Negative after costs

DOGEUSDT · 60m · Verdict Card

RSI overbought/oversold fade · rsi_fade · hold 24 · 2025-06-01 → 2026-10-11 · 11929 bars · bybit · 2026-10-12 12:48

Rule: Long when RSI(14) ≤ 30, short when RSI(14) ≥ 70
Cost model: 5.5bp/side fee + 3bp/side slippage + 0.07bp/bar funding

Trades

154

Win rate

54.5%

Avg / trade

-31bp

Gross avg

-13bp

Total

-4837bp

t-stat

-0.97

Permutation p

0.6412 · T0.626/S0.641

95% CI of mean

[-95bp, 30bp]

Max drawdown

52.5%

Exposure

37.2%

Profit factor

0.80

Worst trade

-2078bp

Median

33bp

Equity curve (log)

Buy & hold: -55.3% · missing 0 (max gap 0) · OHLC complete

Stability by segment

Seg	From → To	Trades	Avg / trade	Win rate	t-stat
Seg 1	2025-08-25 → 2025-11-27	39	-2bp	54%	-0.02
Seg 2	2025-12-01 → 2026-03-10	39	-93bp	49%	-1.56
Seg 3	2026-03-13 → 2026-06-28	39	8bp	59%	0.18
Seg 4	2026-06-30 → 2026-10-08	37	-39bp	57%	-0.64

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	92	-28bp	53%	-0.61
Out-of-sample	62	-36bp	56%	-0.86

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-08 12:00	LONG	0.08732	0.08479	24	time	-312.7bp
2026-10-07 09:00	LONG	0.09172	0.08895	24	time	-325.3bp
2026-10-05 00:00	SHORT	0.09449	0.09447	24	time	-16.6bp
2026-10-03 02:00	LONG	0.09101	0.09314	24	time	212.7bp
2026-09-28 15:00	LONG	0.09246	0.09501	24	time	253.4bp
2026-09-25 20:00	SHORT	0.0987	0.09729	24	time	125.2bp
2026-09-23 10:00	SHORT	0.10341	0.09376	24	time	961bp
2026-09-21 16:00	SHORT	0.09186	0.09954	24	time	-821.6bp
2026-09-20 00:00	SHORT	0.08965	0.08749	24	time	225.2bp
2026-09-18 11:00	SHORT	0.08448	0.08801	24	time	-428bp
2026-09-15 22:00	LONG	0.08121	0.07898	24	time	-297.1bp
2026-09-13 16:00	LONG	0.0835	0.08409	24	time	51.7bp

Method & known limits

Exit: fixed 24-bar hold; fill=signal bar close
Costs: 5.5bp/side fee + 3bp/side slippage + 0.07bp/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=0.6262; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.6412. Verdict uses the stricter p=0.6412 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (154 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 [-95bp, 30bp] — 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: period=14 lo=30 hi=70 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.