Demo swing trader (fictional)
What the evidence shows
Mean net return per trade -0.36%, 90% interval -0.96% to +0.22%. The smallest mean this sample could reliably detect is about 0.89% per trade; at the observed mean, roughly 931 trades would be needed.
Strategy -7.89% vs -10.75% for Demo Index held at the strategy's exposure (+2.85%), and -38.82% buy-and-hold. A point estimate without an interval.
Is the average trade distinguishable from zero?
ordinary bootstrap over 153 trades (10,000 draws, seed 20261106); one-sided p = share of resampled means <= 0; adjusted p = p x 3 variants tested (Bonferroni). Probabilistic Sharpe ratio of per-trade returns versus zero: 0.157 (probability the true per-trade Sharpe is above zero, before the variant adjustment).
Return, drawdown and exposure
realised (closed trades only); no daily mark-to-market. Intra-trade losses that later recovered are not visible in a trade file, so the true drawdown was at least this deep.
BenchmarkCompared with doing nothing clever
| Series | Return over the same dates |
|---|---|
| Strategy (realised) | -7.89% |
| Demo Index buy-and-hold | -38.82% |
| Demo Index at the strategy's exposure | -10.75% |
| Strategy minus exposure-matched | +2.85% |
Exposure-matched = the benchmark held each day at the strategy's own prior-day exposure (open cost basis / equity), cash earning 0. It separates how much the strategy was invested from what it picked. Point comparison: no confidence interval, because positions are not marked to market daily.
CostsHow much slippage can the strategy absorb?
| Scenario | Value |
|---|---|
| Recorded fees | $344.00 |
| Net P&L with +5 bps per side | -$2,656.32 |
| Net P&L with +10 bps per side | -$3,338.97 |
| Net P&L with +25 bps per side | -$5,386.92 |
| Break-even extra cost | -14.5 bps per side |
Extra cost per side is charged on both the entry and the exit value of every trade, on top of recorded fees. It stands in for spread and slippage the trade file cannot show.
ConcentrationWhere the P&L came from
Tests performed and not performed
| Test | Status | Needs | Note |
|---|---|---|---|
| Win rate, payoff, expectancy, profit factor | RUN | closed trades | |
| Bootstrap interval and significance of the average trade | RUN | at least 2 closed trades | |
| Adjustment for the number of variants tried | RUN | number of variants (you supply it) | |
| Recorded fees and slippage stress (5/10/25 bps per side) | RUN | entry and exit prices | |
| Dependence on symbols and on the best trades | RUN | closed trades | |
| Return, realised drawdown and exposure | RUN | starting capital | |
| Buy-and-hold and exposure-matched benchmark | RUN | starting capital and a daily benchmark price file | |
| Daily mark-to-market drawdown and volatility | NOT RUN | daily prices for every traded symbol | a trade file has no prices between entry and exit |
| Random-entry / random-selection counterfactual | NOT RUN | historical prices for the eligible universe on every decision date | available in the Advanced audit, run by SignalPoint with licensed historical data |
| Look-ahead and execution-fidelity review of the strategy code | NOT RUN | the strategy's code or rules | available in the Advanced audit |
What this report does not establish
- That the strategy will be profitable in the future, or that its rules are free of look-ahead or overfitting.
- Anything about trades not in the file, or about whether the file is complete.
- Daily risk between entry and exit: a trade file has no prices in between.
- Whether the stock selection beat random selection from the same universe (needs historical universe data).
Important disclosures
- This report is a statistical review of historical trades supplied by the customer. It is not investment advice, a recommendation to buy or sell any security, or an offer of any service to manage money.
- Past results, including any described here as statistically clear, do not predict future results. A positive historical average can disappear after costs, in new market conditions, or because it was found by trying many variants.
- SignalPoint did not verify that the uploaded trades occurred, were executed at the prices shown, or are complete. Results are only as accurate as the file.
- Tests marked NOT RUN were not performed because the required data was not supplied. Their absence is not a pass.
SignalPoint Strategy Audit audit-method-1. Calculations are deterministic: the same file and settings produce the same numbers.