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Backtest Lab

Backtest Lab

Research notes, test reports and experiments. Published as they are — including the ones that ended with a rejected hypothesis.

Test. Break. Improve. Repeat.

01Research at a glance

Aggregated across every published system. Each figure is the sum of what the individual tester reports state — nothing here is modelled.

  • 14 Systems
  • 75,166 Closed trades
  • 2,009 Months of record
  • 3 Markets
  • 2003 Earliest test
  • 24 years Longest history

02Global performance

Every published system ranked on one metric at a time. Bars are scaled to the highest value in each list.

TYO SCORE

  1. 01 GALOA 75
  2. 02 NEXUS 75
  3. 03 JOKER 71
  4. 04 COSMOS 71
  5. 05 SENA 71
  6. 06 GRANDSLAM 70
  7. 07 KOKOMO 70
  8. 08 MIRUMO 68
  9. 09 GODSPEED 62
  10. 10 METRO 62
  11. 11 EVERGREEN 62
  12. 12 RINA 55
  13. 13 SUPREMACY 55
  14. 14 JAYRO 40

Profit factor

  1. 01 GALOA 8.07
  2. 02 RINA 3.89
  3. 03 MIRUMO 2.90
  4. 04 JAYRO 2.84
  5. 05 GRANDSLAM 2.83
  6. 06 SENA 2.54
  7. 07 KOKOMO 2.44
  8. 08 SUPREMACY 2.38
  9. 09 METRO 1.95
  10. 10 COSMOS 1.80
  11. 11 EVERGREEN 1.78
  12. 12 JOKER 1.71
  13. 13 GODSPEED 1.70
  14. 14 NEXUS 1.52

Maximum drawdown

  1. 01 JOKER 2%
  2. 02 NEXUS 2.6%
  3. 03 GALOA 17.8%
  4. 04 COSMOS 19.8%
  5. 05 GRANDSLAM 21.56%
  6. 06 SENA 22.68%
  7. 07 KOKOMO 25.32%
  8. 08 MIRUMO 35.97%
  9. 09 GODSPEED 38.38%
  10. 10 EVERGREEN 40.98%
  11. 11 METRO 43.39%
  12. 12 SUPREMACY 48.82%
  13. 13 RINA 56.05%
  14. 14 JAYRO 70.83%

Closed trades

  1. 01 NEXUS 19,968
  2. 02 SUPREMACY 19,246
  3. 03 GRANDSLAM 12,404
  4. 04 JAYRO 5,460
  5. 05 COSMOS 4,144
  6. 06 GODSPEED 2,552
  7. 07 METRO 2,457
  8. 08 EVERGREEN 1,748
  9. 09 MIRUMO 1,694
  10. 10 KOKOMO 1,489
  11. 11 JOKER 1,258
  12. 12 GALOA 1,098
  13. 13 SENA 961
  14. 14 RINA 687

Years covered

  1. 01 GODSPEED 24
  2. 02 GALOA 24
  3. 03 KOKOMO 24
  4. 04 METRO 24
  5. 05 MIRUMO 24
  6. 06 EVERGREEN 23
  7. 07 SENA 19
  8. 08 RINA 19
  9. 09 JOKER 11
  10. 10 COSMOS 9
  11. 11 NEXUS 9
  12. 12 SUPREMACY 7
  13. 13 GRANDSLAM 3
  14. 14 JAYRO 2

03Risk and return

Each system placed by what it returned against what it cost in drawdown. Bubble size is trade count. Return is the compound annual growth rate over the test. These systems trade fixed lot sizes, so CAGR understates what a compounding configuration would have produced — it is used because it is the only measure that compares a 2-year test with a 24-year one honestly.

0% 20% 40% 60% 80% 0% 10% 20% 30% 40% JOKER JOKER · Maximum drawdown 2% · Annualised return (CAGR) +1.0% · 1,258 NEXUS NEXUS · Maximum drawdown 2.6% · Annualised return (CAGR) +11.9% · 19,968 GALOA GALOA · Maximum drawdown 17.8% · Annualised return (CAGR) +10.3% · 1,098 COSMOS COSMOS · Maximum drawdown 19.8% · Annualised return (CAGR) +2.0% · 4,144 GRANDSLAM GRANDSLAM · Maximum drawdown 21.56% · Annualised return (CAGR) +28.0% · 12,404 SENA SENA · Maximum drawdown 22.68% · Annualised return (CAGR) +11.1% · 961 KOKOMO KOKOMO · Maximum drawdown 25.32% · Annualised return (CAGR) +10.1% · 1,489 MIRUMO MIRUMO · Maximum drawdown 35.97% · Annualised return (CAGR) +9.2% · 1,694 GODSPEED GODSPEED · Maximum drawdown 38.38% · Annualised return (CAGR) +8.9% · 2,552 EVERGREEN EVERGREEN · Maximum drawdown 40.98% · Annualised return (CAGR) +7.3% · 1,748 METRO METRO · Maximum drawdown 43.39% · Annualised return (CAGR) +9.1% · 2,457 SUPREMACY SUPREMACY · Maximum drawdown 48.82% · Annualised return (CAGR) +11.9% · 19,246 RINA RINA · Maximum drawdown 56.05% · Annualised return (CAGR) +20.6% · 687 ▲ JAYRO +108% JAYRO · Maximum drawdown 70.83% · Annualised return (CAGR) +108.2% · 5,460 Maximum drawdown Annualised return (CAGR)
Drawdown basis is not the same for every system: MetaTrader 5 reports equity drawdown, MetaTrader 4 reports balance drawdown, which is the more forgiving of the two. Systems marked with a hollow ring are on the balance basis and sit further left than a like-for-like comparison would place them.

04Performance matrix

Headline figures for every system in one grid.

systems Symbol TYO SCORE Profit Factor Maximal Drawdown Total Trades Years covered Annualised return (CAGR)
JOKER XAUUSD 71 1.71 2% 1,258 11 +1.0%
JAYRO GBPUSD / USDJPY 40 2.84 70.83% 5,460 2 +108.2%
GRANDSLAM BTCUSD 70 2.83 21.56% 12,404 3 +28.0%
GODSPEED GBPJPY 62 1.70 38.38% 2,552 24 +8.9%
GALOA USDJPY 75 8.07 17.8% 1,098 24 +10.3%
COSMOS BTCUSD 71 1.80 19.8% 4,144 9 +2.0%
KOKOMO EURUSD 70 2.44 25.32% 1,489 24 +10.1%
METRO GBPUSD 62 1.95 43.39% 2,457 24 +9.1%
MIRUMO USDJPY 68 2.90 35.97% 1,694 24 +9.2%
SENA XAUUSD 71 2.54 22.68% 961 19 +11.1%
RINA XAUUSD 55 3.89 56.05% 687 19 +20.6%
NEXUS BTCUSD 75 1.52 2.6% 19,968 9 +11.9%
EVERGREEN EURJPY 62 1.78 40.98% 1,748 23 +7.3%
SUPREMACY BTCUSD 55 2.38 48.82% 19,246 7 +11.9%
Full comparison

05Equity analysis

Balance through each backtest, from that system’s own deal list.

Account balance through the backtest. The dashed line is the running peak. 2016–2026

06Monthly returns

Month by month, as a percentage of the balance each month began with.

Monthly return by year, percent of the balance at the start of each month
Year JanFebMarAprMayJunJulAugSepOctNovDec Year
2016 Not published -1 -0 0 0 0 0 0 -1 0 -0 Not published -1%
2017 0 Not published 0 Not published 0 Not publishedNot publishedNot published 0 Not publishedNot publishedNot published +0%
2018 Not published 0 0 0 Not publishedNot published 0 Not publishedNot publishedNot publishedNot publishedNot published +0%
2019 Not publishedNot published 0 Not published 0 0 0 0 0 0 0 0 +1%
2020 -0 0 1 0 0 0 0 0 0 0 0 0 +1%
2021 -0 0 0 0 0 0 0 0 0 0 1 0 +2%
2022 0 0 1 0 0 -0 0 0 0 0 0 0 +2%
2023 0 0 0 -1 0 0 Not published 0 Not published 0 0 -0 -0%
2024 0 0 0 1 0 0 0 -0 0 0 0 0 +2%
2025 0 1 0 1 0 0 1 0 1 0 1 0 +5%
2026 -1 2 Not publishedNot publishedNot publishedNot publishedNot publishedNot publishedNot publishedNot publishedNot publishedNot published +1%

Each cell is that month’s return as a percentage of the balance it started with. Green is a gain, red a loss. Empty cells had no closed trades.

07High risk lab

Systems whose backtest drew down 40% or more from peak. They are listed here rather than hidden, because a drawdown of that size is the single most important thing to know before running one.

08Research notes

Systems we have shipped.

Each Expert Advisor is documented with its concept, logic, risk model and test conditions. No black boxes, no unexplained results.

Explore Our EAs Full comparison table