Research
The Vanity Analysis Research Program
Advanced research for any trading idea.
Vanity Analysis is a research platform engineered to take trading methodologies beyond intuition, screenshots, and conventional backtesting.
It combines strategy interpretation, historically calibrated market simulation, statistical analysis, and probabilistic research into a single research environment built around one objective:
To determine what your strategy actually does.
Your strategy, understood at depth.
Most backtesting systems require traders to translate their ideas into rigid rules before they can be tested.
Vanity takes a different approach.
Describe your methodology naturally.
Whether you trade ICT, Order Flow, market structure, price action, liquidity, volume, discretionary concepts, or systematic models, Vanity is designed to identify the relationships within your methodology — the conditions, sequence, confirmations, entries, exits, and risk parameters that define how you actually trade.
This allows complex trading ideas to become structured research without reducing them to a simplistic collection of keywords.
The result is a research model built around the logic of the strategy itself.
What the research measures.
Every analysis begins from the recorded behaviour of the instrument you selected. Vanity studies up to 50 years of historical market data, and the depth available depends on the instrument — the longest records reach five decades, while the index futures span roughly a quarter of a century. Each report states the exact window it drew on.
That history is not read as a list of past trades. It is measured, and what is measured is the instrument’s behaviour:
Returns and their distribution
How far the market moves, how often, and in what shape — including asymmetry between up and down moves, and how much heavier the extremes are than a normal distribution would predict.
Adverse and extreme movement
How frequently the market produces moves beyond two and three standard deviations, and how far price typically runs both in favour and against after any given bar.
Volatility regimes
The market’s quiet, ordinary and violent states — how much of the record each one occupies, how long they tend to last, and how often one gives way to another.
Volatility clustering
The tendency of large moves to arrive near other large moves, rather than being scattered evenly through time.
Persistence and reversion
How long directional runs actually last, measured against a deliberately shuffled version of the same data — the baseline for what a market with no persistence would look like.
Bar structure
Where bars open and close within their own range, how far the wicks reach, and how that geometry changes between calm and violent conditions.
Gaps
How much of a day’s move is already present at the open, and how often those gaps are filled.
Session and intraday shape
The shape of a trading day in real clock time, measured minute by minute across thousands of sessions — which is what allows a session filter to be an actual filter rather than a label.
The instrument’s own drawdown behaviour
How deep and how persistent that market’s declines are before any strategy is applied to it.
These are properties of the market. They are measured once, from the record, and they are the same whether your strategy is brilliant or worthless.
From measurement to model.
This is the distinction that matters most, and it is worth stating plainly.
Vanity does not replay history. It reproduces its behaviour.
The measurements above are used to calibrate the research environment. Vanity then generates market paths that carry those measured properties — the same distribution shape, the same clustering, the same regime structure, the same session geometry — arranged into sequences that never actually occurred.
At daily resolution and above, those paths are built from contiguous stretches of the instrument’s own recorded bars, re-ordered under a measured model of how volatility regimes follow one another, and drawn from the era surrounding each simulated date rather than from the whole record indifferently. A simulated year therefore reflects the conditions of its own period rather than an average of five decades.
Intraday, the day’s dynamics come from that same long daily record, while the shape of the session — the opening drive, the midday contraction, the close — comes from thousands of measured intraday trading days spanning more than a decade, at every resolution the platform offers. Where an instrument has no intraday record of its own, the session shape is borrowed from a related instrument and the report says so.
That distinction is what makes a session filter mean something. Because the generated bars carry real clock times, a strategy restricted to London is evaluated on bars that genuinely fall in London — not on a proportion of the day standing in for it.
So three things must be kept apart, and the report keeps them apart:
Historical measurement
What was genuinely observed in the market’s record. Facts about the instrument.
Calibrated simulation
Generated paths that reproduce those measured properties. Realistic, but not real — no simulated bar is a historical bar, and no simulated trade is a trade that ever happened.
Strategy behaviour
What your rules did when they were run against those paths. This is the subject of the research.
Every date and price in a trade history belongs to the generated market, not to the historical record. Vanity states this inside the report itself rather than leaving it to be inferred.
What happens after you press Analyse Strategy.
Your description is interpreted
The wording is read for the conditions it contains, the order they occur in, what triggers an entry, and where risk is defined. What cannot be identified is raised rather than guessed at.
Your configuration is applied
Market, session, timeframe, risk model and research period are locked in. These are constraints on the research, not suggestions to it.
The market model is calibrated
The measured behaviour of your chosen instrument, for the period you asked for, is loaded into the generator.
Independent paths are generated
Several complete market paths are produced, each covering your full research period. They are generated before your strategy is applied and cannot be influenced by it. Every report states how many were used.
Your rules are executed bar by bar
The strategy walks each path in sequence, with no visibility of what comes next. Entries, stops and targets are resolved on the bars where they would actually have been reachable, and trading costs are modelled rather than ignored.
Results are aggregated and analysed
Every trade from every path contributes. Performance, risk, drawdown, distribution, stability across conditions and behaviour by year are all derived from the same trade record.
The evidence is assembled into a report
Statistics, the equity path, forward projections, strengths, weaknesses and failure conditions are organised into a document you can inspect — ending in a stated verdict.
Why more than one path.
A single historical sequence can tell you what happened.
It cannot tell you how much of that was the sequence.
A strategy tested once has been tested against one ordering of events. Change the order — the same market, the same behaviour, a different arrangement — and a result that looked decisive can turn ordinary.
Running the same rules across several independently generated paths is what separates those two cases. It allows the research to ask questions a single backtest cannot:
Does the strategy remain viable when the sequence of outcomes changes?
How resilient is the equity curve to a different arrangement of the same conditions?
How does the strategy behave through different volatility and regime conditions?
How much of the observed performance depended on one favourable run?
A separate forward projection then resamples the strategy’s own completed trades many hundreds of times, to show the range of outcomes the next stretch of trading could plausibly produce. That projection is built from the strategy’s results — it is not additional market history.
The strategy is not simply replayed. It is stress-tested.
Built to uncover the edge.
Vanity excels at examining the parts of a strategy that are easy to overlook.
How consistently does the methodology perform?
How does the edge behave across different market environments?
How severe are its losing periods?
How dependent is performance on a particular sequence of trades?
How much uncertainty surrounds the result?
The platform brings these dimensions together into a comprehensive research report designed to make complex strategy behaviour understandable at a glance.
From the first trade to the final statistical distribution, every result contributes to the research thesis.
Research without convenient assumptions.
Powerful research is only valuable when the methodology being researched is accurately represented.
Vanity therefore places substantial emphasis on understanding the strategy before evaluating it.
Ambiguous rules, unsupported requirements, contradictions, or information that cannot be reliably reproduced are identified rather than silently replaced with assumptions.
When a strategy cannot be responsibly modeled, Vanity will tell you.
Because sophisticated research is not about producing the most favourable answer.
It is about producing the most defensible one.
What the research does not claim.
A method is only credible if its limits are stated as clearly as its capabilities.
It is not a record of the past
Simulated trades did not occur. They are what your rules would have done under conditions calibrated to measured behaviour.
It does not reconstruct the market tick by tick
The research is conducted on bars. It does not model the order book, resting orders, volume at price, or the sequence of individual transactions — and it does not accept strategies that depend on them.
Depth is not uniform
History runs deeper for some instruments than others, and intraday records remain shorter than daily ones — which is why the finest timeframes carry a shorter maximum research period than the coarser ones. The report states the window and the construction behind every result.
A result is not a forecast
The research describes how a strategy behaves under modelled conditions. It does not predict returns, and simulated performance is not indicative of future results.
More than a backtest.
A Vanity Analysis report goes considerably further than a conventional performance summary.
It brings together the strategy’s performance, risk characteristics, trade behaviour, statistical distributions, forward projections, market-condition analysis, and equity development into a single research framework.
The result is a detailed picture of the methodology:
where it performs, where it deteriorates, how it behaves under pressure, and how much confidence the evidence warrants.
Performance metrics provide the measurement.
Statistical analysis provides the context.
Probabilistic research provides the perspective.
Together, they turn a trading idea into a research thesis.
Research before capital.
The most consequential decision in trading is not finding another setup.
It is deciding when a methodology has earned the right to receive capital.
Vanity Analysis gives traders a powerful research environment in which to challenge that decision before the market does.
Develop the ideas with evidence.
Expose weaknesses before they become expensive.
Identify where the methodology demonstrates genuine promise.
And build conviction from something stronger than belief:
EVIDENCE.