+741.3%
Total Return
39.8%
Annual CAGR
7.2%
Max Drawdown
5.5×
Calmar Ratio
62.7%
Win Rate
0.362R
Expectancy
1.17:1
Reward:Risk
12.62
T-Statistic
This system demonstrates a statistically confirmed positive expectancy across 6.36 years of backtest data encompassing 2,328 closed positions on MULTI MIXED. The strategy achieves 1.17:1 reward-to-risk, operating 16.7 percentage points above its mathematical breakeven threshold of 46.0%. Annualised CAGR of 39.8% relative to 7.2% maximum drawdown yields a Calmar ratio of 5.5×, significantly exceeding the professional benchmark range of 3–5×. Monte Carlo validation across 2,000 block-bootstrap simulations confirms structural consistency under adverse trade sequencing. 17 of 19 validation tests pass. 1 area of note: CVaR tail risk at 3.0× average loss.
Section I
Analytical Findings & Observations
F.1
Statistical Significance Strength
The strongest dimension is Stat Significance (100/100). T-statistic of 12.62 exceeds the 99% two-tailed significance threshold of 2.576. (p = 0) Probability of results arising by chance is below 0.1%. The edge is statistically real given this 2324-trade sample. This test applies a Welch t-test on the profit distribution and requires the mean return to be significantly different from zero.
F.2
Tail Risk Elevation Finding
CVaR (95%) measures 2.99× the average loss — below the 70-point threshold. The worst 117 trades (5% of sample) average $395.6 against a $132.14 mean loss. CVaR 99%: 3.88× average loss. Tail risk level: ELEVATED. This elevation is partially structural: with a 1.17× 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 19, AC lag-1: 0.147) produces a 95th-percentile maximum drawdown of 14.6% — approximately 2.0× the historical 7.2%. P50: 7.9%, P99: 18.9%. The historical sequence sits at the 40th 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 0.69× of its backtest level. At 0.362R 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
Edge Decay Investigation
Edge Temporal Decay scored 51/100. First/second-half expectancy ratio 0.61 with rolling slope -0.67. The third quartile is weakest at PF 1.66. Before deploying, isolate what changed between the early and late periods — market regime (volatility, trend structure), execution environment, or a parameter drift. Segment the backtest into the profitable and unprofitable halves and compare trade distributions: if a specific setup type stopped working, filter it out or add a regime filter. Walk-forward analysis on the most recent 12 months is the definitive test before live capital.
Tail Risk Reduction
Expected Shortfall scored 55/100. The worst 117 trades (5% of sample) average $395.6 against a $132.14 mean loss — a 3.0× ratio. CVaR 99% is 3.9×. Examine whether these outlier losses share a common trigger: specific session, news window, or spread spike. Adding a maximum per-trade loss cap at 2× average loss would eliminate the tail without affecting the remaining 87% of trades.
Edge Quality Improvement
Edge Quality scored 78/100. Expectancy of 0.362R is positive but thin — the win rate margin of 16.7% above breakeven (46.0%) leaves limited cushion against execution costs. Repeatability score is 94/100, 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.
Section II
Validation Test Results
80
Temporal
100
Statistical
95
Drawdown
88
Capital
51
Edge
92
Edge
91
Concentration
100
Ulcer
94
Sample
81
Return
100
MC
80
Consecutive
93
Cliff
89
MC
88
DD
89
Execution
83
Holding
78
Edge
55
Expected
Temporal Stability
80
GOOD — 9/10 profitable, 1 breakeven
9 of 10 equal calendar periods generated positive returns; 1 period was non-profitable. Return consistency CV of 1.32 indicates high variation between periods — returns are concentrated rather than evenly distributed. 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
100
Highly significant edge (t=12.62, 99% confidence)
T-statistic of 12.62 exceeds the 99% two-tailed significance threshold of 2.576. (p = 0) Probability of results arising by chance is below 0.1%. The edge is statistically real given this 2324-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
95
MINIMAL drawdown (7.2% max, 1.1% avg episode)
Maximum drawdown of 7.2% with an average episode depth of 1.1%. The median recovery speed is 2.3 days per 1% of drawdown. 135 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
88
EXCELLENT — 39.8% annual, Calmar 5.5
Compound annual growth rate of 39.8% against 7.2% maximum drawdown. Calmar ratio of 5.5× significantly exceeds the professional benchmark of 3–5×. CAGR is computed using true compound growth (end equity / start equity)^(1/6.36 years), not simple annualisation. Capital efficiency rewards strategies that generate high risk-adjusted returns relative to their worst historical loss.
Edge Temporal Decay
51
WEAK — Significant edge deterioration across the backtest
Rolling expectancy regression slope is -0.67 — expectancy is trending downward across the backtest. First-half expectancy exceeded second-half — second/first ratio 0.61 indicates a 39% decline in per-trade edge between halves. Profit factor across four quartiles (2.449, 1.927, 1.657, 1.892) shows a declining pattern (normalised slope -0.29). Win rate also trends downward across quartiles (normalised slope -0.11). 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
92
EXCELLENT — Edge performs consistently across all conditions
Win rate variance across weekdays falls within acceptable bounds. No structurally unprofitable weekday detected. Profit factor log-variance of 0.1432 and day-of-week variance of 8.4005 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
91
EXCELLENT — Well distributed
Top 10% of winning trades account for 24.4% of total profit — well within the 30% ideal-diversification threshold. The largest single winner represents 0.3% 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
100
Excellent drawdown profile (UI: 0.9%)
Ulcer Index of 0.8% represents minimal cumulative drawdown pain. Max DD: 7.2%, avg DD: 0.46%, time underwater: 29.9%. 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
94
EXCELLENT — 2328 trades over 6.4y exceeds requirements
2328 trades over 6.4 years exceeds the academic minimum of 175 trades. MinTRL (minimum track record length) statistic: 37. 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
81
GOOD — Minor positive correlation (AC: 0.146)
Lag-1 autocorrelation of 0.146 (lag-2: 0.069) — no meaningful serial dependence. Ljung-Box Q-statistic (61.03) reaches statistical significance at short lags, though the AC magnitude (0.146) is too small to have practical trading significance. 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
100
STRONG — Near-perfect sequence independence
Under 1,000 permutation shuffles of the exact trade sequence, the 95th-percentile maximum drawdown reaches 7.1% — a 1.0× expansion from the 7.2% historical figure. 99th percentile: 8.4%. 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
80
GOOD — Healthy adversity handling
Maximum consecutive losing streak of 8 trades against a statistically expected maximum of 7.9 (ratio 1.01×). Loss clustering ratio of 1.23 — losses are not grouping more frequently than random distribution predicts. Worst streak required approximately 21 average wins to fully recover (damage ratio 10.6×). This test checks four dimensions: observed vs expected streak length (30%), loss clustering (25%), worst streak damage (25%), and recovery speed (20%).
Cliff Ratio
93
EXCELLENT — Healthy risk profile
95th-percentile loss of $404.42 is 2.61× the average win of $154.95 — a healthy ratio indicating tail losses are not catastrophically larger than typical wins. Average loss: $132.14. Single largest loss ($625.6) is 1.55× 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
89
HIGHLY ROBUST — Results hold under all simulated conditions
Block-bootstrap Monte Carlo (2,000 simulations, block size 19 preserving serial structure, AC lag-1: 0.147) produces a survival rate of 100.0% across all simulations. Coefficient of variation: 0.084. MC DD envelope — P50: 7.9%, P95: 14.6%. 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
88
RESILIENT (1.4x penance, 30% 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: 30.2%. Longest DD episode: 52d 22h 46m (2.3% of backtest). Longest recovery: 27d 19h 0m. 135 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
89
GOOD — Edge moderately affected by degradation
Under a 10% uniform execution degradation scenario (wins reduced 10%, losses increased 10%), per-trade expectancy retains 0.69× of its backtest level. Original expectancy: $47.77 → degraded: $33.15 (30.6% impact). Strategy remains profitable under this stress test. At 0.362R base expectancy, the strategy retains meaningful cushion against real-world execution costs.
Holding Time
83
GOOD — Holding times balanced (1.06x)
Losers are held 1.06× longer than winners on average (winners: 13.2h, losers: 14h). Hold time ratio is within acceptable bounds. Discipline tier: BALANCED. Median ratio: 1.09×. At the current 0.362R expectancy, this does not materially impact performance.
Edge Quality
78
GOOD — Solid edge detected
Expectancy of 0.362R per trade reflects a genuine but not exceptional edge. Win rate of 62.7% operates 16.7 percentage points above the mathematical breakeven of 46.0%. Largest win is 4.27× 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
55
WEAK — Elevated tail risk (worst 5%: 3.0x avg loss)
CVaR (95%) measures 2.99× the average loss — below the 70-point threshold. The worst 117 trades (5% of sample) average $395.6 against a $132.14 mean loss. CVaR 99%: 3.88× average loss. Tail risk level: ELEVATED. This elevation is partially structural: with a 1.17× 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.
Section III
Portfolio Composition
This report evaluates a combined portfolio of the following constituent backtests. All validation metrics above are computed on the combined, chronologically-merged trade stream.
| # | Strategy | Symbol | Timeframe | Trades |
|---|---|---|---|---|
| 1 | The Nomad Trader EA 71.0 | AUDUSD | H1 | 393 |
| 2 | The Nomad Trader EA 71.0 | GBPUSD | H1 | 520 |
| 3 | The Nomad Trader EA 71.0 | NZDUSD | H1 | 636 |
| 4 | The Nomad Trader EA 71.0 | USDCAD | H1 | 406 |
| 5 | The Nomad Trader EA 71.0 | USDCHF | H1 | 369 |
| Total · 5 strategies | 2,324 |