Monte-Neo strategy verdict PASS_WITH_WARNINGS

Certificate 4c2df7acbd8f671d · engine v0.38.0 · 2026-09-29T20:12:10+00:00

Passed with warnings: profit vanishes with 1 bar delay.

integrity3 pass

lookahead5 pass

economics3 pass · 1 warn

statistics5 pass

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Summary

net return+175.07%

Sharpe (annualized)5.61

max drawdown-9.88%

closed trades1112

Deflated Sharpe1.000

timing p-value0.005

buy & hold return-38.70%

buy & hold Sharpe-1.60

break-even cost6.5 bps

positionssign

Equity

strategybuy & holddrawdownlog scale

Monthly returns

Return distribution

Per-bar returns after warm-up, bars with a change only.

Rolling Sharpe

Annualized, trailing window of 493 bars.

Timing test

Net return of 200 time-shifted copies of the same positions. A real signal beats most of them; a strategy that only holds the market does not.

Sensitivity to costs

Net return as the per-side trading cost grows.

Trades

closed trades1112

win rate37.0%

profit factor1.35

average win+0.92%

average loss-0.39%

best trade+5.14%

worst trade-1.35%

average hold2.2 bars

longest win streak6

longest loss streak11

What to fix

Profit disappears with one bar of execution delay: the edge lives in fill timing.

Checks

check	category	status	summary
data_integrity	integrity	pass	OHLCV is clean
data_quality	integrity	pass	no spikes, frozen prices, split jumps or gaps
determinism	integrity	pass	signal() is deterministic
lookahead_truncation	lookahead	pass	truncation probe: no leak detected
lookahead_perturbation	lookahead	pass	future-perturbation probe: no leak detected
external_data	lookahead	pass	outside data: none read (df only)
lookahead_static_lint	lookahead	pass	static lint: clean
implausible_accuracy	lookahead	pass	next-bar hit rate 0.539 over 2443 bars (z 3.9)
costs_modeled	economics	pass	2.00 bps per side modeled
net_profitability	economics	pass	net total return +175.07% after costs
cost_margin	economics	pass	break-even cost 6.55 bps per side vs 2.00 modeled
delay_sensitivity	economics	warn	profit vanishes with 1 bar delay
timing_significance	statistics	pass	beats 100% of 200 shifted copies of its positions (p 0.005)
sample_size	statistics	pass	1112 closed trades (min 30)
deflated_sharpe	statistics	pass	deflated Sharpe 1.000 over 1 trial(s)
trials_disclosed	statistics	info	n_trials not declared (assumed 1)
holdout_consistency	statistics	pass	Sharpe/bar train +0.0722 vs holdout +0.0313
period_consistency	statistics	pass	profitable in 3 of 3 periods
benchmark	statistics	info	buy & hold -38.70% (Sharpe -1.60) vs strategy +175.07% (Sharpe 5.61)

By period (quarter)

period	bars	return	buy & hold	Sharpe	exposure
2020-Q1	2124	+58.49%	-31.03%	5.88	48%
2020-Q2	2184	+69.38%	-1.07%	6.69	50%
2020-Q3	632	+2.47%	-10.17%	1.17	49%

By market regime

market regime	share of bars	strategy	market	Sharpe
rising	43%	+59.84%	-9.56%	6.13
falling	57%	+82.41%	-19.23%	6.14
calm	50%	+81.94%	-13.48%	6.67
volatile	50%	+60.25%	-15.57%	5.57

Regime of a bar: the market's trailing return and volatility over the previous 250 bars.

Reproduce

Costs: 1.00 bps commission + 1.00 bps slippage per side; fills at the next bar's open; long_short; warm-up 60 bars; n_trials 1; min_trades 30.

data e5c0a0d69c46ecd5418a1a5f6433ab494d004f1f28bed057cefe23b8e4dacce4
signals 00712646a5616136b14bba761752bc1c73c8d8170ac8f26bca7140d9c49a8aaf
source 97487db0cf96629f0cc10ee802f6fbd657fd9793d051c161cdacfb26a79524c3

Re-run with the same data and code: monte-neo verify --recheck CERT --ohlcv DATA --strategy STRATEGY.py

Checks backtest methodology (look-ahead, costs, selection bias), not future profit. Not investment advice.