Validation: luck or edge?

For every strategy with a trade list: the backtest statistics, the split test (rules frozen, then run on prices they never saw) and a Monte Carlo test with 5,000 simulated histories. Generated 2026-10-09 19:29 UTC.

Reshuffle keeps the same trades in a random order: the same end point, but it shows how deep the drawdowns and how long the losing streaks could have been. A tight spread means the edge did not depend on lucky timing.

Bootstrap draws trades at random with repeats: different end points, the spaghetti chart. It gives the chance of ending in a loss and of a drawdown beyond a given size.

These are lab numbers at small test sizes (mostly 0.01 to 0.03 lots), not a promise. The judge still decides; nothing is offered on the strength of this page.

Strategy	Trades	Win rate	Avg trade	PF in / out	Split	Max DD	DD, bad 5 %	P(loss)
GoldQuantPro EMAVWAP	5465	67%	+0.50	1.04 / 1.10	frozen	−1,015	−1,421	2%
ORB - NY opening range breakout, long	367	41%	+2.07	1.14 / 1.19	frozen	−509	−829	15%
LONDON - Asian range break, trend filter	362	56%	+6.04	1.57 / 1.28	frozen	−649	−863	1%
VOLBRK - open +/- 0.7 x yesterday's range	339	50%	+7.32	1.29 / 1.44	frozen	−399	−1,170	3%
TREND - 48 h Donchian breakout	1013	36%	+1.10	1.07 / 1.08	frozen	−1,052	−1,574	20%
PDHR - close above yesterday's high, 200d trend	635	20%	+3.44	1.26 / 1.51	frozen	−408	−727	1%
INSIDE - inside-day breakout	126	43%	+9.93	2.08 / 1.18	frozen	−401	−728	5%
PDH - yesterday's high breakout	699	19%	+2.40	1.26 / 1.25	frozen	−562	−967	5%
PDL - yesterday's low breakdown, short	478	16%	−2.09	1.20 / 0.74	frozen	−1,892	−2,200	83%
NY sweep of London range, RR 2 (lab 031)	1195	37%	+0.13	1.08 / 0.98	80/20	−206	−325	27%
NY sweep of London range, RR 3 (lab 031)	1195	33%	+0.24	1.11 / 1.05	80/20	−224	−338	15%
Asia break + retest, RR 2 (lab 031)	1093	37%	+0.17	1.02 / 1.09	80/20	−350	−451	28%
Asia break + retest, RR 3 (lab 031)	1093	32%	+0.20	1.04 / 1.08	80/20	−295	−478	27%
ORB fixed RR 2 (lab 2026-10-08)	990	43%	+0.50	1.10 / 1.31	80/20	−193	−272	3%
ORB fixed RR 3 (lab 2026-10-08)	990	40%	+0.57	1.07 / 1.46	80/20	−222	−283	3%
NR7 breakout RR 2 (lab 2026-10-08)	210	37%	−0.40	0.81 / 1.16	80/20	−266	−335	69%
NR7 breakout RR 3 (lab 2026-10-08)	210	35%	+0.19	0.90 / 1.32	80/20	−238	−303	44%
Overnight hold RR 2 (lab 2026-10-08)	1316	52%	+0.84	1.18 / 1.21	80/20	−244	−443	1%
Overnight hold RR 3 (lab 2026-10-08)	1316	51%	+0.82	1.18 / 1.19	80/20	−252	−463	2%

GoldQuantPro EMAVWAP

demo live (GoldQuantPro) · 2024-01-02 01:48 to 2026-10-05 23:58 · no warning flags

Trades: 5,465
Win rate: 67%
Average trade: +0.50
Average win / loss: 10.07 / −18.91
Net: +2,739
Max drawdown (peak to valley): −1,015
Profit factor in / out of sample: 1.04 / 1.10
Win rate in / out: 66% / 68%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 2587 trades, net +2,346.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −910 / −1,421
Reshuffle: longest losing streak, typical / bad 5 %: 7 / 10
Longest losing streak in the real backtest: 12
Bootstrap end result 5 / 50 / 95 %: 487 / 2,743 / 5,053
Chance of ending in a loss: 2%
Chance of a drawdown beyond 500 / 1,000: 99% / 40%

Live yardsticks: after 10 trades: a drawdown worse than −121 came up in under 5 % of paths · after 20 trades: a drawdown worse than −179 came up in under 5 % of paths · after 50 trades: a drawdown worse than −275 came up in under 5 % of paths.

ORB - NY opening range breakout, long

demo + FundedNext (GoldQuantPortfolio) · 2024-01-04 23:00 to 2026-09-29 18:28 · no warning flags

Trades: 367
Win rate: 41%
Average trade: +2.07
Average win / loss: 34.66 / −20.21
Net: +759
Max drawdown (peak to valley): −509
Profit factor in / out of sample: 1.14 / 1.19
Win rate in / out: 40% / 41%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 167 trades, net +552.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −530 / −829
Reshuffle: longest losing streak, typical / bad 5 %: 10 / 15
Longest losing streak in the real backtest: 6
Bootstrap end result 5 / 50 / 95 %: −442 / 761 / 1,985
Chance of ending in a loss: 15%
Chance of a drawdown beyond 500 / 1,000: 58% / 7%

Live yardsticks: after 10 trades: a drawdown worse than −185 came up in under 5 % of paths · after 20 trades: a drawdown worse than −278 came up in under 5 % of paths · after 50 trades: a drawdown worse than −452 came up in under 5 % of paths.

LONDON - Asian range break, trend filter

demo (GoldQuantPortfolio) · 2024-01-02 16:42 to 2026-09-28 23:00 · no warning flags

Trades: 362
Win rate: 56%
Average trade: +6.04
Average win / loss: 39.57 / −35.83
Net: +2,185
Max drawdown (peak to valley): −649
Profit factor in / out of sample: 1.57 / 1.28
Win rate in / out: 56% / 55%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 161 trades, net +1,039.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −542 / −863
Reshuffle: longest losing streak, typical / bad 5 %: 6 / 10
Longest losing streak in the real backtest: 5
Bootstrap end result 5 / 50 / 95 %: 597 / 2,206 / 3,797
Chance of ending in a loss: 1%
Chance of a drawdown beyond 500 / 1,000: 59% / 5%

Live yardsticks: after 10 trades: a drawdown worse than −260 came up in under 5 % of paths · after 20 trades: a drawdown worse than −354 came up in under 5 % of paths · after 50 trades: a drawdown worse than −539 came up in under 5 % of paths.

VOLBRK - open +/- 0.7 x yesterday's range

demo (GoldQuantPortfolio) · 2024-01-02 14:20 to 2026-10-02 16:23 · no warning flags

Trades: 339
Win rate: 50%
Average trade: +7.32
Average win / loss: 52.96 / −37.53
Net: +2,480
Max drawdown (peak to valley): −399
Profit factor in / out of sample: 1.29 / 1.44
Win rate in / out: 48% / 51%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 153 trades, net +1,854.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −730 / −1,170
Reshuffle: longest losing streak, typical / bad 5 %: 8 / 11
Longest losing streak in the real backtest: 7
Bootstrap end result 5 / 50 / 95 %: 353 / 2,476 / 4,574
Chance of ending in a loss: 3%
Chance of a drawdown beyond 500 / 1,000: 86% / 21%

Live yardsticks: after 10 trades: a drawdown worse than −372 came up in under 5 % of paths · after 20 trades: a drawdown worse than −479 came up in under 5 % of paths · after 50 trades: a drawdown worse than −737 came up in under 5 % of paths.

TREND - 48 h Donchian breakout

demo (GoldQuantPortfolio) · 2024-01-03 13:42 to 2026-10-05 01:02 · no warning flags

Trades: 1,013
Win rate: 36%
Average trade: +1.10
Average win / loss: 41.05 / −21.50
Net: +1,110
Max drawdown (peak to valley): −1,052
Profit factor in / out of sample: 1.07 / 1.08
Win rate in / out: 36% / 36%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 466 trades, net +800.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −1,013 / −1,574
Reshuffle: longest losing streak, typical / bad 5 %: 13 / 19
Longest losing streak in the real backtest: 11
Bootstrap end result 5 / 50 / 95 %: −968 / 1,117 / 3,222
Chance of ending in a loss: 20%
Chance of a drawdown beyond 500 / 1,000: 99% / 56%

Live yardsticks: after 10 trades: a drawdown worse than −212 came up in under 5 % of paths · after 20 trades: a drawdown worse than −316 came up in under 5 % of paths · after 50 trades: a drawdown worse than −528 came up in under 5 % of paths.

PDHR - close above yesterday's high, 200d trend

demo (GoldQuantPortfolio) · 2024-01-02 09:59 to 2026-08-25 03:16 · no warning flags

Trades: 635
Win rate: 20%
Average trade: +3.44
Average win / loss: 60.71 / −10.73
Net: +2,187
Max drawdown (peak to valley): −408
Profit factor in / out of sample: 1.26 / 1.51
Win rate in / out: 18% / 22%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 246 trades, net +1,558.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −460 / −727
Reshuffle: longest losing streak, typical / bad 5 %: 23 / 33
Longest losing streak in the real backtest: 24
Bootstrap end result 5 / 50 / 95 %: 631 / 2,181 / 3,801
Chance of ending in a loss: 1%
Chance of a drawdown beyond 500 / 1,000: 41% / 2%

Live yardsticks: after 10 trades: a drawdown worse than −121 came up in under 5 % of paths · after 20 trades: a drawdown worse than −194 came up in under 5 % of paths · after 50 trades: a drawdown worse than −331 came up in under 5 % of paths.

INSIDE - inside-day breakout

research only · 2024-01-05 15:53 to 2026-09-30 18:25 · out-of-sample PF much weaker than in-sample (overfit risk)

Trades: 126
Win rate: 43%
Average trade: +9.93
Average win / loss: 72.70 / −37.15
Net: +1,251
Max drawdown (peak to valley): −401
Profit factor in / out of sample: 2.08 / 1.18
Win rate in / out: 48% / 37%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 57 trades, net +321.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −446 / −728
Reshuffle: longest losing streak, typical / bad 5 %: 7 / 11
Longest losing streak in the real backtest: 6
Bootstrap end result 5 / 50 / 95 %: −0 / 1,256 / 2,546
Chance of ending in a loss: 5%
Chance of a drawdown beyond 500 / 1,000: 39% / 2%

Live yardsticks: after 10 trades: a drawdown worse than −304 came up in under 5 % of paths · after 20 trades: a drawdown worse than −426 came up in under 5 % of paths · after 50 trades: a drawdown worse than −636 came up in under 5 % of paths.

PDH - yesterday's high breakout

research only · 2024-01-02 09:59 to 2026-10-02 16:12 · no warning flags

Trades: 699
Win rate: 19%
Average trade: +2.40
Average win / loss: 63.38 / −11.66
Net: +1,678
Max drawdown (peak to valley): −562
Profit factor in / out of sample: 1.26 / 1.25
Win rate in / out: 18% / 19%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 310 trades, net +1,049.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −609 / −967
Reshuffle: longest losing streak, typical / bad 5 %: 25 / 37
Longest losing streak in the real backtest: 24
Bootstrap end result 5 / 50 / 95 %: −7 / 1,652 / 3,358
Chance of ending in a loss: 5%
Chance of a drawdown beyond 500 / 1,000: 75% / 10%

Live yardsticks: after 10 trades: a drawdown worse than −132 came up in under 5 % of paths · after 20 trades: a drawdown worse than −212 came up in under 5 % of paths · after 50 trades: a drawdown worse than −375 came up in under 5 % of paths.

PDL - yesterday's low breakdown, short

research only (rejected) · 2024-01-03 01:49 to 2026-10-05 01:02 · loses out of samplebootstrap: 83% of paths end in a loss

Trades: 478
Win rate: 16%
Average trade: −2.09
Average win / loss: 76.71 / −17.22
Net: −1,000
Max drawdown (peak to valley): −1,892
Profit factor in / out of sample: 1.20 / 0.74
Win rate in / out: 17% / 15%

Split test: Rules were fixed on the in-sample part; the out-of-sample part was unseen. Out-of-sample: 240 trades, net −1,349.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −1,588 / −2,200
Reshuffle: longest losing streak, typical / bad 5 %: 26 / 39
Longest losing streak in the real backtest: 30
Bootstrap end result 5 / 50 / 95 %: −2,715 / −995 / 748
Chance of ending in a loss: 83%
Chance of a drawdown beyond 500 / 1,000: 100% / 87%

Live yardsticks: after 10 trades: a drawdown worse than −233 came up in under 5 % of paths · after 20 trades: a drawdown worse than −378 came up in under 5 % of paths · after 50 trades: a drawdown worse than −687 came up in under 5 % of paths.

NY sweep of London range, RR 2 (lab 031)

lab only · 2020-01-02 15:19 to 2025-12-30 15:31 · loses out of samplebootstrap: 27% of paths end in a loss

Trades: 1,195
Win rate: 37%
Average trade: +0.13
Average win / loss: 7.33 / −4.15
Net: +159
Max drawdown (peak to valley): −206
Profit factor in / out of sample: 1.08 / 0.98
Win rate in / out: 38% / 36%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 239 trades, net −20.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −213 / −325
Reshuffle: longest losing streak, typical / bad 5 %: 13 / 19
Longest losing streak in the real backtest: 10
Bootstrap end result 5 / 50 / 95 %: −249 / 153 / 562
Chance of ending in a loss: 27%
Chance of a drawdown beyond 500 / 1,000: 2% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −39 came up in under 5 % of paths · after 20 trades: a drawdown worse than −59 came up in under 5 % of paths · after 50 trades: a drawdown worse than −95 came up in under 5 % of paths.

NY sweep of London range, RR 3 (lab 031)

lab only · 2020-01-02 15:19 to 2025-12-30 15:32 · no warning flags

Trades: 1,195
Win rate: 33%
Average trade: +0.24
Average win / loss: 9.03 / −4.08
Net: +292
Max drawdown (peak to valley): −224
Profit factor in / out of sample: 1.11 / 1.05
Win rate in / out: 33% / 32%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 239 trades, net +45.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −214 / −338
Reshuffle: longest losing streak, typical / bad 5 %: 15 / 22
Longest losing streak in the real backtest: 13
Bootstrap end result 5 / 50 / 95 %: −180 / 289 / 768
Chance of ending in a loss: 15%
Chance of a drawdown beyond 500 / 1,000: 2% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −41 came up in under 5 % of paths · after 20 trades: a drawdown worse than −60 came up in under 5 % of paths · after 50 trades: a drawdown worse than −100 came up in under 5 % of paths.

Asia break + retest, RR 2 (lab 031)

lab only · 2020-01-02 15:21 to 2025-12-30 19:00 · bootstrap: 28% of paths end in a loss

Trades: 1,093
Win rate: 37%
Average trade: +0.17
Average win / loss: 10.38 / −5.72
Net: +186
Max drawdown (peak to valley): −350
Profit factor in / out of sample: 1.02 / 1.09
Win rate in / out: 36% / 37%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 219 trades, net +128.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −295 / −451
Reshuffle: longest losing streak, typical / bad 5 %: 13 / 19
Longest losing streak in the real backtest: 15
Bootstrap end result 5 / 50 / 95 %: −354 / 200 / 759
Chance of ending in a loss: 28%
Chance of a drawdown beyond 500 / 1,000: 11% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −52 came up in under 5 % of paths · after 20 trades: a drawdown worse than −79 came up in under 5 % of paths · after 50 trades: a drawdown worse than −136 came up in under 5 % of paths.

Asia break + retest, RR 3 (lab 031)

lab only · 2020-01-02 15:51 to 2025-12-30 19:00 · bootstrap: 27% of paths end in a loss

Trades: 1,093
Win rate: 32%
Average trade: +0.20
Average win / loss: 12.43 / −5.63
Net: +221
Max drawdown (peak to valley): −295
Profit factor in / out of sample: 1.04 / 1.08
Win rate in / out: 31% / 36%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 219 trades, net +107.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −306 / −478
Reshuffle: longest losing streak, typical / bad 5 %: 15 / 22
Longest losing streak in the real backtest: 16
Bootstrap end result 5 / 50 / 95 %: −355 / 216 / 817
Chance of ending in a loss: 27%
Chance of a drawdown beyond 500 / 1,000: 14% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −55 came up in under 5 % of paths · after 20 trades: a drawdown worse than −86 came up in under 5 % of paths · after 50 trades: a drawdown worse than −142 came up in under 5 % of paths.

ORB fixed RR 2 (lab 2026-10-08)

lab only · 2020-01-02 19:21 to 2025-12-26 16:47 · no warning flags

Trades: 990
Win rate: 43%
Average trade: +0.50
Average win / loss: 8.47 / −5.40
Net: +499
Max drawdown (peak to valley): −193
Profit factor in / out of sample: 1.10 / 1.31
Win rate in / out: 42% / 44%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 198 trades, net +273.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −173 / −272
Reshuffle: longest losing streak, typical / bad 5 %: 11 / 15
Longest losing streak in the real backtest: 10
Bootstrap end result 5 / 50 / 95 %: 54 / 507 / 964
Chance of ending in a loss: 3%
Chance of a drawdown beyond 500 / 1,000: 0% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −45 came up in under 5 % of paths · after 20 trades: a drawdown worse than −65 came up in under 5 % of paths · after 50 trades: a drawdown worse than −104 came up in under 5 % of paths.

ORB fixed RR 3 (lab 2026-10-08)

lab only · 2020-01-02 19:21 to 2025-12-26 16:47 · no warning flags

Trades: 990
Win rate: 40%
Average trade: +0.57
Average win / loss: 9.29 / −5.35
Net: +563
Max drawdown (peak to valley): −222
Profit factor in / out of sample: 1.07 / 1.46
Win rate in / out: 40% / 44%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 198 trades, net +410.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −179 / −283
Reshuffle: longest losing streak, typical / bad 5 %: 12 / 17
Longest losing streak in the real backtest: 10
Bootstrap end result 5 / 50 / 95 %: 88 / 560 / 1,059
Chance of ending in a loss: 3%
Chance of a drawdown beyond 500 / 1,000: 0% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −45 came up in under 5 % of paths · after 20 trades: a drawdown worse than −67 came up in under 5 % of paths · after 50 trades: a drawdown worse than −108 came up in under 5 % of paths.

NR7 breakout RR 2 (lab 2026-10-08)

lab only · 2020-01-14 23:00 to 2025-12-22 23:00 · bootstrap: 69% of paths end in a loss

Trades: 210
Win rate: 37%
Average trade: −0.40
Average win / loss: 13.60 / −8.51
Net: −84
Max drawdown (peak to valley): −266
Profit factor in / out of sample: 0.81 / 1.16
Win rate in / out: 35% / 45%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 42 trades, net +61.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −229 / −335
Reshuffle: longest losing streak, typical / bad 5 %: 10 / 15
Longest losing streak in the real backtest: 6
Bootstrap end result 5 / 50 / 95 %: −389 / −88 / 231
Chance of ending in a loss: 69%
Chance of a drawdown beyond 500 / 1,000: 3% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −77 came up in under 5 % of paths · after 20 trades: a drawdown worse than −115 came up in under 5 % of paths · after 50 trades: a drawdown worse than −198 came up in under 5 % of paths.

NR7 breakout RR 3 (lab 2026-10-08)

lab only · 2020-01-14 23:00 to 2025-12-22 23:00 · bootstrap: 44% of paths end in a loss

Trades: 210
Win rate: 35%
Average trade: +0.19
Average win / loss: 16.07 / −8.45
Net: +40
Max drawdown (peak to valley): −238
Profit factor in / out of sample: 0.90 / 1.32
Win rate in / out: 33% / 45%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 42 trades, net +120.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −199 / −303
Reshuffle: longest losing streak, typical / bad 5 %: 10 / 15
Longest losing streak in the real backtest: 10
Bootstrap end result 5 / 50 / 95 %: −292 / 35 / 375
Chance of ending in a loss: 44%
Chance of a drawdown beyond 500 / 1,000: 1% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −79 came up in under 5 % of paths · after 20 trades: a drawdown worse than −116 came up in under 5 % of paths · after 50 trades: a drawdown worse than −195 came up in under 5 % of paths.

Overnight hold RR 2 (lab 2026-10-08)

lab only · 2020-01-02 23:00 to 2025-12-30 16:47 · no warning flags

Trades: 1,316
Win rate: 52%
Average trade: +0.84
Average win / loss: 10.18 / −9.09
Net: +1,105
Max drawdown (peak to valley): −244
Profit factor in / out of sample: 1.18 / 1.21
Win rate in / out: 51% / 54%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 263 trades, net +377.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −282 / −443
Reshuffle: longest losing streak, typical / bad 5 %: 9 / 12
Longest losing streak in the real backtest: 9
Bootstrap end result 5 / 50 / 95 %: 291 / 1,114 / 1,920
Chance of ending in a loss: 1%
Chance of a drawdown beyond 500 / 1,000: 6% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −73 came up in under 5 % of paths · after 20 trades: a drawdown worse than −103 came up in under 5 % of paths · after 50 trades: a drawdown worse than −161 came up in under 5 % of paths.

Overnight hold RR 3 (lab 2026-10-08)

lab only · 2020-01-02 23:00 to 2025-12-30 16:47 · no warning flags

Trades: 1,316
Win rate: 51%
Average trade: +0.82
Average win / loss: 10.22 / −9.08
Net: +1,077
Max drawdown (peak to valley): −252
Profit factor in / out of sample: 1.18 / 1.19
Win rate in / out: 51% / 54%

Split test: Chronological 80 % / 20 % of all trades (the rules were not chosen blind to the last 20 %). Out-of-sample: 263 trades, net +345.

The real backtest12 of 5,000 resampled historiesMiddle 90 % of outcomesUSD at the tested size. Trades drawn at random, with repeats, from the real list.

Reshuffle: drawdown, typical / bad 5 %: −291 / −463
Reshuffle: longest losing streak, typical / bad 5 %: 9 / 13
Longest losing streak in the real backtest: 9
Bootstrap end result 5 / 50 / 95 %: 262 / 1,064 / 1,874
Chance of ending in a loss: 2%
Chance of a drawdown beyond 500 / 1,000: 7% / 0%

Live yardsticks: after 10 trades: a drawdown worse than −70 came up in under 5 % of paths · after 20 trades: a drawdown worse than −104 came up in under 5 % of paths · after 50 trades: a drawdown worse than −164 came up in under 5 % of paths.