Negative after costs

SOLUSDT · 60m · Verdict Card

Percentile-deviation fade (mean reversion) · mr_percentile · hold 24 · 2025-06-01 → 2026-10-11 · 11929 bars · bybit · 2026-10-12 12:48

Rule: Fade when the 24-bar log deviation |d| ≥ its rolling p80 percentile (threshold recomputed every 168 bars); long & short
Cost model: 5.5bp/side fee + 3bp/side slippage + 0.07bp/bar funding

Trades

155

Win rate

45.8%

Avg / trade

-42bp

Gross avg

-24bp

Total

-6580bp

t-stat

-1.32

Permutation p

0.7986 · T0.799/S0.768

95% CI of mean

[-106bp, 21bp]

Max drawdown

51.8%

Exposure

37.5%

Profit factor

0.76

Worst trade

-1484bp

Median

-20bp

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	2025-08-23 → 2025-11-07	39	-75bp	46%	-1.01
Seg 2	2025-11-10 → 2026-02-09	39	-7bp	44%	-0.10
Seg 3	2026-02-11 → 2026-06-08	39	-59bp	44%	-1.00
Seg 4	2026-06-10 → 2026-10-08	38	-28bp	50%	-0.52

In-sample/Out-of-sample	Trades	Avg / trade	Win rate	t-stat
In-sample 60%	93	-45bp	44%	-0.98
Out-of-sample	62	-39bp	48%	-0.91

Trade log · last 12 trades

Time	Side	Entry px	Exit px	Bars held	Exit	Net
2026-10-08 23:00	LONG	108.5	109.65	24	time	86.8bp
2026-10-07 22:00	LONG	115.82	112.45	24	time	-314bp
2026-10-02 20:00	SHORT	122.5	119.41	24	time	236.8bp
2026-09-28 15:00	LONG	118.01	119.5	24	time	106.8bp
2026-09-25 17:00	SHORT	118.38	119.96	24	time	-151.3bp
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 02:00	SHORT	112.16	111.11	24	time	75.4bp
2026-09-18 01:00	SHORT	101.46	112.63	24	time	-1063.1bp
2026-09-16 02:00	LONG	98.12	97.79	24	time	-52.4bp
2026-09-11 21:00	SHORT	104.83	101.94	24	time	260.9bp
2026-09-10 20:00	LONG	98.86	101.62	24	time	256.7bp

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=0.7986; (2) sign-flip permutation: each trade's realized move kept, direction re-rolled (variance-matched, stricter for fades), p=0.7676. Verdict uses the stricter p=0.7986 (2000 trials, seed 42, reproducible)
The null must match the live procedure trade-for-trade: every surrogate fills the same count (155 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 [-106bp, 21bp] — 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: k=24 pct=80 side=both warmup=2000 rebalance=168 — 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.