BPR Sweep + MSS + IDM — Backtest Report · Forex

AllForexCrypto Chart & replayTrades CSVSetups CSV
Trades
1,250
302 wins · 740 losses · 208 timeouts
Win rate
24.2%
break-even at 2.0R TP ≈ 33.3%
Profit factor
0.92
gross win R ÷ gross loss R
Expectancy
-0.047 R
total -58.4 R
Return @ 1.0% risk
-49.6%
compounded, max DD -69.4%
Max drawdown
-112.0 R
longest losing streak 11

Equity curve

Drawdown (R)

Best filter combinations

Searched 3,437 filter combinations (1–3 filters, at least 25 trades). Found on trades up to 2025-12-17 (875 in-sample trades), then checked on the 375 trades after that date. Rank = lower bound of the 95% confidence interval of the in-sample win rate, so small lucky samples sink. Trust only rows marked “Held up out-of-sample”.

#FiltersIn-sample tradesIn-sample win rate95% lowAvg ROut-of-sample tradesOOS win rateOOS avg RVerdict
1RSI(14) range = 50-70 + Hour block (UTC) = 00-04 + Stop size = >3 ATR28
60.7%		42.4%+0.9514
21.4%		-0.22Failed out-of-sample

Failure patterns

Overall loss rate: 59.2%. Conditions below lose noticeably more often.

Loss anatomy

What happenedLosses%
Stopped out within 3 candles (45 min)
Entry too early / zone not respected — consider waiting for a 2nd confirmation candle.
13518.2%
Never moved +0.2R in profit before stop
Setup was wrong from the start — check which filters these share (table above).
28538.5%
Reached +0.5R before losing
Partial profit at +0.5R–1R would have reduced these losses.
27537.2%
Reached +1R before losing
A move-to-breakeven at +1R would have turned these into 0R trades (upper bound: on M15 we can't see if a winner also dipped back to entry).
10914.7%
  • Winners that dipped to −0.7R or worse before hitting TP: 56 (18.5% of winners)
  • Timeouts (no TP/SL in 100 bars): 208, average +0.37R
  • Average candles held — winners 35.6, losers 23.3

Single conditions with high loss rate

ConditionTradesLoss ratevs avgAvg R
Stop size = <1 ATR2969.0%+9.8 pts-0.069
Stop size = 1-2 ATR22768.3%+9.1 pts-0.062
Stop size = 2-3 ATR41767.9%+8.7 pts-0.142
Pair = USD_CHF11467.5%+8.3 pts-0.218
Session (UTC) = Sydney11667.2%+8.0 pts-0.222

Two-condition loss clusters

ConditionTradesLoss ratevs avgAvg R
Session (UTC) = Sydney + Stop size = 2-3 ATR3876.3%+17.1 pts-0.342
Session (UTC) = Asian + Day of week = Thu6675.8%+16.6 pts-0.381
Stop size = 1-2 ATR + Direction = BUY11872.9%+13.7 pts-0.201
Session (UTC) = Asian + Stop size = 2-3 ATR12772.4%+13.2 pts-0.255
Session (UTC) = Sydney + Direction = SELL6471.9%+12.7 pts-0.262
Day of week = Thu + Stop size = 1-2 ATR4671.7%+12.5 pts-0.152
Day of week = Fri + Stop size = 2-3 ATR8171.6%+12.4 pts-0.208

Win rate by condition

Bar colour: green = 10+ points above break-even (33.3%), amber = above break-even, red = below.

Session (UTC)

TradesWin rateAvg RTotal RPF
Asian377
26.8%		-0.026-9.90.96
London316
27.5%		+0.037+11.61.06
New York441
20.2%		-0.078-34.40.87
Sydney116
21.6%		-0.222-25.70.67

RSI(14) range

TradesWin rateAvg RTotal RPF
<3022
18.2%		+0.080+1.81.17
30-50616
23.1%		-0.093-57.00.85
50-70590
25.9%		-0.007-4.10.99
>7022
13.6%		+0.046+1.01.10

Price vs EMA50

TradesWin rateAvg RTotal RPF
Above EMA50608
25.0%		-0.023-14.00.96
Below EMA50642
23.4%		-0.069-44.40.89

Price vs EMA200

TradesWin rateAvg RTotal RPF
Above EMA200643
24.9%		-0.020-13.00.97
Below EMA200607
23.4%		-0.075-45.40.88

Trade vs EMA200 trend

TradesWin rateAvg RTotal RPF
With trend679
23.7%		-0.029-19.60.95
Against trend571
24.7%		-0.068-38.80.89

EMA 20/50/200 stack

TradesWin rateAvg RTotal RPF
Bullish stack471
25.9%		+0.020+9.41.03
Bearish stack408
23.0%		-0.093-38.00.85
Mixed371
23.2%		-0.080-29.80.87

Day of week

TradesWin rateAvg RTotal RPF
Mon230
20.4%		-0.156-35.90.76
Tue280
27.1%		+0.048+13.51.08
Wed257
23.3%		-0.071-18.40.88
Thu198
25.3%		-0.071-14.10.89
Fri226
24.8%		+0.014+3.21.02
Sun59
22.0%		-0.112-6.60.81

Hour of day (UTC)

TradesWin rateAvg RTotal RPF
00:0057
33.3%		+0.016+0.91.02
01:0089
27.0%		+0.067+5.91.11
02:0060
30.0%		+0.050+3.01.08
03:0038
31.6%		+0.009+0.31.01
04:0027
25.9%		+0.001+0.01.00
05:0033
27.3%		-0.072-2.40.89
06:0073
16.4%		-0.243-17.70.64
07:0094
27.7%		+0.005+0.51.01
08:0080
33.8%		+0.168+13.51.30
09:0059
22.0%		-0.105-6.20.82
10:0040
25.0%		+0.096+3.81.18
11:0043
25.6%		+0.001+0.01.00
12:0064
23.4%		+0.066+4.21.12
13:0087
19.5%		-0.191-16.60.70
14:0089
15.7%		-0.140-12.50.77
15:0070
30.0%		+0.054+3.81.09
16:0042
14.3%		-0.256-10.80.60
17:0023
8.7%		-0.132-3.00.77
18:0033
18.2%		+0.078+2.61.16
19:0016
25.0%		-0.019-0.30.97
20:0017
23.5%		-0.105-1.80.83
21:0042
26.2%		-0.082-3.50.87
22:0047
25.5%		-0.052-2.40.91
23:0027
7.4%		-0.736-19.90.17

Volatility (ATR14 vs its median)

TradesWin rateAvg RTotal RPF
Low206
30.1%		-0.012-2.50.98
Medium630
26.0%		-0.017-10.60.97
High414
18.4%		-0.109-45.30.82

Entry confirmation

TradesWin rateAvg RTotal RPF
Same candle433
23.8%		-0.034-14.60.94
Next candle817
24.4%		-0.054-43.80.91

Stop size

TradesWin rateAvg RTotal RPF
<1 ATR29
31.0%		-0.069-2.00.90
1-2 ATR227
30.8%		-0.062-14.00.91
2-3 ATR417
25.7%		-0.142-59.20.79
>3 ATR577
20.1%		+0.029+16.91.06

Direction

TradesWin rateAvg RTotal RPF
BUY618
24.1%		-0.033-20.20.95
SELL632
24.2%		-0.060-38.10.90

Market

TradesWin rateAvg RTotal RPF
Forex1250
24.2%		-0.047-58.40.92

Pair

TradesWin rateAvg RTotal RPF
USD_JPY109
30.3%		+0.219+23.81.45
EUR_USD118
31.4%		+0.132+15.61.24
XAU_USD117
27.4%		+0.079+9.21.14
GBP_JPY104
26.9%		+0.061+6.31.11
AUD_USD129
26.4%		-0.018-2.30.97
GBP_USD109
25.7%		-0.115-12.50.83
NZD_USD144
20.1%		-0.093-13.40.85
EUR_JPY95
22.1%		-0.146-13.90.78
USD_CAD129
21.7%		-0.142-18.30.78
USD_CHF114
20.2%		-0.218-24.80.68
EUR_GBP82
11.0%		-0.344-28.20.48

Monthly results

MonthTradesWin rateTotal R
2023-1127
33.3%		+2.6
2023-1246
28.3%		+1.4
2024-0149
24.5%		-6.1
2024-0224
25.0%		-1.3
2024-0329
31.0%		+8.3
2024-0432
28.1%		+0.8
2024-0533
42.4%		+17.8
2024-0633
33.3%		+7.5
2024-0720
20.0%		-1.9
2024-0834
29.4%		+4.0
2024-0942
35.7%		+12.6
2024-1027
18.5%		+0.7
2024-1142
19.0%		-1.8
2024-1233
18.2%		-10.2
2025-0141
17.1%		-6.1
2025-0236
30.6%		+4.7
2025-0328
14.3%		-16.0
2025-0444
22.7%		-3.1
2025-0538
34.2%		+8.3
2025-0631
25.8%		+4.4
2025-0729
27.6%		+2.9
2025-0829
13.8%		-7.2
2025-0930
26.7%		+0.9
2025-1043
11.6%		-19.7
2025-1131
16.1%		-12.6
2025-1234
17.6%		-14.9
2026-0133
21.2%		-7.5
2026-0227
18.5%		-5.7
2026-0347
25.5%		-1.9
2026-0436
16.7%		-6.2
2026-0528
10.7%		-4.5
2026-0640
30.0%		+8.4
2026-0744
15.9%		-14.3
2026-0827
33.3%		+5.9
2026-0934
26.5%		+1.1
2026-1044
22.7%		-10.7
2026-115
40.0%		+1.0

Settings used

Pairs: EUR_USD, GBP_USD, USD_JPY, USD_CAD, AUD_USD, NZD_USD, USD_CHF, EUR_GBP, EUR_JPY, GBP_JPY, XAU_USD · M15 · 2023-11-08 → 2026-11-03
Indicator: {"leftS": 5, "rightS": 5, "leftM": 2, "rightM": 2, "maxBeyond": 10, "maxWait": 300, "useIDM": false, "idmLeft": 3, "idmRight": 3, "idmVol": 0.0, "idmMaxWait": 500, "obLookback": 50, "fvgExtend": 3}
Rules: TP 2.0R · SL beyond sweep extreme + 0.1×ATR · max 100 bars · overlap off (1 trade per pair) · same-candle TP+SL = loss · forex: spread per pair · crypto: 0.1% Binance fee per side
Distance units: pips for forex, bp (0.01% of price) for crypto