London Core Expansion
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
An institutional London & European core session expansion architecture fading 2.1-sigma volatility band extremes between 04:00 and 20:00 UTC (excluding 12:00 UTC London lunch chop) with an asymmetric 1:1.16 R:R bracket ($16.00 TP / $13.75 SL).
| Quantitative Subsystem | Conviction Weight | Solo Return | Solo PF | Solo DD | Portfolio Function & Role |
|---|---|---|---|---|---|
| European Expansion Window (04:00-20:00 UTC) | Session Engine | +27.75R | 5.62 | 1.0% | Trades the highest-liquidity European morning and transatlantic crossover hours while strictly skipping 12:00 UTC chop. |
| Bollinger Band Mean Reversion (28, 2.1σ) | 1.00× Allocation | +27.75R | 5.62 | 1.0% | Identifies statistically extreme standard deviation exhaustion bands along a 28-period moving average. |
| Macro Trend Clearance (200 EMA + $3.00) | Regime Filter | — | — | — | Guarantees long positions possess $3.00 positive structural clearance above the 200 EMA. |
| Flash Crash Protective Filter (1.25 ATR) | Capital Shield | — | — | — | Suppresses entries during abnormal volatility shocks where price punctures EMA(50) - 1.25*ATR. |
| Tradeify Circuit Breaker (1 Loss/Day, 2 Trades/Day) | Risk Governance | — | — | — | Caps trading activity to preserve daily prop firm capital requirements. |
Core performance metrics
Quantitative metrics across 6,800 confirmed M15 bars covering European morning and early NY trading. Strictly confirmed bar close execution.
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 +1.16R while losses are tightly capped at −1.00R, the strategy only requires a 46.2% win rate to break even. The actual win rate of 82.9% generates an expected net edge of +0.79R / 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 London Expansions | 2026-08-02 to 2026-08-31 | 9 | +6.15R | 77.78% | 5.62 | 1.00R |
| 2. September 2026 European Macro Volatility | 2026-09-01 to 2026-09-30 | 11 | +10.64R | 90.91% | 5.62 | 1.00R |
| 3. October 2026 Multi-Asset Gold Inflows | 2026-10-01 to 2026-10-31 | 11 | +10.64R | 90.91% | 5.62 | 1.00R |
| 4. November 2026 Trend Consolidation Phase | 2026-11-01 to 2026-11-09 | 4 | +0.33R | 50.00% | 5.62 | 1.00R |
Year by year
Annual net return distribution across historical market cycles.
| Year | Trades | W / L | Win Rate | Net Return |
|---|---|---|---|---|
| 2026 | 35 | 29 / 6 | 82.86% | +27.8% |
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 | — | — | — | — | — | — | — | +6.2%9 tr | +10.6%11 tr | +10.6%11 tr | +0.3%4 tr | — | +27.8%35 tr |
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