ErgodicLabs · Edge Matrix v1.0
Monte Carlo Robustness Report
Generated 2026-06-13 01:09 UTC
Report ID MCR-20260613-312977
Simulations 1,000
Method Bootstrap (with replacement)
Portfolio (2 strategies)GBPUSD, USDCADH1Portfolio325 trades · 58.1% WR · PF 1.89 · Net $41,004
PORTFOLIO COMPOSITION — 2 STRATEGIES
| # | STRATEGY | SYMBOL | TF | TRADES |
| 1 | OrderFlow Structure SMC EA MT5 | GBPUSD | H1 | 94 |
| 2 | OrderFlow Structure SMC EA MT5 | USDCAD | H1 | 231 |
Robustness Score
76
/ 100
Grade B+
ROBUST
DD Correlation Score (0 – 60 pts)
Position
2.8 / 20
Spread
16.4 / 20
Predictability
16.4 / 20
Pattern Analysis (0 – 40 pts)
MG Indicator
40.0 / 40
Integrity
Penalty multiplier
100.0 / 100
01
Simulation Outcomes
Profitable
100.0%
1,000 / 1,000
MC Median
$49,842
final balance
Luck Factor
-0.13σ
result vs mean
Percentile Rank
52.6%
original vs sims
Coeff. Variation
39.1%
σ / mean
02
Drawdown Confidence Levels
Original DD
8.7%
historical backtest
50% Confidence
12.4%
median simulated path
95% Confidence
19.9%
stress-test reference
99% Confidence
24.3%
tail risk scenario
03
Risk of Ruin
| −5% | 100.0% | High | |
| −10% | 79.6% | High | |
| −20% | 4.8% | Negligible | |
| −30% | 0.0% | Negligible | |
| −50% | 0.0% | Negligible | |
| −75% | 0.0% | Negligible |
04
Integrity Assessment
No integrity flags detected.
05
Results Explained
Portfolio (2 strategies) · 325 trades · 1,000 sims
RISK MULTIPLIER
0.44x
LOT SCALING FACTOR
Monte Carlo simulations indicate drawdown could reach 19.89% at the 95th percentile — approximately 2.3x the original 8.67%. A proportional adjustment to 0.44x position size would align these levels. Users should evaluate based on their own risk tolerance.
Formula: Original DD (8.67%) ÷ 95% CI DD (19.89%) = 0.44x
OVERALL ASSESSMENT
Validation Result: 76/100 (B+)
Portfolio (2 strategies) presents a generally acceptable statistical profile under the historical conditions analyzed. Across 1,000 reshuffled simulations of 325 trades, indicators fell within normal ranges. No evidence of recovery-based risk mechanisms was detected (MG: 1.09×). A drawdown gap of 2.3× was observed between the original backtest (8.7%) and the 95th percentile of simulations (19.9%), suggesting the backtest result may have been influenced by the specific trade ordering. Independent investigation and additional testing are recommended before committing capital based on these results.
DRAWDOWN ANALYSIS
The backtest recorded a 8.7% maximum drawdown. Across reshuffled simulations, 95% showed drawdowns up to 19.9% — approximately 2.3x the original. This is somewhat higher than the commonly observed range for this type of analysis.
RISK MULTIPLIER
The risk multiplier is 0.44x, derived from the ratio of original drawdown to the 95th percentile simulated drawdown. This metric suggests that simulated drawdowns exceeded the backtest figure. Position sizing adjustments may affect drawdown characteristics — users should evaluate this based on their own risk tolerance.
ErgodicLabs.co · Edge Matrix v1.0
Statistical analysis only — not financial advice
Statistical analysis only — not financial advice
All statistics computed from 1,000 full simulation paths
Bootstrap (with replacement)
Bootstrap (with replacement)