Quant Edge vs. Luck Backtest Validator

Backtest Strategy Presets & Monte Carlo Parameters

Annualized Return (%) 18.0%

Annualized Volatility (%) 11.7%

Sample Duration (Years) 3.0 Yrs

Kurtosis / Fat-Tail Index 3.0 (Normal)

Monte Carlo Iterations 2,500 Paths

Upload Custom Daily Returns (CSV)

Sequence Permutation Fan Chart: Actual Equity vs. Null Variance Distribution

Cyan = Actual Strategy Path | Shaded Bands = 5th, 25th, 50th, 75th, 95th Bootstrapped Percentiles

Sequence Fluke Detected

Statistical Edge Telemetry

Null Hypothesis: Random Walk / Zero Alpha

Permutation p-Value

0.142

p ≥ 0.05 (Luck cannot be ruled out)

Alpha Edge Verdict

FLUKE

Favorable return sequencing draw

Actual Sharpe / Median

1.54 / 0.82

Annualized Risk-Free Adjusted

Max Drawdown VaR (95%)

-18.4%

Actual MDD: -8.8% (Lucky Draw)

Luck-vs-Edge Score

34 / 100

High probability that returns rely on sequence order rather than persistent edge.

Howard Marks Insight: "Investment success requires both a good strategy and favorable sequence luck. A high backtested Sharpe over short windows frequently masks tail hazard."

Validator Proof: The Sharpe 1.53 curve exhibits severe path dependence. 14.2% of randomized permutations match or exceed this terminal equity without alpha.

Bootstrapped Terminal Equity Distribution & Alpha Zone

Cyan Line = Realized Strategy Terminal Equity

Quant Statistical Validation Brief

[PRESET_ID] sharpe_1_53_fluke

[SAMPLE_DAYS] 756 Daily Observations (3.0 Yrs)

[STAT_SIGNIFICANCE] p = 0.1420 (NULL REJECTED: NO)

[95% MDD_CONFIDENCE] [-8.8% Actual, -18.4% 95th Percentile]

[BOOTSTRAP_SHARPE_CI] [0.42 - 1.88]

Recommendation: Do not deploy capital. Strategy requires stationary return verification across full market cycles to prove structural edge over luck.