{ "study": "R03", "version": "1.0.0", "date": "2026-10-08", "status": "Controlled synthetic methodological experiment, not market evidence", "protocol": { "fixtures": 4, "tradesPerFixture": 200, "simulationsPerFixtureMethod": 10000, "methods": 7, "totalSimulatedPaths": 280000, "initialCapitalCents": 10000000, "seed": 20261008, "thresholdCents": 200000, "horizon": "200 trades", "money": "Integer USD cents", "sampling": "Circular block with replacement; trim final block", "quantiles": "Empirical nearest rank", "confidence": "Quantiles describe the conditional simulated distribution, not confidence intervals for future markets. No market population confidence interval is estimated." }, "fixtures": [ { "id": "clustered", "label": "20-trade clusters", "tradesCents": [ 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, 12000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000, -10000 ], "construction": "Five repeats of 20 copies of +12000 cents followed by 20 copies of -10000 cents" }, { "id": "alternating", "label": "Alternating wins and losses", "tradesCents": [ 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, 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12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000, 12000, -10000 ], "construction": "100 repeats of [+12000, -10000] cents" }, { "id": "shuffled", "label": "Seeded shuffled order", "tradesCents": [ -10000, 12000, 12000, 12000, -10000, 12000, -10000, 12000, -10000, -10000, -10000, 12000, 12000, -10000, 12000, -10000, -10000, 12000, 12000, -10000, 12000, -10000, 12000, 12000, 12000, 12000, 12000, 12000, -10000, -10000, -10000, 12000, -10000, 12000, 12000, 12000, -10000, 12000, 12000, -10000, 12000, 12000, 12000, -10000, 12000, 12000, 12000, -10000, 12000, 12000, 12000, 12000, 12000, -10000, -10000, -10000, 12000, -10000, 12000, -10000, 12000, 12000, -10000, -10000, -10000, -10000, 12000, 12000, -10000, -10000, -10000, -10000, 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permutation of clustered fixture using Mulberry32 seed 20261008" }, { "id": "constant-positive", "label": "Constant +$10 control", "tradesCents": [ 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 1000, 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0, "p25": 0, "p50": 0, "p75": 0, "p95": 0, "max": 0 } }, "histograms": { "terminalCents": [ { "lower": 10200000, "upper": 10200000, "count": 10000 } ], "maxDrawdownCents": [ { "lower": 0, "upper": 0, "count": 10000 } ], "maxDrawdownPercent": [ { "lower": 0, "upper": 0, "count": 10000 } ] }, "crossingCount": 0, "crossingProbability": 0, "representativePaths": [ { "rank": 0.05, "simulationIndex": 500, "terminalCents": 10200000, "totalPnlCents": 200000, "maxDrawdownCents": 0, "maxDrawdownPercent": 0, "equityCents": [ 10000000, 10001000, 10002000, 10003000, 10004000, 10005000, 10006000, 10007000, 10008000, 10009000, 10010000, 10011000, 10012000, 10013000, 10014000, 10015000, 10016000, 10017000, 10018000, 10019000, 10020000, 10021000, 10022000, 10023000, 10024000, 10025000, 10026000, 10027000, 10028000, 10029000, 10030000, 10031000, 10032000, 10033000, 10034000, 10035000, 10036000, 10037000, 10038000, 10039000, 10040000, 10041000, 10042000, 10043000, 10044000, 10045000, 10046000, 10047000, 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