4,019 validated trades (3,205 with EVZ coverage) · MFE/MAE analysis · TP sweep with corrected miss assumption
Baseline
Sharpe3.94
Win Rate75.3%
Total P&L$725,767
TP Fixed0.20%
Trades3,205
V3 Best (Optimistic — miss=0)
Sharpe7.00
Config0.20/0.30/0.40/0.60
Total P&L$1,497,067
Extra P&L+$771,300
⚠ Miss=breakeven assumedOVERSTATED
Corrected Best (90% SL on miss)
Sharpe~5.2
Config0.20/0.30/0.50/1.00
Total P&L$1,048,620
Extra P&L+$322,852 (+44.5%)
VerdictNEEDS VALIDATION
Analysis · Caveats · Next Steps
✓ WHAT THE DATA SHOWS
· MFE scales strongly with EVZ
· Stress regime: 93% of TP exits reach 0.30%
· 85.9% reach 0.35%, 54.6% reach 0.75%
· Win rate rises 69% → 90% in Stress
· Optimal TP appears to peak around 1.00% for Stress
· Even with corrected misses: +44.5% total P&L
⚠ CRITICAL CAVEATS
· V3 miss assumption (=0) is wrong — misses likely hit SL
· True outcome between corrected and V3 estimates
· 814 trades pre-2008 excluded (no EVZ data)
· EVZ data ends Mar 2025 — needs updating
· Increasing TP increases variance (Sharpe caution)
· FTMO daily DD limits — bigger swings risky
→ NEXT STEPS REQUIRED
· Full re-simulation with wider TPs in backtest engine
· Track actual outcome when trade passes 0.20% but misses wider TP
· Walk-forward validate on holdout period (2020+)
· Monte Carlo on FTMO DD breach probability
· Start conservative: only Stress regime (EVZ 15+) in live
· Monitor first 20+ live trades before full implementation
Honest position: The MFE data provides genuine evidence that wider TPs capture real moves in high-EVZ environments.
The corrected estimate (+44.5% P&L, ~+1.3 Sharpe) is meaningful but requires proper re-simulation to confirm.
The +3.06 Sharpe from V3 is overstated due to the miss=breakeven assumption.
The correct approach before any live implementation: full backtest re-run with wider TPs, then walk-forward on holdout.
If that holds up — start with Stress regime only (EVZ 15+, TP 0.50-1.00%) before expanding to other regimes.