{
  "schema_version": 2,
  "as_of_utc": "2026-11-04T00:00:00Z",
  "conclusion": "No setup establishes a robust positive edge at 100x in this study.",
  "positive_raw_oos_setups": [
    "SuperTrend"
  ],
  "robust_gate_clearers": [],
  "scope": "Current documented payout applied counterfactually to OKX perpetual trade-price candles; not historical Papertrade fills or cash withdrawals.",
  "leverage": 100,
  "data": {
    "source": "https://www.okx.com/api/v5/market/history-candles",
    "retrieved_at_utc": "2026-11-04T00:32:03.647625+00:00",
    "start_ms": 1780444800000,
    "end_ms": 1793750400000,
    "days": 154,
    "files": [
      {
        "asset": "BTC",
        "path": "data/BTC-USDT-SWAP-1m.delta.xz",
        "rows": 221760,
        "sha256": "97bc40fdc4ff297ba8103cd444ff014b1644a97dea602908b80877be448b42e0",
        "missing_minutes": 0,
        "duplicates": 0,
        "confirmed": true,
        "original_gzip_sha256": "db477abec23d41bc87b9a9667655e4acf8baf0eb5fddb19f94cff47645419e16",
        "csv_sha256": "52f35b69a75e36f338903bfdd6667ff5f7d49b57cc490b475e598ec447790a32",
        "storage": "Lossless delta-coded int64 columns + XZ; scales and exact text reconstruction in packed-manifest.json and research/storage.py"
      },
      {
        "asset": "ETH",
        "path": "data/ETH-USDT-SWAP-1m.delta.xz",
        "rows": 221760,
        "sha256": "afe3298b824e61e979f05b7b29b83487eb89b109211466ead5640a8debb96808",
        "missing_minutes": 0,
        "duplicates": 0,
        "confirmed": true,
        "original_gzip_sha256": "ba6ef01965536ddd75aa45d551a6883d830ef4d9f59751f95600094c6863b795",
        "csv_sha256": "56e0931e4c1893e0bfd36bf47032713b42e9e48f5529d17df889a126737e7efe",
        "storage": "Lossless delta-coded int64 columns + XZ; scales and exact text reconstruction in packed-manifest.json and research/storage.py"
      }
    ]
  },
  "walk_forward_folds": [
    {
      "training": [
        "2026-06-17T00:00:00+00:00",
        "2026-08-12T00:00:00+00:00"
      ],
      "test": [
        "2026-08-12T00:00:00+00:00",
        "2026-09-02T00:00:00+00:00"
      ]
    },
    {
      "training": [
        "2026-07-08T00:00:00+00:00",
        "2026-09-02T00:00:00+00:00"
      ],
      "test": [
        "2026-09-02T00:00:00+00:00",
        "2026-09-23T00:00:00+00:00"
      ]
    },
    {
      "training": [
        "2026-07-29T00:00:00+00:00",
        "2026-09-23T00:00:00+00:00"
      ],
      "test": [
        "2026-09-23T00:00:00+00:00",
        "2026-10-14T00:00:00+00:00"
      ]
    },
    {
      "training": [
        "2026-08-19T00:00:00+00:00",
        "2026-10-14T00:00:00+00:00"
      ],
      "test": [
        "2026-10-14T00:00:00+00:00",
        "2026-11-04T00:00:00+00:00"
      ]
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  "objective": {
    "ranking": "Fixed training-selected configurations by OOS mean net R per trade",
    "minimum_total_oos_trades": 100,
    "minimum_each_fold_oos_trades": 15,
    "training_selection": "mean R minus 0.5 SD/sqrt(n); >=100 pooled and >=20 per asset, initial 56 days only",
    "search_candidates_per_fold": 34560,
    "rolling_training_searches": 4,
    "familywise_tests_used": 138240,
    "limitations": "Family selection from the displayed OOS ranking spends the holdout; first-pass inputs already exposed overlapping dates. Not a fresh independent confirmation."
  },
  "r_definition": "Net modeled PnL divided by total initial notional \u00d7 initial raw stop fraction. Full bust = -0.01/stop R. Split trade statistics aggregate both legs.",
  "execution": {
    "next_open_proxy": true,
    "headline_extra_slippage_fraction": 0,
    "approximate_bust_fraction": 0.0095,
    "intraminute_order": "opening gaps first, time limit at its open, pending closes; bust-first then stop-first for ambiguous OHLC",
    "payout_win_fee": 0.02,
    "payout_builder_fee": 0,
    "position_overlap": "At most one strategy trade per asset (two half-margin positions count as one trade)",
    "drawdown": "Realized trade-aggregate PnL at final-leg close, simultaneous exits BTC then ETH. Separate one-minute net-close paths credit partial exits at their actual modeled minute and mark surviving legs; intraminute extrema unavailable."
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    "Volume",
    "Bollinger + RSI + Volume",
    "Stochastic",
    "Moving averages",
    "Bollinger",
    "RSI",
    "Ichimoku",
    "SuperTrend + Stochastic",
    "MACD",
    "Ichimoku + MACD"
  ],
  "rank_by_bust_rate": [
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    "Moving averages",
    "Bollinger",
    "RSI",
    "SuperTrend + Stochastic",
    "MACD",
    "Ichimoku + MACD",
    "Stochastic",
    "TD Sequential",
    "Ichimoku",
    "MA ribbon",
    "Bollinger + RSI + Volume"
  ],
  "rank_by_realized_drawdown_r": [
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    "Volume",
    "SuperTrend",
    "Bollinger + RSI + Volume",
    "Moving averages",
    "SuperTrend + Stochastic",
    "Stochastic",
    "RSI",
    "Bollinger",
    "MACD",
    "Ichimoku + MACD",
    "Ichimoku"
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  "rank_by_mark_to_close_drawdown_r": [
    "MA ribbon",
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    "Volume",
    "Bollinger + RSI + Volume",
    "SuperTrend",
    "Moving averages",
    "SuperTrend + Stochastic",
    "Stochastic",
    "RSI",
    "Bollinger",
    "MACD",
    "Ichimoku + MACD",
    "Ichimoku"
  ],
  "indicators": [
    {
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      "config": [
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        "avg_minutes": 42.225641025641025
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        {
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        {
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        {
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        "delay_2m": {
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        "bust_100": {
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        "long": "Low <= SMA20 - 2.0 \u00d7 population SD20; close > that lower band and close > open.",
        "short": "High >= SMA20 + 2.0 \u00d7 population SD20; close < that upper band and close < open.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "weekday Europe 08-12",
        "filters": "Monday-Friday, entry UTC hour 08 through 11 inclusive. Latest completed UTC 1h close > its EMA100 and that EMA100 > its value five hourly bars earlier for long; both inequalities reversed for short. One-minute ATR14/entry open, calculated through the previous minute, \u00d7 3 <= initial stop fraction; current ATR fraction percentile in [10%,80%] against the preceding 480 ATR fractions (strictly lower ranks / 480). This is a volatility proxy, not a measured adverse-excursion bound.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "Moving averages",
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        {
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        {
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        {
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      "per_side": {
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      "uncertainty": {
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        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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          "trades": 21,
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          "trades": 27,
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            17,
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          "long_trades": 13,
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 19.347156240532744,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 0.7351919371402443,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -10.412347080371916,
        "fold_max_drawdown_r": [
          9.209975219760699,
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      "exact_rules": {
        "name": "Moving averages",
        "timeframe_minutes": 5,
        "parameters": {
          "ema_fast": 12,
          "ema_slow": 50
        },
        "long": "EMA12 > EMA50 now and EMA12 <= EMA50 on the previous bar.",
        "short": "EMA12 < EMA50 now and EMA12 >= EMA50 on the previous bar.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
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        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "ADX direction",
        "filters": "Signal-timeframe Wilder ADX14 >= 25; signal close > EMA50 for long, < EMA50 for short.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "MA ribbon",
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        {
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              15,
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        {
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            "trades": 65,
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        {
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            2,
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        {
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            "trades": 46,
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      "per_asset": {
        "BTC": {
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        "ETH": {
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      "per_side": {
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          "long_trades": 85,
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      "uncertainty": {
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        "hac_se_mean_r": 0.08215366330129326,
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        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
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        "off_hours": {
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        "bust_100": {
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        "short": "Mean of EMAs [8, 13, 21] crosses strictly below mean of EMAs [34, 55, 89]; previous fast mean >= slow mean.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
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        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": {
          "BTC": 0.004510148743880694,
          "ETH": 0.004586244762207638
        },
        "exit_style": 3,
        "exit_rules": "Open two independent positions simultaneously with 50% of total margin each. First target earns net 1 initial R on that leg; second target earns net 3 initial R on that leg. For either surviving leg, a completed one-minute close at +1 initial stop raises stop to entry next minute; at +1.5 stops raises it to close minus 0.75 initial stop next minute. Never lower a stop. This emulates scale-out; no native partial close is assumed.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "weekday US 12-20",
        "filters": "Monday-Friday, entry UTC hour 12 through 19 inclusive. One-minute ATR14/entry open, calculated through the previous minute, \u00d7 3 <= initial stop fraction; current ATR fraction percentile in [10%,80%] against the preceding 480 ATR fractions (strictly lower ranks / 480). This is a volatility proxy, not a measured adverse-excursion bound.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
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            10,
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          "long_trades": 6,
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        "5": {
          "trades": 10,
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          "profit_factor": 2.4758278656903623,
          "max_drawdown_r": 0.8150919248040012,
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          "asset_trades": [
            5,
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          "long_trades": 6,
          "avg_minutes": 42.3
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        "6": {
          "trades": 38,
          "win_rate": 0.5,
          "mean_r": 0.21774734444920404,
          "profit_factor": 2.000546407660555,
          "max_drawdown_r": 2.3611186258988894,
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          "asset_trades": [
            19,
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          "long_trades": 22,
          "avg_minutes": 41.13157894736842
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 18.6703422703268,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 0.7094730062724184,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": 1.4351165195909434,
        "fold_max_drawdown_r": [
          4.314506305295653,
          12.447485178082127,
          10.559260055069998,
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      },
      "exact_rules": {
        "name": "SuperTrend",
        "timeframe_minutes": 60,
        "parameters": {
          "wilder_atr": 7,
          "multiplier": 2.0
        },
        "long": "SuperTrend direction flips from down to up on a completed close strictly above the current final upper band.",
        "short": "SuperTrend direction flips from up to down on a completed close strictly below the current final lower band.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 2,
        "exit_rules": "After a completed one-minute close reaches +1.5 initial stops, raise the stop to that close minus 0.75 initial stop in directional-return coordinates; effective next minute. Never lower it. No partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "none",
        "filters": "None; all UTC hours and weekdays eligible.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "Ichimoku",
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        4,
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        2,
        7
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          148,
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        "long_trades": 163,
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        "trades": 429,
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          219,
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      "eligible_for_ranking": true,
      "folds": [
        {
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            "2026-08-12T00:00:00+00:00",
            "2026-09-02T00:00:00+00:00"
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              53,
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            4,
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          "rolling": {
            "trades": 111,
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        {
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            "2026-09-02T00:00:00+00:00",
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              58,
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          "rolling_selected_config": [
            4,
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          "rolling": {
            "trades": 62,
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        {
          "fold": 3,
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            "2026-09-23T00:00:00+00:00",
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              59,
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          "rolling_selected_config": [
            4,
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          "rolling": {
            "trades": 35,
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        },
        {
          "fold": 4,
          "test_utc": [
            "2026-10-14T00:00:00+00:00",
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          "fixed": {
            "trades": 105,
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          "rolling_selected_config": [
            4,
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          "rolling": {
            "trades": 32,
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      "rolling_oos": {
        "trades": 240,
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      "per_asset": {
        "BTC": {
          "trades": 219,
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          "long_trades": 113,
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        "ETH": {
          "trades": 210,
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          "long_trades": 100,
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      },
      "per_side": {
        "-1": {
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        "1": {
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          "long_trades": 213,
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      "uncertainty": {
        "three_day_block_ci95_mean_r": [
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        "hac_se_mean_r": 0.04050138994608722,
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        "bonferroni_trials": 138240,
        "bonferroni_p": 1.0,
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        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
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        "off_hours": {
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        "slip_1bp": {
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        "slip_2bp": {
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        "slip_5bp": {
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        "delay_2m": {
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        "bust_090": {
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        "bust_100": {
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        "impact_125": {
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        "builder_05": {
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        "ideal_stop_first": {
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      "neighbors": [
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          "trades": 12,
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      "day_of_week_breakdown": {
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          "trades": 68,
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          "trades": 67,
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          "trades": 61,
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          "trades": 55,
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        "5": {
          "trades": 53,
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            29,
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          "long_trades": 26,
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          "trades": 79,
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          "max_drawdown_r": 11.444745622116864,
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          "asset_trades": [
            42,
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          "long_trades": 40,
          "avg_minutes": 42.48101265822785
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 58.1553644803486,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 2.209903850253247,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -51.586657529641094,
        "fold_max_drawdown_r": [
          23.987411850988074,
          17.22070384909133,
          16.76397142438812,
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      },
      "exact_rules": {
        "name": "Ichimoku",
        "timeframe_minutes": 3,
        "parameters": {
          "tenkan": 6,
          "kijun": 18,
          "span_b": 36,
          "displacement": 18
        },
        "long": "Close breaks strictly above displayed cloud top (previous close <= previous cloud top), and tenkan > kijun.",
        "short": "Close breaks strictly below displayed cloud bottom (previous close >= previous cloud bottom), and tenkan < kijun.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "ADX direction",
        "filters": "Signal-timeframe Wilder ADX14 >= 25; signal close > EMA50 for long, < EMA50 for short.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "TD Sequential",
      "family": 5,
      "config": [
        5,
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        3,
        1,
        7
      ],
      "training": {
        "trades": 198,
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          101,
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        "long_trades": 111,
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        "trades": 275,
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          130,
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      "eligible_for_ranking": true,
      "folds": [
        {
          "fold": 1,
          "test_utc": [
            "2026-08-12T00:00:00+00:00",
            "2026-09-02T00:00:00+00:00"
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              33,
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            "long_trades": 40,
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          "rolling_selected_config": [
            5,
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          "rolling": {
            "trades": 62,
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              33,
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        {
          "fold": 2,
          "test_utc": [
            "2026-09-02T00:00:00+00:00",
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          "fixed": {
            "trades": 67,
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              27,
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            ],
            "long_trades": 32,
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          "rolling_selected_config": [
            5,
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          "rolling": {
            "trades": 32,
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            "long_trades": 21,
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        },
        {
          "fold": 3,
          "test_utc": [
            "2026-09-23T00:00:00+00:00",
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          "fixed": {
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              43,
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          "rolling_selected_config": [
            5,
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            7
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          "rolling": {
            "trades": 32,
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            "profit_factor": 1.7308715495152778,
            "max_drawdown_r": 1.743171305105725,
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            "long_trades": 16,
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        },
        {
          "fold": 4,
          "test_utc": [
            "2026-10-14T00:00:00+00:00",
            "2026-11-04T00:00:00+00:00"
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          "fixed": {
            "trades": 64,
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          "rolling_selected_config": [
            5,
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          "rolling": {
            "trades": 51,
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            "profit_factor": 0.5021938509847695,
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            "long_trades": 6,
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      "rolling_oos": {
        "trades": 177,
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        "long_trades": 83,
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      "per_asset": {
        "BTC": {
          "trades": 130,
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          "profit_factor": 1.0100367111360093,
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          "asset_trades": [
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          "long_trades": 60,
          "avg_minutes": 42.16153846153846
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        "ETH": {
          "trades": 145,
          "win_rate": 0.45517241379310347,
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          "asset_trades": [
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          "long_trades": 63,
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      },
      "per_side": {
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          "trades": 152,
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          "long_trades": 0,
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        "1": {
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          "long_trades": 123,
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      "uncertainty": {
        "three_day_block_ci95_mean_r": [
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        "hac_se_mean_r": 0.0350860406630321,
        "one_sided_normal_p": 0.7443654017971686,
        "bonferroni_trials": 138240,
        "bonferroni_p": 1.0,
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        "daily_blocks": 84,
        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
        "baseline": {
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          "long_trades": 123,
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        "off_hours": {
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        "slip_1bp": {
          "trades": 275,
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        "slip_2bp": {
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        "slip_5bp": {
          "trades": 275,
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        "slip_10bp": {
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        "delay_1m": {
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          "long_trades": 123,
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        "delay_2m": {
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          "trades": 14,
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          "trades": 9,
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          "trades": 10,
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          "trades": 11,
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          "trades": 10,
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          "trades": 19,
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          "trades": 5,
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          "trades": 12,
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          "trades": 11,
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      "day_of_week_breakdown": {
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          "trades": 42,
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          "trades": 32,
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            9,
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          "trades": 36,
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            17,
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          "long_trades": 19,
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 13.016902629277382,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 0.4946422999125405,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -6.33784574771225,
        "fold_max_drawdown_r": [
          9.21849648914839,
          5.80758375708087,
          7.161237356056904,
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      },
      "exact_rules": {
        "name": "TD Sequential",
        "timeframe_minutes": 3,
        "parameters": {
          "setup_count": 9,
          "comparison_lag": 4,
          "perfection": true,
          "countdown_entries": false
        },
        "long": "Exactly 9 consecutive closes strictly below close four bars earlier; close > open; min(current low, previous low) <= min(lows two and three bars earlier).",
        "short": "Exactly 9 consecutive closes strictly above close four bars earlier; close < open; max(current high, previous high) >= max(highs two and three bars earlier).",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "hourly trend",
        "filters": "Latest completed UTC 1h close > its EMA100 and that EMA100 > its value five hourly bars earlier for long; both inequalities reversed for short.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "RSI",
      "family": 6,
      "config": [
        6,
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        7
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        "trades": 142,
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          73,
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        "long_trades": 72,
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      "oos": {
        "trades": 230,
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          120,
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      "eligible_for_ranking": true,
      "folds": [
        {
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            "2026-08-12T00:00:00+00:00",
            "2026-09-02T00:00:00+00:00"
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              34,
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          "rolling_selected_config": [
            6,
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          "rolling": {
            "trades": 62,
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        {
          "fold": 2,
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            "2026-09-02T00:00:00+00:00",
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              23,
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          "rolling_selected_config": [
            6,
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          "rolling": {
            "trades": 46,
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        {
          "fold": 3,
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            "2026-09-23T00:00:00+00:00",
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          "rolling_selected_config": [
            6,
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          "rolling": {
            "trades": 74,
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        {
          "fold": 4,
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            "2026-10-14T00:00:00+00:00",
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          "fixed": {
            "trades": 62,
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              31,
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          "rolling_selected_config": [
            6,
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          "rolling": {
            "trades": 58,
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      "rolling_oos": {
        "trades": 240,
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      "per_asset": {
        "BTC": {
          "trades": 120,
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          "long_trades": 63,
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        "ETH": {
          "trades": 110,
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          "mean_r": -0.10109548439174766,
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          "asset_trades": [
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          "long_trades": 55,
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      },
      "per_side": {
        "-1": {
          "trades": 112,
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          "long_trades": 0,
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        "1": {
          "trades": 118,
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          "max_drawdown_r": 11.684362851140888,
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          "asset_trades": [
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          "long_trades": 118,
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      "uncertainty": {
        "three_day_block_ci95_mean_r": [
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        "hac_se_mean_r": 0.044071887557722726,
        "one_sided_normal_p": 0.995918645630988,
        "bonferroni_trials": 138240,
        "bonferroni_p": 1.0,
        "familywise_95_lower_mean_r": -0.33495709271629875,
        "daily_blocks": 84,
        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
      },
      "sensitivity": {
        "baseline": {
          "trades": 230,
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      "day_of_week_breakdown": {
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 30.52158948431681,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 1.1598204004040387,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -26.81381376205835,
        "fold_max_drawdown_r": [
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      "exact_rules": {
        "name": "RSI",
        "timeframe_minutes": 1,
        "parameters": {
          "wilder_rsi": 7,
          "lower": 25,
          "upper": 75
        },
        "long": "Previous RSI7 < 25, current RSI >= 25, close > open.",
        "short": "Previous RSI7 > 75, current RSI <= 75, close < open.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
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        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "weekday Europe 08-12",
        "filters": "Monday-Friday, entry UTC hour 08 through 11 inclusive. Latest completed UTC 1h close > its EMA100 and that EMA100 > its value five hourly bars earlier for long; both inequalities reversed for short. One-minute ATR14/entry open, calculated through the previous minute, \u00d7 3 <= initial stop fraction; current ATR fraction percentile in [10%,80%] against the preceding 480 ATR fractions (strictly lower ranks / 480). This is a volatility proxy, not a measured adverse-excursion bound.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "MACD",
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              34,
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            7,
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        {
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            "trades": 64,
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        {
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      "per_asset": {
        "BTC": {
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          "long_trades": 75,
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        "ETH": {
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          "long_trades": 67,
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      "per_side": {
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        "1": {
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      "uncertainty": {
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        "hac_se_mean_r": 0.03810161590415721,
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        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
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        "off_hours": {
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        "slip_1bp": {
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        "slip_2bp": {
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        "slip_5bp": {
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        "delay_2m": {
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        "bust_090": {
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        "bust_100": {
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          "trades": 37,
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            20,
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          "long_trades": 15,
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        "6": {
          "trades": 41,
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          "profit_factor": 0.6782871235633248,
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            19,
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          "long_trades": 21,
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 41.79014623786786,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 1.5880255570389787,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -38.18864588746473,
        "fold_max_drawdown_r": [
          4.679895722174887,
          21.356433340128266,
          18.02228206779066,
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      },
      "exact_rules": {
        "name": "MACD",
        "timeframe_minutes": 15,
        "parameters": {
          "fast_ema": 12,
          "slow_ema": 26,
          "signal_ema": 9
        },
        "long": "(EMA12-EMA26) minus its EMA9 crosses strictly above zero; previous histogram <= 0.",
        "short": "(EMA12-EMA26) minus its EMA9 crosses strictly below zero; previous histogram >= 0.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "Asia 00-08",
        "filters": "All weekdays, entry UTC hour 00 through 07 inclusive. One-minute ATR14/entry open, calculated through the previous minute, \u00d7 3 <= initial stop fraction; current ATR fraction percentile in [10%,80%] against the preceding 480 ATR fractions (strictly lower ranks / 480). This is a volatility proxy, not a measured adverse-excursion bound.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "Stochastic",
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          133,
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        "trades": 353,
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          186,
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        {
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            "2026-08-12T00:00:00+00:00",
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              40,
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            8,
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          "rolling": {
            "trades": 84,
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        {
          "fold": 2,
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            "2026-09-02T00:00:00+00:00",
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              42,
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          "rolling_selected_config": [
            8,
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          "rolling": {
            "trades": 77,
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        {
          "fold": 3,
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            "2026-09-23T00:00:00+00:00",
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          "rolling_selected_config": [
            8,
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          "rolling": {
            "trades": 203,
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        {
          "fold": 4,
          "test_utc": [
            "2026-10-14T00:00:00+00:00",
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          "fixed": {
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            8,
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          "rolling": {
            "trades": 32,
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      "rolling_oos": {
        "trades": 396,
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      "per_asset": {
        "BTC": {
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          "long_trades": 86,
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        "ETH": {
          "trades": 167,
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          "long_trades": 82,
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      "per_side": {
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        "1": {
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          "long_trades": 168,
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      "uncertainty": {
        "three_day_block_ci95_mean_r": [
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        "hac_se_mean_r": 0.032791054406520456,
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        "bonferroni_trials": 138240,
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        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
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        "off_hours": {
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        "slip_1bp": {
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        "slip_2bp": {
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        "slip_5bp": {
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        "delay_2m": {
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        "bust_090": {
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        "bust_100": {
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        "impact_125": {
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        "builder_05": {
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        "ideal_stop_first": {
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      "neighbors": [
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          "oos": {
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      "day_of_week_breakdown": {
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          "trades": 49,
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          "trades": 58,
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          "long_trades": 28,
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          "trades": 42,
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          "max_drawdown_r": 6.507892215661534,
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            28,
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          "long_trades": 27,
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 26.353829480187873,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 1.0014455202471393,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -20.633950701353626,
        "fold_max_drawdown_r": [
          13.69921631052065,
          8.741045257683076,
          9.089309202693258,
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      },
      "exact_rules": {
        "name": "Stochastic",
        "timeframe_minutes": 15,
        "parameters": {
          "raw_k_period": 9,
          "d_sma": 3,
          "lower": 30,
          "upper": 70
        },
        "long": "Raw %K crosses strictly above SMA3(%K), previous K <= previous D, and current K < 30.",
        "short": "Raw %K crosses strictly below SMA3(%K), previous K >= previous D, and current K > 70.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": {
          "BTC": 0.004510148743880694,
          "ETH": 0.004586244762207638
        },
        "exit_style": 3,
        "exit_rules": "Open two independent positions simultaneously with 50% of total margin each. First target earns net 1 initial R on that leg; second target earns net 3 initial R on that leg. For either surviving leg, a completed one-minute close at +1 initial stop raises stop to entry next minute; at +1.5 stops raises it to close minus 0.75 initial stop next minute. Never lower a stop. This emulates scale-out; no native partial close is assumed.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "cross asset 15m",
        "filters": "Other asset latest completed 15m close > its EMA50 for long, < EMA50 for short (BTC checks ETH and ETH checks BTC).",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "Volume",
      "family": 9,
      "config": [
        9,
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        3,
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        7
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          70,
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        "trades": 187,
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      "eligible_for_ranking": true,
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        {
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            "2026-08-12T00:00:00+00:00",
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              22,
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          "rolling_selected_config": [
            9,
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          "rolling": {
            "trades": 45,
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        {
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            "2026-09-02T00:00:00+00:00",
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              25,
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            "long_trades": 19,
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          "rolling_selected_config": [
            9,
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          "rolling": {
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        {
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            "2026-09-23T00:00:00+00:00",
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            "trades": 53,
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        {
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            "2026-10-14T00:00:00+00:00",
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            "trades": 47,
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          "rolling": {
            "trades": 41,
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      "rolling_oos": {
        "trades": 189,
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        "long_trades": 104,
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      "per_asset": {
        "BTC": {
          "trades": 93,
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          "asset_trades": [
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          "long_trades": 44,
          "avg_minutes": 41.0
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        "ETH": {
          "trades": 94,
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          "asset_trades": [
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          "long_trades": 47,
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      },
      "per_side": {
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          "long_trades": 0,
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        "1": {
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          "long_trades": 91,
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      "uncertainty": {
        "three_day_block_ci95_mean_r": [
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        "hac_se_mean_r": 0.07242214768143819,
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        "bonferroni_trials": 138240,
        "bonferroni_p": 1.0,
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        "daily_blocks": 84,
        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
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        "off_hours": {
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        "slip_1bp": {
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        "slip_2bp": {
          "trades": 187,
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        "slip_5bp": {
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        "slip_10bp": {
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        "delay_1m": {
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        "delay_2m": {
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          "long_trades": 91,
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        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -6.4341411971937035,
        "fold_max_drawdown_r": [
          6.610016981906034,
          9.4529250688806,
          4.434582550867977,
          14.044641607685003
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      },
      "exact_rules": {
        "name": "Volume",
        "timeframe_minutes": 3,
        "parameters": {
          "volume_sma": 30,
          "volume_multiple": 1.5,
          "body_return_threshold": 0.0005
        },
        "long": "Base-asset volume > 1.5 \u00d7 SMA30(volume), including current bar; close/open - 1 > 0.0005.",
        "short": "Base-asset volume > 1.5 \u00d7 SMA30(volume), including current bar; close/open - 1 < -0.0005.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "weekday Europe 08-12",
        "filters": "Monday-Friday, entry UTC hour 08 through 11 inclusive. Latest completed UTC 1h close > its EMA100 and that EMA100 > its value five hourly bars earlier for long; both inequalities reversed for short. One-minute ATR14/entry open, calculated through the previous minute, \u00d7 3 <= initial stop fraction; current ATR fraction percentile in [10%,80%] against the preceding 480 ATR fractions (strictly lower ranks / 480). This is a volatility proxy, not a measured adverse-excursion bound.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    }
  ],
  "combinations": [
    {
      "name": "SuperTrend + Stochastic",
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      "eligible_for_ranking": true,
      "folds": [
        {
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            "2026-08-12T00:00:00+00:00",
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        {
          "fold": 2,
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            "2026-09-02T00:00:00+00:00",
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            "trades": 35,
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        {
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        {
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        "ETH": {
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      "per_side": {
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      "uncertainty": {
        "three_day_block_ci95_mean_r": [
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        "hac_se_mean_r": 0.039755462019006524,
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        "bonferroni_trials": 138240,
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        "daily_blocks": 84,
        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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        "off_hours": {
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        "slip_5bp": {
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        "bust_090": {
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        "bust_100": {
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        "impact_125": {
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        "builder_05": {
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        "ideal_stop_first": {
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      "neighbors": [
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          "trades": 25,
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            12,
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          "trades": 15,
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          "trades": 45,
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            25,
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          "long_trades": 19,
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          "trades": 36,
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          "profit_factor": 1.254088450235995,
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            21,
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          "long_trades": 20,
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 25.678266513168246,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 0.6098588296877459,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -21.414991451699837,
        "fold_max_drawdown_r": [
          2.4095872740023965,
          6.078438642701305,
          11.237903188891199,
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      },
      "exact_rules": {
        "name": "SuperTrend + Stochastic",
        "timeframe_minutes": 15,
        "parameters": {
          "direction": {
            "wilder_atr": 10,
            "multiplier": 2.5
          },
          "timing": {
            "raw_k_period": 14,
            "d_sma": 3,
            "lower": 30,
            "upper": 70
          }
        },
        "long": "SuperTrend is up, AND Raw %K crosses strictly above SMA3(%K), previous K <= previous D, and current K < 30.",
        "short": "SuperTrend is down, AND Raw %K crosses strictly below SMA3(%K), previous K >= previous D, and current K > 70.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.002375,
        "initial_stop_percent": 0.2375,
        "initial_stop_fraction_of_approximate_bust": 0.25,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.008283412881249449,
          "ETH": 0.008362850353430987
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 2,
        "exit_rules": "After a completed one-minute close reaches +1.5 initial stops, raise the stop to that close minus 0.75 initial stop in directional-return coordinates; effective next minute. Never lower it. No partial exits.",
        "time_stop_minutes": 20,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "volatility",
        "filters": "One-minute ATR14/entry open, calculated through the previous minute, \u00d7 3 <= initial stop fraction; current ATR fraction percentile in [10%,80%] against the preceding 480 ATR fractions (strictly lower ranks / 480). This is a volatility proxy, not a measured adverse-excursion bound.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "Ichimoku + MACD",
      "family": 12,
      "config": [
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        3,
        4,
        7
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      "training": {
        "trades": 154,
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          79,
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        "long_trades": 63,
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      "oos": {
        "trades": 256,
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          137,
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      "eligible_for_ranking": true,
      "folds": [
        {
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            "2026-08-12T00:00:00+00:00",
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              29,
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            12,
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            "trades": 55,
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        {
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            "2026-09-02T00:00:00+00:00",
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              37,
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            "long_trades": 42,
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            12,
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          "rolling": {
            "trades": 67,
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        {
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            "2026-09-23T00:00:00+00:00",
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              32,
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          "rolling_selected_config": [
            12,
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          "rolling": {
            "trades": 48,
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        },
        {
          "fold": 4,
          "test_utc": [
            "2026-10-14T00:00:00+00:00",
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          "rolling": {
            "trades": 72,
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      "rolling_oos": {
        "trades": 242,
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      "per_asset": {
        "BTC": {
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          "long_trades": 73,
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        "ETH": {
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          "long_trades": 63,
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      "per_side": {
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          "long_trades": 0,
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        "1": {
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          "long_trades": 136,
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      "uncertainty": {
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        "hac_se_mean_r": 0.05674682877907568,
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        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
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        "off_hours": {
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        "slip_1bp": {
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        "slip_2bp": {
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        "slip_5bp": {
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        "delay_1m": {
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        "delay_2m": {
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        "bust_090": {
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        "bust_100": {
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          "trades": 49,
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            27,
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          "long_trades": 18,
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        "5": {
          "trades": 0,
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          "profit_factor": null,
          "max_drawdown_r": null,
          "bust_rate": null
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        "6": {
          "trades": 0,
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          "max_drawdown_r": null,
          "bust_rate": null
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      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 55.3725183104151,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 2.104155695795774,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -51.13623889540206,
        "fold_max_drawdown_r": [
          15.36774506241428,
          12.597597735481145,
          12.16525613439566,
          26.852858287249372
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      },
      "exact_rules": {
        "name": "Ichimoku + MACD",
        "timeframe_minutes": 3,
        "parameters": {
          "direction": {
            "tenkan": 9,
            "kijun": 26,
            "span_b": 52,
            "displacement": 26
          },
          "timing": {
            "fast_ema": 8,
            "slow_ema": 21,
            "signal_ema": 5
          }
        },
        "long": "Tenkan > kijun and close > displayed cloud top, AND (EMA8-EMA21) minus its EMA5 crosses strictly above zero; previous histogram <= 0.",
        "short": "Tenkan < kijun and close < displayed cloud bottom, AND (EMA8-EMA21) minus its EMA5 crosses strictly below zero; previous histogram >= 0.",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.0038,
        "initial_stop_percent": 0.38,
        "initial_stop_fraction_of_approximate_bust": 0.4,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.013131899013890048,
          "ETH": 0.013212911094707146
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 1,
        "exit_rules": "After a completed one-minute close reaches +1 initial stop, raise the stop to entry from the next minute. Never lower it. No trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "weekday US 12-20",
        "filters": "Monday-Friday, entry UTC hour 12 through 19 inclusive. One-minute ATR14/entry open, calculated through the previous minute, \u00d7 3 <= initial stop fraction; current ATR fraction percentile in [10%,80%] against the preceding 480 ATR fractions (strictly lower ranks / 480). This is a volatility proxy, not a measured adverse-excursion bound.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    },
    {
      "name": "Bollinger + RSI + Volume",
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        "long_trades": 83,
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        "trades": 226,
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      "eligible_for_ranking": true,
      "folds": [
        {
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              28,
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            "long_trades": 32,
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          "rolling_selected_config": [
            13,
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          "rolling": {
            "trades": 50,
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        {
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              23,
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            13,
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            "trades": 49,
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        {
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            13,
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          "rolling": {
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        {
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          "rolling": {
            "trades": 34,
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      "per_asset": {
        "BTC": {
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          "long_trades": 52,
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        "ETH": {
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      "per_side": {
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        "1": {
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          "long_trades": 102,
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      "uncertainty": {
        "three_day_block_ci95_mean_r": [
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        "hac_se_mean_r": 0.04150719654761442,
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        "caveat": "Asymptotic HAC/normal approximation; correlated market regimes and search design limit calibration."
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      "sensitivity": {
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        "off_hours": {
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        "slip_5bp": {
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        "delay_2m": {
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        "bust_090": {
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        "bust_100": {
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        "impact_125": {
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        "builder_05": {
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        "ideal_stop_first": {
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          "mean_r": 0.07265232566180713,
          "profit_factor": 1.7432910411201,
          "max_drawdown_r": 0.6028365365754833,
          "bust_rate": 0.0,
          "busts": 0,
          "sum_r": 0.8718279079416855,
          "sd_r": 0.38392332148077146,
          "asset_trades": [
            4,
            8
          ],
          "long_trades": 6,
          "avg_minutes": 45.0
        },
        "23": {
          "trades": 4,
          "win_rate": 1.0,
          "mean_r": 0.17422611799956683,
          "profit_factor": null,
          "max_drawdown_r": 0.0,
          "bust_rate": 0.0,
          "busts": 0,
          "sum_r": 0.6969044719982673,
          "sd_r": 0.07548680090230263,
          "asset_trades": [
            3,
            1
          ],
          "long_trades": 1,
          "avg_minutes": 45.0
        }
      },
      "day_of_week_breakdown": {
        "0": {
          "trades": 24,
          "win_rate": 0.375,
          "mean_r": -0.18407614708143175,
          "profit_factor": 0.3945567240290325,
          "max_drawdown_r": 5.255570962580512,
          "bust_rate": 0.0,
          "busts": 0,
          "sum_r": -4.417827529954362,
          "sd_r": 0.5022853747251885,
          "asset_trades": [
            12,
            12
          ],
          "long_trades": 16,
          "avg_minutes": 40.25
        },
        "1": {
          "trades": 33,
          "win_rate": 0.6363636363636364,
          "mean_r": -0.024804100299090834,
          "profit_factor": 0.8867615180062968,
          "max_drawdown_r": 4.373266925797568,
          "bust_rate": 0.0,
          "busts": 0,
          "sum_r": -0.8185353098699976,
          "sd_r": 0.5503267048688734,
          "asset_trades": [
            18,
            15
          ],
          "long_trades": 20,
          "avg_minutes": 39.121212121212125
        },
        "2": {
          "trades": 30,
          "win_rate": 0.5666666666666667,
          "mean_r": 0.028123978968822533,
          "profit_factor": 1.1085914641040302,
          "max_drawdown_r": 3.8429175479823687,
          "bust_rate": 0.0,
          "busts": 0,
          "sum_r": 0.843719369064676,
          "sd_r": 0.7337279111515065,
          "asset_trades": [
            14,
            16
          ],
          "long_trades": 15,
          "avg_minutes": 41.333333333333336
        },
        "3": {
          "trades": 32,
          "win_rate": 0.46875,
          "mean_r": -0.11955511797260715,
          "profit_factor": 0.6516194452781715,
          "max_drawdown_r": 6.08199326051011,
          "bust_rate": 0.0,
          "busts": 0,
          "sum_r": -3.825763775123429,
          "sd_r": 0.6708546785536629,
          "asset_trades": [
            15,
            17
          ],
          "long_trades": 11,
          "avg_minutes": 38.34375
        },
        "4": {
          "trades": 26,
          "win_rate": 0.4230769230769231,
          "mean_r": -0.03957681330520145,
          "profit_factor": 0.8775174606454031,
          "max_drawdown_r": 5.998669555069137,
          "bust_rate": 0.038461538461538464,
          "busts": 1,
          "sum_r": -1.0289971459352376,
          "sd_r": 0.9443248130854022,
          "asset_trades": [
            8,
            18
          ],
          "long_trades": 13,
          "avg_minutes": 37.42307692307692
        },
        "5": {
          "trades": 42,
          "win_rate": 0.7142857142857143,
          "mean_r": 0.03787302021666802,
          "profit_factor": 1.5416865709432688,
          "max_drawdown_r": 1.0,
          "bust_rate": 0.0,
          "busts": 0,
          "sum_r": 1.5906668491000568,
          "sd_r": 0.2573783596159654,
          "asset_trades": [
            14,
            28
          ],
          "long_trades": 11,
          "avg_minutes": 44.69047619047619
        },
        "6": {
          "trades": 39,
          "win_rate": 0.5128205128205128,
          "mean_r": -0.054510306724698074,
          "profit_factor": 0.6124386017288563,
          "max_drawdown_r": 3.097431934580479,
          "bust_rate": 0.02564102564102564,
          "busts": 1,
          "sum_r": -2.125901962263225,
          "sd_r": 0.3733142086232749,
          "asset_trades": [
            20,
            19
          ],
          "long_trades": 16,
          "avg_minutes": 44.05128205128205
        }
      },
      "mark_to_close_drawdown": {
        "max_drawdown_r": 17.763848490839727,
        "max_drawdown_percent_initial_equity_at_point_one_percent_margin": 1.0125393639778644,
        "sampling": "One-minute close; remaining legs marked to hypothetical net payout. Earlier realized partial exits remain credited. Positions closing at a minute open/level are realized on that minute. Intraminute risk and actual queued cash are not observed.",
        "mark_final_sum_r": -9.782639504981457,
        "fold_max_drawdown_r": [
          8.361086637918408,
          9.874059946958742,
          5.505151563759567,
          5.080186960266373
        ]
      },
      "exact_rules": {
        "name": "Bollinger + RSI + Volume",
        "timeframe_minutes": 3,
        "parameters": {
          "bollinger": {
            "period": 28,
            "population_sd_multiple": 2.3
          },
          "rsi": {
            "wilder_rsi": 21,
            "lower": 35,
            "upper": 65
          },
          "volume": {
            "sma": 30,
            "multiple": 2.5
          }
        },
        "long": "Low <= SMA28 - 2.3 \u00d7 population SD28; close > that lower band and close > open. RSI21 is rising and < 50; volume > 2.5 \u00d7 SMA30(volume).",
        "short": "High >= SMA28 + 2.3 \u00d7 population SD28; close < that upper band and close < open. RSI21 is falling and > 50; volume > 2.5 \u00d7 SMA30(volume).",
        "confirmation": "Completed signal bar i; enter at the next one-minute open at the signal bar start timestamp plus its full timeframe. Never enter within signal bar.",
        "initial_stop_fraction_of_price": 0.005699999999999999,
        "initial_stop_percent": 0.57,
        "initial_stop_fraction_of_approximate_bust": 0.6,
        "target_net_r_on_leg": 3.0,
        "target_fraction_of_price": {
          "BTC": 0.019595366234202823,
          "ETH": 0.01967729500269165
        },
        "first_leg_target_fraction_if_split": null,
        "exit_style": 0,
        "exit_rules": "No break-even, trailing or partial exits.",
        "time_stop_minutes": 45,
        "time_stop": "Entry minute is holding minute 1; if still open after TTL complete one-minute candles, exit at minute entry+TTL open.",
        "filter_profile": "hourly trend",
        "filters": "Latest completed UTC 1h close > its EMA100 and that EMA100 > its value five hourly bars earlier for long; both inequalities reversed for short.",
        "stop_target_geometry": "Long initial stop E*(1-stop), target E*(1+target); short stop E*(1+stop), target E*(1-target). Dynamic levels use side*(P/E-1).",
        "do_not_trade": "Skip non-confirmed or missing candles, NaN required features, absent trigger/filter, entry open >0.10% away from signal close, an already open position in that asset, or insufficient complete execution horizon before a split. Operational veto: stale BBO, changed payout settings, unavailable/rejected close service, paused/retired market, queue/cash uncertainty, or actual displayed bust inside planned stop. Operational vetoes were not backtested."
      }
    }
  ],
  "playbook": {
    "status": "Unvalidated harm-minimizing policy for mandatory 100x trading; caps/vetoes below were not backtested as a combined portfolio.",
    "leverage": 100,
    "setups": [
      "SuperTrend"
    ],
    "margin_per_trade_fraction_of_initial_cash_equity": 0.001,
    "aggregate_open_margin_fraction": 0.001,
    "one_asset_at_a_time": true,
    "maximum_trades_per_asset_per_utc_day": 2,
    "maximum_total_trades_per_utc_day": 4,
    "daily_realized_plus_open_loss_limit_fraction_of_day_start_cash": 0.003,
    "weekly_loss_limit_fraction": 0.01,
    "do_not_force_a_trade_without_a_signal": true,
    "stop_conditions": [
      "Daily or weekly loss cap reached",
      "Any unexpected bust or close rejection: halt and audit before further entries",
      "Observed basis/latency exceeds stressed assumptions, or stale candles/BBO",
      "Payout parameters, displayed bust distance, relayer access, retirement or queue/cash status cannot be verified",
      "20-trade rolling mean net R below -0.10, or 50-trade mean <=0: pause for fresh prospective review; these are policy thresholds, not validated tests"
    ],
    "sizing": "0.10% total initial spendable cash equity as isolated margin, split 50/50 only for dual-position exits. Both assets use 100x. Never upscale to satisfy venue minimums; skip if below them."
  },
  "primary_sources": [
    "https://docs.papertrade.xyz/how/asymmetric-impact/",
    "https://docs.papertrade.xyz/learn/liquidations/",
    "https://docs.papertrade.xyz/learn/trades-pricing/",
    "https://docs.papertrade.xyz/learn/wins-losses/",
    "https://docs.papertrade.xyz/how/solvency-queue/",
    "https://docs.papertrade.xyz/how/pricing-bbo/",
    "https://docs.papertrade.xyz/dev/protocol-changes/",
    "https://docs.papertrade.xyz/how/risk/"
  ],
  "reproduce": [
    "python3 research/run.py check",
    "python3 research/run.py verify",
    "python3 research/run.py replay",
    "python3 research/run.py derive",
    "python3 research/run.py render"
  ]
}