Monte-Neo strategy verdict REJECT
Certificate 833822c4e384602d · engine v0.43.0 · 2026-09-30T08:39:54+00:00
Summary
Equity
Per-bar returns after warm-up, bars with a change only.
Annualized, trailing window of 393 bars.
Net return as the per-side trading cost grows.
Trades
What to fix
- The strategy loses money after costs: reduce turnover or find a stronger edge.
- Sharpe does not survive the number of variants tried: test out-of-sample or reduce the search space.
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 0.488 over 1976 bars (z -1.0) |
| costs_modeled | economics | pass | 10.00 bps per side modeled |
| net_profitability | economics | fail | net total return -23.02% after costs |
| cost_margin | economics | skip | not profitable after costs |
| delay_sensitivity | economics | skip | not profitable after costs |
| timing_significance | statistics | skip | not profitable after costs |
| sample_size | statistics | pass | 35 closed trades (min 30) |
| deflated_sharpe | statistics | fail | deflated Sharpe 0.141 over 1 trial(s) |
| trials_disclosed | statistics | info | n_trials not declared (assumed 1) |
| holdout_consistency | statistics | pass | Sharpe/bar train -0.0036 vs holdout -0.0501 |
| period_consistency | statistics | skip | not profitable after costs |
| walk_forward_stability | statistics | info | 2 of 6 equal windows (657 bars each) made money; worst -14.1%, best +14.0% |
| sharpe_confidence | statistics | info | Sharpe 95% interval -4.36 to +1.16 (return -49.3% to +16.2%); 11% of resamples have a positive Sharpe |
| track_record | statistics | info | the Sharpe is not positive: no history length makes it significant |
| benchmark | statistics | info | buy & hold +9.07% (Sharpe 0.65) vs strategy -23.02% (Sharpe -1.60) |
| spread_estimate | economics | info | rough spread estimate from high and low: about 0.77 bps (0.38 bps per side); the model charges 5 bps slippage per side |
By period (month)
| period | bars | return | buy & hold | Sharpe | exposure |
|---|---|---|---|---|---|
| 2020-01 | 684 | +3.83% | +3.72% | 1.54 | 56% |
| 2020-02 | 696 | -10.87% | -0.83% | -4.11 | 48% |
| 2020-03 | 744 | +10.38% | -3.30% | 4.16 | 45% |
| 2020-04 | 720 | -4.26% | +9.17% | -1.33 | 55% |
| 2020-05 | 744 | -20.72% | -4.31% | -9.03 | 46% |
| 2020-06 | 352 | -0.70% | +4.97% | -0.31 | 54% |
By market regime
| market regime | share of bars | strategy | market | Sharpe |
|---|---|---|---|---|
| rising | 50% | -1.29% | +15.37% | 0.04 |
| falling | 50% | -26.26% | -11.24% | -5.41 |
| calm | 50% | -13.00% | +2.08% | -1.78 |
| volatile | 50% | -16.34% | +0.32% | -2.38 |
Regime of a bar: the market's trailing return and volatility over the previous 200 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 0896d59915215045b0ba55263d78d415ef53d20a8f6ee029b0e5d09a323c57e2
signals 0322cc08d70e1e0a4eaf04b656c699565f0e6bed42fb90d86defc8e4dc1cf300
source 07b82baf1d8420bf58b7c666a842698017233ee2091aeade43bccc254d95beed
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.