Risk & Scoring
How much confidence do the data actually support?
The scores are, by construction, conservative estimates of executable performance. Every calculation records the parameter version it used.
Individual Score (0–100)
Observed quality × evidence maturity: loss severity, stagnation, regularity and per-regime consistency (Bull / Bear / Range), weighted by the available evidence. A new strategy with excellent results but a short sample deliberately receives a contained grade.
Portfolio Score (0–100)
The portfolio is treated as a single synthetic strategy over the synchronized window of its legs. The grade of the aggregate curve is adjusted by a Composition Factor that penalizes currency and symbol concentration, directional imbalance, regime fragility and dependence on a few leaders.
Haircut: the reality adjustment
Before any scoring, every demo trade is discounted by the median demo-to-real degradation measured on a real-money sentinel account, per symbol and direction. It is applied in full only with a sufficient paired sample, and never produces a positive adjustment.
Formal definitions live in a dedicated normative document.
Scores, illustrated
What each score rewards, and what it discounts
Individual Score: evidence maturity
A great short record ranks below a good long one.
Excellent results, 2 months of evidence
- Observed quality
- 90
- Evidence maturity
- 2 months
- Individual Score
- 41
A contained grade until the evidence matures.
Good results, 12 months of evidence
- Observed quality
- 75
- Evidence maturity
- 12 months
- Individual Score
- 71
Ranks higher: the record is long enough to trust.
Illustrative values, not actual results or the exact formula.
Population + decorrelation
Transcript
- Population: sixteen strategy legs, each a noisy equity curve.
- One leg alone has deep drawdowns and long flat stretches.
- Correlation is measured pair by pair. Each row of the grid is one leg; the bright blocks are groups of legs that move together.
- From each block only one leg is kept, together with every independent leg; the rest are redundant.
- Many uncorrelated legs, one steadier curve: their average has a lower drawdown and less stagnation than a single leg.
- Diversification that is measured, not assumed.
Portfolio Score: composition
The Composition Factor penalizes currency and symbol concentration, directional imbalance, regime fragility and dependence on a few leaders.
Same curve, different score.
Spread across currencies, directions and leaders
- Base Grade
- 80
- Composition Factor
- × 0.97
- Portfolio Score
- 78
A balanced composition keeps almost all of its grade.
Concentrated in one currency and a few leaders
- Base Grade
- 80
- Composition Factor
- × 0.70
- Portfolio Score
- 56
- Currency concentration
- Dependence on a few leaders
The same curve scores lower: its risk is concentrated.
Illustrative values, not actual results.
Reality adjustment
The haircut, step by step
Before any score is computed, demo results are discounted by how much real money has shown the demo to overstate.
Pair the trades
A sentinel account trades a sample of strategies with real money, alongside their demo copies.
Measure the gap
The median demo-to-real degradation is computed per symbol and per direction, Buy and Sell separately.
Discount the demo
Every demo trade of that symbol and direction is reduced by the measured gap before scoring.
Illustrative example · EURUSD Buy
−18% median demo-to-real gap
Indexed to 100. Illustrative values, not actual results.
Per symbol and direction
EURUSD Buy and EURUSD Sell each carry their own haircut.
In full only with enough evidence
The haircut is applied in full only when there are enough paired trades.
Never a bonus
If real trading happened to beat the demo, the adjustment is zero, never positive.
Controls
Risk controls at every phase
Each phase of the pipeline has controls that can stop, discount or replace a strategy. These are the ones in production today.
- BlocksStops a strategy or portfolio from advancing
- AdjustsLowers the numbers before any decision
- TriggersStarts an action when behavior changes
- ProtectsLimits the damage if something fails
- Simulation
Generate & filter
- Blocks
Robustness filters
Profit factor, stagnation, return/drawdown and minimum-activity filters discard weak candidates.
- Blocks
Perturbation tests
Candidates must survive other time zones and timeframes, and Monte Carlo on outliers, spread and slippage.
- Blocks
- Live demo
Measure at the broker
- Blocks
Months of live demo
No strategy becomes eligible before an extended period of real broker execution.
- Adjusts
Mandatory haircut
Every demo trade is discounted by the measured demo-to-real gap before scoring.
- Adjusts
Evidence maturity
Short track records receive deliberately contained grades.
- Blocks
Individual Score threshold
Only strategies with a sufficient Individual Score reach portfolio construction.
- Blocks
- Scores
Compose
- Blocks
Correlation checks
Portfolios are built from low-correlated strategies, with correlation verified at three levels.
- Blocks
Redundancy filter
Portfolios that duplicate others are discarded.
- Adjusts
Composition Factor
Penalizes currency and symbol concentration, directional imbalance, regime fragility and dependence on a few leaders.
- Blocks
Concentration limits
Limits per symbol and per currency, with long/short balance.
- Blocks
- Real capital
Operate
- Protects
Conservative sizing
Positions on the real account are sized conservatively.
- Triggers
Real vs. expected monitoring
When live behavior diverges from expectations, the portfolio is rotated out.
- Protects
Broker redundancy
Every primary account has a mirrored backup at a second, independent broker.
- Protects
Infrastructure continuity
Automated backups and a health dashboard with alerts.
- Protects
Risk management
Acknowledged limitations, structural mitigation
What we explicitly assume
- Demo does not perfectly replicate real liquidity.
- Slippage and execution may degrade with more capital.
- Correlations change under stress.
- No strategy or portfolio is assumed to be profitable indefinitely.
How risk is mitigated by construction
- A mandatory haircut calibrated by the sentinel account.
- Extreme diversification across strategies and symbols, with long/short balance.
- Concentration limits per symbol and currency, plus directional decomposition.
- Conservative sizing and continuous monitoring with portfolio rotation.
- Broker redundancy and automated infrastructure backups.
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