profit Factor | 1.98 |
| Max Drawdown | ($602.80) |
| Avg MAE / Trade | ($52.87) |
| Avg MFE / Trade | $104.32 |
| MFE/MAE Ratio | 1.97× |
Activity & GVZ
| Total Trades | 2000 |
| Trading Days | 258 |
| Winning Trades | 975 (48.8%) |
| Losing Trades | 1025 (51.2%) |
| Avg Trades / Day | 7.8 |
| Avg Time in Trade | 31.6 min |
| Max Win Streak | 15 |
| Max Loss Streak | 8 |
| Best GVZ Regime | >30 ($546/day) |
| Dominant Regime | GVZ 20-25 (29% of days) |
Exit Breakdown
| Stop Loss | 1312 (65.6%) |
| Forced Exit | 459 (22.9%) |
| Take Profit | 229 (11.5%) |
| Best Day | $2,650.40 (03-22) |
| Worst Day | ($452.40) (10-22) |
Risk Ratios
| Sharpe Ratio | 7.8172 |
| Sortino Ratio | 36.2569 |
| R-Squared | 0.9488 |
| DD / Net P&L | 1.0% |
| Best Month PF | 3.05 (Oct 25) |
| Worst Month PF | 1.05 (Aug 25) |
| Mon PF (Day Edge) | 2.17 |
| Best Duration PF | 24.04 (120-240min) |
| Slip@1t Retained | 96.6% |
| Slip@3t Retained | 89.8% |