RIP Backtest protocol v1.0 - Supertrend (ATR 10, x3). Run 2026-10-07T13:57:01.762Z 2378027 1-min bars 2020-01-01 18:01 .. 2026-09-25 16:59 === ST60-LS: 60-min, long + short, around the clock (39787 bars) === DEV n= 792 net 32,513 $ (gross 56,875) PF 1.05 t 0.45 win 38% avg 41 $ maxDD -71,517 $ VAL n= 252 net -9,202 $ (gross -1,450) PF 0.96 t -0.24 win 40% avg -37 $ maxDD -41,954 $ HOLDOUT n= 295 net -51,887 $ (gross -42,812) PF 0.86 t -0.87 win 38% avg -176 $ maxDD -96,713 $ ALL n= 1339 net -28,575 $ (gross 12,613) PF 0.98 t -0.28 win 38% avg -21 $ maxDD -109,473 $ longs n= 672 net 99,304 $ (gross 119,975) PF 1.17 t 1.43 win 42% avg 148 $ maxDD -34,222 $ shorts n= 667 net -127,879 $ (gross -107,362) PF 0.82 t -1.74 win 35% avg -192 $ maxDD -141,083 $ by year: 2020 n206 PF 0.76 -52,749 | 2021 n186 PF 1.26 31,504 | 2022 n191 PF 1.37 72,962 | 2023 n209 PF 0.88 -19,204 | 2024 n200 PF 1.05 8,585 | 2025 n204 PF 0.83 -44,775 | 2026 n143 PF 0.86 -24,899 costs per trade ~ 30.8 $; avg bars held 29.2; longest time under water 831 days Random control: p=0.02625; 500 runs; trade count mean 1349 (real 1339); avg net $/trade random median -35.4, 5th -153.9, 95th 93.3; real -21.3 -> percentile 58.8 Total net random median -48,140 $, 95th 123,823 $; real -28,575 $ Bootstrap 95% CI mean $/trade: [-170.8, 129.5], P(mean<=0) = 61.5%; net without 10 best trades -150,680 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.96 [PASS] 2 >= 50 trades in each period: DEV 792 / VAL 252 / HOLDOUT 295 [FAIL] 3 t >= 2.0 on development: DEV t 0.45 [FAIL] 4 above 95th pct of random runs: percentile 58.8 [FAIL] 5 positive without top-10 trades: -150,680 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -51,887 $ PF 0.86 -> ST60-LS: 5 gate(s) failed === ST60-L: 60-min, long only, around the clock (39787 bars) === DEV n= 393 net 65,499 $ (gross 77,588) PF 1.20 t 1.24 win 41% avg 167 $ maxDD -27,801 $ VAL n= 129 net 7,757 $ (gross 11,725) PF 1.08 t 0.30 win 43% avg 60 $ maxDD -21,754 $ HOLDOUT n= 150 net 26,049 $ (gross 30,663) PF 1.17 t 0.70 win 43% avg 174 $ maxDD -22,696 $ ALL n= 672 net 99,304 $ (gross 119,975) PF 1.17 t 1.43 win 42% avg 148 $ maxDD -34,222 $ longs n= 672 net 99,304 $ (gross 119,975) PF 1.17 t 1.43 win 42% avg 148 $ maxDD -34,222 $ by year: 2020 n101 PF 1.00 -69 | 2021 n99 PF 1.75 40,592 | 2022 n89 PF 1.18 17,600 | 2023 n104 PF 1.09 7,376 | 2024 n104 PF 1.33 24,501 | 2025 n104 PF 0.97 -2,637 | 2026 n71 PF 1.15 11,941 costs per trade ~ 30.8 $; avg bars held 31.4; longest time under water 579 days Random control: p=0.02967; 500 runs; trade count mean 678 (real 672); avg net $/trade random median 75.9, 5th -44.8, 95th 204.3; real 147.8 -> percentile 83.0 Total net random median 52,181 $, 95th 137,490 $; real 99,304 $ Bootstrap 95% CI mean $/trade: [-56.9, 349.8], P(mean<=0) = 7.4%; net without 10 best trades -8,263 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.08 [PASS] 2 >= 50 trades in each period: DEV 393 / VAL 129 / HOLDOUT 150 [FAIL] 3 t >= 2.0 on development: DEV t 1.24 [FAIL] 4 above 95th pct of random runs: percentile 83.0 [FAIL] 5 positive without top-10 trades: -8,263 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 26,049 $ PF 1.17 -> ST60-L: 4 gate(s) failed === ST15-LS: 15-min, long + short, RTH only (158731 bars) === DEV n= 1793 net 86,272 $ (gross 141,425) PF 1.10 t 1.50 win 44% avg 48 $ maxDD -37,471 $ VAL n= 585 net -7,345 $ (gross 10,650) PF 0.97 t -0.23 win 40% avg -13 $ maxDD -27,152 $ HOLDOUT n= 678 net -34,630 $ (gross -13,775) PF 0.92 t -0.70 win 40% avg -51 $ maxDD -58,767 $ ALL n= 3056 net 44,297 $ (gross 138,300) PF 1.03 t 0.54 win 42% avg 14 $ maxDD -58,767 $ longs n= 1567 net 71,024 $ (gross 119,225) PF 1.09 t 1.25 win 45% avg 45 $ maxDD -29,746 $ shorts n= 1489 net -26,727 $ (gross 19,075) PF 0.97 t -0.45 win 39% avg -18 $ maxDD -57,252 $ by year: 2020 n440 PF 1.06 12,641 | 2021 n429 PF 1.11 17,216 | 2022 n459 PF 1.14 43,206 | 2023 n465 PF 1.07 13,209 | 2024 n472 PF 0.99 -3,081 | 2025 n464 PF 0.96 -11,035 | 2026 n327 PF 0.87 -27,859 costs per trade ~ 30.8 $; avg bars held 14.0; longest time under water 533 days Random control: p=0.03211; 500 runs; trade count mean 3056 (real 3056); avg net $/trade random median -31.8, 5th -76.8, 95th 12.5; real 14.5 -> percentile 96.4 Total net random median -97,143 $, 95th 37,774 $; real 44,297 $ Bootstrap 95% CI mean $/trade: [-37.9, 67.4], P(mean<=0) = 28.5%; net without 10 best trades -45,295 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.97 [PASS] 2 >= 50 trades in each period: DEV 1793 / VAL 585 / HOLDOUT 678 [FAIL] 3 t >= 2.0 on development: DEV t 1.50 [PASS] 4 above 95th pct of random runs: percentile 96.4 [FAIL] 5 positive without top-10 trades: -45,295 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -34,630 $ PF 0.92 -> ST15-LS: 4 gate(s) failed === ST5-LS: 5-min, long + short, RTH only (476030 bars) === DEV n= 3094 net -53,196 $ (gross 41,975) PF 0.95 t -0.90 win 38% avg -17 $ maxDD -74,839 $ VAL n= 961 net 18,377 $ (gross 47,938) PF 1.05 t 0.56 win 38% avg 19 $ maxDD -25,711 $ HOLDOUT n= 1108 net 1,855 $ (gross 35,938) PF 1.00 t 0.04 win 38% avg 2 $ maxDD -38,945 $ ALL n= 5163 net -32,964 $ (gross 125,850) PF 0.98 t -0.39 win 38% avg -6 $ maxDD -87,364 $ longs n= 2610 net 17,791 $ (gross 98,075) PF 1.02 t 0.30 win 40% avg 7 $ maxDD -30,669 $ shorts n= 2553 net -50,755 $ (gross 27,775) PF 0.95 t -0.85 win 35% avg -20 $ maxDD -73,629 $ by year: 2020 n802 PF 0.83 -55,132 | 2021 n760 PF 1.02 4,722 | 2022 n783 PF 1.00 402 | 2023 n749 PF 0.99 -3,189 | 2024 n786 PF 1.01 2,560 | 2025 n744 PF 1.10 33,952 | 2026 n539 PF 0.94 -16,280 costs per trade ~ 30.8 $; avg bars held 25.5; longest time under water 2402 days Random control: p=0.02650; 500 runs; trade count mean 5187 (real 5163); avg net $/trade random median -30.8, 5th -59.5, 95th -3.0; real -6.4 -> percentile 92.6 Total net random median -160,406 $, 95th -15,577 $; real -32,964 $ Bootstrap 95% CI mean $/trade: [-36.7, 24.7], P(mean<=0) = 65.6%; net without 10 best trades -130,556 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.05 [PASS] 2 >= 50 trades in each period: DEV 3094 / VAL 961 / HOLDOUT 1108 [FAIL] 3 t >= 2.0 on development: DEV t -0.90 [FAIL] 4 above 95th pct of random runs: percentile 92.6 [FAIL] 5 positive without top-10 trades: -130,556 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 1,855 $ PF 1.00 -> ST5-LS: 4 gate(s) failed