RIP Backtest protocol v1.0 - RSI divergence reversal (RSI 14, swings 5/5, spacing 5-60) on ES 60-min. Run 2026-10-07T17:00:08.919Z 2378027 1-min bars 2020-01-01 18:01 .. 2026-09-25 16:59; 39787 hourly bars; bullish signals 300, bearish signals 399; 500 random runs per variant === DV-LS-S: long + short, simple: exit when RSI crosses 50, no stop === DEV n= 371 net 4,676 $ (gross 16,088) PF 1.04 t 0.21 win 63% avg 13 $ maxDD -30,412 $ VAL n= 121 net 2,841 $ (gross 6,563) PF 1.07 t 0.22 win 64% avg 23 $ maxDD -7,221 $ HOLDOUT n= 130 net 24,739 $ (gross 28,738) PF 1.86 t 2.00 win 63% avg 190 $ maxDD -8,735 $ ALL n= 622 net 32,255 $ (gross 51,388) PF 1.17 t 1.12 win 64% avg 52 $ maxDD -30,412 $ longs n= 276 net 47,460 $ (gross 55,950) PF 1.70 t 2.73 win 68% avg 172 $ maxDD -10,214 $ shorts n= 346 net -15,205 $ (gross -4,562) PF 0.88 t -0.67 win 60% avg -44 $ maxDD -33,570 $ by year: 2020 n89 PF 1.43 11,125 | 2021 n82 PF 0.89 -2,260 | 2022 n97 PF 0.90 -5,696 | 2023 n103 PF 1.06 1,507 | 2024 n101 PF 1.09 2,918 | 2025 n87 PF 1.81 16,999 | 2026 n63 PF 1.48 7,662 drawdown on closed trades -30,412 $; approx. drawdown INCLUDING open losses -32,727 $; worst single open loss -9,200 $ exits: {"signal":571,"weekend":51}; avg bars held 8.1; costs/trade ~ 30.8 $; longest time under water 1770 days Random control: p=0.02008; 500 runs; trade count mean 617 (real 622); avg net $/trade random median 2.3, 5th -101.1, 95th 98.8; real 51.9 -> percentile 79.4 Bootstrap 95% CI mean $/trade: [-40.8, 139.7], P(mean<=0) = 13.5%; net without 10 best trades 2,450 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.07 [PASS] 2 >= 50 trades in each period: 371 / 121 / 130 [FAIL] 3 t >= 2.0 on development: DEV t 0.21 [FAIL] 4 above 95th pct of random runs: percentile 79.4 [PASS] 5 positive without top-10 trades: 2,450 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 24,739 $ PF 1.86 -> DV-LS-S: 3 gate(s) failed === DV-L-S: long only, simple: exit when RSI crosses 50, no stop === DEV n= 165 net 21,675 $ (gross 26,750) PF 1.50 t 1.65 win 68% avg 131 $ maxDD -10,214 $ VAL n= 57 net 7,684 $ (gross 9,438) PF 1.47 t 0.82 win 68% avg 135 $ maxDD -6,118 $ HOLDOUT n= 59 net 19,373 $ (gross 21,188) PF 3.21 t 2.99 win 69% avg 328 $ maxDD -2,284 $ ALL n= 281 net 48,731 $ (gross 57,375) PF 1.72 t 2.80 win 68% avg 173 $ maxDD -10,214 $ longs n= 281 net 48,731 $ (gross 57,375) PF 1.72 t 2.80 win 68% avg 173 $ maxDD -10,214 $ by year: 2020 n39 PF 2.58 12,813 | 2021 n26 PF 1.47 1,650 | 2022 n53 PF 1.08 2,057 | 2023 n47 PF 1.71 5,154 | 2024 n48 PF 2.39 11,636 | 2025 n36 PF 1.42 5,155 | 2026 n32 PF 3.36 10,266 drawdown on closed trades -10,214 $; approx. drawdown INCLUDING open losses -12,709 $; worst single open loss -8,650 $ exits: {"signal":263,"weekend":18}; avg bars held 5.8; costs/trade ~ 30.8 $; longest time under water 335 days Random control: p=0.02008; 500 runs; trade count mean 278 (real 281); avg net $/trade random median 99.4, 5th -60.0, 95th 237.9; real 173.4 -> percentile 78.2 Bootstrap 95% CI mean $/trade: [50.5, 293.2], P(mean<=0) = 0.2%; net without 10 best trades 24,564 $ [PASS] 1 PF >= 1.2 in validation: VAL PF 1.47 [PASS] 2 >= 50 trades in each period: 165 / 57 / 59 [FAIL] 3 t >= 2.0 on development: DEV t 1.65 [FAIL] 4 above 95th pct of random runs: percentile 78.2 [PASS] 5 positive without top-10 trades: 24,564 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 19,373 $ PF 3.21 -> DV-L-S: 2 gate(s) failed === DV-LS-F: long + short, full: stop 2 ATR, target 4 ATR, 24-bar limit === DEV n= 357 net -12,396 $ (gross -1,415) PF 0.95 t -0.38 win 42% avg -35 $ maxDD -38,032 $ VAL n= 110 net -23,834 $ (gross -20,450) PF 0.71 t -1.49 win 28% avg -217 $ maxDD -36,680 $ HOLDOUT n= 121 net -6,784 $ (gross -3,062) PF 0.94 t -0.28 win 39% avg -56 $ maxDD -30,107 $ ALL n= 588 net -43,014 $ (gross -24,927) PF 0.91 t -0.98 win 39% avg -73 $ maxDD -66,921 $ longs n= 251 net -12,435 $ (gross -4,714) PF 0.94 t -0.41 win 41% avg -50 $ maxDD -28,953 $ shorts n= 337 net -30,580 $ (gross -20,213) PF 0.87 t -0.97 win 37% avg -91 $ maxDD -53,253 $ by year: 2020 n85 PF 0.88 -9,299 | 2021 n80 PF 0.93 -2,670 | 2022 n94 PF 1.08 6,582 | 2023 n98 PF 0.87 -7,009 | 2024 n90 PF 0.84 -9,894 | 2025 n83 PF 0.60 -34,746 | 2026 n58 PF 1.30 14,022 drawdown on closed trades -66,921 $; approx. drawdown INCLUDING open losses -68,446 $; worst single open loss -9,500 $ exits: {"stop":293,"weekend":72,"target":103,"time":120}; avg bars held 14.8; costs/trade ~ 30.8 $; longest time under water 2408 days Random control: p=0.01832; 500 runs; trade count mean 585 (real 588); avg net $/trade random median -27.0, 5th -141.0, 95th 92.2; real -73.2 -> percentile 24.4 Bootstrap 95% CI mean $/trade: [-215.7, 74.4], P(mean<=0) = 83.5%; net without 10 best trades -95,543 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.71 [PASS] 2 >= 50 trades in each period: 357 / 110 / 121 [FAIL] 3 t >= 2.0 on development: DEV t -0.38 [FAIL] 4 above 95th pct of random runs: percentile 24.4 [FAIL] 5 positive without top-10 trades: -95,543 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -6,784 $ PF 0.94 -> DV-LS-F: 5 gate(s) failed === DV-L-F: long only, full: stop 2 ATR, target 4 ATR, 24-bar limit === DEV n= 159 net -2,610 $ (gross 2,281) PF 0.98 t -0.11 win 45% avg -16 $ maxDD -22,446 $ VAL n= 56 net -8,227 $ (gross -6,504) PF 0.81 t -0.70 win 32% avg -147 $ maxDD -15,574 $ HOLDOUT n= 56 net 3,933 $ (gross 5,655) PF 1.07 t 0.23 win 39% avg 70 $ maxDD -8,767 $ ALL n= 271 net -6,904 $ (gross 1,432) PF 0.97 t -0.22 win 41% avg -25 $ maxDD -24,641 $ longs n= 271 net -6,904 $ (gross 1,432) PF 0.97 t -0.22 win 41% avg -25 $ maxDD -24,641 $ by year: 2020 n38 PF 0.98 -744 | 2021 n26 PF 1.35 4,528 | 2022 n49 PF 0.89 -5,649 | 2023 n46 PF 0.97 -745 | 2024 n48 PF 0.93 -2,357 | 2025 n34 PF 0.89 -3,515 | 2026 n30 PF 1.05 1,578 drawdown on closed trades -24,641 $; approx. drawdown INCLUDING open losses -25,098 $; worst single open loss -6,175 $ exits: {"target":44,"time":61,"stop":132,"weekend":34}; avg bars held 15.1; costs/trade ~ 30.8 $; longest time under water 2401 days Random control: p=0.01920; 500 runs; trade count mean 283 (real 271); avg net $/trade random median 50.5, 5th -128.8, 95th 223.5; real -25.5 -> percentile 25.6 Bootstrap 95% CI mean $/trade: [-249.8, 202.1], P(mean<=0) = 57.8%; net without 10 best trades -47,596 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.81 [PASS] 2 >= 50 trades in each period: 159 / 56 / 56 [FAIL] 3 t >= 2.0 on development: DEV t -0.11 [FAIL] 4 above 95th pct of random runs: percentile 25.6 [FAIL] 5 positive without top-10 trades: -47,596 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 3,933 $ PF 1.07 -> DV-L-F: 4 gate(s) failed