Portfolio (5 Tests) demonstrates strong statistical characteristics with an Edge Matrix score of 90/100. Over 6.4 years and 2328 trades, it has generated a 741.3% total return (39.8% CAGR) with a maximum drawdown of 7.2%. The Calmar ratio of 5.53 indicates strong risk-adjusted returns — every unit of drawdown risk has been well compensated. Monte Carlo simulation results: 100% of 1,000 randomized trade sequences remained profitable, indicating low sensitivity to trade ordering.
Recommendation: LOW VOLATILITY: Standard optimization schedule acceptable
Re-optimize parameters every 3y 11mo to maintain edge quality. Statistical analysis suggests the market regime this strategy exploits has a half-life of approximately 767 days before parameters begin to decay.
Module 02
Edge Matrix — 19 Validation Tests
✓
Temporal Stability
80
✓
Profit Concentration
91
✓
Drawdown Analysis
7.2% max DD
95
✓
Consecutive Loss
80
✓
Sample Adequacy
94
✓
Edge Quality
78
✓
Cliff Ratio
93
✓
Edge Decay
89
✓
MC DD Stability
100
✓
MC Robustness
91
✓
Capital Efficiency
88
✓
Holding Time Asymmetry
83
✓
Edge Consistency
92
✓
Ulcer Index
100
✓
Statistical Significance
100
!
Expected Shortfall (CVaR)
55
✓
Return Autocorrelation
81
✓
DD Endurance
1.4x penance, 30% underwater
88
!
Edge Temporal Decay
51
Deep Dive: What The Tests Mean
▲ TOP 3 STRENGTHS
✓ MC DD Stability100
Measures how much worse drawdowns could get under Monte Carlo stress testing. Stable strategies show consistent DD across simulations.
✓ 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.
▼ TOP 3 CONCERNS
⚠ Temporal Decay51
⚠ Expected Shortfall55
Average loss in the worst 5% of scenarios (CVaR). Critical for understanding tail risk — what happens in worst cases.
⚠ Edge Quality78
Measures the quality of wins vs losses — profit factor, reward-to-risk ratio, and consistency of the trading edge.
Module 03
Monte Carlo Simulation
Method: Bootstrap (resampling with replacement, models a wider universe of possible outcomes from a strategy of this type) · 1,000 simulations
MC Score
81.7
100% profitable
Historical DD
7.2%
Actual worst
50% Conf DD
4.9%
Median scenario
95% Conf DD
7.3%
Stress-test level
99% Conf DD
8.6%
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 (7.3%) is only 1.0x the historical maximum — drawdown behaviour is stable and predictable.
Monte Carlo Drawdown Context: The 95th–99th percentile simulated drawdown range is 7–9%, compared to the historical 7.2%. This range is commonly used as a stress-test reference when evaluating strategy robustness.
Portfolio
Portfolio Correlation
91
Diversification
Broadly independent
Average pairwise correlation is 0.08 across 5 strategies. Lower correlation means a drawdown in one is less likely to coincide with the others.
Daily P&L Correlation Matrix
All 5 strategies are The Nomad Trader EA 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.
AUDUSDH1
GBPUSDH1
NZDUSDH1
USDCADH1
USDCHFH1
AUDUSDH1
—
0.05
0.20
0.04
0.07
GBPUSDH1
0.05
—
0.09
0.12
0.08
NZDUSDH1
0.20
0.09
—
0.11
0.05
USDCADH1
0.04
0.12
0.11
—
-0.04
USDCHFH1
0.07
0.08
0.05
-0.04
—
● hedge (<0)● low (0–0.4)● moderate (0.4–0.7)● high (>0.7)
Notable Pairs
Highest
AUDUSD H1 & NZDUSD H1r = 0.20 Even the most-correlated pair is low, indicating broadly independent strategies.
Best hedge
USDCAD H1 & USDCHF H1r = -0.04 Negatively correlated pairs partially offset each other; when one is losing the other has tended to be winning.
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: 17/19 tests passed, 2 warnings, 0 failures. Overall score: 90/100 (PROFESSIONAL). Monte Carlo: 100% survival rate across 1,000 simulations. 95% confidence drawdown: 7.3%. Projection: Median expected balance of $343,792 after 1099 trades (~37 months). Optimization: Statistical analysis suggests parameter stability of approximately 1447 days. Insights: Historical schedule analysis shows +$13,509.11 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.