Portfolio (4 Tests) demonstrates strong statistical characteristics with an Edge Matrix score of 83/100. Over 6.0 years and 1083 trades, it has generated a 468.4% total return (33.9% CAGR) with a maximum drawdown of 5.2%. The Calmar ratio of 6.46 indicates strong risk-adjusted returns — every unit of drawdown risk has been well compensated. Monte Carlo simulation results: 100% of 50,000 randomized trade sequences remained profitable, indicating low sensitivity to trade ordering.
Recommendation: LOW VOLATILITY: Standard optimization schedule acceptable
Re-optimize parameters every 3y 7mo to maintain edge quality. Statistical analysis suggests the market regime this strategy exploits has a half-life of approximately 706 days before parameters begin to decay.
Module 02
Edge Matrix — 19 Validation Tests
✓
Temporal Stability
92
✓
Profit Concentration
96
✓
Drawdown Analysis
5.2% max DD
94
✓
Consecutive Loss
88
✓
Sample Adequacy
92
✓
Edge Quality
76
✓
Cliff Ratio
97
✓
Edge Decay
86
✓
MC DD Stability
81
✓
MC Robustness
74
✓
Capital Efficiency
87
!
Holding Time Asymmetry
40
✓
Edge Consistency
92
✓
Ulcer Index
100
✓
Statistical Significance
100
✓
Expected Shortfall (CVaR)
82
✓
Return Autocorrelation
91
✓
DD Endurance
1.2x penance, 61% underwater
75
✓
Edge Temporal Decay
94
Deep Dive: What The Tests Mean
▲ TOP 3 STRENGTHS
✓ Ulcer Index100
Measures both the depth and duration of drawdowns. The "pain" of holding through losing periods — lower is better.
✓ Statistical Significance100
Tests whether the strategy's edge is real or could have occurred by random chance. Uses t-statistic and binomial probability testing.
✓ Cliff Detection97
Checks for suspicious sudden drops in the equity curve that could indicate data errors or catastrophic events.
▼ TOP 3 CONCERNS
⚠ Holding Time40
Compares how long winning vs losing trades are held. Holding losers much longer than winners indicates poor exit discipline.
⚠ MC Robustness74
How well the strategy survives when trade order is randomized. High scores mean returns aren't dependent on lucky sequencing.
⚠ Dd Endurance75
1.2x penance, 61% underwater
Module 03
Monte Carlo Simulation
Method: Bootstrap (resampling with replacement, models a wider universe of possible outcomes from a strategy of this type) · 50,000 simulations
MC Score
76.1
100% profitable
Historical DD
5.2%
Actual worst
50% Conf DD
7.0%
Median scenario
95% Conf DD
10.7%
Stress-test level
99% Conf DD
12.9%
Absolute worst
Monte Carlo Assessment
Every simulated trade sequence remained profitable — this is rare and indicates the strategy's returns are not dependent on trade order.
The 95th percentile drawdown (10.7%) is 2.0x the historical maximum. Under adverse conditions, drawdowns could roughly double.
Monte Carlo Drawdown Context: The 95th–99th percentile simulated drawdown range is 11–13%, compared to the historical 5.2%. This range is commonly used as a stress-test reference when evaluating strategy robustness.
Portfolio
Portfolio Correlation
93
Diversification
Broadly independent
Average pairwise correlation is 0.04 across 4 strategies. Lower correlation means a drawdown in one is less likely to coincide with the others.
Daily P&L Correlation Matrix
All 4 strategies are Apex EA 7.0 MT instances, differentiated by symbol and timeframe. Pearson correlation of daily profit/loss across the union of trading days (no-trade days = $0). Lower correlation indicates better diversification.
GBPUSDH1
USDCADH1
USDCHFH1
AUDUSDH1
GBPUSDH1
—
0.15
0.06
-0.05
USDCADH1
0.15
—
0.06
0.06
USDCHFH1
0.06
0.06
—
-0.04
AUDUSDH1
-0.05
0.06
-0.04
—
● hedge (<0)● low (0–0.4)● moderate (0.4–0.7)● high (>0.7)
Notable Pairs
Highest
GBPUSD H1 & USDCAD H1r = 0.15 Even the most-correlated pair is low, indicating broadly independent strategies.
Best hedge
GBPUSD H1 & AUDUSD H1r = -0.05 Negatively correlated pairs partially offset each other; when one is losing the other has tended to be winning.
Module 04
Strategy Insights
Best Day
Monday
Worst Day
Wednesday
Best Session
New York
Worst Session
Pacific
▲ TOP PERFORMER
+$4,460.83
Monday + New York — 66 trades, 73% win rate. Strongest day+session combination.
This strategy demonstrates strong statistical properties across all 19 validation tests. The combination of metrics suggests the observed returns are unlikely to be solely the result of random chance or overfitting.
Module Summary
Edge Matrix: 18/19 tests passed, 1 warnings, 0 failures. Overall score: 83/100 (ROBUST). Monte Carlo: 100% survival rate across 50,000 simulations. 95% confidence drawdown: 10.7%. Projection: Median expected balance of $136,439 after 545 trades (~36 months). Optimization: Statistical analysis suggests parameter stability of approximately 1308 days. Insights: Historical schedule analysis shows +$5,671.27 differential across analyzed time segments.
Disclaimer: This is a statistical analysis of historical data. It does not constitute financial advice and does not guarantee future performance. Past results are not indicative of future returns. All trading involves risk. Edge Matrix evaluates the statistical properties of backtests — it does not predict market behavior.