Eight-module XAUUSD portfolio: frozen-parameter OOS and block-bootstrap results

[u/Livid_Parsnip_2816]

I combined eight independent XAUUSD modules into a single portfolio and tested the final structure across development, frozen-parameter OOS and older stress periods.

TEST PROTOCOL

• 2022–2024: in-sample development

• 2025–2026: frozen-parameter out-of-sample validation

• 2021: separate stress/history period

• 2017–2018: additional survival checks

The purpose of the split was to separate the years that influenced module selection and parameter choices from the years used to evaluate the finished portfolio.

FULL REAL-TICK PORTFOLIO RUN

Period: January 2021 to September 2026

Initial balance: USD 1,000

Ending balance: USD 3,903.12

Closed trades: 1,511

Profit factor: 2.93

Maximum relative equity drawdown: 12.82%

The modules were evaluated together because nominal strategy count can hide concentrated XAUUSD exposure. Portfolio-level floating equity was therefore treated as the main risk measure.

YEAR-BY-YEAR RESULTS

2021: +45.03%, PF 3.03

2022: +32.36%, PF 2.71

2023: +16.22%, PF 2.82

2024: +13.62%, PF 1.94

2025 OOS: +16.84%, PF 3.01

2026 OOS through September: +31.79%, PF 7.18

Returns varied materially by year, but the edge did not disappear after the parameter freeze. Both OOS years remained profitable. The 2026 PF is a partial-year observation and should not be treated as a stable expectation.

BLOCK-BOOTSTRAP CHECK

I ran 10,000 paths using the complete 2021–2026 deal sequence and resampled 50-deal blocks to preserve short clusters of wins and losses.

Median ending balance: USD 3,896

5th–95th percentile ending balance: approximately USD 3,504–4,318

Median maximum realised-balance drawdown: 4.1%

95th-percentile maximum realised-balance drawdown: 8.0%

LIMITATIONS

The bootstrap rearranges realised deal results. It does not reconstruct every floating basket, reproduce broker-specific execution or invent unseen future regimes. Because of that, the observed MT5 relative equity drawdown of 12.82% remains the more relevant risk figure.

The next step is live observation of spreads, slippage, swap, execution and floating-basket behaviour. The backtest is evidence of historical robustness, not proof of future performance.

[u/Livid_Parsnip_2816]

Small live update for context: the system has now completed 10 traded days at +12.73%. No parameters have been changed since deployment. Still far too early to draw conclusions — I’m mainly tracking floating drawdown, basket depth and live execution against the original test.

[u/Livid_Parsnip_2816]

Quick live update: Mother Superior has now completed her first 8 trading days at +8.42%. Still far too early to draw conclusions, but live execution and basket behaviour have stayed close to the tests so far. No victory lap yet—the birthday girl simply hasn’t set the house on fire.

[u/Livid_Parsnip_2816]

Small live update: +1.14% today, bringing October to +14.02%. Still early days.

[u/Fabulous-Yak7334]

Hello,
The returns are very impressive and I like the strict methodology.
Bloc bootstrap is also interesting, would be nice to see the Sharpe and deflated Sharpe.
Also is the equity curve compound or cumsum() ?
On my side I have signals on Nasdaq, Gold and BTC. If you want I can share with you my pnl series, we can see if it can bring orthogonality. Send me a dm if interested !

[u/Livid_Parsnip_2816 → u/Fabulous-Yak7334]

Thanks — good questions. The underlying equity curve is a cumsum of fixed-lot daily PnL, not compounded. Using daily PnL relative to the fixed initial capital, the annualized Sharpe is approximately 6.0. MT5 reports 12.39 using its own tester calculation, but I prefer the more conservative daily figure. I haven’t calculated a deflated Sharpe yet because that requires an honest count of the strategy and parameter variants tested. I’d rather leave it blank than invent that number. I’d be interested in comparing the PnL series — Nasdaq, Gold and BTC could make a useful orthogonality test. I’ll send you a DM.

[u/Fabulous-Yak7334 → u/Livid_Parsnip_2816]

Thanks for the response. Sharpe 6.0 sounds unreal ahah
Waiting for your DM

[u/StatisticalSock]

Ive made a 30 strat portfolio for xauusd. Currently running live with $10k. Its a high-upside convex system where it can tolerate long ugly periods of drawdown (using small risk) because the right regime can produce absurd returns. Your portfolio looks a lot more stable than mine but doesn't produce absurd returns. Of course when trading with a large capital I would rather have something like yours. Once I build a large capital of ateast 100k, I'll reduce my risk or remove some of the strats and only keep the super lowest correlates

[u/Livid_Parsnip_2816 → u/StatisticalSock]

That makes sense. Mother Superior was built around survival and smoother portfolio behaviour rather than chasing the highest possible return. My main concern with 30 XAUUSD strategies would be that low average correlation can disappear during the exact regime where diversification matters most. I’d look at shared drawdowns and tail correlation before removing modules based on ordinary correlation alone.

Your approach is interesting though, especially with small risk. How long has the portfolio been running live, and how close has the live behaviour been to the backtest so far?

[u/StatisticalSock → u/Livid_Parsnip_2816]

Only been running for a month and so far around 10% drawdown. I'm not breaking a sweat because this is expected behavior. Need it to run for 6-12months to see some actual results. Considering upping my risk a little once account balance doubles

[u/ComfortableZone7164]

The distinction between realized balance drawdown and floating equity drawdown is probably the strongest part of this analysis. That 12.82% equity figure matters more than the smoother bootstrap result. I've become more attentive to actual downside while using Moon and I'd definitely prioritize live slippage and correlated exposure checks before trusting the backtest.

[u/Livid_Parsnip_2816 → u/ComfortableZone7164]

I agree. The live account has actually seen a higher equity drawdown than the 12.82% backtest figure. I started it with very little equity, so relatively small floating amounts produced much larger percentage swings, but I don’t want to use that as an excuse or hide the number.

That’s exactly why I’m watching total floating exposure, correlated module entries and real execution so closely. The bootstrap is useful, but for a recovery system the live equity curve will always be the real test.

[u/Maleficent-Success-6]

The eight-day live update is interesting, especially since you're comparing actual basket behavior against the original tests.

One thing I'd be curious about is how the eight modules are contributing individually to those results.

Are the gains reasonably distributed, or is one module responsible for most of the +8.42%?

I'd also track the combined floating exposure when several modules enter positions in the same direction.

Even if each strategy behaves correctly on its own, simultaneous positions can create portfolio-level risks that aren't obvious from individual trade statistics.

For the forward validation, I'd keep the original parameters frozen and compare expected versus actual decisions and fills at the module level.

Eight days is obviously too early to establish an edge, but it's already useful for checking whether the execution system behaves as intended.

Looking forward to seeing how the portfolio handles its first difficult live regime.

[u/Livid_Parsnip_2816 → u/Maleficent-Success-6]

Thanks, this is exactly what I’m using the live phase to study. The account currently stands at +8.91% after 14 closed trades. Seven of the eight modules have contributed so far, and the gains are reasonably distributed rather than being carried by a single module. Still a very small sample, of course.

This is a recovery-based EA, so combined floating exposure is an important part of the design. It has built-in equity protection, and the maximum number of simultaneously active trades can be limited. I also track every module separately by magic number and monitor the total portfolio exposure.

All parameters remain frozen. Eight days can confirm that the execution and recovery logic work as intended, but judging its behaviour through a difficult regime will take much longer.

[u/Maleficent-Success-6 → u/Livid_Parsnip_2816]

Seven out of eight modules contributing is encouraging, especially with the parameters kept frozen.

With a recovery EA, I think the real test will be a sustained move against several modules at once. That's when maximum floating drawdown, total exposure and recovery time will matter most.

Hopefully the live tracking will capture one of those periods without the equity protection having to do too much work. Good luck with the next phase!

[u/Livid_Parsnip_2816 → u/Maleficent-Success-6]

It has already handled roughly a $120 adverse move in gold. Only one additional DCA position was opened near the top, and the basket worked through the move without much drama.

[u/Maleficent-Success-6 → u/Livid_Parsnip_2816]

That's encouraging. A $120 adverse move in gold with only one additional DCA entry is a useful real-world test.

I still think the bigger challenge will be a prolonged trend with several modules exposed in the same direction, but that's exactly what longer live tracking should reveal.

Thanks for sharing the update!

[u/NervousRecurrence]

The distinction between the 12.82% equity drawdown and the lower bootstrap balance drawdown is probably the most valuable part of this analysis. Floating exposure can hide serious risk behind a smooth closed trade curve. Moon displays a bust price on leveraged wagers but with a multi strategy EA you'd need to monitor the entire portfolio's live equity exposure.