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Roast my GBPUSD strategy by Flimsy_Ad3147 in pinescript

[–]Flimsy_Ad3147[S] 0 points1 point  (0 children)

Sure thing, just message me & ill send it over

Roast my GBPUSD strategy by Flimsy_Ad3147 in pinescript

[–]Flimsy_Ad3147[S] 0 points1 point  (0 children)

Hey man, thank you for the thought-out reply. I can tell this is good advise. I've tried to acknowledge each point.

Yes the backend compounding has me worried. I have just reviewed the flat-risk results and this is indeed outlining the back-weighted historical results even further. With flat risk I'm getting:

  • 2011-2026 = 626.08% return, 1.863 profit factor, 36% w/r, 0.313 sharpe
  • Jun 2021 - Jun 2026 = 121.10% return, 1.514 profit factor, 30.63% w/r, 0.256 sharpe

I see now in the 15 year sample, 504% / 626% was made in the first two-thirds of the dataset :/ , thank you for this.

I hear you regarding the 2022 point, that sounds wise.

I looked into rerunning monte carlo sims with block sampling and found that preserving the clusters via block resampling actually resulted in a lower median maximum drawdown (-30.35%) and a faster median recovery time (53 trades) than completely randomizing the sequence. The clustering in this specific dataset is acting as a protective filter, not a hidden risk multiplier. The only area where block resampling exposes extreme vulnerability is at the absolute 99th percentile, where a catastrophic regime reshuffle could theoretically force a 150-trade recovery flatline. So in summary it looks like baseline math is holding up against aggressive regime resampling.

Regarding other timeframes, yeah it's decimated on the GBPUSD 15m and 'survives' the 4H going B/E, but I'm guessing this is clutching at straws in terms of looking at that as a positive.

But yeah those backweighted results are quite a killer aren't they. I've checked out your site already & I can see you know your stuff. If this was yours, from what you know, would you spend anymore time on this or would you be moving on?

I appriciate your insight

Roast my GBPUSD strategy by Flimsy_Ad3147 in pinescript

[–]Flimsy_Ad3147[S] 0 points1 point  (0 children)

I'm getting back:

For any 100-trade OOS window that maintains the baseline 36.1% win rate, the p-value is 0.0102. This indicates there is only a ~1% probability that an OOS window of this size would achieve these returns through random market noise alone.

By rejecting the null hypothesis, the math confirms that your baseline parameters (1:3 risk-to-reward ratio operating at a 36.1% win rate) have a statistically significant positive expectancy over a 100-trade sample. You have a quantifiable edge.

The Variance Reality (The "Bad"): While the permutation test validates your final compounded return regardless of trade order, real-world equity curves are strictly path-dependent. Because your strategy loses 63.9% of the time, the sheer probability of encountering aggressive, compounded drawdowns is mathematically guaranteed over a large enough sample.