Negative after costs

BTCUSDT · 60m · Verdict Card

N-bar range breakout · breakout · hold 24 · 2025-06-01 → 2026-10-11 · 11929 bars · bybit · 2026-10-12 12:48

Rule: Long on a close above the prior 48-bar high, short on a close below its low
Cost model: 5.5bp/side fee + 3bp/side slippage + 0.06bp/bar funding

Trades

251

Win rate

45.4%

Avg / trade

-13bp

Gross avg

6bp

Total

-3174bp

t-stat

-0.88

Permutation p

0.3573 · T0.338/S0.357

95% CI of mean

[-40bp, 15bp]

Max drawdown

36.3%

Exposure

60.7%

Profit factor

0.86

Worst trade

-841bp

Median

-21bp

Equity curve (log)

Buy & hold: -20.6% · missing 0 (max gap 0) · OHLC complete

Stability by segment

Seg	From → To	Trades	Avg / trade	Win rate	t-stat
Seg 1	2025-08-24 → 2025-12-03	63	-5bp	49%	-0.20
Seg 2	2025-12-04 → 2026-03-18	63	-16bp	44%	-0.46
Seg 3	2026-03-19 → 2026-06-29	63	-13bp	49%	-0.49
Seg 4	2026-06-30 → 2026-10-08	62	-17bp	39%	-0.62

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	150	-24bp	43%	-1.19
Out-of-sample	101	4bp	49%	0.18

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-08 11:00	SHORT	82722.8	82383.6	24	time	22.6bp
2026-10-07 09:00	SHORT	84328	83062.3	24	time	132.8bp
2026-10-05 00:00	LONG	85328.4	85257.8	24	time	-26.7bp
2026-10-02 11:00	LONG	85483.7	84647.9	24	time	-116.7bp
2026-09-30 20:00	LONG	85262.9	83703.4	24	time	-203bp
2026-09-28 17:00	SHORT	82645.4	84226.1	24	time	-207.9bp
2026-09-27 15:00	LONG	84750.4	82905.4	24	time	-238.5bp
2026-09-24 16:00	SHORT	83618	84378.2	24	time	-108.9bp
2026-09-23 12:00	LONG	87132.1	83997.4	24	time	-384.8bp
2026-09-21 16:00	LONG	83724.2	86171.4	24	time	269.7bp
2026-09-20 00:00	LONG	81795.4	81310	24	time	-78bp
2026-09-18 10:00	LONG	76945.5	81278.5	24	time	529.4bp

Method & known limits

Exit: fixed 24-bar hold; fill=signal bar close
Costs: 5.5bp/side fee + 3bp/side slippage + 0.06bp/bar funding drag (same both sides; funding sign not modeled)
Non-overlapping: signals during open positions are dropped
Significance: t-stat on per-trade net returns. Two nulls — (1) timing permutation: entry times randomized, direction mix kept, same trade count, same non-overlap suppression, p=0.3378; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.3573. Verdict uses the stricter p=0.3573 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (251 entries, 2000 effective trials). A surrogate that only fills ~9 entries widens the null about 4x and can fake p=0.30 out of p=0.01
Uncertainty: mean 95% bootstrap CI [-40bp, 15bp] — spanning 0 means no claim of edge
Sample: 11929 bars of 60m, 0 missing (max gap 0), OHLC complete
Splits: first 60% in-sample, rest out-of-sample, plus 4 time blocks to catch single-segment flukes
Params: lookback=48 side=both warmup=2000 — if tuned on this same history the verdict carries selection bias; collect out-of-sample before believing it
Known limits: no order-book depth so slippage is assumed; liquidation/margin/liquidity not modeled; rejected or partial fills not modeled
Null sensitivity: the sign-flip test keeps each trade's realized move and re-rolls only the direction, so the long/short allocation itself counts as evidence — in a one-way market that can inflate significance. Hence the verdict requires both nulls to clear, a positive net mean and a positive out-of-sample mean; miss one and it degrades to "not separated from luck"

This card only judges whether a rule has statistical evidence under stated costs. Not investment advice; past results do not predict future returns.