Optimal Period Report

Period Recommendation Report
August 16, 2026
OPT-20260816-183247
Quorum Gold MT5
XAUUSD • M15
188 trades
1,184 days (3.2 years) analyzed
MT5 Report
BACKTEST WINDOW ANALYSIS
Recommended Period
797 days
2.2 years
Statistical + Academic + Bootstrap

What This Means

Based on analysis of your strategy's characteristics on XAUUSD M15 trading systems, we recommend using 797 days (2.2 years) of historical data for optimization and backtesting.

This period balances having enough data for statistical significance while avoiding outdated market conditions. The recommendation is synthesised from three independent methods: rolling-variance statistical analysis (346 days (0.9 years)), literature-informed period benchmarks (912 days (2.5 years)), and Politis-Romano block bootstrap spectral analysis (1,133 days (3.1 years)).

02Analysis Metrics
Statistical Period
346 days (0.9 years)
Academic Period
912 days (2.5 years)
Bootstrap Period
1,133 days (3.1 years)
Sharpe Ratio
8.03
Max Drawdown
-5.9%
Recovery Factor
21.9
Volatility Ratio
1.09x
Confidence Level
MEDIUM
Re-opt Frequency
Annual (4.8 trades/mo)
Regime Changes
2
Profit Factor
3.10
Win Rate
71.3%
03Three-Method Synthesis

📈 Statistical Analysis

Rolling-variance stability test finds the lookback window where your strategy's return distribution is most stable and least regime-dependent.

Optimal period found346 days (0.9 years)
Regime changes detected2
Volatility adjustment1.09× current/historical

📚 Literature Benchmarks

Period benchmarks for XAUUSD M15 strategies, informed by asset class volatility profiles and FX market microstructure research. These are calibrated heuristics, not direct citations.

Base period (XAUUSD M15)912 days (2.5 years)
Volatility adjustment0% (normal)
Adjusted period912 days (2.5 years)

🔬 Block Bootstrap — Politis-Romano (1994)

Spectral autocorrelation analysis estimates the memory structure in your returns using block resampling. Accounts for serial dependence that rolling-variance methods miss.

Bootstrap spectral period1,133 days (3.1 years)
MethodPolitis-Romano stationary bootstrap
Combined (all three)797 days (2.2 years)
04Why This Period Works

Interpreting the Optimal Range

Too short (under 518 days (1.4 years)): Not enough data to capture full market cycles. Results are statistically unreliable and prone to overfitting to a single regime.

Above range (over 1,155 days (3.2 years)): The window extends beyond the calculated optimal range. Older data points contribute proportionally less signal in recent-regime models.

The sweet spot (518 days (1.4 years) – 1,155 days (3.2 years) for XAUUSD M15): Provides enough trades for statistical confidence while focusing on recent, relevant market conditions.

The three-method synthesis gives 797 days (2.2 years) — averaged from rolling-variance statistical analysis (346 days (0.9 years)), literature-informed period benchmarks (912 days (2.5 years)), and Politis-Romano block bootstrap spectral analysis (1,133 days (3.1 years)).
05Your Backtest Period Diagnostic
◉
Period Assessment
ABOVE RANGE
The backtest window is moderately longer than the calculated optimal range.
Period Coverage
149%
1,184 days (3.2 years) of 797 days (2.2 years) optimal
Trade Coverage
75%
188 of 250 estimated minimum
Detailed Findings
Backtest window above calculated range — 1,184 days (3.2 years) vs 797 days (2.2 years) optimal
The backtest window differs from the calculated optimal by 387 days (1.1 years).
🟡 Trade Count Below Statistical Benchmark — 188 vs 250 estimated minimum
You have 75% of the estimated minimum trades for this timeframe and asset class. Need approximately 62 more trades. With 188 trades, confidence intervals on key metrics remain wide — for example, a measured 71% win rate could actually be anywhere from 64%–78% at 95% confidence.
⚠️ Sharpe Ratio 8.03 — Exceptionally High
López de Prado (2014) shows Sharpe ratios above 3.0 are extremely rare in professional trading. Top-tier hedge funds rarely sustain above 2.5. With 188 trades, the standard error of your Sharpe estimate is ±0.07, meaning the true Sharpe could realistically be 7.9–8.2 at 95% confidence. Verify backtest conditions match live: spreads, slippage, rollover costs.
✅ 2 Regime Changes Detected — Low structural risk
Minimal regime shifts in the analysis window indicate parameter stability. The strategy has operated in a consistent market environment.
References

Bailey, D. et al. (2014) "The Deflated Sharpe Ratio" — Minimum track record length, multiple testing correction
López de Prado, M. (2014) "The Deflated Sharpe Ratio" — MinTRL formula, Sharpe standard error at finite samples
Politis, D. & Romano, J. (1994) "The Stationary Bootstrap" — Block resampling for serially dependent data
Pardo, R. (2008) "The Evaluation and Optimization of Trading Strategies" — Walk-forward, regime-based optimization

06Acceptable Period Ranges
Range TypeDaysUse Case
Minimum Acceptable518 days (1.4 years)Quick tests, high-frequency strategies
Recommended797 days (2.2 years)Calculated optimal — three-method average
Maximum Useful1,155 days (3.2 years)Conservative analysis, lower-frequency strategies
06 Re-optimisation Frequency
Recommended
Annual
(4.8 trades/mo avg)
Derived from optimal period
The re-optimisation frequency is derived from the recommended period and your timeframe's typical regime change rate. Re-running optimisation annual using a rolling 797 days (2.2 years) window keeps strategy parameters aligned with current market conditions.
REGIME CHANGES DETECTED
2
Low structural risk — stable parameters
VOLATILITY REGIME
1.09×
Normal range
07How to Apply These Results

💡 Practical Recommendations

1
Set Your Backtest Period
When running backtests, use approximately 797 days (2.2 years) of historical data. This gives enough trades for statistical validity while focusing on current market conditions.
2
Re-optimise Annual (4.8 trades/mo)
Markets change over time. Re-run optimisation annual (4.8 trades/mo) using the most recent 797 days (2.2 years) window to ensure parameters stay relevant to current market conditions.
3
Use Walk-Forward Testing
For robust validation: optimise on 797 days (2.2 years), test on the next 263 days (0.7 years), then roll forward and repeat. This prevents overfitting and validates parameter stability across time.