Negative after costs

SOLUSDT · 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

162

Win rate

47.5%

Avg / trade

-24bp

Gross avg

-5bp

Total

-3876bp

t-stat

-0.85

Permutation p

0.5822 · T0.582/S0.567

95% CI of mean

[-75bp, 30bp]

Max drawdown

46.4%

Exposure

39.2%

Profit factor

0.84

Worst trade

-1300bp

Median

-15bp

Equity curve (log)

Buy & hold: -29.6% · missing 0 (max gap 0) · OHLC complete

Stability by segment

Seg	From → To	Trades	Avg / trade	Win rate	t-stat
Seg 1	2025-08-24 → 2025-12-04	41	-61bp	39%	-0.94
Seg 2	2025-12-06 → 2026-03-16	41	32bp	51%	0.50
Seg 3	2026-03-17 → 2026-07-08	41	-59bp	39%	-1.55
Seg 4	2026-07-12 → 2026-10-08	39	-6bp	62%	-0.11

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	97	-10bp	45%	-0.26
Out-of-sample	65	-44bp	51%	-1.16

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-08 19:00	LONG	113.1	111.24	24	time	-184.5bp
2026-10-07 12:00	LONG	118.05	114.89	24	time	-290bp
2026-10-04 21:00	SHORT	121.7	120.73	24	time	61.3bp
2026-10-02 12:00	SHORT	123.47	119.13	24	time	339.1bp
2026-09-28 15:00	LONG	118.01	119.5	24	time	106.8bp
2026-09-25 18:00	SHORT	119.21	120.63	24	time	-137.1bp
2026-09-23 23:00	LONG	113.79	116.27	24	time	196.9bp
2026-09-21 16:00	SHORT	115.31	117.43	24	time	-200.9bp
2026-09-20 10:00	LONG	107.64	111.19	24	time	305.8bp
2026-09-19 01:00	SHORT	112.63	111.35	24	time	95.6bp
2026-09-18 00:00	SHORT	101.36	111.71	24	time	-991bp
2026-09-16 04:00	LONG	97.37	98.66	24	time	112.9bp

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=0.5822; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.5672. Verdict uses the stricter p=0.5822 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (162 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 [-75bp, 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.