Negative after costs

DOGEUSDT · 60m · Verdict Card

Dual-MA momentum (trend following) · sma_momentum · hold 24 · 2025-06-01 → 2026-10-11 · 11929 bars · bybit · 2026-10-12 12:48

Rule: Long when MA20 crosses above MA100, short on the cross below
Cost model: 5.5bp/side fee + 3bp/side slippage + 0.07bp/bar funding

Trades

111

Win rate

42.3%

Avg / trade

-33bp

Gross avg

-14bp

Total

-3647bp

t-stat

-1.08

Permutation p

0.6852 · T0.665/S0.685

95% CI of mean

[-91bp, 29bp]

Max drawdown

35.4%

Exposure

26.8%

Profit factor

0.76

Worst trade

-881bp

Median

-53bp

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 → 2025-12-06	28	-98bp	39%	-1.86
Seg 2	2025-12-09 → 2026-03-30	28	41bp	54%	0.47
Seg 3	2026-03-31 → 2026-07-10	28	-58bp	36%	-1.35
Seg 4	2026-07-12 → 2026-10-07	27	-16bp	41%	-0.34

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	66	-39bp	44%	-0.87
Out-of-sample	45	-23bp	40%	-0.64

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-07 11:00	SHORT	0.09013	0.08856	24	time	157bp
2026-10-05 07:00	LONG	0.09588	0.09538	24	time	-71bp
2026-10-03 10:00	SHORT	0.09298	0.09271	24	time	10.4bp
2026-10-01 11:00	LONG	0.09572	0.09477	24	time	-118.4bp
2026-09-28 13:00	SHORT	0.09329	0.09379	24	time	-72.1bp
2026-09-26 08:00	LONG	0.09852	0.09625	24	time	-251.8bp
2026-09-24 13:00	SHORT	0.09404	0.09507	24	time	-127.6bp
2026-09-18 12:00	LONG	0.08453	0.08743	24	time	318.6bp
2026-09-15 06:00	LONG	0.08404	0.08015	24	time	-492.6bp
2026-09-10 03:00	SHORT	0.08695	0.08387	24	time	342bp
2026-09-03 22:00	LONG	0.0879	0.08413	24	time	-457bp
2026-08-25 18:00	SHORT	0.09056	0.08677	24	time	408.8bp

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=0.6652; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.6852. Verdict uses the stricter p=0.6852 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (111 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 [-91bp, 29bp] — 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"

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