{
  "schema_version": 1,
  "as_of_utc": "2026-11-03T16:00:00Z",
  "conclusion": "No tested indicator or combination demonstrates a positive pooled OOS edge at 100x.",
  "data": {
    "source": "https://www.okx.com/api/v5/market/history-candles",
    "instrument_type": "USDT margined perpetual swap",
    "retrieved_at": "2026-11-03T16:56:12.242661+00:00",
    "start_inclusive": "2026-09-01T16:00:00+00:00",
    "end_exclusive": "2026-11-03T16:00:00+00:00",
    "columns": [
      "timestamp_ms",
      "open",
      "high",
      "low",
      "close",
      "volume_contracts",
      "volume_base",
      "volume_quote",
      "confirmed"
    ],
    "timeframes": {
      "1m": "native",
      "5m": "UTC-aligned aggregation of native 1m",
      "15m": "UTC-aligned aggregation of native 1m",
      "1h": "UTC-aligned aggregation of native 1m"
    },
    "files": [
      {
        "coin": "BTC",
        "file": "data/BTC-USDT-SWAP-1m.jsonl.gz",
        "rows": 90720,
        "sha256": "e03d4aa4252cd88714156024426445671899b0a38ae94fca0b1b79ca19d92e31"
      },
      {
        "coin": "ETH",
        "file": "data/ETH-USDT-SWAP-1m.jsonl.gz",
        "rows": 90720,
        "sha256": "b2fcec0c5262ff2201ec71afd8ea7fe07aef6dad5c61acc4e38f7b7c5847cc77"
      }
    ],
    "derived_files": [
      {
        "file": "data/BTC-USDT-SWAP-5m.csv.gz",
        "rows": 18144,
        "sha256": "329c76be17c1296dfe552ca8eac51e11120b23cdeb92f20261cbc098244367fc",
        "method": "aggregate native 1m; volume in base asset units"
      },
      {
        "file": "data/BTC-USDT-SWAP-15m.csv.gz",
        "rows": 6048,
        "sha256": "b2b9d285729dace23890085063fc80ff263c2cc71184c05526c0adf7afb5f12f",
        "method": "aggregate native 1m; volume in base asset units"
      },
      {
        "file": "data/BTC-USDT-SWAP-1H.csv.gz",
        "rows": 1512,
        "sha256": "946398071303717e4fde49157e6e6eddfe2a8f4d12b789c5f1d47b0dfda1d938",
        "method": "aggregate native 1m; volume in base asset units"
      },
      {
        "file": "data/ETH-USDT-SWAP-5m.csv.gz",
        "rows": 18144,
        "sha256": "e04fb7504e244c73e77fa49c0f6141e2f94fe145f26e1508a58cf37a923cbed7",
        "method": "aggregate native 1m; volume in base asset units"
      },
      {
        "file": "data/ETH-USDT-SWAP-15m.csv.gz",
        "rows": 6048,
        "sha256": "9fb3424bf7ae02d9d40a5c5cdaa55bfb56270338527aa996d9a92db4d95bbdd9",
        "method": "aggregate native 1m; volume in base asset units"
      },
      {
        "file": "data/ETH-USDT-SWAP-1H.csv.gz",
        "rows": 1512,
        "sha256": "7341ccb609509db70b0c6999f194fe2c29eb1741325b433ff719b78bfb60bb8e",
        "method": "aggregate native 1m; volume in base asset units"
      }
    ]
  },
  "evaluation_periods": {
    "train": {
      "start_inclusive": "2026-09-08T16:00:00+00:00",
      "end_exclusive": "2026-10-10T16:00:00+00:00"
    },
    "validation": {
      "start_inclusive": "2026-10-10T16:00:00+00:00",
      "end_exclusive": "2026-10-22T16:00:00+00:00"
    },
    "test": {
      "start_inclusive": "2026-10-22T16:00:00+00:00",
      "end_exclusive": "2026-11-03T16:00:00+00:00"
    }
  },
  "warmup_days": 7,
  "common_rules": {
    "confirmation": "Only after the signal candle is complete; all indicator inputs include that candle and no future candles.",
    "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
    "gap_filter": "Skip if abs(entry / signal_close - 1) > 0.001 (0.10%).",
    "long_stop": "Entry \u00d7 (1 \u2212 stop_fraction).",
    "short_stop": "Entry \u00d7 (1 + stop_fraction).",
    "long_target": "Entry \u00d7 (1 + target_fraction).",
    "short_target": "Entry \u00d7 (1 \u2212 target_fraction).",
    "time_stop": "Close full size at the close of time_bars bars, counting the entry bar as bar 1; never widen stop; no trailing or partial exits.",
    "position_policy": "One position per asset per setup, no pyramiding, ignore new signals while occupied; BTC and ETH may overlap. Opposite signals do not exit/reverse an open trade.",
    "trend_filter_if_selected": "Long: signal close > EMA100 and EMA100 > prior EMA100. Short: signal close < EMA100 and EMA100 < prior EMA100, all on the selected timeframe.",
    "session_filter": "None: 24/7 UTC. Unknown off-hours curve schedule is bracketed by separate payout scenarios.",
    "research_risk_normalization": "Each trade risks 0.25% of initial account equity at its planned stop. Fixed dollar R, no compounding. Margin fraction = 0.0025 / (100 \u00d7 stop_fraction).",
    "do_not_trade": [
      "This study establishes no positive 100x edge: setups are specifications for observation, not deployment recommendations.",
      "Skip unconfirmed/missing candles, simultaneous opposing signals, the gap filter failure, or a position already open in that asset.",
      "Operationally skip when actual displayed bust is not farther away than the stop, when the relayer cannot support prompt closes, or when opens are paused/capped. These unavailable protocol states were not historical filters."
    ]
  },
  "selection_design": {
    "split_minutes": {
      "train": [
        10080,
        56160
      ],
      "validation": [
        56160,
        73440
      ],
      "test": [
        73440,
        90720
      ]
    },
    "timeframes_minutes": [
      1,
      5,
      15,
      60
    ],
    "baseline_parameters": [
      {
        "period": 15,
        "sd": 1.5,
        "local": 5,
        "reentry": false
      },
      {
        "fast": 10,
        "middle": 50,
        "slow": 100,
        "width": 0.03,
        "duration": 5
      },
      {
        "fast": [
          3,
          5,
          8,
          10,
          12,
          15
        ],
        "slow": [
          30,
          35,
          40,
          45,
          50,
          60
        ],
        "mode": "none"
      },
      {
        "atr": 7,
        "mult": 3.0,
        "smoothing": "sma"
      },
      {
        "tenkan": 12,
        "kijun": 30,
        "span_b": 60,
        "displacement": 30,
        "mode": "either"
      },
      {
        "setup": 9,
        "countdown": 13,
        "mode": "both",
        "perfect": false
      },
      {
        "period": 7,
        "lower": 30,
        "upper": 80,
        "mode": "turn"
      },
      {
        "fast": 12,
        "slow": 26,
        "signal": 9
      },
      {
        "k": 9,
        "d": 3,
        "lower": 20,
        "upper": 80
      },
      {
        "vma": 20,
        "multiple": 2.0,
        "move": 0.02,
        "mode": "breakout"
      }
    ],
    "variants": [
      [
        {
          "period": 15,
          "sd": 1.5,
          "local": 5,
          "reentry": true
        },
        {
          "period": 20,
          "sd": 2.0,
          "local": 5,
          "reentry": true
        },
        {
          "period": 30,
          "sd": 2.0,
          "local": 5,
          "reentry": true
        }
      ],
      [
        {
          "fast": 5,
          "middle": 20,
          "slow": 50,
          "width": 0.0005,
          "duration": 5
        },
        {
          "fast": 10,
          "middle": 30,
          "slow": 100,
          "width": 0.001,
          "duration": 5
        },
        {
          "fast": 10,
          "middle": 50,
          "slow": 100,
          "width": 0.002,
          "duration": 5
        }
      ],
      [
        {
          "fast": [
            3,
            5,
            8,
            10,
            12,
            15
          ],
          "slow": [
            30,
            35,
            40,
            45,
            50,
            60
          ],
          "mode": "cross"
        },
        {
          "fast": [
            3,
            5,
            8,
            10,
            12,
            15
          ],
          "slow": [
            30,
            35,
            40,
            45,
            50,
            60
          ],
          "mode": "separation"
        },
        {
          "fast": [
            5,
            8,
            10
          ],
          "slow": [
            20,
            30,
            50
          ],
          "mode": "separation"
        }
      ],
      [
        {
          "atr": 7,
          "mult": 2.0,
          "smoothing": "sma"
        },
        {
          "atr": 10,
          "mult": 2.0,
          "smoothing": "sma"
        },
        {
          "atr": 14,
          "mult": 2.5,
          "smoothing": "sma"
        }
      ],
      [
        {
          "tenkan": 9,
          "kijun": 26,
          "span_b": 52,
          "displacement": 26,
          "mode": "cross_outside"
        },
        {
          "tenkan": 6,
          "kijun": 18,
          "span_b": 36,
          "displacement": 18,
          "mode": "break"
        },
        {
          "tenkan": 12,
          "kijun": 30,
          "span_b": 60,
          "displacement": 30,
          "mode": "cross_outside"
        }
      ],
      [
        {
          "setup": 9,
          "countdown": 13,
          "mode": "setup",
          "perfect": true
        },
        {
          "setup": 9,
          "countdown": 13,
          "mode": "countdown",
          "perfect": false
        },
        {
          "setup": 9,
          "countdown": 13,
          "mode": "setup_reversal",
          "perfect": true
        }
      ],
      [
        {
          "period": 7,
          "lower": 30,
          "upper": 70,
          "mode": "recross"
        },
        {
          "period": 14,
          "lower": 30,
          "upper": 70,
          "mode": "recross"
        },
        {
          "period": 7,
          "lower": 20,
          "upper": 80,
          "mode": "recross"
        }
      ],
      [
        {
          "fast": 5,
          "slow": 13,
          "signal": 5
        },
        {
          "fast": 8,
          "slow": 21,
          "signal": 5
        },
        {
          "fast": 12,
          "slow": 26,
          "signal": 9
        }
      ],
      [
        {
          "k": 9,
          "d": 3,
          "lower": 20,
          "upper": 80
        },
        {
          "k": 14,
          "d": 3,
          "lower": 20,
          "upper": 80
        },
        {
          "k": 9,
          "d": 3,
          "lower": 30,
          "upper": 70
        }
      ],
      [
        {
          "vma": 20,
          "multiple": 1.5,
          "move": 0.001,
          "mode": "breakout"
        },
        {
          "vma": 30,
          "multiple": 2.0,
          "move": 0.002,
          "mode": "breakout"
        },
        {
          "vma": 20,
          "multiple": 2.5,
          "move": 0.0,
          "mode": "exhaustion"
        }
      ]
    ],
    "exits": [
      {
        "stop": 0.002,
        "target": 0.004,
        "time_bars": 6
      },
      {
        "stop": 0.0035,
        "target": 0.007,
        "time_bars": 12
      },
      {
        "stop": 0.005,
        "target": 0.01,
        "time_bars": 24
      }
    ],
    "trend_filters": [
      false,
      true
    ],
    "training_min_trades": 40,
    "validation_min_trades": 15,
    "objective": "pooled mean net R - 0.5 * sample standard deviation(R)/sqrt(n); at least max(3,min_n//5) trades per asset",
    "selection": "top five eligible training candidates, then highest validation objective; if none eligible, highest available score with explicit insufficient-sample flag",
    "candidate_count_per_indicator": 72,
    "risk_fraction_initial_equity": 0.0025
  },
  "selection_lock_sha256": "d64f280e27d5f109da39701ae0d54b4408d6648c5a884d363645d052e36d5bc2",
  "protocol": {
    "contract_set": 2,
    "leverage": 100,
    "bust_distance_approx": 0.0095,
    "parameters": {
      "BTC": {
        "base_rate": 0.1,
        "rate_multiplier": 15000.0,
        "reference_notional": 100000.0,
        "position_multiplier": 814.598
      },
      "ETH": {
        "base_rate": 0.1,
        "rate_multiplier": 15000.0,
        "reference_notional": 100000.0,
        "position_multiplier": 483.979
      }
    },
    "builder_fee": 0.0,
    "headline_curve": "standard",
    "fidelity": "Documented contract-set-2 mathematical payout scenario, not a byte-exact or historical onchain replay.",
    "win_formula": "m=max(0, directional_move - 0.00002 - holdback); net_notional_return=m*(1-base_rate)/(1+1/(m*rate_multiplier)+reference_notional/(1e6*m*position_multiplier))*0.98, or 0 if m=0.",
    "holdback_standard": {
      "band": [
        7.5e-05,
        0.0006
      ],
      "coefficient": 3.597,
      "formula": "coefficient*width*u^2*(1-u)^2, u=(raw_move-band_start)/width; zero outside band"
    },
    "holdback_off_hours": {
      "band": [
        3e-05,
        0.001
      ],
      "coefficient": 6.085,
      "formula": "coefficient*width*u^2*(1-u)^3; zero outside band"
    },
    "loss_formula": "Signed directional return, no additional trader fee; at/past bust lose full margin: net_notional_return=-0.01.",
    "bust_limit": "Docs only approximate a 5bp buffer. Main scenario uses 0.95% adverse price distance; 0.90% and 1.00% sensitivities are included.",
    "intraminute_policy": "If a live position\u2019s 1m candle touches bust, assume keeper beats stop. Otherwise stop before target when both touched. Gaps use open for adverse fills; favorable target gaps receive target only.",
    "paper_token_return_included": false,
    "paper_emission_quantity": null,
    "paper_reason": "No historical supply, LP balance/insolvency clock, exact c, funding origin, or queued settlement state; no realizable token price. Documented emission function is implemented with explicit state inputs.",
    "unavailable": [
      "Exact per-block BBO path",
      "historical actual owner-set impact/fee parameters",
      "exact bust arithmetic and fixed-point rounding",
      "off-hours keeper schedule",
      "relayer and stop-trigger latency",
      "LP payout liquidity and PAPER state"
    ]
  },
  "indicators": [
    {
      "indicator": "Bollinger",
      "id": 1,
      "config": {
        "timeframe_minutes": 5,
        "variant_index": 1,
        "parameters": {
          "period": 20,
          "sd": 2.0,
          "local": 5,
          "reentry": true
        },
        "trend_filter": true,
        "exit": {
          "stop": 0.002,
          "target": 0.004,
          "time_bars": 6
        }
      },
      "selection_eligible": true,
      "test": {
        "trades": 50,
        "win_rate": 0.46,
        "average_r": -0.048295256194538554,
        "profit_factor": 0.8554886648910058,
        "profit_factor_no_losses": false,
        "max_drawdown_r": 8.55331674259356,
        "max_drawdown_pct_initial": 2.13832918564839,
        "bust_rate": 0.0,
        "busts": 0,
        "total_r": -2.414762809726928,
        "long_trades": 26,
        "short_trades": 24,
        "ambiguous_candles": 0,
        "time_exits": 32,
        "split_end_exits": 0,
        "average_r_ci95_day_block": [
          -0.28418270442784405,
          0.2209124315078468
        ],
        "mark_to_close_drawdown": {
          "r": 9.641865170486398,
          "pct_initial_equity": 2.4104662926215994,
          "sampling": "one-minute close; intraminute peak-to-trough unknown"
        }
      },
      "per_asset": {
        "BTC": {
          "trades": 26,
          "win_rate": 0.46153846153846156,
          "average_r": -0.1335130881321869,
          "profit_factor": 0.6476048445034102,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 6.197566459778667,
          "max_drawdown_pct_initial": 1.5493916149446667,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -3.4713402914368596,
          "long_trades": 14,
          "short_trades": 12,
          "ambiguous_candles": 0,
          "time_exits": 16,
          "split_end_exits": 0
        },
        "ETH": {
          "trades": 24,
          "win_rate": 0.4583333333333333,
          "average_r": 0.044024061737913824,
          "profit_factor": 1.1540392005797786,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 4.834384673672872,
          "max_drawdown_pct_initial": 1.208596168418218,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": 1.0565774817099318,
          "long_trades": 12,
          "short_trades": 12,
          "ambiguous_candles": 0,
          "time_exits": 16,
          "split_end_exits": 0
        }
      },
      "per_side": {
        "long": {
          "trades": 26,
          "win_rate": 0.46153846153846156,
          "average_r": 0.003892055945920941,
          "profit_factor": 1.0137932956766262,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 3.83022274024869,
          "max_drawdown_pct_initial": 0.9575556850621725,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": 0.10119345459394447,
          "long_trades": 26,
          "short_trades": 0,
          "ambiguous_candles": 0,
          "time_exits": 18,
          "split_end_exits": 0
        },
        "short": {
          "trades": 24,
          "win_rate": 0.4583333333333333,
          "average_r": -0.10483151101336967,
          "profit_factor": 0.7315863046582145,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 8.503756727740356,
          "max_drawdown_pct_initial": 2.125939181935089,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -2.515956264320872,
          "long_trades": 0,
          "short_trades": 24,
          "ambiguous_candles": 0,
          "time_exits": 14,
          "split_end_exits": 0
        }
      },
      "per_asset_side": {
        "BTC": {
          "long": {
            "trades": 14,
            "win_rate": 0.5,
            "average_r": -0.14640344708535347,
            "profit_factor": 0.5834495935335039,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 2.4360700464185636,
            "max_drawdown_pct_initial": 0.6090175116046409,
            "bust_rate": 0.0,
            "busts": 0,
            "total_r": -2.0496482591949485,
            "long_trades": 14,
            "short_trades": 0,
            "ambiguous_candles": 0,
            "time_exits": 9,
            "split_end_exits": 0
          },
          "short": {
            "trades": 12,
            "win_rate": 0.4166666666666667,
            "average_r": -0.11847433602015926,
            "profit_factor": 0.7116345710961621,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 4.147918200583718,
            "max_drawdown_pct_initial": 1.0369795501459296,
            "bust_rate": 0.0,
            "busts": 0,
            "total_r": -1.421692032241911,
            "long_trades": 0,
            "short_trades": 12,
            "ambiguous_candles": 0,
            "time_exits": 7,
            "split_end_exits": 0
          }
        },
        "ETH": {
          "long": {
            "trades": 12,
            "win_rate": 0.4166666666666667,
            "average_r": 0.17923680948240772,
            "profit_factor": 1.8902879509239958,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 1.8302227402486326,
            "max_drawdown_pct_initial": 0.45755568506215816,
            "bust_rate": 0.0,
            "busts": 0,
            "total_r": 2.1508417137888927,
            "long_trades": 12,
            "short_trades": 0,
            "ambiguous_candles": 0,
            "time_exits": 9,
            "split_end_exits": 0
          },
          "short": {
            "trades": 12,
            "win_rate": 0.5,
            "average_r": -0.09118868600658009,
            "profit_factor": 0.7537244889291935,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 4.378206442442962,
            "max_drawdown_pct_initial": 1.0945516106107405,
            "bust_rate": 0.0,
            "busts": 0,
            "total_r": -1.094264232078961,
            "long_trades": 0,
            "short_trades": 12,
            "ambiguous_candles": 0,
            "time_exits": 7,
            "split_end_exits": 0
          }
        }
      },
      "baseline_test_by_timeframe": {
        "1": {
          "trades": 2448,
          "win_rate": 0.5081699346405228,
          "average_r": -0.053082010499068286,
          "profit_factor": 0.7369766706965188,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 133.99125696547085,
          "max_drawdown_pct_initial": 33.49781424136771,
          "bust_rate": 0.002042483660130719,
          "busts": 5,
          "total_r": -129.94476170171916,
          "long_trades": 1254,
          "short_trades": 1194,
          "ambiguous_candles": 0,
          "time_exits": 2161,
          "split_end_exits": 2
        },
        "5": {
          "trades": 657,
          "win_rate": 0.471841704718417,
          "average_r": -0.0727536268855657,
          "profit_factor": 0.8284575276050571,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 79.54168536330225,
          "max_drawdown_pct_initial": 19.885421340825562,
          "bust_rate": 0.0060882800608828,
          "busts": 4,
          "total_r": -47.799132863816666,
          "long_trades": 356,
          "short_trades": 301,
          "ambiguous_candles": 0,
          "time_exits": 349,
          "split_end_exits": 2
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      "sensitivity": {
        "all_off_hours": {
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        "one_minute_trigger_delay": {
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        "bust_0_90_percent": {
          "trades": 50,
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        "bust_1_00_percent": {
          "trades": 50,
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      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
        "long_trigger": "Current low \u2264 SMA20 \u2212 2\u00d7population SD20 and is the minimum low of this bar and the preceding four; close > lower band and close > open.",
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        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
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        "session_filter": "None",
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      "indicator": "Moving averages",
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      "per_asset_side": {
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      "baseline_test_by_timeframe": {
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        "one_minute_trigger_delay": {
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        "bust_0_90_percent": {
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        "bust_1_00_percent": {
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      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
        "long_trigger": "For at least five consecutive completed bars, (max(EMA5,EMA20,EMA50) \u2212 min(...))/close \u2264 0.0005. On the current bar it becomes > 0.0005, EMA5 > EMA50, EMA5 rises and EMA50 rises versus the prior bar.",
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        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
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        "time_stop_minutes": 12,
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        "session_filter": "None",
        "trailing_rule": "None",
        "extra_no_trade": "No entry while still compressed, after a release without five immediately preceding compressed bars, or when the two EMA slopes disagree."
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      "selection_samples": {
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      "indicator": "MA ribbon",
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      "selection_eligible": true,
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      "per_asset": {
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      "per_side": {
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      "setup": {
        "long_trigger": "The arithmetic mean of EMA3/5/8/10/12/15 crosses strictly above the mean of EMA30/35/40/45/50/60; on the previous bar the fast mean was \u2264 the slow mean.",
        "short_trigger": "The same fast mean crosses strictly below the slow mean; on the previous bar it was \u2265 the slow mean.",
        "confirmation": "Only after the signal candle is complete; all indicator inputs include that candle and no future candles.",
        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
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        "session_filter": "None",
        "trailing_rule": "None",
        "extra_no_trade": "An already aligned ribbon is not a new entry. Do not trade an intrabar crossover that disappears at the close."
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    {
      "indicator": "SuperTrend",
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      "per_asset": {
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      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
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        "short_trigger": "The same SuperTrend flips from up to down when the close is strictly below the current final lower band.",
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        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
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        "session_filter": "None",
        "trailing_rule": "None",
        "extra_no_trade": "Do not enter on a wick through the band or merely because the trend remains up/down. Exact recursive bands are specified below."
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      "selection_samples": {
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      "rank": 8,
      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
        "long_trigger": "With tenkan/kijun/span-B = 6/18/36 and displacement 18, close is above the displayed cloud top and the previous close was \u2264 the previous displayed cloud top; current tenkan > kijun.",
        "short_trigger": "Close is below the displayed cloud bottom and the previous close was \u2265 the previous displayed cloud bottom; current tenkan < kijun.",
        "confirmation": "Only after the signal candle is complete; all indicator inputs include that candle and no future candles.",
        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
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      "baseline_test_by_timeframe": {
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        "bust_0_90_percent": {
          "trades": 59,
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        "bust_1_00_percent": {
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      "rank": 1,
      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
        "long_trigger": "Exactly the ninth consecutive close < close four bars earlier; min(low on setup bars 8,9) \u2264 min(low on setup bars 6,7), and the ninth candle is green (close > open).",
        "short_trigger": "Exactly the ninth consecutive close > close four bars earlier; max(high on setup bars 8,9) \u2265 max(high on setup bars 6,7), and the ninth candle is red (close < open).",
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        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
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        "session_filter": "None",
        "trailing_rule": "None",
        "extra_no_trade": "Do not anticipate bar 9, backdate a later perfection, or enter on countdown 13 for this selected setup. Equality in the four-bar comparison resets that setup count."
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      "indicator": "RSI",
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      "per_asset": {
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      "baseline_test_by_timeframe": {
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        "all_off_hours": {
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        "one_minute_trigger_delay": {
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        "bust_0_90_percent": {
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        "bust_1_00_percent": {
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      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
        "long_trigger": "Wilder RSI7 was < 30 on the prior bar and is \u2265 30 now, with current close > open.",
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        "confirmation": "Only after the signal candle is complete; all indicator inputs include that candle and no future candles.",
        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
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        "trend_filter": "None",
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        "extra_no_trade": "No entry merely because RSI remains oversold/overbought; require the threshold recross and candle color. No trend or session filter was selected."
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      "selection_samples": {
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      "indicator": "MACD",
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      "per_asset": {
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      "per_side": {
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        "long_trigger": "MACD = EMA12 \u2212 EMA26; signal = EMA9 of MACD. Histogram is > 0 now and was \u2264 0 on the prior bar.",
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          "max_drawdown_r": 22.679195883154392,
          "max_drawdown_pct_initial": 5.669798970788598,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -16.029314102514814,
          "long_trades": 81,
          "short_trades": 76,
          "ambiguous_candles": 0,
          "time_exits": 101,
          "split_end_exits": 0
        },
        "ideal_continuous_stop": {
          "trades": 157,
          "win_rate": 0.43312101910828027,
          "average_r": -0.10209754205423448,
          "profit_factor": 0.7298698199535102,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 22.679195883154392,
          "max_drawdown_pct_initial": 5.669798970788598,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -16.029314102514814,
          "long_trades": 81,
          "short_trades": 76,
          "ambiguous_candles": 0,
          "time_exits": 101,
          "split_end_exits": 0
        }
      },
      "rank": 6,
      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
        "long_trigger": "Raw %K9 = 100\u00d7(close \u2212 lowest low9)/(highest high9 \u2212 lowest low9), %D = SMA3(%K). K > D now, K \u2264 D previously, and current K < 30.",
        "short_trigger": "K < D now, K \u2265 D previously, and current K > 70.",
        "confirmation": "Only after the signal candle is complete; all indicator inputs include that candle and no future candles.",
        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
        "stop_percent_of_entry": 0.35000000000000003,
        "take_profit_percent_of_entry": 0.7000000000000001,
        "time_stop_bars": 12,
        "time_stop_minutes": 60,
        "trend_filter": "Long: signal close > EMA100 and EMA100 > prior EMA100. Short: signal close < EMA100 and EMA100 < prior EMA100, all on the selected timeframe.",
        "session_filter": "None",
        "trailing_rule": "None",
        "extra_no_trade": "No signal if the crossing occurs outside the specified K zone. A zero nine-bar range is assigned K = 50 and provides no extreme-zone signal."
      },
      "selection_samples": {
        "training_trades": 434,
        "validation_trades": 172
      }
    },
    {
      "indicator": "Volume",
      "id": 10,
      "config": {
        "timeframe_minutes": 15,
        "variant_index": 1,
        "parameters": {
          "vma": 30,
          "multiple": 2.0,
          "move": 0.002,
          "mode": "breakout"
        },
        "trend_filter": true,
        "exit": {
          "stop": 0.005,
          "target": 0.01,
          "time_bars": 24
        }
      },
      "selection_eligible": true,
      "test": {
        "trades": 76,
        "win_rate": 0.35526315789473684,
        "average_r": -0.13862099617748838,
        "profit_factor": 0.7618028625960841,
        "profit_factor_no_losses": false,
        "max_drawdown_r": 16.943433380366628,
        "max_drawdown_pct_initial": 4.235858345091657,
        "bust_rate": 0.0,
        "busts": 0,
        "total_r": -10.535195709489118,
        "long_trades": 33,
        "short_trades": 43,
        "ambiguous_candles": 0,
        "time_exits": 16,
        "split_end_exits": 1,
        "average_r_ci95_day_block": [
          -0.3061923575190411,
          0.02590666000215891
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        "mark_to_close_drawdown": {
          "r": 17.99127036532162,
          "pct_initial_equity": 4.497817591330405,
          "sampling": "one-minute close; intraminute peak-to-trough unknown"
        }
      },
      "per_asset": {
        "BTC": {
          "trades": 30,
          "win_rate": 0.36666666666666664,
          "average_r": -0.21023063713911272,
          "profit_factor": 0.6138264645986233,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 9.433862475755884,
          "max_drawdown_pct_initial": 2.358465618938971,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -6.306919114173382,
          "long_trades": 14,
          "short_trades": 16,
          "ambiguous_candles": 0,
          "time_exits": 10,
          "split_end_exits": 1
        },
        "ETH": {
          "trades": 46,
          "win_rate": 0.34782608695652173,
          "average_r": -0.09191905641990732,
          "profit_factor": 0.8484329323368588,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 8.377494611384327,
          "max_drawdown_pct_initial": 2.0943736528460817,
          "bust_rate": 0.0,
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          "total_r": -4.228276595315736,
          "long_trades": 19,
          "short_trades": 27,
          "ambiguous_candles": 0,
          "time_exits": 6,
          "split_end_exits": 0
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      },
      "per_side": {
        "long": {
          "trades": 33,
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          "average_r": -0.3405034114055629,
          "profit_factor": 0.4311682120375701,
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          "max_drawdown_r": 13.565092281524679,
          "max_drawdown_pct_initial": 3.3912730703811698,
          "bust_rate": 0.0,
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          "long_trades": 33,
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          "ambiguous_candles": 0,
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          "split_end_exits": 1
        },
        "short": {
          "trades": 43,
          "win_rate": 0.3953488372093023,
          "average_r": 0.016312020160336213,
          "profit_factor": 1.028658442080008,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 8.80543780910797,
          "max_drawdown_pct_initial": 2.2013594522769924,
          "bust_rate": 0.0,
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          "total_r": 0.7014168668944571,
          "long_trades": 0,
          "short_trades": 43,
          "ambiguous_candles": 0,
          "time_exits": 5,
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        }
      },
      "per_asset_side": {
        "BTC": {
          "long": {
            "trades": 14,
            "win_rate": 0.2857142857142857,
            "average_r": -0.4371079924226863,
            "profit_factor": 0.24482546948510023,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 6.734442547509557,
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            "bust_rate": 0.0,
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            "total_r": -6.119511893917608,
            "long_trades": 14,
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            "ambiguous_candles": 0,
            "time_exits": 6,
            "split_end_exits": 1
          },
          "short": {
            "trades": 16,
            "win_rate": 0.4375,
            "average_r": -0.011712951265985885,
            "profit_factor": 0.9772243032048701,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 3.6994199282463267,
            "max_drawdown_pct_initial": 0.9248549820615817,
            "bust_rate": 0.0,
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            "long_trades": 0,
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            "ambiguous_candles": 0,
            "time_exits": 4,
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        },
        "ETH": {
          "long": {
            "trades": 19,
            "win_rate": 0.3157894736842105,
            "average_r": -0.26932108855084036,
            "profit_factor": 0.5607789805084484,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 6.830649734015122,
            "max_drawdown_pct_initial": 1.7076624335037804,
            "bust_rate": 0.0,
            "busts": 0,
            "total_r": -5.117100682465967,
            "long_trades": 19,
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            "ambiguous_candles": 0,
            "time_exits": 5,
            "split_end_exits": 0
          },
          "short": {
            "trades": 27,
            "win_rate": 0.37037037037037035,
            "average_r": 0.032919410635193755,
            "profit_factor": 1.0547080898761936,
            "profit_factor_no_losses": false,
            "max_drawdown_r": 5.533117376792307,
            "max_drawdown_pct_initial": 1.3832793441980769,
            "bust_rate": 0.0,
            "busts": 0,
            "total_r": 0.8888240871502313,
            "long_trades": 0,
            "short_trades": 27,
            "ambiguous_candles": 0,
            "time_exits": 1,
            "split_end_exits": 0
          }
        }
      },
      "baseline_test_by_timeframe": {
        "1": {
          "trades": 0,
          "win_rate": null,
          "average_r": null,
          "profit_factor": null,
          "max_drawdown_r": null,
          "max_drawdown_pct_initial": null,
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          "long_trades": 0,
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        "5": {
          "trades": 1,
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          "profit_factor": 0.0,
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          "max_drawdown_r": 1.0000000000000167,
          "max_drawdown_pct_initial": 0.25000000000000416,
          "bust_rate": 0.0,
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          "long_trades": 0,
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          "ambiguous_candles": 0,
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          "split_end_exits": 0
        },
        "15": {
          "trades": 1,
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          "average_r": -1.0000000000000167,
          "profit_factor": 0.0,
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          "max_drawdown_r": 1.0000000000000167,
          "max_drawdown_pct_initial": 0.25000000000000416,
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          "long_trades": 0,
          "short_trades": 1,
          "ambiguous_candles": 0,
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          "split_end_exits": 0
        },
        "60": {
          "trades": 2,
          "win_rate": 0.0,
          "average_r": -1.0000000000000167,
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          "max_drawdown_r": 2.0000000000000333,
          "max_drawdown_pct_initial": 0.5000000000000083,
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          "long_trades": 0,
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          "ambiguous_candles": 0,
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          "split_end_exits": 0
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      },
      "sensitivity": {
        "all_off_hours": {
          "trades": 76,
          "win_rate": 0.35526315789473684,
          "average_r": -0.1389437385681895,
          "profit_factor": 0.7612482834507611,
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          "max_drawdown_r": 16.96796180205991,
          "max_drawdown_pct_initial": 4.241990450514978,
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          "long_trades": 33,
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          "ambiguous_candles": 0,
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        },
        "one_minute_trigger_delay": {
          "trades": 76,
          "win_rate": 0.3684210526315789,
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          "profit_factor": 0.7769635047936657,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 15.387327300201184,
          "max_drawdown_pct_initial": 3.846831825050296,
          "bust_rate": 0.0,
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          "total_r": -9.49295185863831,
          "long_trades": 33,
          "short_trades": 43,
          "ambiguous_candles": 0,
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        },
        "bust_0_90_percent": {
          "trades": 76,
          "win_rate": 0.35526315789473684,
          "average_r": -0.13862099617748838,
          "profit_factor": 0.7618028625960841,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 16.943433380366628,
          "max_drawdown_pct_initial": 4.235858345091657,
          "bust_rate": 0.0,
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          "total_r": -10.535195709489118,
          "long_trades": 33,
          "short_trades": 43,
          "ambiguous_candles": 0,
          "time_exits": 16,
          "split_end_exits": 1
        },
        "bust_1_00_percent": {
          "trades": 76,
          "win_rate": 0.35526315789473684,
          "average_r": -0.13862099617748838,
          "profit_factor": 0.7618028625960841,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 16.943433380366628,
          "max_drawdown_pct_initial": 4.235858345091657,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -10.535195709489118,
          "long_trades": 33,
          "short_trades": 43,
          "ambiguous_candles": 0,
          "time_exits": 16,
          "split_end_exits": 1
        },
        "ideal_continuous_stop": {
          "trades": 76,
          "win_rate": 0.35526315789473684,
          "average_r": -0.13862099617748838,
          "profit_factor": 0.7618028625960841,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 16.943433380366628,
          "max_drawdown_pct_initial": 4.235858345091657,
          "bust_rate": 0.0,
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          "total_r": -10.535195709489118,
          "long_trades": 33,
          "short_trades": 43,
          "ambiguous_candles": 0,
          "time_exits": 16,
          "split_end_exits": 1
        }
      },
      "rank": 7,
      "edge_assessment": "No demonstrated positive edge at 100x in pooled out-of-sample BTC/ETH; negative measured net expectancy.",
      "setup": {
        "long_trigger": "Base-asset volume is > 2\u00d7SMA30(volume), including the signal bar, and close/open \u2212 1 > 0.002.",
        "short_trigger": "Volume is > 2\u00d7SMA30(volume), including the signal bar, and close/open \u2212 1 < \u22120.002.",
        "confirmation": "Only after the signal candle is complete; all indicator inputs include that candle and no future candles.",
        "entry": "Next signal-timeframe candle open, using the corresponding OKX 1m open as a proxy for executable Hyperliquid BBO mid.",
        "stop_percent_of_entry": 0.5,
        "take_profit_percent_of_entry": 1.0,
        "time_stop_bars": 24,
        "time_stop_minutes": 360,
        "trend_filter": "Long: signal close > EMA100 and EMA100 > prior EMA100. Short: signal close < EMA100 and EMA100 < prior EMA100, all on the selected timeframe.",
        "session_filter": "None",
        "trailing_rule": "None",
        "extra_no_trade": "A high-volume doji or spike without the required signed 0.20% body move is not a trade. Do not use dollar volume in place of the tested base-asset volume."
      },
      "selection_samples": {
        "training_trades": 214,
        "validation_trades": 79
      }
    }
  ],
  "ranking": [
    "TD Sequential",
    "RSI",
    "Moving averages",
    "Bollinger",
    "MA ribbon",
    "Stochastic",
    "Volume",
    "Ichimoku",
    "MACD",
    "SuperTrend"
  ],
  "combinations": [
    {
      "name": "MACD + ribbon alignment",
      "parent_config": {
        "timeframe_minutes": 15,
        "variant_index": 2,
        "parameters": {
          "fast": 12,
          "slow": 26,
          "signal": 9
        },
        "trend_filter": true,
        "exit": {
          "stop": 0.005,
          "target": 0.01,
          "time_bars": 24
        }
      },
      "confirmation": "ribbon",
      "test": {
        "trades": 57,
        "win_rate": 0.3684210526315789,
        "average_r": -0.28744072727964226,
        "profit_factor": 0.5469951098568654,
        "profit_factor_no_losses": false,
        "max_drawdown_r": 18.82928397750219,
        "max_drawdown_pct_initial": 4.707320994375547,
        "bust_rate": 0.017543859649122806,
        "busts": 1,
        "total_r": -16.38412145493961,
        "long_trades": 23,
        "short_trades": 34,
        "ambiguous_candles": 0,
        "time_exits": 12,
        "split_end_exits": 1,
        "average_r_ci95_day_block": [
          -0.5757103203925196,
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        "mark_to_close_drawdown": {
          "r": 19.969302157453445,
          "pct_initial_equity": 4.992325539363361,
          "sampling": "one-minute close; intraminute peak-to-trough unknown"
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      },
      "per_asset": {
        "BTC": {
          "trades": 32,
          "win_rate": 0.34375,
          "average_r": -0.36489909739311094,
          "profit_factor": 0.4210147332087104,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 11.676771116579552,
          "max_drawdown_pct_initial": 2.919192779144888,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -11.67677111657955,
          "long_trades": 11,
          "short_trades": 21,
          "ambiguous_candles": 0,
          "time_exits": 8,
          "split_end_exits": 0
        },
        "ETH": {
          "trades": 25,
          "win_rate": 0.4,
          "average_r": -0.18829401353440242,
          "profit_factor": 0.7057906038524928,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 9.020311553938749,
          "max_drawdown_pct_initial": 2.255077888484687,
          "bust_rate": 0.04,
          "busts": 1,
          "total_r": -4.707350338360061,
          "long_trades": 12,
          "short_trades": 13,
          "ambiguous_candles": 0,
          "time_exits": 4,
          "split_end_exits": 1
        }
      }
    },
    {
      "name": "Bollinger + RSI recovery",
      "parent_config": {
        "timeframe_minutes": 5,
        "variant_index": 1,
        "parameters": {
          "period": 20,
          "sd": 2.0,
          "local": 5,
          "reentry": true
        },
        "trend_filter": true,
        "exit": {
          "stop": 0.002,
          "target": 0.004,
          "time_bars": 6
        }
      },
      "confirmation": "rsi",
      "test": {
        "trades": 45,
        "win_rate": 0.4222222222222222,
        "average_r": -0.07627858258936925,
        "profit_factor": 0.7815042091127838,
        "profit_factor_no_losses": false,
        "max_drawdown_r": 9.420336679941098,
        "max_drawdown_pct_initial": 2.3550841699852745,
        "bust_rate": 0.0,
        "busts": 0,
        "total_r": -3.432536216521616,
        "long_trades": 23,
        "short_trades": 22,
        "ambiguous_candles": 0,
        "time_exits": 29,
        "split_end_exits": 0,
        "average_r_ci95_day_block": [
          -0.3044976255659391,
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        "mark_to_close_drawdown": {
          "r": 10.349621693963364,
          "pct_initial_equity": 2.587405423490841,
          "sampling": "one-minute close; intraminute peak-to-trough unknown"
        }
      },
      "per_asset": {
        "BTC": {
          "trades": 24,
          "win_rate": 0.4166666666666667,
          "average_r": -0.21486370415114595,
          "profit_factor": 0.47651162667033925,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 7.882955067969309,
          "max_drawdown_pct_initial": 1.9707387669923273,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": -5.1567288996275025,
          "long_trades": 12,
          "short_trades": 12,
          "ambiguous_candles": 0,
          "time_exits": 15,
          "split_end_exits": 0
        },
        "ETH": {
          "trades": 21,
          "win_rate": 0.42857142857142855,
          "average_r": 0.0821044134812327,
          "profit_factor": 1.2942736813540585,
          "profit_factor_no_losses": false,
          "max_drawdown_r": 3.8343846736728713,
          "max_drawdown_pct_initial": 0.9585961684182178,
          "bust_rate": 0.0,
          "busts": 0,
          "total_r": 1.7241926831058865,
          "long_trades": 11,
          "short_trades": 10,
          "ambiguous_candles": 0,
          "time_exits": 14,
          "split_end_exits": 0
        }
      }
    }
  ],
  "limitations": [
    "12 OOS days; trades are clustered and BTC/ETH correlated.",
    "720 candidate searches and two combinations; no multiplicity-corrected edge claim.",
    "OHLCV venue and quote-currency basis differs from Papertrade BBO.",
    "Ranking uses OOS results, so selecting its winner requires a fresh future test.",
    "All fee regimes are current-rule counterfactuals; most acquisition history predates contract set 2."
  ],
  "source_urls": [
    "https://docs.papertrade.xyz/how/architecture/",
    "https://docs.papertrade.xyz/how/asymmetric-impact/",
    "https://docs.papertrade.xyz/how/pricing-bbo/",
    "https://docs.papertrade.xyz/how/mint-curve/",
    "https://docs.papertrade.xyz/how/risk/",
    "https://docs.papertrade.xyz/learn/trades-pricing/",
    "https://docs.papertrade.xyz/learn/wins-losses/",
    "https://docs.papertrade.xyz/learn/liquidations/",
    "https://docs.papertrade.xyz/learn/paper-emissions/",
    "https://docs.papertrade.xyz/dev/protocol-changes/",
    "https://docs.papertrade.xyz/dev/contract-addresses/",
    "https://docs.papertrade.xyz/how/solvency-queue/",
    "https://docs.papertrade.xyz/how/builder-codes/"
  ],
  "reproduce": [
    "python3 research/backtest.py",
    "python3 research/write_report.py",
    "python3 research/check.py"
  ]
}