RIP Backtest protocol v1.0 - Round 2: Supertrend (ATR 10 x3) with a fixed stop and target. Run 2026-10-07T16:30:28.490Z === ST60-LS-T: 60-minute, long + short, stop 1.5 ATR, target 3 ATR, flip still exits === DEV n= 657 net -34,891 $ (gross -14,681) PF 0.92 t -0.90 win 35% avg -53 $ maxDD -43,441 $ VAL n= 213 net -5,444 $ (gross 1,108) PF 0.96 t -0.27 win 36% avg -26 $ maxDD -17,784 $ HOLDOUT n= 251 net 13,330 $ (gross 21,051) PF 1.06 t 0.40 win 35% avg 53 $ maxDD -22,393 $ ALL n=1121 net -27,005 $ (gross 7,477) PF 0.96 t -0.49 win 35% avg -24 $ maxDD -55,488 $ longs n= 566 net 16,639 $ (gross 34,049) PF 1.04 t 0.41 win 37% avg 29 $ maxDD -30,118 $ shorts n= 555 net -43,644 $ (gross -26,572) PF 0.88 t -1.20 win 33% avg -79 $ maxDD -58,037 $ by year: 2020 n178 PF 0.87 -16,630 | 2021 n154 PF 0.97 -2,411 | 2022 n151 PF 0.97 -4,148 | 2023 n174 PF 0.88 -11,701 | 2024 n165 PF 0.90 -9,177 | 2025 n177 PF 1.08 11,511 | 2026 n122 PF 1.05 5,553 exits: {"stop":634,"target":325,"session":79,"flip":83}; avg bars held 11.6; costs/trade ~ 30.8 $; longest time under water 2402 days Random control: p=0.03941; 500 runs; trade count mean 1123 (real 1121); avg net $/trade random median -33.0, 5th -111.5, 95th 38.5; real -24.1 -> percentile 58.6 Bootstrap 95% CI mean $/trade: [-113.4, 72.5], P(mean<=0) = 69.1%; net without 10 best trades -86,667 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.96 [PASS] 2 >= 50 trades in each period: 657 / 213 / 251 [FAIL] 3 t >= 2.5 on development: DEV t -0.90 [FAIL] 4 above 95th pct of random runs: percentile 58.6 [FAIL] 5 positive without top-10 trades: -86,667 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 13,330 $ PF 1.06 -> ST60-LS-T: 4 gate(s) failed === ST60-L-T: 60-minute, long only, stop 1.5 ATR, target 3 ATR, flip still exits === DEV n= 333 net -7,476 $ (gross 2,767) PF 0.97 t -0.26 win 37% avg -22 $ maxDD -30,118 $ VAL n= 108 net 9,975 $ (gross 13,297) PF 1.16 t 0.63 win 40% avg 92 $ maxDD -12,258 $ HOLDOUT n= 125 net 14,140 $ (gross 17,985) PF 1.14 t 0.59 win 38% avg 113 $ maxDD -12,203 $ ALL n= 566 net 16,639 $ (gross 34,049) PF 1.04 t 0.41 win 37% avg 29 $ maxDD -30,118 $ longs n= 566 net 16,639 $ (gross 34,049) PF 1.04 t 0.41 win 37% avg 29 $ maxDD -30,118 $ by year: 2020 n91 PF 0.94 -4,218 | 2021 n81 PF 1.17 6,592 | 2022 n74 PF 0.81 -13,529 | 2023 n87 PF 1.08 3,678 | 2024 n83 PF 0.92 -4,211 | 2025 n89 PF 1.36 23,579 | 2026 n61 PF 1.09 4,747 exits: {"stop":303,"target":164,"flip":53,"session":46}; avg bars held 13.9; costs/trade ~ 30.8 $; longest time under water 1285 days Random control: p=0.01686; 500 runs; trade count mean 570 (real 566); avg net $/trade random median 5.4, 5th -82.8, 95th 104.5; real 29.4 -> percentile 63.6 Bootstrap 95% CI mean $/trade: [-109.7, 168.7], P(mean<=0) = 34.1%; net without 10 best trades -33,687 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.16 [PASS] 2 >= 50 trades in each period: 333 / 108 / 125 [FAIL] 3 t >= 2.5 on development: DEV t -0.26 [FAIL] 4 above 95th pct of random runs: percentile 63.6 [FAIL] 5 positive without top-10 trades: -33,687 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 14,140 $ PF 1.14 -> ST60-L-T: 4 gate(s) failed === ST15-LS-T: 15-minute, long + short, trading hours only, stop 1.5 ATR, target 3 ATR, flip still exits === DEV n=1362 net -4,196 $ (gross 37,699) PF 0.99 t -0.13 win 39% avg -3 $ maxDD -33,673 $ VAL n= 475 net 1,992 $ (gross 16,603) PF 1.01 t 0.11 win 38% avg 4 $ maxDD -14,085 $ HOLDOUT n= 533 net -41,722 $ (gross -25,327) PF 0.84 t -1.65 win 35% avg -78 $ maxDD -51,249 $ ALL n=2370 net -43,926 $ (gross 28,975) PF 0.95 t -0.98 win 38% avg -19 $ maxDD -61,231 $ longs n=1206 net -31,362 $ (gross 5,735) PF 0.93 t -0.96 win 38% avg -26 $ maxDD -40,926 $ shorts n=1164 net -12,564 $ (gross 23,241) PF 0.97 t -0.40 win 37% avg -11 $ maxDD -41,538 $ by year: 2020 n324 PF 0.87 -16,313 | 2021 n311 PF 1.24 18,351 | 2022 n363 PF 1.06 10,121 | 2023 n364 PF 0.85 -16,355 | 2024 n389 PF 1.02 2,325 | 2025 n364 PF 0.88 -20,316 | 2026 n255 PF 0.83 -21,739 exits: {"target":605,"stop":1282,"session":411,"flip":72}; avg bars held 6.0; costs/trade ~ 30.8 $; longest time under water 1332 days Random control: p=0.08336; 500 runs; trade count mean 2350 (real 2370); avg net $/trade random median -24.1, 5th -56.6, 95th 5.0; real -18.5 -> percentile 63.2 Bootstrap 95% CI mean $/trade: [-56.1, 18.1], P(mean<=0) = 84.4%; net without 10 best trades -83,196 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.01 [PASS] 2 >= 50 trades in each period: 1362 / 475 / 533 [FAIL] 3 t >= 2.5 on development: DEV t -0.13 [FAIL] 4 above 95th pct of random runs: percentile 63.2 [FAIL] 5 positive without top-10 trades: -83,196 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -41,722 $ PF 0.84 -> ST15-LS-T: 5 gate(s) failed === ST5-LS-T: 5-minute, long + short, trading hours only, stop 1.5 ATR, target 3 ATR, flip still exits === DEV n=2716 net -69,128 $ (gross 14,416) PF 0.90 t -2.11 win 35% avg -25 $ maxDD -75,760 $ VAL n= 842 net -6,267 $ (gross 19,633) PF 0.97 t -0.36 win 33% avg -7 $ maxDD -26,220 $ HOLDOUT n= 949 net -1,918 $ (gross 27,273) PF 0.99 t -0.08 win 35% avg -2 $ maxDD -20,207 $ ALL n=4507 net -77,313 $ (gross 61,322) PF 0.94 t -1.72 win 35% avg -17 $ maxDD -98,535 $ longs n=2262 net -30,308 $ (gross 39,271) PF 0.95 t -0.92 win 35% avg -13 $ maxDD -51,167 $ shorts n=2245 net -47,005 $ (gross 22,051) PF 0.92 t -1.53 win 34% avg -21 $ maxDD -59,829 $ by year: 2020 n696 PF 0.82 -35,437 | 2021 n665 PF 1.02 1,939 | 2022 n694 PF 0.89 -27,681 | 2023 n661 PF 0.95 -7,948 | 2024 n695 PF 0.87 -21,291 | 2025 n626 PF 1.05 10,069 | 2026 n470 PF 1.02 3,037 exits: {"stop":2655,"target":1260,"session":384,"flip":208}; avg bars held 9.1; costs/trade ~ 30.8 $; longest time under water 2383 days Random control: p=0.05289; 500 runs; trade count mean 4492 (real 4507); avg net $/trade random median -29.0, 5th -44.0, 95th -13.7; real -17.2 -> percentile 88.2 Bootstrap 95% CI mean $/trade: [-36.6, 2.2], P(mean<=0) = 95.4%; net without 10 best trades -113,457 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.97 [PASS] 2 >= 50 trades in each period: 2716 / 842 / 949 [FAIL] 3 t >= 2.5 on development: DEV t -2.11 [FAIL] 4 above 95th pct of random runs: percentile 88.2 [FAIL] 5 positive without top-10 trades: -113,457 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -1,918 $ PF 0.99 -> ST5-LS-T: 5 gate(s) failed