System Performance Report
Dynamic Entropy Index — EUR/USD 6E
210-week validated backtest across monetary policy, geopolitical risk, COT positioning, credit spreads, and capital flows
66.7%
Win Rate
Target ≥55% ✓
4.382
Sharpe Ratio
Target ≥1.0 ✓
4.00
Profit Factor
Target ≥1.5 ✓
0.039
p-value
Statistically significant ✓
Backtest Performance Statistics
| Metric | Result | Target | Status |
|---|
| Win Rate | 66.7% | ≥ 55% | ✓ PASS |
| Profit Factor | 4.000 | ≥ 1.5 | ✓ PASS |
| Sharpe Ratio | 4.382 | ≥ 1.0 | ✓ PASS |
| Max Drawdown | 80.0 pip | < 200 pip | ✓ PASS |
| Total P&L | +600 pip | > 0 | ✓ PASS |
| Weeks Analyzed | 210 weeks | ≥ 104 | ✓ PASS |
| t-test p-value | 0.039 | < 0.05 | ✓ SIGNIFICANT |
| Volatility ratio (Mann-Whitney) | 1.718× | > 1.5× | ✓ p=0.0004 |
| N Signals (DEI ≥ 45) | 15 signals | ≥ 30 | ⚠ ACCUMULATING |
Volatility Regime Analysis
STABLE <26
53.7 pip
1.00× baseline
WATCH 26–45
73.8 pip
1.37×
ELEVATED 45–51
121.3 pip
2.26× ↑
ALERT ≥51
116.7 pip
2.17× ↑
Statistical Validation
✓ SIGNIFICANTt-test (one-sample): t=2.274, p=0.039 — mean weekly return significantly positive when DEI ≥ 45
✓ SIGNIFICANTMann-Whitney U: p=0.0004 — 1.718× higher realized volatility when DEI elevated
⚠ SMALL SAMPLEBinomial test: p=0.151 — win rate directional significance requires n≥30 signals (currently n=15)
✓ SIGNIFICANTPearson r (all 12 SV nodes): r=0.28–0.88, p<0.001 — all nodes statistically significant (n=993)
Risk Node Architecture — EUR/USD 6E (12 Nodes)
N01 — Fed Policy
SV: 0.82r: 0.280p<0.001
N02 — ECB Policy
SV: 0.65r: 0.440p<0.001
N03 — EUR/USD Rate
SV: 0.97r: 0.847p<0.001
N04 — Growth Differential
SV: 0.91r: 0.546p<0.001
N05 — Safe-Haven Flows
SV: 0.85r: 0.576p<0.001
N06 — Options / IV
SV: 0.72r: 0.395p<0.001
N07 — Risk Sentiment
SV: 0.68r: 0.700p<0.001
N08 — Geopolitical Risk
SV: 0.78r: 0.880p<0.001
N09 — COT Positioning
SV: 0.62r: 0.726p<0.001
N10 — Credit Spreads
SV: 0.70r: 0.661p<0.001
N11 — Capital Flows
SV: 0.65r: 0.317p<0.001
N12 — Liquidity
SV: 0.50r: 0.536p<0.001
Honest Assessment: The primary validated edge is volatility prediction — DEI ≥ 45 reliably identifies periods of elevated realized volatility (1.72× increase, p=0.0004). Directional accuracy (66.7%) is promising but based on 15 signals — insufficient for statistical confirmation at this stage. The system is positioned as a structural risk monitor and volatility early-warning tool.
Informational purposes only. Not financial advice. Past performance does not guarantee future results. Data sources: FRED, CFTC COT, GPR Caldara-Iacoviello, Polygon.io.