NZD/USD Reversal 4h · Egret
Low significanceby qkt Labs (house research)
A mean-reversion NZD/USD strategy on 4-hour bars. Positions are held up to 3 days, behind a fixed protective stop. Every figure below comes from a full tick-data run with spread, commission and swap charged.
- Approach
- Mean reversion · AUDUSD, NZDUSD · H4
- Tested on ticks
- Jan 1, 2020 → Dec 31, 2025
- Publishing checks
- 11 of 11 passed
- Overfitting guard
- 268 variants declared · deflated Sharpe 7%
- In-sample, $100k
- +37.1% · max drawdown 18.8% · 177 trades
- Version
- 2, published Oct 13, 2026 · future versions included
The first 80% of the test window. Tick-level replay with realistic fills and the pinned cost profile.
Return
▲+37.13%
on $100k
Jan 2020 – Oct 2024
Max drawdown
18.84%
worst fall from a peak
Sharpe · Calmar
0.66
Calmar 1.97
Profit factor
1.36
gross profit ÷ gross loss
Win rate
54%
177 trades
Equity and drawdown
drag to pan · click, then scroll to zoomMonthly returns
press a month to see it on the chart| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | ▲ +1.1% | ||||||||||||
| 2021 | ▼ −0.8% | ||||||||||||
| 2022 | ▲ +21.5% | ||||||||||||
| 2023 | ▲ +0.7% | ||||||||||||
| 2024 | ▲ +11.8% |
Statistics
- Return:
- +37.13%
- Max drawdown:
- 18.84%
- Calmar ratio:
- 1.97
- Sharpe ratio:
- 0.66
- Profit factor:
- 1.36
- Win rate:
- 54.2%
- Trades:
- 177
Costs over the whole test window, as qkt reports them
- Commission paid:
- $4,295.20
- Swap paid:
- $0.00
Costs
The spread is the market’s own bid and ask in the tick data. Commission and slippage are modelled per symbol with the rates below, and swap is the broker’s quoted rate, charged for every night a position was held across the whole window. The cost-stress runs multiply commission, slippage and swap by 1.5× and 2×.
| Symbol | Spread | Commission / lot | Slippage | Swap long | Swap short | Contract |
|---|---|---|---|---|---|---|
| AUDUSD | real bid/ask, every tick | $3.5 | 4 points | 0 pts | −1.9 pts | 100000 |
| NZDUSD | real bid/ask, every tick | $3.5 | 5 points | −4.1 pts | 0 pts | 100000 |
Negative swap is a charge for holding overnight. The cost-stress runs multiply commission, slippage and swap charges; the spread is always the market's own.
This strategy trades 2 symbols. The breakdown of trades and profit by symbol is included with the strategy.