Strategy Backtests

Every prop-firm guru teaches the London-open failed breakout fade. We measured 400 of them on GBP/USD tick data with the real spread. The snap-back exists, pays about 1.21 pips gross, and costs 1.6 pips to trade. The pattern is real; the profit is not.

Everyone posts the 9:30 candle. We tested it on three years of 1-minute data for all three US indices, in-sample only, before writing a line of EA code. A close beyond the opening range doesn't continue in either direction, on any of them. The only positive drift is being long a market that was rising.

The FX session cycle is documented in top journals: currencies fall during their own trading hours. We measured it on EURUSD tick data. The European leg still works, at 0.75 pips a trade. Costs are 0.7.

Trend following works because of breadth, say Man Group and AQR: many mediocre streams, one good portfolio. We ran the experiment with the six markets a retail account actually has. 58 of 60 configurations lost money.

A published BTC seasonality earns 33%/yr on exchange data. On CFD pricing, every configuration we tested lost money before commission. The spread is the whole story, and we measured it from raw ticks.

A published gold trading strategy came with a spectacular backtest. We retested the same rules on three years of tick data with real costs and swept the complete parameter grid: all 72 combinations lost money. A case study in why single-period, cost-free backtests can't be trusted.

Before writing a line of code for a carry strategy, we read IC Markets' real swap rates for eight candidate pairs. The broker's cut shaved the fat interest gaps down to pennies, and the fattest pair of all is one you are not allowed to open.

First run of our pre-registered 5-year slow-trend window: EURJPY channel breakouts are mildly real, never validation-grade, and the filter that helped Bitcoin made the carry cross worse.

Intraday time-series momentum is documented in equities and RUB-USD. On post-2019 EURUSD, the best of 48 configurations made $371 in three years. A clean transfer-test failure, with costs ruled out.

A filtered Donchian breakout on gold claims PF 1.85 over 28 years, costs included. Our grid lost in all 36 configurations, but monotonically less as we slowed it down. Where the edge lives, no gate can follow.

We transferred one of the most replicated mean-reversion strategies from daily equities to gold H1 and optimized it on three years of tick data with real costs. The optimizer found nothing, and the reason why is a lesson in edge geometry.