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Quant-V4 Strategy Backtest Integrity Report • Last Simulated: 14:02 UTC
Stability Scoreverified
84.2/100
The strategy shows high consistency across 1k random iterations.
Probability of Ruinwarning
0.02%
Probability of account equity reaching zero under drift.
Regime Sensitivityanalytics
Low
Performance variation across Trend vs. Mean Reversion phases.
BULL: 12%FLAT: 9%BEAR: -4%
Monte Carlo Simulations
1,000 randomized equity paths with noise injection
MedianConfidence Band
JAN 23DEC 23$1.4M$1.1M
Worst Case:-$124,000
Best Case:+$482,000
95% VaR:$84,100
Market Shocks
2008 Financial CrisisSEVERE
Max DD-18.4%
Recovery142 Days
2020 COVID CrashMODERATE
Max DD-9.2%
Recovery38 Days
2022 Rate HikesNEUTRAL
Max DD-4.1%
Recovery12 Days
Parameter Perturbation Sensitivity
Analyzing strategy decay by varying input parameters +/- 10%
| Input Parameter | Current Value | Perturbation Range | Impact on CAGR | Sensitivity |
|---|---|---|---|---|
| Execution Slippage | 1.5 bps | 0.5 – 2.5 bps | -2.4% | HIGH |
| RSI Threshold (Long) | 32.0 | 28.0 – 36.0 | +0.8% | LOW |
| Stop Loss % | 2.0% | 1.5 – 2.5% | -0.4% | LOW |
| AUM Capacity | $25M | $10M – $100M | -11.2% | CRITICAL |