Negative after costs

BTCUSDT · 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
106
Win rate
44.3%
Avg / trade
-23bp
Gross avg
-5bp
Total
-2465bp
t-stat
-1.43
Permutation p
0.5997 · T0.574/S0.600
95% CI of mean
[-57bp, 9bp]
Max drawdown
26.7%
Exposure
25.6%
Profit factor
0.71
Worst trade
-333bp
Median
-19bp

Equity curve (log)

Buy & hold: -20.6% · missing 0 (max gap 0) · OHLC complete

Stability by segment

SegFrom → ToTradesAvg / tradeWin ratet-stat
Seg 12025-08-25 → 2025-12-1327-11bp48%-0.36
Seg 22025-12-19 → 2026-03-2727-24bp44%-0.73
Seg 32026-03-30 → 2026-06-3027-27bp37%-0.85
Seg 42026-07-02 → 2026-10-0725-31bp48%-0.87
In-sample/Out-of-sampleTradesAvg / tradeWin ratet-stat
In-sample 60%63-19bp44%-0.92
Out-of-sample43-29bp44%-1.12

Trade log · last 12 trades

TimeSideEntry pxExit pxBars heldExitNet
2026-10-07 14:00SHORT8419382824.424time145.5bp
2026-10-01 10:00LONG83447.385168.224time185.7bp
2026-09-27 17:00LONG8492382645.424time-290.3bp
2026-09-24 17:00SHORT83219.684534.424time-175.2bp
2026-09-18 15:00LONG77781.181087.424time397.9bp
2026-09-15 23:00SHORT76476.97575324time76.7bp
2026-09-14 17:00LONG78107.47694024time-169bp
2026-09-07 15:00SHORT7935378442.624time97bp
2026-09-03 23:00LONG81321.479384.924time-259.5bp
2026-09-01 07:00LONG78541.877392.624time-165.8bp
2026-08-29 04:00SHORT77385.778087.824time-108.8bp
2026-08-17 15:00LONG635026417224time86.5bp

Method & known limits

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