BTCUSDT · 60m · Verdict Card

Equity curve (log)

Stability by segment

Trade log · last 12 trades

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=0.5742; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.5997. Verdict uses the stricter p=0.5997 (2000 trials, seed 42, reproducible)
• The null must match the live procedure trade-for-trade: every surrogate fills the same count (106 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 [-57bp, 9bp] — 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: fast=20 slow=100 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"