Penelope

Its backtest

What the strategy did on the history it was tested on, from 6 March 2012 to 11 September 2026, as BotFactoryFX measured it when it went into quarantine, with the costs it pays there. A simulated account of 10,000 in the market’s currency, with a fixed size; every figure in % of that account.

Trades

73 in 14.5 years, 0.4 a month

Won

95%

Profit factor

5.08

Result

+97.6%

Worst drawdown

−11.7%

Average per trade

+1.34%

Average win · average loss

+1.76% · −5.98%

Best trade · worst trade

+2.54% · −11.67%

Longest losing streak

1 trade in a row

Years in loss

1 of 15

The result, trade after trade

Its drawdowns

How far below its previous high it was at each closed trade: what you would have had to sit through.

Year by year

The first and the last year are only part of a year.

How it was found and judged

BotFactoryFX found it in the October hunt on 14 October 2026, the best of 2,381 candidate rule sets that search tried on S&P 500, daily candles.

Judge’s score

88/100 · Solid

On a similar market

the Dow Jones: 88/100 · Solid

Judged on

history the search never saw, from 5 May 2022

History it was found on

from 2012 to 2026

Checks measured

8 of 13

It is not independent of the Bollinger + Stochastic on the S&P 500: 37 of their trades enter on the same candle.

The judge is BotFactoryFX’s Reality Check: 13 checks on the strategy, nine of them on history the search never saw. Our bar to put one in quarantine is Solid, 75 or more, on its own market and again on a similar one, judged from the same date.

The judge’s report, check by check

The search that found it on 14 October 2026 kept its score but not this report, so on 1 November 2026 we judged it again exactly as then: same history, costs and cut-off date. It gave the same score: 88/100, Solid. Holds up, including on other instruments and other timeframes. No check failed outright. 5 could not run — each says why below.

• Out of sampleNot measurednot measurable

  Does it still work on history it never saw?

  Not one of the 20 trades on the held-back slice lost, so its profit factor has no losses to divide by and there is no number here to score. That is not a perfect result: it almost always means a stop that this stretch never reached, and a sample that has not yet met the risk it is taking. In sample the profit factor was 6.24, and there is nothing on the other side to compare it with.

• Period consistencyPassed6 / 6

  Does the edge hold across time, or was it one lucky stretch?

  6 of 6 windows closed in profit. The best window alone is 30% of the gains.

• Walk-forwardPassed5.06

  On history it never saw, would it survive being re-tuned as you went along?

  Re-tuned on past data only, the forward trades come out at profit factor 5.06 over 19 trades, profitable in 4 of 4 windows; the tuning picked different settings in 4 of them.

• Other instrumentsPassed100 %

  Does the edge exist anywhere else, or only here?

  The same rules stay profitable on USA30IDXUSD. An edge that survives a change of instrument is harder to explain away as a fit to this history. There it was measured only from 2022-05-05, the stretch this one never saw: before that is the history it was built on. Its distances in pips were scaled to each instrument's typical bar: USA30IDXUSD ×0.99.

• Other timeframesWarning15 %

  Does the edge survive on another clock, or only on these bars?

  Rebuilt on other clocks almost nothing survives — H4 1.61, against 5.12 on the original. That is the signature of a rule set fitted to this exact sequence of bars, though a strategy can also be genuinely specific to one timeframe. W1 was tried and had too few bars or trades to count.

• Better than chanceNot measurednot measurable

  On history it never saw, does it beat that same history with the direction of each bar drawn at random?

  Not one of the 20 trades it took on the held-back slice lost, so its profit factor has no losses to divide by and there is no number here to score. That is not a perfect result: it almost always means a stop that this stretch never reached, and a sample that has not yet met the risk it is taking. Without that number there is nothing to place among the 72 versions of the same stretch with the directions drawn at random, so this cannot say whether it beats chance.

• Parameter sensitivityNot measurednot measurable

  Does it still work, on unseen history, if the numbers were slightly different?

  The neighbouring settings never lost a trade on unseen history either — the middle of the 26 of them has no losses to divide by — so there is no number to compare against this strategy's own, and nothing here says whether it sits on a plateau or on a spike.

• DrawdownPassed9.2 %

  How deep underwater did you have to sit? A warning only: it does not count toward the score.

  Peak-to-trough 9.2 %, including the swing of open positions.

• Monte CarloNot measurednot measurable

  On history it never saw, how bad does it look if the trades had fallen differently — or without its best ones?

  Not one of the 20 trades on unseen history lost, so its profit factor has no losses to divide by and there is no number here to score. That is not a perfect result: it almost always means a stop that this stretch never reached, and a sample that has not yet met the risk it is taking. Reordering them 1000 times cannot change that, so the worst 5 % of orderings is the same non-number as the best.

• Sample sizePassedt = 24.5

  On history it never saw, is the average trade distinguishable from zero?

  Over 20 trades on unseen history the average result stands 24.5 standard errors from zero, which is enough to take seriously. The three best account for 16 % of gross profit.

• Cost tolerancePassed> 30 pips

  How much broker cost can it absorb before the edge dies?

  The edge is far larger than any plausible execution cost.

• PerturbationNot measurednot measurable

  On history it never saw, does it hold up if that stretch had begun elsewhere and its prices had wobbled?

  Started elsewhere with the prices nudged it never lost a trade either — the middle of the 40 runs has no losses to divide by — so there is no number on the other side, and nothing here says whether this particular stretch was the reason.

• Bar resolutionPassedunambiguous

  Does it hold up when measured on finer bars?

  No exit depended on the order in which the high and the low happened inside a bar, so nothing here rests on an assumption about it.

What the report does not cover

• Everything above was measured on 4,601 bars — 14 years 9 months, 2012-01-16 to 2026-10-09. Nothing here was tested outside that window.
• That window does not include the 2008 collapse, so no check above could tell you what this strategy does in one.
• Deflated Sharpe: counting the 2,381 rule sets the search tried, there is a 45 % probability that this strategy's Sharpe on the history it was chosen on is more than luck — 0.449 per trade over 53 trades, against 0.480 expected from the best of that many rule sets with no edge. The spread of the tried rule sets' Sharpes is taken as that of strategies with no edge, because the search does not record it yet. It looks only at the stretch where the strategy was chosen: a pattern that was real there and then stopped, or a flaw in the data, scores as high as an edge.
• This was the best of 2,381 different rule sets the search tried. What a search that size scores on data with no edge in it was measured on hourly currency pairs, not on this instrument and timeframe, so there is no reference figure for it here: the more candidates a search tries, the more likely its best is best by luck.

Live, in quarantine

Since 18 October 2026, on prices it had never seen, with closed trades only.

Quarantine verdict: Too early to tell

At its backtest’s pace, by now it would have closed about 0.3 trades and made +0.4%.

Its closed trades

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