Portfolio (2 Tests) demonstrates strong statistical characteristics with an Edge Matrix score of 85/100. Over 6.3 years and 325 trades, it has generated a 410.0% total return (29.3% CAGR) with a maximum drawdown of 8.7%. The Calmar ratio of 3.37 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: NORMAL MARKET: Follow calculated optimal period
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 748 days before parameters begin to decay.
Module 02
Edge Matrix — 19 Validation Tests
✓
Temporal Stability
100
✓
Profit Concentration
82
✓
Drawdown Analysis
8.7% max DD
88
✓
Consecutive Loss
89
✓
Sample Adequacy
92
✓
Edge Quality
77
✓
Cliff Ratio
99
✓
Edge Decay
87
✓
MC DD Stability
77
✓
MC Robustness
77
✓
Capital Efficiency
84
✓
Holding Time Asymmetry
93
✗
Edge Consistency
31
✓
Ulcer Index
95
✓
Statistical Significance
100
✓
Expected Shortfall (CVaR)
79
✓
Return Autocorrelation
95
✓
DD Endurance
2.0x penance, 65% underwater
71
✓
Edge Temporal Decay
95
Deep Dive: What The Tests Mean
▲ TOP 3 STRENGTHS
✓ Temporal Stability100
Whether the strategy performs consistently across different time periods, or if all profits came from one lucky stretch.
✓ 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 Detection99
Checks for suspicious sudden drops in the equity curve that could indicate data errors or catastrophic events.
▼ TOP 3 CONCERNS
✗ Edge Consistency31
How stable the win rate and profitability are across rolling windows. Inconsistent edges are harder to trade with confidence.
⚠ Dd Endurance71
2.0x penance, 65% underwater
⚠ MC DD Stability77
Measures how much worse drawdowns could get under Monte Carlo stress testing. Stable strategies show consistent DD across simulations.
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
75.7
100% profitable
Historical DD
8.7%
Actual worst
50% Conf DD
12.4%
Median scenario
95% Conf DD
19.9%
Stress-test level
99% Conf DD
24.3%
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 (19.9%) is 2.3x the historical maximum. Under adverse conditions, drawdowns could roughly double.
Monte Carlo Drawdown Context: The 95th–99th percentile simulated drawdown range is 20–24%, compared to the historical 8.7%. This range is commonly used as a stress-test reference when evaluating strategy robustness.
Portfolio
Portfolio Correlation
92
Diversification
Broadly independent
Average pairwise correlation is 0.08 across 2 strategies. Lower correlation means a drawdown in one is less likely to coincide with the others.
Daily P&L Correlation Matrix
All 2 strategies are OrderFlow Structure SMC EA 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
GBPUSDH1
—
0.08
USDCADH1
0.08
—
● hedge (<0)● low (0–0.4)● moderate (0.4–0.7)● high (>0.7)
Notable Pairs
Highest
GBPUSD H1 & USDCAD H1r = 0.08 Even the most-correlated pair is low, indicating broadly independent strategies.
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, 0 warnings, 1 failures. Overall score: 85/100 (ROBUST). Monte Carlo: 100% survival rate across 1,000 simulations. 95% confidence drawdown: 19.9%. Projection: Median expected balance of $107,647 after 154 trades (~37 months). Optimization: Statistical analysis suggests parameter stability of approximately 1428 days. Insights: Historical schedule analysis shows +$10,232.71 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.