Engine C — Validation

Long Side ValidatedShort Side in ResearchIncubating in LAB

Engine C is not yet a final engine. The long side has completed walk-forward validation; the short side remains in research. WFA results for the long side are published here.

Validation Status

Long side

Validated

C1–C4 OOS slices

Short side

In research

Not yet published

External evaluation

Live

FTMO Swing 2-Step · began 29 Jul 2026

Unlike Engines A and B, C has not completed a formal engine-wide validation review. The long-side WFA, full-window configuration and stress test are published here; the short side remains in research.

Walk-Forward Timeline (Long Side)

Four rolling slices. Periods below are read from the long-side WFA slices; OOS results are reported at the slice level, not the engine level.

Slice	IS Period	OOS Period	OOS Result
C1	19/01/2014 - 01/01/2019	01/01/2019 - 01/01/2021	Breakeven · PF 1.00
C2	01/01/2016 - 01/01/2021	01/01/2021 - 01/01/2023	Profitable · PF 1.56
C3	01/01/2018 - 01/01/2023	01/01/2023 - 01/01/2025	Profitable · PF 1.33
C4	01/01/2019 - 01/01/2024	01/01/2024 - 01/01/2026	Profitable · PF 1.64

C1 OOS is breakeven on profit factor — a weak slice. C2–C4 are profitable out-of-sample. Together with the full-window production configuration and stress testing below, these slices form the validation basis for C longs.

Engine C Walk-Forward Slices

In-Sample19/01/2014 - 01/01/2019

Out-of-Sample01/01/2019 - 01/01/2021

Sample (IS/OOS)	Win Rate	Profit Factor	Sharpe	DD max	Trades
In-Sample	30.1%	1.47	2.40	13.8%	461
Out-of-Sample	27.0%	1.00	0.19	26.0%	185

Structural Diagnostics (IS / OOS)

Behavioral Structure

Runs Zi

1.31

OOS

-1.31

Percent Time Below Highi

87.0%

OOS

91.4%

Drawdown Stress

Ulcer Indexi

5.50

OOS

11.87

Out-of-Sample Stability Summary

Performance Stability

Metric	Mean	StDev	CV	Min / Max
Profit Factor (OOS)	1.38	0.25	0.180	1.00 / 1.64
Sharpe (OOS)	1.95	1.10	0.563	0.19 / 3.00
Max DD % (OOS)	19.13%	3.99%	0.208	15.94% / 25.96%

Structural Stability

Metric	Mean	StDev	CV	Min / Max
Runs Z (OOS)	-0.21	1.12	5.402	-1.31 / 1.24
Ulcer Index (OOS)	8.15	2.16	0.265	6.63 / 11.87
Percent Time Below High (OOS)	89.10%	2.30%	0.026	86.75% / 91.44%

Monte Carlo Stress Test

Full-Window Long Configuration

Simulations use validated long-side trade returns only, bootstrap-resampled with replacement to produce 10,000 equity paths to estimate variability in cumulative returns and drawdown distribution.

Results reflect resampled historical trade returns under the same position sizing model and are not forecasts of future performance. Bootstrap sampling tests sensitivity to trade ordering; the rolling WFA above provides the complementary time-and-regime robustness evidence.

Equity Path Simulation

10,000 paths · 1,171 trades resampled

Full BT Median 25th–75th 5th–95th

Median Max Drawdown

22.8%

95th pctl: 33.7%

Original Max DD

24.0%

Backtest (single path)

Median Final Multiple

×38.7

5th–95th: ×12.0 – ×127

Original Final Multiple

×38.4

Backtest (single path)

Drawdown Probability

>20%

72.5%

>30%

12.0%

>40%

0.9%

>50%

0.1%

1,171 trades · 10,000 paths · bootstrap with replacement · seeded PRNG for reproducibility