Validated backtests
35 runs on real broker history · 1 pass validation. A run passes only if training, validation and out-of-sample are all profitable with PF > 1 — never on best profit alone.
| Compare | Engine | Market | Variant | Verdict | Train (trades · avg R · PF · DD R) | Validation | Out-of-sample | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Crypto | BTCUSD | estimated costs | FAIL | 1238 | -0.221 | 0.65 | 273.8 | 328 | -0.153 | 0.74 | 50.2 | 200 | -0.012 | 0.98 | 20.4 | |
| Crypto | BTCUSD | nocost | FAIL | 1238 | -0.028 | 0.94 | 71.3 | 328 | -0.022 | 0.96 | 17.4 | 200 | 0.134 | 1.31 | 10.3 | |
| Crypto | BTCUSD | pepperstone | FAIL | 1238 | -0.222 | 0.65 | 274.8 | 328 | -0.153 | 0.74 | 51.2 | 199 | -0.006 | 0.99 | 20.4 | |
| Crypto | ETHUSD | estimated costs | FAIL | 1053 | -0.378 | 0.48 | 405.0 | 267 | -0.177 | 0.71 | 53.3 | 121 | -0.334 | 0.47 | 40.4 | |
| Crypto | ETHUSD | nocost | FAIL | 1053 | -0.035 | 0.93 | 59.6 | 267 | 0.040 | 1.08 | 15.4 | 121 | -0.057 | 0.88 | 12.6 | |
| Crypto | ETHUSD | pepperstone | FAIL | 1055 | -0.276 | 0.58 | 298.1 | 266 | -0.112 | 0.80 | 39.2 | 120 | -0.243 | 0.58 | 30.2 | |
| Forex | EURUSD | estimated costs | FAIL | 183 | -0.261 | 0.56 | 49.4 | 71 | -0.106 | 0.80 | 12.7 | 68 | -0.490 | 0.32 | 35.4 | |
| Forex | EURUSD | pepperstone | FAIL | 184 | -0.101 | 0.80 | 22.7 | 70 | 0.029 | 1.06 | 7.4 | 68 | -0.331 | 0.45 | 25.3 | |
| Forex | GBPUSD | estimated costs | FAIL | 208 | -0.295 | 0.52 | 67.2 | 68 | -0.398 | 0.40 | 28.2 | 65 | -0.435 | 0.39 | 31.8 | |
| Forex | GBPUSD | pepperstone | FAIL | 208 | -0.132 | 0.75 | 34.6 | 69 | -0.209 | 0.62 | 17.1 | 64 | -0.276 | 0.55 | 21.2 | |
| Forex | USDJPY | estimated costs | FAIL | 215 | -0.094 | 0.82 | 29.8 | 74 | 0.064 | 1.15 | 5.2 | 76 | -0.129 | 0.73 | 14.9 | |
| Forex | USDJPY | pepperstone | FAIL | 213 | 0.005 | 1.01 | 17.5 | 74 | 0.161 | 1.42 | 4.4 | 76 | -0.021 | 0.95 | 9.3 | |
| Gold | XAUUSD | estimated costs | FAIL | 1661 | -0.164 | 0.74 | 273.6 | 539 | -0.069 | 0.88 | 46.9 | 528 | -0.057 | 0.90 | 51.9 | |
| Gold | XAUUSD | all | INSUFFICIENT | 21 | -0.679 | 0.31 | 14.3 | 2 | 0.292 | 1.58 | 1.0 | 5 | -0.364 | 0.43 | 2.2 | |
| Gold | XAUUSD | base | FAIL | 1661 | -0.164 | 0.74 | 273.6 | 539 | -0.069 | 0.88 | 46.9 | 528 | -0.057 | 0.90 | 51.9 | |
| Gold | XAUUSD | chain | FAIL | 754 | -0.141 | 0.76 | 108.3 | 242 | -0.086 | 0.84 | 22.5 | 246 | -0.013 | 0.97 | 10.8 | |
| Gold | XAUUSD | kz | FAIL | 663 | -0.177 | 0.73 | 123.0 | 214 | -0.106 | 0.82 | 29.8 | 204 | -0.083 | 0.86 | 25.2 | |
| Gold | XAUUSD | kzchain | FAIL | 239 | -0.194 | 0.69 | 50.8 | 80 | -0.057 | 0.89 | 13.4 | 75 | -0.130 | 0.74 | 11.7 | |
| Gold | XAUUSD | kzliq | INSUFFICIENT | 76 | -0.576 | 0.36 | 46.1 | 10 | 0.489 | 2.11 | 3.2 | 16 | 0.186 | 1.34 | 4.9 | |
| Gold | XAUUSD | liq | FAIL | 266 | -0.489 | 0.43 | 130.7 | 74 | -0.149 | 0.78 | 11.0 | 77 | -0.122 | 0.81 | 14.7 | |
| Gold | XAUUSD | nocost | FAIL | 1661 | 0.034 | 1.07 | 27.0 | 539 | 0.015 | 1.03 | 24.8 | 528 | -0.001 | 1.00 | 38.4 | |
| Gold | XAUUSD | pepperstone | FAIL | 1650 | -0.045 | 0.92 | 89.5 | 538 | -0.029 | 0.95 | 30.9 | 526 | -0.021 | 0.96 | 43.0 | |
| US Indices | FRA40 | estimated costs | FAIL | 168 | -0.431 | 0.45 | 74.3 | 58 | -0.511 | 0.34 | 31.1 | 44 | -0.374 | 0.49 | 24.2 | |
| US Indices | GER40 | estimated costs | FAIL | 186 | -0.244 | 0.64 | 58.5 | 62 | -0.226 | 0.67 | 17.0 | 58 | -0.199 | 0.71 | 12.9 | |
| US Indices | UK100 | estimated costs | FAIL | 160 | -0.535 | 0.35 | 86.0 | 71 | -0.667 | 0.30 | 49.6 | 40 | -0.352 | 0.54 | 16.2 | |
| US Indices | US30 | estimated costs | FAIL | 185 | -0.179 | 0.71 | 36.7 | 51 | -0.176 | 0.72 | 10.5 | 61 | -0.208 | 0.67 | 17.6 | |
| US Indices | US500 | estimated costs | FAIL | 170 | -0.230 | 0.67 | 44.7 | 61 | -0.418 | 0.47 | 27.4 | 53 | -0.392 | 0.47 | 21.2 | |
| US Indices | US500 | nocost | FAIL | 170 | 0.054 | 1.10 | 16.2 | 61 | -0.127 | 0.79 | 14.5 | 53 | -0.171 | 0.70 | 11.1 | |
| NASDAQ | NAS100 | estimated costs | FAIL | 633 | -0.050 | 0.90 | 37.5 | 204 | 0.050 | 1.11 | 9.7 | 213 | -0.045 | 0.90 | 21.8 | |
| Synthetic | VOL75 | estimated costs | FAIL | 519 | -0.074 | 0.86 | 54.3 | 154 | -0.340 | 0.44 | 52.5 | 180 | -0.067 | 0.86 | 17.3 | |
| Trend (V2) | US500 | trend | FAIL | 662 | 0.058 | 1.11 | 24.3 | 200 | -0.010 | 0.98 | 13.7 | 179 | 0.054 | 1.10 | 16.7 | |
| Multi-timeframe | EURUSD | FAIL | 481 | -0.086 | 0.85 | 55.0 | 169 | -0.106 | 0.81 | 21.2 | 155 | -0.128 | 0.78 | 33.8 | ||
| Multi-timeframe | GBPUSD | FAIL | 476 | -0.031 | 0.94 | 28.9 | 150 | -0.163 | 0.74 | 25.7 | 158 | -0.214 | 0.65 | 37.2 | ||
| Multi-timeframe | NAS100 | FAIL | 525 | 0.023 | 1.04 | 38.8 | 192 | 0.048 | 1.09 | 19.3 | 179 | -0.107 | 0.82 | 20.8 | ||
| Multi-timeframe | XAUUSD | PASS | 476 | 0.046 | 1.08 | 17.9 | 167 | 0.045 | 1.08 | 14.0 | 177 | 0.073 | 1.13 | 16.0 | ||
Compare strategies
Tick two to four runs above to compare them side by side (e.g. Gold base vs Gold kill-zone).
V2 entry · A — Current (1h stall, 3h give-up)
Positive in development, in the untouched validation period and in most walk-forward folds.
Trades
1148
Win rate
16.99%
Loss rate
83.01%
Avg win
1.246R
Avg loss
-0.156R
Expectancy
0.0818R
Per 100 trades
8.2R
Profit factor
1.63
Net
93.92R
Max drawdown
-7.66R
Worst losing run
26
Hold (avg / median)
3.3h / 2h
Equity (R)
Drawdown (R)
Development vs untouched validation
Development
Trades
791
Win rate
17.07%
Loss rate
82.93%
Avg win
1.204R
Avg loss
-0.159R
Expectancy
0.0741R
Per 100 trades
7.4R
Profit factor
1.563
Net
58.58R
Max drawdown
-7.5R
Worst losing run
25
Hold (avg / median)
3.3h / 2h
Validation (never tuned on)
Trades
357
Win rate
16.81%
Loss rate
83.19%
Avg win
1.339R
Avg loss
-0.152R
Expectancy
0.099R
Per 100 trades
9.9R
Profit factor
1.785
Net
35.34R
Max drawdown
-5.22R
Worst losing run
21
Hold (avg / median)
3.4h / 2h
Walk-forward folds
- Fold 1 (130)0.1055R
- Fold 2 (352)0.0952R
- Fold 3 (337)0.0319R
- Fold 4 (329)0.1092R
Why entries were rejected
1,657 accepted setups.
- Choppy structure59296
- Too far from the average price24274
- No trend19302
- Volatility too low15179
- Trend not persistent8052
- Volatility too high2906
- Spread / cost too high2507
- Higher timeframes disagree1273
How trades ended
- breakeven70%
- stall8.9%
- stop13%
- target8%
- timeout0.1%
By instrument (net R)
- ETHUSD (137)25.78R
- GBPUSD (139)21.05R
- USDJPY (170)11.22R
- BTCUSD (114)8.79R
- XAUUSD (144)8.53R
- AUDUSD (165)6.17R
- US30 (56)5.65R
- EURUSD (116)4.93R
- NAS100 (107)1.81R
By market regime (net R)
- normal-vol/uptrend (420)30.42R
- high-vol/downtrend (77)19.06R
- normal-vol/downtrend (209)14.99R
- low-vol/downtrend (105)13.85R
- low-vol/uptrend (238)13.77R
- high-vol/uptrend (99)1.82R
Worst drawdown
Depth
-8.95R
Trades in the run
99
Longest losing streak
23
Most positions at once
5
2024-05-28 → 2024-09-06
Caused by instrument
- XAUUSD-4R
- AUDUSD-3.71R
- NAS100-1.4R
- USDJPY-0.52R
- GBPUSD-0.03R
- EURUSD0.72R
- US302R
Caused by regime
- low-vol/uptrend-3.37R
- low-vol/downtrend-2R
- normal-vol/downtrend-1.93R
- normal-vol/uptrend-0.07R
- high-vol/uptrend0.41R
Real vs synthetic (same exit)
| Market | Trades | Win | Expectancy | Net R | Max DD |
|---|---|---|---|---|---|
| Real markets | 1148 | 16.99% | 0.0818R | 93.92R | -7.66R |
| Synthetics | 348 | 19.25% | 0.1676R | 58.31R | -5.48R |
Research only — nothing here changes live trading. Entries are a deterministic stand-in for the AI, so these numbers test the rules, not the engine's real edge.