What happens when the risk per trade is a slice of the account instead of a fixed dollar amount: one micro contract at a time, starting from $1,000, every trade re-sized to the current balance. The question was "what is the perfect R?". The honest answer is a survival test, and it is mostly about account size.
MES is $5 a point. A round trip costs $1.48 in commission. The median P1 stop, rounded outward to the tick as a live stop must be, is 5.5 points, so one micro risks about $29 all-in, which is 2.9% of a $1,000 account, roughly 1/34th. You can only take a trade when one contract fits inside your risk budget of equity ÷ N. That single fact drives everything below.
| Your stop | One micro risks | Affordable at N = 10 if equity ≥ | N = 20 | N = 40 |
|---|---|---|---|---|
| 3 points | $16.50 | $165 | $330 | $660 |
| 5.5 points (median, tick-rounded) | $29.00 | $290 | $580 | $1,160 |
| 6 points | $31.50 | $315 | $630 | $1,259 |
| 10 points | $51.50 | $515 | $1,030 | $2,059 |
| 25 points (widest) | $127.00 | $1,270 | $2,540 | $5,079 |
An N is allowed only if, across 2,000 resampled histories (intact month blocks, whole equity path recomputed every draw):
Among allowed N, take the highest median growth. If none is allowed: cash.
Chosen N per policy, with the bootstrap odds at that N. Rows without the pause pass only because at N = 75 to 100 they barely trade; do not read them as good sizing.
| Policy | Chosen N | Risk / trade | Median end | 5th pct | 95th pct | Median CAGR | P(DD ≥ 50%) | P(end < start) | P(destroyed) | Year-block choice |
|---|
The full picture for the three paused policies: what each N did on the historical path (growth multiple and worst drawdown) and what the bootstrap says about a 50% drawdown. The outlined cell is the survival test's pick. Hover for the numbers.
Equity by month, historical path, Runner M3 + pause. Three sizes: the fast lane (N = 10), a middle setting (N = 20), and the survival test's pick. Log scale, because the fast lane goes to about $130 before it goes past $30,000.
The survival test was applied to 288 policy × N × balance cells, so the winners were selected on the same 2,000 draws that scored them. Each chosen cell was re-scored on a second, independent set of 2,000 draws. This is a Monte Carlo stability check on the same history, not a selection-bias correction and not a holdout. A Bonferroni-style level for 288 cells would be about 0.0002; the test uses 5% and no correction is applied, so treat every pass as selection-conditional.
| Chosen cell | P(DD ≥ 50%) on selection draws | On fresh draws | Median end, independent | Still passes | Rank of chosen N by growth (of 12) |
|---|
The chosen N ranks 8th to 10th of 12 by growth for the paused books, stable across block sizes. That is the point: the constraint deliberately picks a low-growth N, not the best one. One cell, Fast reBreak + pause at $5,000, fails its own test on the independent draws.
| Policy | Mean R | Kelly fraction (exact) | Kelly N | Half-Kelly N |
|---|
Full Kelly lands at N ≈ 11 to 14 for the paused books, exactly the region that produced the 26 to 31× replays and the 80 to 90% drawdowns. Half-Kelly (N ≈ 22 to 28) sits near the N = 40 to 50 the survival test picked, which is stricter because it also pays the rounding tax. Kelly ignores rounding and uses R at the book's large sizing, so treat it as an anchor, not advice.
| Stress | Effect on the chosen N |
|---|---|
| TPT commission ($0.75 vs $0.74 per side) | None. $0.02 a round trip proves nothing either way. |
| $150 margin per micro | No change at these balances. |
| Prior-day-close equity as the sizing base | No change to the choice. |
| Winners capped at +5 R | No change for the paused books at $1,000. |
| 2 ticks of slippage on every trade | Cash or N = 75 to 100 almost everywhere. $2.50 is 10% of a $25 risk budget. |
| 4 ticks of slippage | N = 100 or cash, the degenerate "don't trade" answer. |
| Gap arm: every stop-order exit fills 4 ticks through the stop (no tail) | Cash for all six policies at both balances. Applied to 1,450 of 1,798 exits: every stop-loss fill and Runner M3's 221 trailing-stop fills; limit and close exits untouched. |
| Gap arm plus a tail: 1 in 20 stop exits fills 20 ticks through | Cash in all 12 cells. |
| Raw computed stop level instead of tick-rounded (the old primary arm) | Slightly more optimistic; moved 4 of 12 headline cells one step more aggressive. Tick-rounded is now primary because a live stop must sit on a tick. |
| PnL halved | Picks a smaller, more aggressive N in some cells (Runner M3 + pause at $5,000: 50 to 30). A weakness of the objective: percentage-drawdown constraints stop binding when the path flattens, so the growth tiebreak reaches for the aggressive end. |
| Oversizing allowed (1.5× target) | Cash at $1,000. Shown only to prove that rounding up is not free. |
Master M2 could not be rescaled from its stored book, so it was re-run through the engine at fixed lots of 1, 2, 3 and 4 micros (in-bar audit clean, database verify 16 of 16) and each trade in the compounding replay uses the book that matches the lot it could afford. The Master stack with M-EMA management (the engine's fourth mode; there is no "M4") was run the same way for the first time. M1 is the "Fast no-rearm" book: the Master signal stack with fixed-target management and breakeven.
| Management | End | Worst drawdown | Low point | P(DD ≥ 50%) | P(end < start) | Median end (1,000 draws) |
|---|---|---|---|---|---|---|
| M2 · half off at +1R, swing trail (champion) | $5,096 | 21% | $906 | 7% | 6% | $5,939 |
| M3 · ATR chandelier trail | $5,324 | 38% | $834 | 32% | 10% | $4,771 |
| M1 · fixed target, breakeven | $4,053 | 27% | $917 | 13% | 8% | $3,056 |
| M-EMA · trail on the 9 EMA | $610 | 43% | $574 | 27% | 95% | $628 |
| N | Risk / trade | End | Worst drawdown | P(DD ≥ 50%) | P(end < start) | Median end | Median lots |
|---|---|---|---|---|---|---|---|
| 10 | 10% | $15,698 | 41% | 64% | 3% | $16,295 | 13 |
| 15 | 6.7% | $7,234 | 29% | 21% | 2% | $9,369 | 5 |
| 20 | 5% | $5,096 | 21% | 7% | 6% | $5,939 | 3 |
| 25 | 4% | $4,331 | 18% | 1% | 27% | $2,693 | 2 |
| 40 | 2.5% | $1,038 | 18% | 0% | 17% | $1,178 | 1 |
M-EMA on this signal stack loses money at every lot size over the full history (profit factor 0.85) and never enters a sizing decision.
Nine required changes, all implemented: reconstruct stop and per-contract PnL from stored prices and prove it (max error 0.000 on the three single-leg books); exclude Master M2; size on realized equity immediately before entry; no oversizing tolerance in candidate selection; all-in stop budget plus margin and a liquidation buffer; replace "perfect R" with a pre-registered survival-first objective including cash; separate failure states with insolvency absorbing; recompute the whole path inside every bootstrap draw on intact blocks, with quarter and year sensitivity and slippage, winner-cap and PnL stresses; count the search surface and label everything historical.
Ten findings. Fixed and re-run: the survival test now uses the full equity path including the intratrade trough (a trough at or below zero is a forced liquidation and absorbs the path); a gap stress arm was added; every chosen cell is re-scored on independent draws with the selection surface counted; tick-rounded stops are the primary arm; the margin-utilisation denominator was corrected; and the report's false or contradictory statements ("byte-identical", "no daily-loss rule", "more conservative") were rewritten. The two corrections together moved 4 of 12 headline cells, every one toward more conservative. Pre-registration cannot be proven from self-reported hashes; only a git commit before the run would do that, and none was made.
Seven of the ten original findings confirmed resolved, one honestly disclosed (pre-registration cannot be proven without a commit). Fixed in a third round and re-run: the gap arm now charges every stop-order exit including Runner M3's trailing stops, a plain four-tick arm was added, the "selection-adjusted" wording was replaced, the below-zero trough is clamped for drawdown metrics, and the report's N = 5 failure description, one-micro arithmetic and "every correction more conservative" sentence were corrected. Including the trailing stops removed the one cell that had survived the gap arm. The third run was not sent for a further review; its changes are the ones listed here.