Negative after costs

ETHUSDT · 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 + 0.06bp/bar funding

Trades

108

Win rate

38.9%

Avg / trade

-32bp

Gross avg

-14bp

Total

-3466bp

t-stat

-1.49

Permutation p

0.7361 · T0.668/S0.736

95% CI of mean

[-74bp, 10bp]

Max drawdown

34.3%

Exposure

26.1%

Profit factor

0.68

Worst trade

-579bp

Median

-51bp

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	2025-08-26 → 2025-12-27	27	-20bp	44%	-0.36
Seg 2	2025-12-28 → 2026-04-13	27	-12bp	37%	-0.26
Seg 3	2026-04-14 → 2026-07-14	27	-71bp	33%	-2.07
Seg 4	2026-07-17 → 2026-10-07	27	-25bp	41%	-0.72

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	64	-21bp	41%	-0.66
Out-of-sample	44	-49bp	36%	-1.77

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-07 10:00	SHORT	2610.93	2578.81	24	time	105.3bp
2026-10-05 00:00	LONG	2702.2	2694.93	24	time	-45.4bp
2026-10-03 13:00	SHORT	2676.6	2693.85	24	time	-82.7bp
2026-10-01 09:00	LONG	2688.38	2714.94	24	time	79.9bp
2026-09-29 19:00	LONG	2731.49	2696.55	24	time	-147.2bp
2026-09-27 14:00	LONG	2706.4	2648.32	24	time	-235.4bp
2026-09-24 10:00	SHORT	2684.54	2675.6	24	time	14.9bp
2026-09-18 12:00	LONG	2481.76	2619.47	24	time	521.6bp
2026-09-15 16:00	SHORT	2475.68	2401.55	24	time	285.6bp
2026-09-14 08:00	SHORT	2483.3	2514.63	24	time	-143.8bp
2026-09-11 23:00	LONG	2557.51	2533.87	24	time	-111.3bp
2026-09-10 06:00	SHORT	2448.88	2444.06	24	time	1.3bp

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=0.6677; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.7361. Verdict uses the stricter p=0.7361 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (108 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 [-74bp, 10bp] — 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.