Golden cross study (spec ma_cross_spec.md, 2026-10-08). Run 2026-10-08T05:20:03.633Z; 500 control runs per variant ########## ES futures: 2378027 minute bars -> 1742 trading days 2020-01-02 .. 2026-09-25; 0 hole days; averages exist from 2020-10-08 (day 200); first fill possible 2020-10-09 buy and hold from 2020-10-09 to 2026-09-25: 4287.25 -> 7805.75 = 3518.50 points = 175,925 $ (no costs), worst peak-to-trough on daily closes 60,350 $ === ES-GC-L-SMA: long only, SMA(50) vs SMA(200) === crosses: 3 golden, 3 death; trades 3 (1 open at end, 0 with a fill on a data-hole day) DEV n= 1 net 19,255 $ PF -- t -- VAL n= 0 net 0 $ PF -- t -- HOLDOUT n= 2 net 52,147 $ PF -- t 10.16 ALL n=3 net 71,402 $ (gross 71,925 $) PF -- t 8.77 win 3/3 = 100% (95% Wilson 44-100%) avg winner 23800.69 avg loser -- $ time in market 56% (1221 days of 2178); longest hold 790 days; closed-trade drawdown 0 $; drawdown incl. open losses -15,937 $; worst open loss in one trade -15,937 $ longs: n=3 net 71,402 $; shorts: n=0 net 0 $ control (state shift, 500 runs): usable 500, mean trades 3.00, median avg 35525.37, 5th 25794.61, 95th 48222.51; real avg 23800.69 -> percentile 3.60 total 71,402 $ per contract (buy and hold 175,925); worst peak-to-trough of the daily marked equity 63,195 $ (buy and hold 60,350) rate of trades 0.50 per year -> years of data for 50 trades at this rate: 99 [FAIL] 1 PF >= 1.2 in validation: VAL PF -- [FAIL] 2 >= 50 trades in each period: 1 / 0 / 2 [FAIL] 3 t >= 2.5 on development: DEV t -- [FAIL] 4 above 95th pct of random runs: percentile 3.60 [FAIL] 5 positive without top-10 trades: 0 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 52,147 $ PF -- -> VERDICT Inconclusive (only 3 trades; the rule needs 30 to read the gates) === ES-GC-LS-SMA: long and short, SMA(50) vs SMA(200) === crosses: 3 golden, 3 death; trades 6 (1 open at end, 0 with a fill on a data-hole day) DEV n= 2 net 25,894 $ PF -- t 2.05 VAL n= 0 net 0 $ PF -- t -- HOLDOUT n= 4 net -18,170 $ PF 0.74 t -0.22 ALL n=6 net 7,724 $ (gross 8,463 $) PF 1.11 t 0.10 win 4/6 = 67% (95% Wilson 30-90%) avg winner 19510.39 avg loser -35158.64 $ time in market 76% (1656 days of 2178); longest hold 790 days; closed-trade drawdown -60,249 $; drawdown incl. open losses -64,024 $; worst open loss in one trade -63,725 $ longs: n=3 net 71,402 $; shorts: n=3 net -63,678 $ control (state shift, 500 runs): usable 500, mean trades 5.99, median avg 12369.12, 5th 1237.70, 95th 24534.50; real avg 1287.38 -> percentile 5.20 total 7,724 $ per contract (buy and hold 175,925); worst peak-to-trough of the daily marked equity 124,158 $ (buy and hold 60,350) rate of trades 1.01 per year -> years of data for 50 trades at this rate: 50 [FAIL] 1 PF >= 1.2 in validation: VAL PF -- [FAIL] 2 >= 50 trades in each period: 2 / 0 / 4 [FAIL] 3 t >= 2.5 on development: DEV t 2.05 [FAIL] 4 above 95th pct of random runs: percentile 5.20 [FAIL] 5 positive without top-10 trades: 0 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -18,170 $ PF 0.74 -> VERDICT Inconclusive (only 6 trades; the rule needs 30 to read the gates) === ES-GC-L-EMA: long only, EMA(50) vs EMA(200) === crosses: 2 golden, 2 death; trades 2 (1 open at end, 0 with a fill on a data-hole day) DEV n= 1 net 39,136 $ PF -- t -- VAL n= 0 net 0 $ PF -- t -- HOLDOUT n= 1 net 72,110 $ PF -- t -- ALL n=2 net 111,245 $ (gross 111,738 $) PF -- t 3.37 win 2/2 = 100% (95% Wilson 34-100%) avg winner 55622.67 avg loser -- $ time in market 55% (1189 days of 2178); longest hold 717 days; closed-trade drawdown 0 $; drawdown incl. open losses -7,387 $; worst open loss in one trade -7,387 $ longs: n=2 net 111,245 $; shorts: n=0 net 0 $ control (state shift, 500 runs): usable 500, mean trades 2.00, median avg 54602.02, 5th 38032.29, 95th 74023.16; real avg 55622.67 -> percentile 53.00 total 111,245 $ per contract (buy and hold 175,925); worst peak-to-trough of the daily marked equity 44,377 $ (buy and hold 60,350) rate of trades 0.34 per year -> years of data for 50 trades at this rate: 149 [FAIL] 1 PF >= 1.2 in validation: VAL PF -- [FAIL] 2 >= 50 trades in each period: 1 / 0 / 1 [FAIL] 3 t >= 2.5 on development: DEV t -- [FAIL] 4 above 95th pct of random runs: percentile 53.00 [FAIL] 5 positive without top-10 trades: 0 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 72,110 $ PF -- -> VERDICT Inconclusive (only 2 trades; the rule needs 30 to read the gates) === ES-GC-LS-EMA: long and short, EMA(50) vs EMA(200) === crosses: 2 golden, 2 death; trades 4 (1 open at end, 0 with a fill on a data-hole day) DEV n= 2 net 43,019 $ PF -- t 1.22 VAL n= 0 net 0 $ PF -- t -- HOLDOUT n= 2 net 42,616 $ PF 2.44 t 0.42 ALL n=4 net 85,636 $ (gross 86,313 $) PF 3.90 t 0.98 win 3/4 = 75% (95% Wilson 30-95%) avg winner 38376.35 avg loser -29493.26 $ time in market 74% (1605 days of 2178); longest hold 717 days; closed-trade drawdown -29,493 $; drawdown incl. open losses -34,743 $; worst open loss in one trade -30,237 $ longs: n=2 net 111,245 $; shorts: n=2 net -25,610 $ control (state shift, 500 runs): usable 500, mean trades 3.99, median avg 19019.76, 5th 4013.02, 95th 42648.38; real avg 21408.94 -> percentile 57.60 total 85,636 $ per contract (buy and hold 175,925); worst peak-to-trough of the daily marked equity 73,870 $ (buy and hold 60,350) rate of trades 0.67 per year -> years of data for 50 trades at this rate: 75 [FAIL] 1 PF >= 1.2 in validation: VAL PF -- [FAIL] 2 >= 50 trades in each period: 2 / 0 / 2 [FAIL] 3 t >= 2.5 on development: DEV t 1.22 [FAIL] 4 above 95th pct of random runs: percentile 57.60 [FAIL] 5 positive without top-10 trades: 0 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 42,616 $ PF 2.44 -> VERDICT Inconclusive (only 4 trades; the rule needs 30 to read the gates) ########## XAUUSD spot: 7067434 minute bars -> 5702 trading days 2004-06-11 .. 2026-10-07; 34 hole days; averages exist from 2005-03-29 (day 200); first fill possible 2005-03-30 buy and hold from 2005-03-30 to 2026-10-07: 425.2 -> 4109.82 = 3684.62 points = 866.56 % (no costs), worst peak-to-trough on daily closes 44.64 % === XAU-GC-L-SMA: long only, SMA(50) vs SMA(200) === crosses: 15 golden, 16 death; trades 15 (0 open at end, 0 with a fill on a data-hole day) DEV n= 5 net 132.34 % PF 8.40 t 1.54 VAL n= 5 net 25.88 % PF 2.89 t 0.61 HOLDOUT n= 5 net 89.08 % PF 11.22 t 0.90 ALL n=15 net 247.30 % (gross 247.68 %) PF 7.14 t 1.87 win 7/15 = 47% (95% Wilson 25-70%) avg winner 41.09 avg loser -5.04 % time in market 69% (5392 days of 7862); longest hold 1103 days; closed-trade drawdown -31.59 %; drawdown incl. open losses -35.96 %; worst open loss in one trade -12.08 % longs: n=15 net 247.30 %; shorts: n=0 net 0.00 % control (state shift, 500 runs): usable 500, mean trades 15.99, median avg 10.64, 5th 6.41, 95th 15.66; real avg 16.49 -> percentile 97.40 total 3,015 $ per ounce (buy and hold 3,685); worst peak-to-trough of the daily marked equity 1,428 $ (buy and hold 1,436); compounded growth 496.02 % (buy and hold 866.56 %) rate of trades 0.70 per year -> years of data for 50 trades at this rate: 72 sensitivity, 3%/yr financing on notional: net 202.98 % PF 4.93 (baseline 247.30 %) [PASS] 1 PF >= 1.2 in validation: VAL PF 2.89 [FAIL] 2 >= 50 trades in each period: 5 / 5 / 5 [FAIL] 3 t >= 2.5 on development: DEV t 1.54 [PASS] 4 above 95th pct of random runs: percentile 97.40 [FAIL] 5 positive without top-10 trades: -35.95 % [PASS] 6 holdout net positive (flagged used): HOLDOUT net 89.08 % PF 11.22 -> VERDICT Inconclusive (only 15 trades; the rule needs 30 to read the gates) === XAU-GC-LS-SMA: long and short, SMA(50) vs SMA(200) === crosses: 15 golden, 16 death; trades 31 (1 open at end, 0 with a fill on a data-hole day) DEV n= 10 net 96.80 % PF 2.81 t 0.98 VAL n= 10 net 30.91 % PF 2.24 t 0.69 HOLDOUT n= 11 net 64.96 % PF 2.93 t 0.64 ALL n=31 net 192.67 % (gross 193.45 %) PF 2.72 t 1.34 win 10/31 = 32% (95% Wilson 19-50%) avg winner 30.45 avg loser -5.33 % time in market 99% (7797 days of 7862); longest hold 1103 days; closed-trade drawdown -35.63 %; drawdown incl. open losses -39.23 %; worst open loss in one trade -16.00 % longs: n=15 net 247.30 %; shorts: n=16 net -54.63 % control (state shift, 500 runs): usable 500, mean trades 31.98, median avg 2.66, 5th -1.99, 95th 6.42; real avg 6.22 -> percentile 93.20 total 2,336 $ per ounce (buy and hold 3,685); worst peak-to-trough of the daily marked equity 1,911 $ (buy and hold 1,436); compounded growth 230.95 % (buy and hold 866.56 %) rate of trades 1.44 per year -> years of data for 50 trades at this rate: 35 sensitivity, 3%/yr financing on notional: net 128.58 % PF 1.93 (baseline 192.67 %) [PASS] 1 PF >= 1.2 in validation: VAL PF 2.24 [FAIL] 2 >= 50 trades in each period: 10 / 10 / 11 [FAIL] 3 t >= 2.5 on development: DEV t 0.98 [FAIL] 4 above 95th pct of random runs: percentile 93.20 [FAIL] 5 positive without top-10 trades: -111.88 % [PASS] 6 holdout net positive (flagged used): HOLDOUT net 64.96 % PF 2.93 -> VERDICT Buried === XAU-GC-L-EMA: long only, EMA(50) vs EMA(200) === crosses: 11 golden, 12 death; trades 11 (0 open at end, 0 with a fill on a data-hole day) DEV n= 2 net 71.44 % PF 20.66 t 0.91 VAL n= 3 net 28.33 % PF 8.43 t 0.83 HOLDOUT n= 6 net 82.95 % PF 4.45 t 0.74 ALL n=11 net 182.72 % (gross 182.93 %) PF 6.80 t 1.41 win 3/11 = 27% (95% Wilson 10-57%) avg winner 71.41 avg loser -3.94 % time in market 57% (4448 days of 7862); longest hold 1206 days; closed-trade drawdown -14.91 %; drawdown incl. open losses -16.76 %; worst open loss in one trade -10.57 % longs: n=11 net 182.72 %; shorts: n=0 net 0.00 % control (state shift, 500 runs): usable 500, mean trades 11.99, median avg 14.68, 5th 8.99, 95th 21.83; real avg 16.61 -> percentile 63.80 total 2,387 $ per ounce (buy and hold 3,685); worst peak-to-trough of the daily marked equity 1,824 $ (buy and hold 1,436); compounded growth 245.96 % (buy and hold 866.56 %) rate of trades 0.51 per year -> years of data for 50 trades at this rate: 98 sensitivity, 3%/yr financing on notional: net 146.16 % PF 4.36 (baseline 182.72 %) [PASS] 1 PF >= 1.2 in validation: VAL PF 8.43 [FAIL] 2 >= 50 trades in each period: 2 / 3 / 6 [FAIL] 3 t >= 2.5 on development: DEV t 0.91 [FAIL] 4 above 95th pct of random runs: percentile 63.80 [FAIL] 5 positive without top-10 trades: -9.14 % [PASS] 6 holdout net positive (flagged used): HOLDOUT net 82.95 % PF 4.45 -> VERDICT Inconclusive (only 11 trades; the rule needs 30 to read the gates) === XAU-GC-LS-EMA: long and short, EMA(50) vs EMA(200) === crosses: 11 golden, 12 death; trades 23 (1 open at end, 0 with a fill on a data-hole day) DEV n= 4 net 51.50 % PF 3.18 t 0.62 VAL n= 6 net 44.44 % PF 4.49 t 1.08 HOLDOUT n= 13 net 40.40 % PF 1.59 t 0.36 ALL n=23 net 136.35 % (gross 136.78 %) PF 2.30 t 0.97 win 5/23 = 22% (95% Wilson 10-42%) avg winner 48.17 avg loser -5.80 % time in market 84% (6607 days of 7862); longest hold 1206 days; closed-trade drawdown -46.22 %; drawdown incl. open losses -48.08 %; worst open loss in one trade -16.20 % longs: n=11 net 182.72 %; shorts: n=12 net -46.37 % control (state shift, 500 runs): usable 500, mean trades 23.99, median avg 4.16, 5th -2.56, 95th 9.36; real avg 5.93 -> percentile 71.00 total 1,464 $ per ounce (buy and hold 3,685); worst peak-to-trough of the daily marked equity 2,347 $ (buy and hold 1,436); compounded growth 104.19 % (buy and hold 866.56 %) rate of trades 1.07 per year -> years of data for 50 trades at this rate: 47 sensitivity, 3%/yr financing on notional: net 82.04 % PF 1.66 (baseline 136.35 %) [PASS] 1 PF >= 1.2 in validation: VAL PF 4.49 [FAIL] 2 >= 50 trades in each period: 4 / 6 / 13 [FAIL] 3 t >= 2.5 on development: DEV t 0.62 [FAIL] 4 above 95th pct of random runs: percentile 71.00 [FAIL] 5 positive without top-10 trades: -97.27 % [PASS] 6 holdout net positive (flagged used): HOLDOUT net 40.40 % PF 1.59 -> VERDICT Inconclusive (only 23 trades; the rule needs 30 to read the gates) OVERALL: 8 variant-market results: 7 Inconclusive, 1 Buried, 0 Survivor.