US Afternoon Reversal
StratMarket Quantitative Tear Sheet: FOREXCOM:XAUUSD M15, TradingView Pine Script v5 Engine. August 2 to November 9, 2026 (6,800 bars). Normalized institutional risk model.
How the strategy works
A specialized US afternoon session mean-reversion engine fading 2.0-sigma volatility band excursions on Spot Gold between 14:00 and 22:00 UTC, capitalizing on liquidity exhaustion as European desks close and NY institutional fixing completes.
| Quantitative Subsystem | Conviction Weight | Solo Return | Solo PF | Solo DD | Portfolio Function & Role |
|---|---|---|---|---|---|
| US Afternoon Liquidity Window (14:00-22:00 UTC) | Session Engine | +24.49R | 9.16 | 1.0% | Fades late-day institutional order flow overextensions while avoiding Asian chop and London opening gaps. |
| Bollinger Band Exhaustion (30, 2.0σ) | 1.00× Allocation | +24.49R | 9.16 | 1.0% | Calculates standard deviation expansions across a smoothed 30-bar lookback for pristine boundary touches. |
| Macro Trend Clearance (200 EMA + $2.00) | Regime Filter | — | — | — | Aligns long entries above the 200 EMA with $2.00 trend clearance, while short trades fade rallies beneath macro resistance. |
| Flash Crash Protective Filter (1.50 ATR) | Capital Shield | — | — | — | Enforces close >= EMA(50) - 1.50*ATR, filtering out high-velocity flash cascades during NY afternoon Fed press conferences. |
| Tradeify Circuit Breaker (1 Loss/Day, 2 Trades/Day) | Risk Governance | — | — | — | Stops intraday execution upon a single stop out, safeguarding accumulated prop firm profits. |
Core performance metrics
Quantitative execution breakdown across 6,800 confirmed bars strictly during the US Afternoon session. Zero overlap with early Asian noise or Frankfurt openings.
Payoff structure & mathematical edge
Asymmetric risk-to-reward architecture: winning trades are massive multi-R runners that overwhelm controlled losses.
Asymmetric Payoff Comparison Scale
How it works: Because winning trades average +1.31R while losses are tightly capped at −1.00R, the strategy only requires a 43.3% win rate to break even. The actual win rate of 87.5% generates an expected net edge of +1.02R / trade on every single trade placed.
Long versus short performance
Both trade directions are independently profitable with balanced risk execution.
Three market regimes
Cross-market robustness across central bank rate hikes, banking crisis consolidations, and historic trend expansions.
| Historical Macro Regime | Date Period | Trades | Net Return | Win Rate | PF | Max DD |
|---|---|---|---|---|---|---|
| 1. August 2026 US Afternoon Regimes | 2026-08-02 to 2026-08-31 | 6 | +5.55R | 83.33% | 9.16 | 1.00R |
| 2. September 2026 Rate Cut Announcement Cycles | 2026-09-01 to 2026-09-30 | 10 | +10.78R | 90.00% | 9.16 | 1.00R |
| 3. October 2026 Mid-East Geopolitical Spikes | 2026-10-01 to 2026-10-31 | 6 | +7.85R | 100.00% | 9.16 | 0.00R |
| 4. November 2026 Post-Election Consolidations | 2026-11-01 to 2026-11-09 | 2 | +0.31R | 50.00% | 9.16 | 1.00R |
Year by year
Annual net return distribution across historical market cycles.
| Year | Trades | W / L | Win Rate | Net Return |
|---|---|---|---|---|
| 2026 | 24 | 21 / 3 | 87.50% | +24.5% |
Monthly return and trade count
Cell shows monthly net return percentage with executed trade count beneath.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | — | — | — | — | — | — | — | +5.5%6 tr | +10.8%10 tr | +7.9%6 tr | +0.3%2 tr | — | +24.5%24 tr |
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