Conservative
£110,125
final equity (no haircut)
£106,058
with 40% haircut
−6.19%
max drawdown
92.4%
days underwater
Best month 2024-03 (+3.73%) · worst 2026-05 (-3.45%) · flat-quarter odds 44.2% · worst 21-day start -4.09%
Balanced
£120,448
final equity (no haircut)
£112,232
with 40% haircut
−12.09%
max drawdown
92.6%
days underwater
Best month 2024-03 (+7.59%) · worst 2026-05 (-6.81%) · flat-quarter odds 44.2% · worst 21-day start -8.03%
Aggressive
£161,028
final equity (no haircut)
£137,670
with 40% haircut
−33.59%
max drawdown
92.8%
days underwater
Best month 2024-03 (+24.27%) · worst 2026-05 (-19.33%) · flat-quarter odds 44.9% · worst 21-day start -22.43%
Balanced profile — full equity path and underwater curve
Rendered from the verified daily series. The red histogram is percentage below the prior peak — the texture of systematic trading that smooth marketing curves hide.
Source: quantcorex-100k-simulation.json · engine study, V20-era stack
V22 stack vs V23 Clean Stack
The V22 audit found two GBPUSD systems erasing most portfolio gains. The V23 Clean Stack removes them (one disabled outright, one suspended pending broker re-test). Same risk budget, same data — the difference is subtraction:
V22 full stack
3.77%
CAGR @ 12% DD budget · Calmar 0.314
V23 Clean Stack
9.68%
CAGR @ 12% DD budget · Calmar 0.806
Clean + risk parity
10.64%
CAGR @ 12% DD budget · Calmar 0.887
The haircut table — the realistic read
Our methodology assumes live execution lands 20–40% below simulation (multiple-testing bias, spreads, slippage, regime change). The 40% rows are the conservative planning case.
| Profile | Haircut | Final | Total | Annualized | Max DD | Longest UW |
|---|---|---|---|---|---|---|
| Conservative | 0% | £110,125 | 10.12% | 1.37% | −6.19% | 522d |
| Conservative | 20% | £108,089 | 8.09% | 1.1% | −4.98% | 522d |
| Conservative | 30% | £107,073 | 7.07% | 0.97% | −4.37% | 522d |
| Conservative | 40% | £106,058 | 6.06% | 0.83% | −3.75% | 522d |
| Balanced | 0% | £120,448 | 20.45% | 2.66% | −12.09% | 525d |
| Balanced | 20% | £116,341 | 16.34% | 2.16% | −9.76% | 525d |
| Balanced | 30% | £114,286 | 14.29% | 1.9% | −8.58% | 525d |
| Balanced | 40% | £112,232 | 12.23% | 1.64% | −7.39% | 522d |
| Aggressive | 0% | £161,028 | 61.03% | 6.95% | −33.59% | 525d |
| Aggressive | 20% | £149,734 | 49.73% | 5.86% | −27.07% | 525d |
| Aggressive | 30% | £143,778 | 43.78% | 5.25% | −23.97% | 525d |
| Aggressive | 40% | £137,670 | 37.67% | 4.61% | −20.83% | 525d |
Stress scenarios
- Anchor (USDJPY ADX-Regime) underperforms. The anchor contributes the largest trade count (N=510 broker-validated). Its OOS decay of 1.04 is the best evidence in the book, but a regime break would push the portfolio toward the Conservative profile's return shape.
- NAS100 stack pauses. Four of nine systems express NAS100 exposure under one cluster cap (2 positions). Pausing the stack removes the cluster's contribution and roughly halves trade frequency.
- Spreads double. Approximated by the 20-40% haircut variants below — spread costs scale with trade count, hitting the H4/H1 systems hardest.
- BTC disabled. BTCUSD VWTSM is probation, half-risk and regime-dependent (full-window PF 1.51). Removing it barely changes the Conservative/Balanced shapes.
- First 30 days are unlucky. Computed per profile as the worst contiguous 21-trading-day start in the series (see worstStart21dPct).
- Probation strategies removed. Conservative IS that scenario — it runs core-only by definition.
What this is — and is not
Engine-based historical simulation (V20-era stack) on institutional data, 1,787 trading days 2021-07 to 2026-06. Equity rescaled from the £10k research run to £100k (percentages identical). Haircut variants scale daily returns by 20/30/40% to discount multiple-testing bias — our documented live expectation. This is research, not live performance and not a forecast.
Source artifacts: results/portfolio_5yr/portfolio_5yr_results.json · results/portfolio_5yr/daily_*.csv · results/REMEDIATION_V21_RESULTS.md. Full study: QUANTCOREX_100K_SIMULATION_STUDY.md. Read the risk disclosure before drawing conclusions — leveraged trading is high-risk and simulations are not guarantees.