Simulation Results

5,000 paths

Strategy: momentum_trend_v4 · 247 trades · Reshuffle method · 95% CI · Run 2026-06-11 03:13

Highly Statistically Significant

EDGE CONFIRMED

p-value of 0.0087 is below the 0.01 threshold. The probability that this strategy's performance occurred by random chance is less than 1%. Strong evidence of a genuine edge.

P-Value

0.0087

Permutation test

Significance:

p < 0.01 → Highly Significant

0.01 ≤ p < 0.05 → Significant

0.05 ≤ p < 0.10 → Marginal

p ≥ 0.10 → Not Significant

Original Total Return

+31.6%

vs. +8.2% sim median

+23.4pp vs median

Max Drawdown

−12.4%

Better than 62% of sims

p75 = −10.2%

Sharpe Ratio

1.73

Annualized (252 days)

Top 10% of simulations

Percentile Rank

91st

Among 5,000 sim paths

Original beats 91% of sims

Simulated Equity Curve Distribution

5,000 Monte Carlo paths (reshuffle) · Percentile bands · Original strategy overlaid in teal

95th Pct

75th Pct

Median (50th)

25th Pct

5th Pct

Original Strategy

Max Drawdown Distribution

Distribution of worst drawdowns across 5,000 simulations. Original: −12.4% (teal bar)

Original strategy (−12.4%)

Simulated paths

Statistical Summary

Percentile breakdown across all 5,000 simulation paths

n = 5,000

Metric	5th	25th	Median	75th	95th	Mean	Std Dev	Original★
Total Return	-14.2%	-3.1%	+7.8%	+19.4%	+38.7%	+8.2%	16.4%	+31.6%
Max Drawdown	-36.1%	-24.8%	-16.3%	-10.2%	-4.1%	-17.1%	8.9%	-12.4%
Sharpe Ratio	-0.84	-0.12	0.47	1.09	2.11	0.51	0.74	1.73
CAGR	-9.8%	-2.1%	+5.3%	+13.1%	+25.4%	+5.6%	11.2%	+21.3%
Win Rate	42.1%	49.8%	54.3%	58.9%	65.2%	54.1%	7.1%	58.7%
Profit Factor	0.71	0.94	1.21	1.54	2.18	1.24	0.42	1.87

★

Original column shows the actual backtest value — compare against simulation percentiles to assess robustness.

0.0087p-value

Highly Significant

99.1% significance score

Original Return+31.6%

Sims Exceeded0 / 5,367

Two-tailed p0.0087

Null Distribution of Permuted Returns

5,000 random permutations of trade order. Original strategy return (+31.6%) marked with teal line.

H₀: Returns due to chance

Interpretation: Only 0 out of 5,367 random permutations achieved a total return ≥ +31.6% (teal region above). This yields p = 0.0087, which is highly statistically significant. The null hypothesis (performance due to random trade ordering) is rejected at the 1% level. Low overfitting risk.

Test Method

One-sided permutation test

H₀: returns ≤ random baseline

Permutations

5,000

Randomized trade sequences

Significance Level

α = 0.01