+264.9%
Total Return
21.9%
Annual CAGR
10.8%
Max Drawdown
2.0×
Calmar Ratio
66.2%
Win Rate
0.267R
Expectancy
0.91:1
Reward:Risk
3.74
T-Statistic
This system demonstrates a statistically confirmed positive expectancy across 6.55 years of backtest data encompassing 263 closed positions on MULTI MIXED. The strategy achieves 0.91:1 reward-to-risk, operating 13.9 percentage points above its mathematical breakeven threshold of 52.2%. Annualised CAGR of 21.9% relative to 10.8% maximum drawdown yields a Calmar ratio of 2.0×, below the professional benchmark range of 3–5×. Monte Carlo validation across 2,000 block-bootstrap simulations confirms structural consistency under adverse trade sequencing. 18 of 19 validation tests pass. 1 test falls below the 70-point threshold and warrant review.
Section I
Analytical Findings & Observations
F.1
Return Autocorrelation Strength
The strongest dimension is Return Autocorr (100/100). Lag-1 autocorrelation of -0.002 (lag-2: 0.134) — no meaningful serial dependence. Returns are effectively independent. No martingale signature or hidden clustering pattern detected. Significant autocorrelation can indicate position-sizing escalation or regime-dependent behaviour that inflates backtest results.
F.2
Tail Risk Elevation Finding
CVaR (95%) measures 1.59× the average loss — within acceptable range. The worst 14 trades (5% of sample) average $299.51 against a $188.96 mean loss. CVaR 99%: 1.68× average loss. Tail risk level: LOW. This elevation is partially structural: with a 0.91× RR ratio, the absolute average loss is modest, making tail events appear proportionally larger in ratio terms. Active monitoring of worst-case trade magnitude under live conditions is advisable.
F.3
MC Drawdown Envelope Observation
Block-bootstrap Monte Carlo (2,000 simulations, block size 6, AC lag-1: -0.002) produces a 95th-percentile maximum drawdown of 30.9% — approximately 2.9× the historical 10.8%. P50: 15.8%, P99: 43.8%. The historical sequence sits at the 16th percentile of the simulated distribution, confirming results were not predicated on an unusually favourable trade ordering. Risk management sizing against the MC P95 envelope rather than historical DD is advisable for live deployment.
F.4
Execution Sensitivity Observation
Under 10% execution degradation (wider spreads, adverse fills), expectancy retains 0.65× of its backtest level. At 0.267R base expectancy, the strategy remains profitable under this stress test. Forward testing under broker-accurate spread conditions is standard practice before capital deployment.
Development Considerations
Areas for Further Development
Monte Carlo Robustness
MC Robustness scored 69/100. Block-bootstrap CV of 0.211 indicates moderate sequence dependency. MC P95 DD of 30.9% vs historical 10.8% (2.9× expansion). Position sizing should be calibrated against the MC P95 envelope, not the historical DD. At 1% risk per trade, the P95 scenario implies up to 31.0% account drawdown — ensure capital allocation accounts for this rather than the 10.8% historical figure.
Edge Quality Improvement
Edge Quality scored 73/100. Expectancy of 0.267R is positive but thin — the win rate margin of 13.9% above breakeven (52.2%) leaves limited cushion against execution costs. Repeatability score is 92/100, indicating wins are consistent rather than lottery-driven. The primary lever is tightening entry criteria to filter lower-quality setups, which would reduce trade count but improve expectancy per trade without structural changes to the strategy.
Edge Consistency
Edge Consistency scored 74/100. Day-of-week variance of 15.4 and profit factor log-variance of 0.353 indicate some session-dependent variation in edge quality. No structurally unprofitable weekday detected. Review whether the strategy has higher expectancy on specific days and whether disabling trading on the weakest session day would improve overall edge quality without meaningfully reducing trade count.
Section II
Validation Test Results
97
Temporal
97
Statistical
85
Drawdown
74
Capital
95
Edge
74
Edge
85
Concentration
91
Ulcer
92
Sample
100
Return
82
MC
92
Consecutive
98
Cliff
69
MC
75
DD
85
Execution
85
Holding
73
Edge
97
Expected
Temporal Stability
97
EXCELLENT — All 8 periods profitable
All 8 of 8 equal calendar periods generated positive returns across the backtest horizon. No losing period detected. Return consistency CV of 0.69 confirms profitability is spread evenly, not concentrated in a single regime window. This score measures temporal robustness — a strategy that only profits in one or two periods may be regime-dependent rather than exhibiting a repeatable edge.
Statistical Significance
97
Highly significant edge (t=3.74, 99% confidence)
T-statistic of 3.74 exceeds the 99% two-tailed significance threshold of 2.576. (p = 0.0003) Probability of results arising by chance is below 0.1%. The edge is statistically real given this 263-trade sample. This test applies a Welch t-test on the profit distribution and requires the mean return to be significantly different from zero.
Drawdown Analysis
85
LOW drawdown (10.8% max, 3.8% avg episode)
Maximum drawdown of 10.8% with an average episode depth of 3.8%. The median recovery speed is 6.5 days per 1% of drawdown. 32 drawdown episodes were detected. No single episode dominates the overall drawdown profile, indicating consistent rather than event-driven risk. This test scores three components: max DD depth (50%), average episode depth (30%), and recovery quality in days per 1% of DD (20%).
Capital Efficiency
74
FAIR — 21.9% annual, Calmar 2.0
Compound annual growth rate of 21.9% against 10.8% maximum drawdown. Calmar ratio of 2.0× falls below the professional benchmark of 3–5×. CAGR is computed using true compound growth (end equity / start equity)^(1/6.55 years), not simple annualisation. Capital efficiency rewards strategies that generate high risk-adjusted returns relative to their worst historical loss.
Edge Temporal Decay
95
STABLE — Edge is consistent with no meaningful decay
Rolling expectancy regression slope is positive (normalised +0.82), indicating the edge has strengthened over the backtest horizon. Second-half expectancy exceeds first-half by 131% (ratio 2.31). Profit factor across four quartiles (1.528, 1.778, 1.955, 1.782) trends mildly upward (normalised slope +0.16). This test detects whether a strategy's edge is eroding over time — a critical check for curve-fitted systems that perform well historically but deteriorate as market conditions evolve.
Edge Consistency
74
FAIR — Edge is stable with minor variations
Win rate variance across weekdays falls within acceptable bounds. No structurally unprofitable weekday detected. Profit factor log-variance of 0.3532 and day-of-week variance of 15.4022 indicate edge quality does not fluctuate meaningfully by session day. This test checks whether the strategy's edge is consistent across all trading sessions or is heavily dependent on specific days or conditions.
Concentration Risk
85
EXCELLENT — Well distributed
Top 10% of winning trades account for 30.1% of total profit — above the 30% ideal-diversification threshold but below the 50% concentration-risk threshold. The largest single winner represents 2.7% of total profit, confirming no individual trade disproportionately sustains the overall result. Profit distribution is scored on two components: top-decile share (80%) and single largest winner share (20%). A well-distributed profit profile indicates genuine repeatable edge rather than lottery-dependent returns.
Ulcer Index
91
Excellent drawdown profile (UI: 3.8%)
Ulcer Index of 3.8% represents minimal cumulative drawdown pain. Max DD: 10.8%, avg DD: 2.72%, time underwater: 65.0%. Unlike maximum drawdown which captures a single worst point, the Ulcer Index integrates both depth and duration of all underwater periods — a UI below 5% indicates drawdowns are shallow, brief, and recover quickly.
Sample Adequacy
92
EXCELLENT — 263 trades over 6.6y exceeds requirements
263 trades over 6.5 years exceeds the academic minimum of 125 trades. MinTRL (minimum track record length) statistic: 50. Confidence factor applied to all other tests: 1. Sample adequacy is the foundational test — a backtest with insufficient trades cannot produce statistically valid conclusions regardless of how impressive the individual metrics appear.
Return Autocorrelation
100
Returns are independent (AC: -0.002)
Lag-1 autocorrelation of -0.002 (lag-2: 0.134) — no meaningful serial dependence. Returns are effectively independent. No martingale signature or hidden clustering pattern detected. Significant autocorrelation can indicate position-sizing escalation or regime-dependent behaviour that inflates backtest results.
MC DD Stability
82
GOOD — Drawdown well controlled across sequences
Under 1,000 permutation shuffles of the exact trade sequence, the 95th-percentile maximum drawdown reaches 20.4% — a 1.9× expansion from the 10.8% historical figure. 99th percentile: 23.7%. A ratio below 2.0× confirms the strategy does not rely on a particularly favourable trade ordering. This test measures whether the backtest drawdown is structurally representative or a statistical artefact of a lucky sequence of trades.
Consecutive Loss
92
MINIMAL — Statistically normal streak behavior
Maximum consecutive losing streak of 4 trades against a statistically expected maximum of 5.1 (ratio 0.78×). Loss clustering ratio of 1.04 — losses are not grouping more frequently than random distribution predicts. Worst streak required approximately 33 average wins to fully recover (damage ratio 5.2×). This test checks four dimensions: observed vs expected streak length (30%), loss clustering (25%), worst streak damage (25%), and recovery speed (20%).
Cliff Ratio
98
EXCELLENT — Healthy risk profile
95th-percentile loss of $298.85 is 1.73× the average win of $172.79 — a healthy ratio indicating tail losses are not catastrophically larger than typical wins. Average loss: $188.96. Single largest loss ($344.08) is 1.15× above the P95 level — no structural outlier. This test uses the 95th-percentile loss rather than the single largest loss as the primary metric, making the score more robust to one-off broker anomalies while still flagging structural outliers separately.
MC Robustness
69
FAIR — MODERATE
Block-bootstrap Monte Carlo (2,000 simulations, block size 6 preserving serial structure, AC lag-1: -0.002) produces a survival rate of 100.0% across all simulations. Coefficient of variation: 0.211. MC DD envelope — P50: 15.8%, P95: 30.9%. No position-scaling pattern detected — the strategy applies approximately uniform lot sizing regardless of recent outcomes. Block bootstrap preserves the serial correlation structure of returns (unlike naive IID resampling), producing more realistic stress scenarios.
DD Endurance
75
FAIR — MANAGEABLE (1.4x penance, 65% underwater)
Median penance ratio of 1.39× substantially outperforms the theoretical IID expectation of 3.0× (Bailey & López de Prado, 2014). A ratio below 1.0 means recovery consistently takes less time than the drawdown formation period — a strong signal of genuine edge. Time spent underwater: 65.3%. Longest DD episode: 304d 5h 17m (12.7% of backtest). Longest recovery: 162d 17h 43m. 32 episodes detected. Scored on four components: penance ratio (35%), longest DD as % of backtest (25%), % time underwater (25%), and recovery consistency CV (15%).
Execution Cost Sensitivity
85
GOOD — Edge sensitive to execution costs
Under a 10% uniform execution degradation scenario (wins reduced 10%, losses increased 10%), per-trade expectancy retains 0.65× of its backtest level. Original expectancy: $50.37 → degraded: $32.54 (35.4% impact). Strategy remains profitable under this stress test. At 0.267R base expectancy, the strategy retains meaningful cushion against real-world execution costs.
Holding Time
85
GOOD — Holding times balanced (1.01x)
Losers are held 1.01× longer than winners on average (winners: 6h, losers: 6h). Hold time ratio is within acceptable bounds. Discipline tier: BALANCED. Median ratio: 0.79×. At the current 0.267R expectancy, this does not materially impact performance.
Edge Quality
73
FAIR — Solid edge detected
Expectancy of 0.267R per trade reflects a genuine but not exceptional edge. Win rate of 66.2% operates 13.9 percentage points above the mathematical breakeven of 52.2%. Largest win is 4.62× the average win — some concentration in large outlier wins. Edge quality is scored on four dimensions: expectancy (35%), repeatability (30%), win rate margin (15%), and execution decay (20%).
Expected Shortfall
97
Well-controlled tail risk (ES ratio: 1.6x)
CVaR (95%) measures 1.59× the average loss — within acceptable range. The worst 14 trades (5% of sample) average $299.51 against a $188.96 mean loss. CVaR 99%: 1.68× average loss. Tail risk level: LOW. This elevation is partially structural: with a 0.91× RR ratio, the absolute average loss is modest, making tail events appear proportionally larger in ratio terms. Active monitoring of worst-case trade magnitude under live conditions is advisable.