RIP Backtest protocol v1.0 - Gold 30-min opening-range breakout (+/- RSI filter). Run 2026-10-07T15:42:23.869Z XAUUSD M1 (MT4 ICMarketsSC-Demo06, server time): 7066470 bars, 2004-06-11 07:18 .. 2026-10-07 07:52 (server time); cost $0.3/oz round trip; 258175 M30 bars for RSI === AS-A: AS session, no filter (4856 eligible days, 4814 trades) === P1 dev n= 1337 net 71.8 R (gross 331.1 R) PF 1.07 t 0.99 win 38% avg 0.05 R maxDD -60.0 R P2 val n= 1741 net -317.7 R (gross 37.3 R) PF 0.77 t -4.25 win 31% avg -0.18 R maxDD -322.4 R P3 holdout n= 1736 net -53.7 R (gross 145.1 R) PF 0.96 t -0.67 win 32% avg -0.03 R maxDD -195.6 R ALL n= 4814 net -299.6 R (gross 513.5 R) PF 0.92 t -2.27 win 33% avg -0.06 R maxDD -526.6 R longs n= 2424 net 123.2 R (gross 531.5 R) PF 1.07 t 1.30 win 36% avg 0.05 R maxDD -135.8 R shorts n= 2390 net -422.9 R (gross -18.0 R) PF 0.78 t -4.64 win 30% avg -0.18 R maxDD -529.8 R by year (avg R): 2004 n4 -0.31 | 2005 n6 -0.09 | 2006 n36 0.21 | 2007 n102 0.29 | 2008 n230 0.25 | 2009 n246 -0.05 | 2010 n239 -0.08 | 2011 n234 0.02 | 2012 n240 0.02 | 2013 n255 -0.25 | 2014 n246 -0.03 | 2015 n242 -0.28 | 2016 n253 -0.18 | 2017 n249 -0.19 | 2018 n251 -0.01 | 2019 n245 -0.32 | 2020 n258 -0.13 | 2021 n258 -0.15 | 2022 n257 -0.21 | 2023 n255 0.01 | 2024 n258 -0.09 | 2025 n253 0.08 | 2026 n197 0.37 average range $3.32; average cost in R 0.090 Random control: p=0.9934 per eligible day; 500 runs; trade count mean 4824 (real 4814); avg net R random median -0.14, 5th -0.17, 95th -0.10; real -0.06 -> percentile 100.0 Bootstrap 95% CI mean R/trade: [-0.12, -0.01], P(mean<=0) = 98.6%; net without 10 best trades -419.5 R [FAIL] 1 PF >= 1.2 in validation (P2): P2 PF 0.77 [PASS] 2 >= 50 trades in each period: 1337 / 1741 / 1736 [FAIL] 3 t >= 2.0 on development (P1): P1 t 0.99 [PASS] 4 above 95th pct of random runs: percentile 100.0 [FAIL] 5 positive without top-10 trades: -419.5 R [FAIL] 6 holdout net positive (flagged used): P3 net -53.7 R PF 0.96 -> AS-A: 4 gate(s) failed === AS-B: AS session, with RSI filter (4856 eligible days, 3459 trades) === P1 dev n= 883 net 241.3 R (gross 413.2 R) PF 1.41 t 3.76 win 41% avg 0.27 R maxDD -35.2 R P2 val n= 1274 net -136.2 R (gross 129.8 R) PF 0.86 t -2.02 win 32% avg -0.11 R maxDD -181.1 R P3 holdout n= 1302 net -83.9 R (gross 70.1 R) PF 0.91 t -1.23 win 31% avg -0.06 R maxDD -162.6 R ALL n= 3459 net 21.2 R (gross 613.1 R) PF 1.01 t 0.18 win 34% avg 0.01 R maxDD -326.3 R longs n= 1862 net 260.8 R (gross 579.9 R) PF 1.20 t 2.93 win 37% avg 0.14 R maxDD -82.0 R shorts n= 1597 net -239.5 R (gross 33.1 R) PF 0.81 t -3.26 win 31% avg -0.15 R maxDD -320.3 R by year (avg R): 2004 n3 -0.95 | 2005 n1 -- | 2006 n25 -0.17 | 2007 n62 0.46 | 2008 n130 0.42 | 2009 n156 0.23 | 2010 n160 0.00 | 2011 n166 0.48 | 2012 n180 0.27 | 2013 n191 0.02 | 2014 n184 0.02 | 2015 n189 -0.12 | 2016 n180 -0.04 | 2017 n177 -0.28 | 2018 n170 -0.12 | 2019 n183 -0.23 | 2020 n186 -0.08 | 2021 n197 -0.22 | 2022 n189 -0.25 | 2023 n201 0.06 | 2024 n199 -0.19 | 2025 n195 0.20 | 2026 n135 0.07 average range $3.32; average cost in R 0.090 Random control: p=0.7159 per eligible day; 500 runs; trade count mean 3476 (real 3459); avg net R random median -0.14, 5th -0.18, 95th -0.09; real 0.01 -> percentile 100.0 Bootstrap 95% CI mean R/trade: [-0.06, 0.08], P(mean<=0) = 43.3%; net without 10 best trades -90.6 R [FAIL] 1 PF >= 1.2 in validation (P2): P2 PF 0.86 [PASS] 2 >= 50 trades in each period: 883 / 1274 / 1302 [PASS] 3 t >= 2.0 on development (P1): P1 t 3.76 [PASS] 4 above 95th pct of random runs: percentile 100.0 [FAIL] 5 positive without top-10 trades: -90.6 R [FAIL] 6 holdout net positive (flagged used): P3 net -83.9 R PF 0.91 -> AS-B: 3 gate(s) failed === LD-A: LD session, no filter (4996 eligible days, 4938 trades) === P1 dev n= 1436 net 63.3 R (gross 286.2 R) PF 1.05 t 0.66 win 27% avg 0.04 R maxDD -123.2 R P2 val n= 1773 net 64.3 R (gross 347.6 R) PF 1.05 t 0.64 win 31% avg 0.04 R maxDD -111.8 R P3 holdout n= 1729 net -57.8 R (gross 75.8 R) PF 0.96 t -0.68 win 28% avg -0.03 R maxDD -150.0 R ALL n= 4938 net 69.7 R (gross 709.7 R) PF 1.02 t 0.43 win 29% avg 0.01 R maxDD -160.9 R longs n= 2525 net -186.0 R (gross 133.2 R) PF 0.91 t -1.73 win 28% avg -0.07 R maxDD -319.9 R shorts n= 2413 net 255.7 R (gross 576.5 R) PF 1.14 t 2.11 win 30% avg 0.11 R maxDD -68.5 R by year (avg R): 2004 n10 -0.35 | 2005 n16 -0.09 | 2006 n38 0.20 | 2007 n150 0.50 | 2008 n252 0.33 | 2009 n252 -0.07 | 2010 n242 -0.07 | 2011 n238 -0.13 | 2012 n238 -0.13 | 2013 n253 0.29 | 2014 n256 -0.14 | 2015 n252 -0.01 | 2016 n252 -0.15 | 2017 n253 -0.01 | 2018 n256 0.18 | 2019 n251 0.09 | 2020 n257 0.13 | 2021 n255 -0.15 | 2022 n254 -0.21 | 2023 n257 0.06 | 2024 n258 -0.07 | 2025 n251 -0.03 | 2026 n197 0.04 average range $3.78; average cost in R 0.079 Random control: p=0.9900 per eligible day; 500 runs; trade count mean 4946 (real 4938); avg net R random median -0.11, 5th -0.15, 95th -0.07; real 0.01 -> percentile 100.0 Bootstrap 95% CI mean R/trade: [-0.05, 0.08], P(mean<=0) = 34.1%; net without 10 best trades -101.8 R [FAIL] 1 PF >= 1.2 in validation (P2): P2 PF 1.05 [PASS] 2 >= 50 trades in each period: 1436 / 1773 / 1729 [FAIL] 3 t >= 2.0 on development (P1): P1 t 0.66 [PASS] 4 above 95th pct of random runs: percentile 100.0 [FAIL] 5 positive without top-10 trades: -101.8 R [FAIL] 6 holdout net positive (flagged used): P3 net -57.8 R PF 0.96 -> LD-A: 4 gate(s) failed === LD-B: LD session, with RSI filter (4996 eligible days, 3646 trades) === P1 dev n= 1074 net 135.9 R (gross 304.8 R) PF 1.15 t 1.48 win 27% avg 0.13 R maxDD -63.2 R P2 val n= 1282 net 7.4 R (gross 213.7 R) PF 1.01 t 0.09 win 30% avg 0.01 R maxDD -104.3 R P3 holdout n= 1290 net -34.7 R (gross 65.1 R) PF 0.97 t -0.45 win 27% avg -0.03 R maxDD -125.8 R ALL n= 3646 net 108.5 R (gross 583.6 R) PF 1.04 t 0.75 win 28% avg 0.03 R maxDD -166.2 R longs n= 1923 net -139.0 R (gross 113.9 R) PF 0.91 t -1.41 win 27% avg -0.07 R maxDD -231.4 R shorts n= 1723 net 247.5 R (gross 469.7 R) PF 1.18 t 2.32 win 29% avg 0.14 R maxDD -58.8 R by year (avg R): 2004 n7 0.13 | 2005 n12 0.66 | 2006 n23 -0.59 | 2007 n116 0.74 | 2008 n200 0.20 | 2009 n182 -0.12 | 2010 n177 0.06 | 2011 n185 0.19 | 2012 n172 -0.06 | 2013 n185 0.38 | 2014 n182 -0.20 | 2015 n187 -0.05 | 2016 n186 -0.16 | 2017 n183 0.10 | 2018 n174 0.16 | 2019 n185 -0.18 | 2020 n189 0.13 | 2021 n196 -0.03 | 2022 n192 -0.23 | 2023 n168 -0.11 | 2024 n199 -0.03 | 2025 n185 -0.00 | 2026 n161 0.10 average range $3.78; average cost in R 0.079 Random control: p=0.7329 per eligible day; 500 runs; trade count mean 3660 (real 3646); avg net R random median -0.11, 5th -0.17, 95th -0.06; real 0.03 -> percentile 100.0 Bootstrap 95% CI mean R/trade: [-0.05, 0.11], P(mean<=0) = 22.7%; net without 10 best trades -63.9 R [FAIL] 1 PF >= 1.2 in validation (P2): P2 PF 1.01 [PASS] 2 >= 50 trades in each period: 1074 / 1282 / 1290 [FAIL] 3 t >= 2.0 on development (P1): P1 t 1.48 [PASS] 4 above 95th pct of random runs: percentile 100.0 [FAIL] 5 positive without top-10 trades: -63.9 R [FAIL] 6 holdout net positive (flagged used): P3 net -34.7 R PF 0.97 -> LD-B: 4 gate(s) failed === NY-A: NY session, no filter (5588 eligible days, 5458 trades) === P1 dev n= 2001 net -128.1 R (gross 116.2 R) PF 0.89 t -1.78 win 37% avg -0.06 R maxDD -164.0 R P2 val n= 1755 net 7.0 R (gross 191.3 R) PF 1.01 t 0.11 win 40% avg 0.00 R maxDD -81.1 R P3 holdout n= 1702 net -4.0 R (gross 69.6 R) PF 1.00 t -0.08 win 43% avg -0.00 R maxDD -52.0 R ALL n= 5458 net -125.1 R (gross 377.1 R) PF 0.96 t -1.16 win 40% avg -0.02 R maxDD -164.0 R longs n= 2714 net 123.6 R (gross 380.4 R) PF 1.09 t 1.57 win 42% avg 0.05 R maxDD -53.6 R shorts n= 2744 net -248.7 R (gross -3.3 R) PF 0.84 t -3.38 win 37% avg -0.09 R maxDD -249.4 R by year (avg R): 2004 n123 -0.23 | 2005 n201 -0.27 | 2006 n219 0.06 | 2007 n236 -0.13 | 2008 n251 0.07 | 2009 n254 -0.00 | 2010 n237 -0.20 | 2011 n240 -0.10 | 2012 n240 0.11 | 2013 n249 0.14 | 2014 n249 -0.09 | 2015 n249 0.04 | 2016 n252 0.11 | 2017 n252 -0.13 | 2018 n253 -0.11 | 2019 n251 0.06 | 2020 n256 0.04 | 2021 n243 -0.02 | 2022 n251 0.03 | 2023 n248 0.10 | 2024 n257 -0.08 | 2025 n252 0.02 | 2026 n195 -0.13 average range $6.07; average cost in R 0.049 Random control: p=0.9783 per eligible day; 500 runs; trade count mean 5467 (real 5458); avg net R random median -0.09, 5th -0.11, 95th -0.06; real -0.02 -> percentile 100.0 Bootstrap 95% CI mean R/trade: [-0.06, 0.01], P(mean<=0) = 87.8%; net without 10 best trades -234.5 R [FAIL] 1 PF >= 1.2 in validation (P2): P2 PF 1.01 [PASS] 2 >= 50 trades in each period: 2001 / 1755 / 1702 [FAIL] 3 t >= 2.0 on development (P1): P1 t -1.78 [PASS] 4 above 95th pct of random runs: percentile 100.0 [FAIL] 5 positive without top-10 trades: -234.5 R [FAIL] 6 holdout net positive (flagged used): P3 net -4.0 R PF 1.00 -> NY-A: 4 gate(s) failed === NY-B: NY session, with RSI filter (5588 eligible days, 3993 trades) === P1 dev n= 1440 net -84.5 R (gross 92.1 R) PF 0.90 t -1.35 win 36% avg -0.06 R maxDD -109.8 R P2 val n= 1264 net -37.6 R (gross 95.6 R) PF 0.95 t -0.74 win 38% avg -0.03 R maxDD -99.0 R P3 holdout n= 1289 net 22.3 R (gross 78.4 R) PF 1.04 t 0.49 win 43% avg 0.02 R maxDD -34.2 R ALL n= 3993 net -99.7 R (gross 266.2 R) PF 0.95 t -1.08 win 39% avg -0.02 R maxDD -154.0 R longs n= 2048 net 61.5 R (gross 257.8 R) PF 1.05 t 0.89 win 41% avg 0.03 R maxDD -62.2 R shorts n= 1945 net -161.3 R (gross 8.4 R) PF 0.85 t -2.62 win 37% avg -0.08 R maxDD -163.5 R by year (avg R): 2004 n90 -0.42 | 2005 n138 -0.25 | 2006 n149 0.18 | 2007 n171 -0.04 | 2008 n172 0.13 | 2009 n175 -0.11 | 2010 n180 -0.26 | 2011 n183 -0.03 | 2012 n182 0.09 | 2013 n189 0.15 | 2014 n178 -0.10 | 2015 n174 -0.12 | 2016 n180 -0.10 | 2017 n183 -0.02 | 2018 n185 -0.13 | 2019 n175 0.11 | 2020 n202 0.03 | 2021 n169 -0.10 | 2022 n193 0.10 | 2023 n177 0.17 | 2024 n197 0.00 | 2025 n198 0.08 | 2026 n153 -0.20 average range $6.07; average cost in R 0.049 Random control: p=0.7193 per eligible day; 500 runs; trade count mean 4018 (real 3993); avg net R random median -0.09, 5th -0.12, 95th -0.06; real -0.02 -> percentile 100.0 Bootstrap 95% CI mean R/trade: [-0.07, 0.02], P(mean<=0) = 87.0%; net without 10 best trades -198.9 R [FAIL] 1 PF >= 1.2 in validation (P2): P2 PF 0.95 [PASS] 2 >= 50 trades in each period: 1440 / 1264 / 1289 [FAIL] 3 t >= 2.0 on development (P1): P1 t -1.35 [PASS] 4 above 95th pct of random runs: percentile 100.0 [FAIL] 5 positive without top-10 trades: -198.9 R [PASS] 6 holdout net positive (flagged used): P3 net 22.3 R PF 1.04 -> NY-B: 3 gate(s) failed