Negative after costs

ETHUSDT · 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

237

Win rate

43.9%

Avg / trade

-2bp

Gross avg

17bp

Total

-435bp

t-stat

-0.08

Permutation p

0.2324 · T0.201/S0.232

95% CI of mean

[-43bp, 43bp]

Max drawdown

34.7%

Exposure

57.3%

Profit factor

0.99

Worst trade

-1238bp

Median

-58bp

Equity curve (log)

Buy & hold: -0.9% · 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	60	23bp	50%	0.53
Seg 2	2025-12-07 → 2026-03-18	60	18bp	45%	0.33
Seg 3	2026-03-19 → 2026-07-02	60	-37bp	40%	-1.01
Seg 4	2026-07-03 → 2026-10-08	57	-12bp	40%	-0.28

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	142	-6bp	44%	-0.18
Out-of-sample	95	4bp	44%	0.12

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-08 01:00	SHORT	2550.26	2416.72	24	time	519.4bp
2026-10-07 00:00	SHORT	2694.5	2567.32	24	time	465.1bp
2026-10-05 04:00	LONG	2704.99	2711.11	24	time	4.2bp
2026-10-02 12:00	LONG	2741.88	2674.72	24	time	-266.4bp
2026-09-29 19:00	LONG	2731.49	2696.55	24	time	-147.2bp
2026-09-28 17:00	SHORT	2639.98	2717.09	24	time	-306.3bp
2026-09-27 15:00	LONG	2717.01	2642.41	24	time	-296.8bp
2026-09-23 20:00	SHORT	2721.02	2647.4	24	time	255.8bp
2026-09-21 08:00	LONG	2688.36	2753.71	24	time	221.7bp
2026-09-20 00:00	LONG	2649.2	2638.81	24	time	-57.7bp
2026-09-18 22:00	LONG	2581.8	2637.44	24	time	194.8bp
2026-09-17 21:00	LONG	2461.3	2554.35	24	time	352.6bp

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=0.2009; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.2324. Verdict uses the stricter p=0.2324 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (237 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 [-43bp, 43bp] — 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.