Negative after costs

SOLUSDT · 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 + 0.07bp/bar funding

Trades

249

Win rate

46.6%

Avg / trade

-42bp

Gross avg

-23bp

Total

-10429bp

t-stat

-1.73

Permutation p

0.8501 · T0.850/S0.832

95% CI of mean

[-88bp, 8bp]

Max drawdown

73.6%

Exposure

60.2%

Profit factor

0.75

Worst trade

-1282bp

Median

-28bp

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 → 2025-11-29	63	-74bp	51%	-1.30
Seg 2	2025-11-30 → 2026-03-10	63	-59bp	40%	-1.10
Seg 3	2026-03-13 → 2026-06-21	63	-47bp	43%	-1.25
Seg 4	2026-06-22 → 2026-10-08	60	16bp	53%	0.37

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	149	-81bp	43%	-2.31
Out-of-sample	100	17bp	52%	0.57

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-08 12:00	SHORT	114.89	109.83	24	time	431.7bp
2026-10-07 09:00	SHORT	118.91	116.03	24	time	226.5bp
2026-10-05 23:00	SHORT	119.25	120.44	24	time	-118bp
2026-10-04 22:00	LONG	121.85	119.44	24	time	-218.4bp
2026-10-02 00:00	SHORT	117.06	119.89	24	time	-257.6bp
2026-09-30 20:00	LONG	121.86	117.28	24	time	-401.8bp
2026-09-28 17:00	SHORT	117.72	119.87	24	time	-199.7bp
2026-09-27 15:00	LONG	124.15	118.01	24	time	-525.9bp
2026-09-25 17:00	LONG	118.38	119.96	24	time	113.9bp
2026-09-23 22:00	SHORT	115.08	114.53	24	time	29.2bp
2026-09-21 16:00	LONG	115.31	117.43	24	time	163.5bp
2026-09-18 22:00	LONG	110.76	111.77	24	time	72.1bp

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=0.8501; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.8321. Verdict uses the stricter p=0.8501 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (249 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 [-88bp, 8bp] — 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.