USDJPY SHARPE VALIDATION — RESULTS REPORT
Generated: 2026-05-13 21:42
Data: usdjpy_trades_real_costs.csv (703 trades, 2003–2026)
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BASE METRICS
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  Sharpe ratio:     9.4067
  Sortino ratio:    26.6443
  Calmar ratio:     27.825
  Recovery factor:  77.62×
  Win rate:         71.12%
  Max drawdown:     $8,590
  t-statistic:      15.7114 (p=6.88e-48)
  Trades/year:      29.3
  Total P&L:        $666,744.57

TEST RESULTS
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  ✅ PASS  T1: Signal Randomisation
  Real Sharpe 9.407 beats 100.0% of random signals (15.6σ above random mean). PASS — edge is in the signal, not the prices.

  ✅ PASS  T2: Block Bootstrap CI
  95% CI [8.075, 10.718]. PASS — lower CI bound > 1.0, Sharpe is robustly positive.

  ✅ PASS  T3: Yearly Consistency
  24/24 years positive (100.0%) with >= 5 trades. Threshold: 75%. PASS.

  ✅ PASS  T4: Walk-Forward OOS
  IS Sharpe 9.393 (496 trades) | OOS Sharpe 9.420 (207 trades) | Degradation -0.3%. PASS — OOS positive.

  ❌ FAIL  T5: Deflated Sharpe Ratio
  DSR = 0.000000 (threshold 0.95) across 50 assumed trials. Skewness -0.174, excess kurtosis -1.036. FAIL — edge may be selection artefact.

  ✅ PASS  T6: Minimum Backtest Length
  Have 703 trades, need 17 for 99% confidence. Ratio 41.4× available/required. PASS — sufficient data.

  ✅ PASS  T7: Newey-West t-statistic
  t = 15.20, p = 2.46e-45 (6 HAC lags). Threshold: 2.576 (99% confidence). t is 5.9× the threshold. PASS — mean return significant after autocorrelation correction.

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ROLLING 3-YEAR WINDOWS: 22/22 positive (100.0%)

  2003–2005   74 trades  WR 64.9%  Sharpe +6.697  P&L $+53,372  ✅
  2004–2006   83 trades  WR 68.7%  Sharpe +8.043  P&L $+72,426  ✅
  2005–2007   90 trades  WR 73.3%  Sharpe +9.746  P&L $+87,869  ✅
  2006–2008   94 trades  WR 76.6%  Sharpe +12.790  P&L $+120,176  ✅
  2007–2009   85 trades  WR 72.9%  Sharpe +11.524  P&L $+103,026  ✅
  2008–2010   77 trades  WR 70.1%  Sharpe +10.942  P&L $+92,696  ✅
  2009–2011   74 trades  WR 71.6%  Sharpe +9.933  P&L $+76,801  ✅
  2010–2012   80 trades  WR 73.8%  Sharpe +9.917  P&L $+78,648  ✅
  2011–2013   94 trades  WR 68.1%  Sharpe +7.056  P&L $+71,464  ✅
  2012–2014   99 trades  WR 68.7%  Sharpe +7.631  P&L $+80,037  ✅
  2013–2015  101 trades  WR 69.3%  Sharpe +8.936  P&L $+97,839  ✅
  2014–2016   91 trades  WR 74.7%  Sharpe +12.239  P&L $+110,000  ✅
  2015–2017   90 trades  WR 71.1%  Sharpe +10.284  P&L $+93,591  ✅
  2016–2018   97 trades  WR 72.2%  Sharpe +9.211  P&L $+83,143  ✅
  2017–2019   97 trades  WR 73.2%  Sharpe +8.929  P&L $+73,716  ✅
  2018–2020   94 trades  WR 72.3%  Sharpe +9.788  P&L $+79,346  ✅
  2019–2021   89 trades  WR 71.9%  Sharpe +10.668  P&L $+81,171  ✅
  2020–2022  105 trades  WR 67.6%  Sharpe +7.953  P&L $+77,703  ✅
  2021–2023  107 trades  WR 71.0%  Sharpe +8.375  P&L $+87,331  ✅
  2022–2024  102 trades  WR 72.5%  Sharpe +9.133  P&L $+97,001  ✅
  2023–2025   90 trades  WR 72.2%  Sharpe +10.339  P&L $+101,694  ✅
  2024–2026   71 trades  WR 71.8%  Sharpe +10.214  P&L $+76,092  ✅

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VERDICT: 6/7 tests passed

CONCLUSION: Sharpe is LIKELY GENUINE but with caveats.
1 test(s) failed — review individual results above.

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