ORBIT Campaign (SYNTHETIC — machinery validation)
generated 2026-08-10 19:45 UTC ·
15m session-ORB breakout→retest→expansion · ATR stops/targets · 1.0% risk · costs embedded in every fill
OOS trades
263
Expectancy
+0.206 R
net of costs
Win rate
34.6%
Profit factor
1.37
Total
+54.1 R
$38,762 @ 1% risk
Max DD
9.1 R
t-stat 2.15
Per-symbol ATR parameters (walk-forward, plateau-selected)
| symbol | ATR period | SL xATR | TP xATR | setups | OOS n | OOS expectancy R | OOS total R |
|---|---|---|---|---|---|---|---|
| XAUUSD | 14 | 2.000 | 4.000 | 93 | 65 | 0.070 | 4.600 |
| US30 | 21 | 1.000 | 4.000 | 95 | 59 | 0.786 | 46.400 |
| US100 | 21 | 1.000 | 2.500 | 103 | 74 | -0.148 | -11.000 |
| US500 | 21 | 1.500 | 4.000 | 85 | 65 | 0.217 | 14.100 |
SL/TP grid — out-of-sample total R
Distribution & segments
By session
| session | n | win% | expectancy_R | total_R | PF |
|---|---|---|---|---|---|
| ASIA | 87 | 29.900 | 0.090 | 7.900 | 1.150 |
| LONDON | 85 | 35.300 | 0.249 | 21.200 | 1.490 |
| NEWYORK | 91 | 38.500 | 0.275 | 25.000 | 1.490 |
By symbol
| symbol | n | win% | expectancy_R | total_R | PF |
|---|---|---|---|---|---|
| US100 | 74 | 25.700 | -0.148 | -11.000 | 0.780 |
| US30 | 59 | 45.800 | 0.786 | 46.400 | 2.910 |
| US500 | 65 | 38.500 | 0.217 | 14.100 | 1.400 |
| XAUUSD | 65 | 30.800 | 0.070 | 4.600 | 1.120 |
By exit
| exit_reason | n | win% | expectancy_R | total_R | PF |
|---|---|---|---|---|---|
| be | 27 | 0.000 | -0.014 | -0.400 | 0.000 |
| day_flat | 1 | 100.000 | 1.354 | 1.400 | inf |
| sl | 142 | 0.000 | -1.011 | -143.600 | 0.000 |
| time | 15 | 80.000 | 1.054 | 15.800 | 14.600 |
| tp | 78 | 100.000 | 2.318 | 180.800 | inf |
ML gate (ensemble: logistic + gradient boosting, purged walk-forward)
gate NOT validated — keep pass-through, keep logging — threshold τ=0.0, keep rate 100%, uplift +0.000 R/trade, bootstrap p=0.507.
| feature | |logit coef| |
|---|---|
| direction | 0.714 |
| trend1h | 0.519 |
| rsi | 0.454 |
| dist_ema200_atr | 0.431 |
| displacement | 0.413 |
| ob_dist_atr | 0.380 |
| session_id | 0.332 |
| bbz | 0.326 |
| above_vwap | 0.321 |
| trend15 | 0.270 |
| breakout_body | 0.254 |
| breakout_delay | 0.253 |
Drawdown monitor (Landolfi, vol-unit accounting)
status: ok years: 0.33 ann_vol_R: 40.23 max_dd_vol_units: 0.18 dd90_threshold: 1.4 flag: False lo_sharpe_se: 2.14 note: flag=True => drawdown beyond 90th-pct Gaussian line: de-risk & review (Landolfi SSRN 7122358; short-history Sharpe uncertainty per Lo SE).
ORBIT engine v0.1 — research software; virtual trades only; nothing here is financial
advice and no performance is promised. Out-of-sample = walk-forward test segments; all R figures are net
of spread/slippage/commission. Evidence policy per docs/KNOWLEDGE_BASE.md.