Monte-Neo strategy verdict REJECT
Certificate a9c3d38fc4eea30e · engine v0.39.0 · 2026-09-29T20:32:50+00:00
Summary
Equity
Per-bar returns after warm-up, bars with a change only.
Annualized, trailing window of 293 bars.
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.
Net return as the per-side trading cost grows.
Trades
What to fix
- Check the flagged bars against another source: one-bar spikes, frozen prices, unadjusted splits and gaps are data errors that create fake profits.
- Profit disappears with one bar of execution delay: the edge lives in fill timing.
Evidence
fail data_quality
- spike at bar 229
- spike at bar 296
- spike at bar 514
Checks
| check | category | status | summary |
|---|---|---|---|
| data_integrity | integrity | pass | OHLCV is clean |
| data_quality | integrity | fail | 100% of the profit comes from 38 one-bar price spikes (bad ticks) |
| 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 | skip | next-bar hit rate: too few active bars |
| costs_modeled | economics | pass | 10.00 bps per side modeled |
| net_profitability | economics | pass | net total return +16947.30% after costs |
| cost_margin | economics | pass | break-even cost 200.00 bps per side vs 10.00 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 | 78 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 +0.1086 vs holdout +0.1123 |
| period_consistency | statistics | pass | profitable in 5 of 5 periods |
| sharpe_confidence | statistics | info | Sharpe 95% interval +8.60 to +11.74 (return +3624.1% to +84389.4%); 100% of resamples have a positive Sharpe |
| track_record | statistics | info | needs 61 bars (about 0.01 years) to be positive at 95%; has 2,939 |
| benchmark | statistics | info | buy & hold +29.09% (Sharpe 1.48) vs strategy +16947.30% (Sharpe 10.28) |
| spread_estimate | economics | info | rough spread estimate from high and low: about 2.33 bps (1.16 bps per side); the model charges 5 bps slippage per side |
By period (month)
| period | bars | return | buy & hold | Sharpe | exposure |
|---|---|---|---|---|---|
| 2021-01 | 684 | +92.82% | +19.56% | 7.60 | 2% |
| 2021-02 | 672 | +278.31% | +3.33% | 10.61 | 3% |
| 2021-03 | 744 | +378.23% | +11.57% | 11.48 | 3% |
| 2021-04 | 720 | +334.97% | -12.13% | 11.17 | 3% |
| 2021-05 | 120 | +12.35% | +6.58% | 8.12 | 2% |
By market regime
| market regime | share of bars | strategy | market | Sharpe |
|---|---|---|---|---|
| rising | 89% | +1016.74% | -92.26% | 8.05 |
| falling | 11% | +1426.52% | +1547.23% | 22.52 |
| calm | 50% | +699.37% | +26.46% | 9.40 |
| volatile | 50% | +2032.60% | +0.80% | 11.39 |
Regime of a bar: the market's trailing return and volatility over the previous 150 bars.
Reproduce
Costs: 5.00 bps commission + 5.00 bps slippage per side; fills at the next bar's open; long_short; warm-up 60 bars; n_trials 1; min_trades 30.
data 7384f7f61b6398b1d981004d06f22f11bfa02d2080b84bc5159be573e453f119
signals b4092a2aec7ae3f2a938c6249d275659497cb36e0956f8d8952e0153c46a25aa
source 0882f6b1e7a8f6f1930f0897760afaaeb64e4b10b4179ac9cabec17faa1169b6
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.