ErgodicLabs · Edge Matrix v1.0
Monte Carlo Robustness Report
Generated 2026-08-16 18:32 UTC
Report ID MCR-20260816-905154
Simulations 10.000
Method Bootstrap (with replacement)
Quorum Gold MT5XAUUSDM15MT5 Report188 trades · 71.3% WR · PF 3.10
Robustness Score
91
/ 100
Grade A+
HIGHLY ROBUST
DD Correlation Score (0 – 60 pts)
Position
14.8 / 20
Spread
17.4 / 20
Predictability
18.3 / 20
Pattern Analysis (0 – 40 pts)
MG Indicator
40.0 / 40
Integrity
Penalty multiplier
100.0 / 100
06
Serial dependence in your trades
Autocorrelation of trade P&L+0.161
Autocorrelation of squared P&L+0.426
Individual results showed little dependence, but their magnitudes clustered. Large trades tended to follow large trades, so losing runs concentrated instead of spreading evenly. A method assuming independence would have described a gentler history than the one traded.
Block Length
11.5 trades
read from your data
Median Max DD
5.93%
50th percentile
95th Pctile DD
9.51%
1 path in 20
99th Pctile DD
11.08%
1 path in 100
01
Simulation Outcomes
Profitable
100.0%
10.000 / 10.000
MC Median
$79.130
final balance
Luck Factor
-0.15σ
result vs mean
Percentile Rank
49.6%
original vs sims
Coeff. Variation
33.6%
σ / mean
02
Drawdown Confidence Levels
Original DD
5.9%
historical backtest
50% Confidence
5.9%
median simulated path
95% Confidence
9.5%
stress-test reference
99% Confidence
11.1%
tail risk scenario
03
Risk of Ruin
| −5% | 95.9% | High | |
| −10% | 2.5% | Negligible | |
| −20% | 0.0% | Negligible | |
| −30% | 0.0% | Negligible | |
| −50% | 0.0% | Negligible | |
| −75% | 0.0% | Negligible |
04
Integrity Assessment
No integrity flags detected.
05
Results Explained
Quorum Gold MT5 · 188 trades · 10.000 sims
RISK MULTIPLIER
0.62x
LOT SCALING FACTOR
Monte Carlo simulations indicated drawdown could reach 9.51% at the 95th percentile, approximately 1.6x the original 5.93%. A proportional adjustment to 0.62x position size would have aligned these levels. Users should evaluate based on their own risk tolerance.
Formula: Original DD, compounded (5.93%) ÷ 95% CI DD (9.51%) = 0.62x
OVERALL ASSESSMENT
Validation Result: 91/100 (A+)
Quorum Gold MT5 presents a strong statistical profile under the historical conditions analyzed. Across 10.000 reshuffled simulations of 188 trades, indicators fell within normal ranges. No evidence of recovery-based risk mechanisms was detected (MG: 0.90×). A drawdown gap of 1.6× was observed between the original backtest (5.9%) and the 95th percentile of simulations (9.5%), suggesting the backtest result may have been influenced by the specific trade ordering. Independent investigation and additional testing are recommended before committing capital based on these results.
DRAWDOWN ANALYSIS
The backtest recorded a 5.9% maximum drawdown. Across reshuffled simulations, 95% showed drawdowns up to 9.5%, approximately 1.6x the original. This is somewhat higher than the commonly observed range for this type of analysis.
RISK MULTIPLIER
The risk multiplier is 0.62x, derived from the ratio of the recorded drawdown to the 95th percentile simulated drawdown. The simulated drawdowns exceeded the backtest figure. Position sizing adjustments may affect drawdown characteristics. Users should evaluate this based on their own risk tolerance.
ErgodicLabs.co · Edge Matrix v1.0
Statistical analysis only — not financial advice
Statistical analysis only — not financial advice
All statistics computed from 10.000 full simulation paths
Bootstrap (with replacement)
Bootstrap (with replacement)