Negative after costs

SOLUSDT · 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

112

Win rate

42.9%

Avg / trade

-56bp

Gross avg

-37bp

Total

-6262bp

t-stat

-1.90

Permutation p

0.8831 · T0.864/S0.883

95% CI of mean

[-115bp, 1bp]

Max drawdown

52.7%

Exposure

27.1%

Profit factor

0.62

Worst trade

-1259bp

Median

-73bp

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	2025-08-26 → 2025-12-10	28	-52bp	50%	-0.71
Seg 2	2025-12-11 → 2026-03-19	28	-84bp	46%	-1.44
Seg 3	2026-03-24 → 2026-06-23	28	-42bp	43%	-0.80
Seg 4	2026-06-27 → 2026-10-06	28	-46bp	32%	-0.89

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	67	-74bp	48%	-1.76
Out-of-sample	45	-29bp	36%	-0.76

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-06 11:00	SHORT	119.96	118.2	24	time	129.1bp
2026-10-03 17:00	SHORT	119.26	121.29	24	time	-187.5bp
2026-10-02 14:00	LONG	121.72	119.39	24	time	-212bp
2026-09-28 23:00	SHORT	118.65	118.15	24	time	23.5bp
2026-09-24 16:00	SHORT	114.07	117.26	24	time	-294.5bp
2026-09-18 01:00	LONG	101.46	112.63	24	time	1025.8bp
2026-09-15 23:00	SHORT	99.3	97.04	24	time	211.5bp
2026-09-14 19:00	LONG	101.33	100.78	24	time	-73.1bp
2026-09-13 17:00	SHORT	99.81	101.89	24	time	-224.9bp
2026-09-12 15:00	LONG	101.61	100.67	24	time	-111.6bp
2026-09-08 15:00	SHORT	102.91	104.52	24	time	-173.9bp
2026-09-04 03:00	LONG	105.25	101.62	24	time	-369.7bp

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=0.8641; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.8831. Verdict uses the stricter p=0.8831 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (112 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 [-115bp, 1bp] — 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.