Net of 0.15% maker / 0.25% taker per side. val = held-out second half. Placebo = circular-shifted state (same autocorrelation, alignment broken).
| Sym | Rule | trades | taker net | val taker | val maker | DD% | neighbors full/val (ok/tot) | placebo p |
|---|
| BTC/USD | dual(200,60) | 31 | 11328 | 8784 | 9270 | -22 | 15/15, 15/15 | 0.095 |
| BTC/USD | dual(100,30) | 49 | 13156 | 7908 | 8562 | -26 | 9/9, 9/9 | 0.065 |
| BTC/USD | donchian(55,20) | 13 | 6882 | 8202 | 8368 | -24 | 9/9, 9/9 | 0.060 |
| BTC/USD | donchian(100,50) | 6 | 6250 | 9061 | 9144 | -20 | 9/9, 9/9 | 0.130 |
| BTC/USD | roc(120) | 26 | 8669 | 8868 | 9163 | -19 | 5/5, 5/5 | 0.205 |
| BTC/USD | xover(20,100) | 12 | 8861 | 9134 | 9302 | -29 | 9/9, 9/9 | 0.155 |
| ETH/USD | dual(200,60) | 27 | 15193 | 10661 | 10938 | -18 | 15/15, 15/15 | 0.095 |
| ETH/USD | dual(100,30) | 52 | 7393 | 9168 | 9718 | -38 | 7/9, 9/9 | 0.080 |
| ETH/USD | donchian(55,20) | 14 | 8433 | 11167 | 11318 | -44 | 8/9, 9/9 | 0.090 |
| ETH/USD | donchian(100,50) | 5 | 5649 | 2662 | 2731 | -15 | 9/9, 9/9 | 0.415 |
| ETH/USD | roc(120) | 22 | 11972 | 6478 | 6746 | -41 | 4/5, 5/5 | 0.230 |
| ETH/USD | xover(20,100) | 12 | 4946 | 8881 | 9006 | -45 | 6/9, 9/9 | 0.170 |
| year | strat net bps | trades | B&H bps |
|---|
| 2021 | -2520.7 | 6 | 6106.2 |
| 2022 | 0.0 | 0 | -6407.9 |
| 2023 | 2666.5 | 3 | 15508.6 |
| 2024 | 7042.9 | 13 | 11911.5 |
| 2025 | 4821.3 | 9 | -533.4 |
| 2026 | 0.0 | 0 | -2820.3 |
Current state (last bar 2026-08-17): FLAT
| entry | exit | net bps |
|---|
| 2025-10-01 00:00:00 | 2025-10-11 00:00:00 | -125 |
| 2025-10-25 00:00:00 | 2025-10-26 00:00:00 | +32 |
| 2025-10-27 00:00:00 | 2025-10-31 00:00:00 | -582 |
| 2025-11-01 00:00:00 | 2025-11-02 00:00:00 | +24 |
| year | strat net bps | trades | B&H bps |
|---|
| 2021 | -3169.6 | 1 | 6106.2 |
| 2022 | -1998.0 | 1 | -6407.9 |
| 2023 | 1703.6 | 1 | 15508.6 |
| 2024 | 7570.2 | 1 | 11911.5 |
| 2025 | 2284.3 | 2 | -533.4 |
| 2026 | 0.0 | 0 | -2820.3 |
Current state (last bar 2026-08-17): FLAT
| entry | exit | net bps |
|---|
| 2023-01-21 00:00:00 | 2023-08-18 00:00:00 | +1704 |
| 2023-10-24 00:00:00 | 2024-05-02 00:00:00 | +7570 |
| 2024-10-30 00:00:00 | 2025-02-26 00:00:00 | +2138 |
| 2025-05-19 00:00:00 | 2025-08-30 00:00:00 | +146 |
| year | strat net bps | trades | B&H bps |
|---|
| 2021 | -5115.1 | 5 | 6106.2 |
| 2022 | -479.5 | 3 | -6407.9 |
| 2023 | 4920.3 | 5 | 15508.6 |
| 2024 | 8009.5 | 6 | 11911.5 |
| 2025 | 1903.6 | 7 | -533.4 |
| 2026 | 0.0 | 0 | -2820.3 |
Current state (last bar 2026-08-17): FLAT
| entry | exit | net bps |
|---|
| 2025-05-08 00:00:00 | 2025-05-18 00:00:00 | +598 |
| 2025-05-19 00:00:00 | 2025-05-31 00:00:00 | -249 |
| 2025-06-01 00:00:00 | 2025-10-31 00:00:00 | +313 |
| 2025-11-02 00:00:00 | 2025-11-04 00:00:00 | -357 |
| year | strat net bps | trades | B&H bps |
|---|
| 2021 | 3504.2 | 6 | 39988.1 |
| 2022 | -358.2 | 1 | -6738.2 |
| 2023 | 1634.8 | 9 | 9171.0 |
| 2024 | 5333.2 | 6 | 4704.7 |
| 2025 | 5684.6 | 5 | -1081.1 |
| 2026 | 0.0 | 0 | -3659.8 |
Current state (last bar 2026-08-16): FLAT
| entry | exit | net bps |
|---|
| 2025-01-12 00:00:00 | 2025-01-21 00:00:00 | -37 |
| 2025-06-10 00:00:00 | 2025-06-13 00:00:00 | -179 |
| 2025-07-03 00:00:00 | 2025-07-05 00:00:00 | -277 |
| 2025-07-06 00:00:00 | 2025-10-11 00:00:00 | +5183 |
| year | strat net bps | trades | B&H bps |
|---|
| 2021 | 0.0 | 0 | 39988.1 |
| 2022 | 3855.0 | 1 | -6738.2 |
| 2023 | -818.8 | 1 | 9171.0 |
| 2024 | 2633.6 | 1 | 4704.7 |
| 2025 | 97.7 | 2 | -1081.1 |
| 2026 | 0.0 | 0 | -3659.8 |
Current state (last bar 2026-08-16): FLAT
| entry | exit | net bps |
|---|
| 2023-03-18 00:00:00 | 2023-06-15 00:00:00 | -819 |
| 2023-11-10 00:00:00 | 2024-08-05 00:00:00 | +2634 |
| 2024-11-12 00:00:00 | 2025-02-03 00:00:00 | -1528 |
| 2025-06-11 00:00:00 | 2025-11-05 00:00:00 | +1626 |
| year | strat net bps | trades | B&H bps |
|---|
| 2021 | 5552.7 | 4 | 39988.1 |
| 2022 | -1438.4 | 3 | -6738.2 |
| 2023 | 1604.0 | 3 | 9171.0 |
| 2024 | 7779.4 | 5 | 4704.7 |
| 2025 | -1033.1 | 7 | -1081.1 |
| 2026 | 0.0 | 0 | -3659.8 |
Current state (last bar 2026-08-16): FLAT
| entry | exit | net bps |
|---|
| 2025-03-03 00:00:00 | 2025-03-04 00:00:00 | -1510 |
| 2025-06-10 00:00:00 | 2025-06-13 00:00:00 | -179 |
| 2025-06-27 00:00:00 | 2025-07-01 00:00:00 | +260 |
| 2025-07-02 00:00:00 | 2025-11-14 00:00:00 | +3385 |
Read: a real rule has neighbours mostly positive and a placebo p near 0 (the shifted state must do worse). Rules with few trades need extra caution — the placebo has low power.