RIP Backtest protocol v1.0 - ESH1 RSI(2) pullback. Run 2026-10-07T13:13:16.942Z
2378027 1-min bars 2020-01-01 18:01 .. 2026-09-25 16:59; 39787 hourly bars
Data gaps (not the daily 17:00-18:00 break): 1778; largest: 2020-12-24 13:15->2020-12-27 18:01 (77h); 2020-10-23 05:49->2020-10-25 18:01 (60h); 2021-04-02 09:15->2021-04-04 18:01 (57h); 2023-04-07 09:15->2023-04-09 18:01 (57h); 2026-04-03 09:15->2026-04-05 18:01 (57h); 2020-07-03 13:00->2020-07-05 18:01 (53h)

=== Variant A (long + short) ===
  DEV      n= 416 net    8,716 $ (gross   21,513) PF 1.06 t  0.40 win 62% avg 21 $ maxDD -21,148 $
  VAL      n= 115 net     -912 $ (gross    2,625) PF 0.98 t -0.07 win 61% avg -8 $ maxDD -10,447 $
  HOLDOUT  n= 143 net   17,439 $ (gross   21,838) PF 1.26 t  0.99 win 59% avg 122 $ maxDD -11,802 $
  ALL      n= 674 net   25,243 $ (gross   45,975) PF 1.09 t  0.83 win 61% avg 37 $ maxDD -21,148 $
  longs    n= 412 net   26,102 $ (gross   38,775) PF 1.20 t  1.38 win 66% avg 63 $ maxDD -9,921 $
  shorts   n= 262 net     -859 $ (gross    7,200) PF 0.99 t -0.04 win 54% avg -3 $ maxDD -27,668 $
  by year: 2020 n101 PF 1.16 5,218 | 2021 n114 PF 0.76 -10,507 | 2022 n103 PF 1.19 9,544 | 2023 n98 PF 1.15 4,461 | 2024 n90 PF 0.99 -418 | 2025 n106 PF 1.37 15,914 | 2026 n62 PF 1.03 1,030
  exits: {"sma5":541,"stop":101,"weekend":32}
  longest time under water: 1666 days
  [legacy window Apr25-Mar26] n= 102 net   12,537 $ (gross   15,675) PF 1.28 t  0.86 win 61% avg 123 $ maxDD -11,802 $
  [legacy window Apr-Sep26] n=  41 net    4,901 $ (gross    6,163) PF 1.23 t  0.49 win 56% avg 120 $ maxDD -5,879 $
  [legacy window 2020-01..2024-12-02] n= 499 net   15,026 $ (gross   30,375) PF 1.08 t  0.65 win 62% avg 30 $ maxDD -21,148 $

=== Variant B (long only) ===
  DEV      n= 249 net   16,703 $ (gross   24,363) PF 1.24 t  1.26 win 68% avg 67 $ maxDD -7,372 $
  VAL      n=  65 net   -3,662 $ (gross   -1,662) PF 0.84 t -0.54 win 58% avg -56 $ maxDD -7,242 $
  HOLDOUT  n=  98 net   13,061 $ (gross   16,075) PF 1.36 t  1.11 win 63% avg 133 $ maxDD -5,735 $
  ALL      n= 412 net   26,102 $ (gross   38,775) PF 1.20 t  1.38 win 66% avg 63 $ maxDD -9,921 $
  longs    n= 412 net   26,102 $ (gross   38,775) PF 1.20 t  1.38 win 66% avg 63 $ maxDD -9,921 $
  by year: 2020 n68 PF 1.39 6,271 | 2021 n72 PF 1.37 5,910 | 2022 n47 PF 1.10 2,192 | 2023 n62 PF 1.14 2,330 | 2024 n55 PF 1.04 533 | 2025 n72 PF 1.43 10,835 | 2026 n36 PF 0.89 -1,970
  exits: {"sma5":329,"stop":68,"weekend":15}
  longest time under water: 621 days
  [legacy window Apr25-Mar26] n=  69 net   12,240 $ (gross   14,363) PF 1.55 t  1.25 win 65% avg 177 $ maxDD -4,655 $
  [legacy window Apr-Sep26] n=  29 net      820 $ (gross    1,713) PF 1.06 t  0.13 win 59% avg 28 $ maxDD -5,735 $
  [legacy window 2020-01..2024-12-02] n= 301 net   17,366 $ (gross   26,625) PF 1.21 t  1.21 win 66% avg 58 $ maxDD -7,372 $

=== Gates, variant A ===
  Random-entry control: p=0.0607 per eligible bar; 500 runs; trade count mean 646 (real 674); avg net $/trade random median -24.9, 5th -86.9, 95th 29.9; real 37.5 -> percentile 96.8
  Total net random median -16,301 $, 95th 20,298 $; real 25,243 $
  Bootstrap 95% CI mean $/trade: [-50.8, 126.0], P(mean<=0) = 20.0%
  Net after removing the 10 best trades: -12,825 $ (full 25,243 $)
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.98
  [PASS] 2 >= 50 trades in each period: DEV 416 / VAL 115 / HOLDOUT 143
  [FAIL] 3 t >= 2.0 on development: DEV t 0.40
  [PASS] 4 above 95th pct of random entries: percentile 96.8
  [FAIL] 5 positive without top-10 trades: -12,825 $
  [PASS] 6 holdout net positive (flagged used): HOLDOUT net 17,439 $ PF 1.26
  -> variant A: 3 gate(s) failed

=== Gates, variant B ===
  Random-entry control: p=0.0350 per eligible bar; 500 runs; trade count mean 388 (real 412); avg net $/trade random median -5.2, 5th -82.2, 95th 78.9; real 63.4 -> percentile 91.6
  Total net random median -2,046 $, 95th 29,789 $; real 26,102 $
  Bootstrap 95% CI mean $/trade: [-25.4, 153.0], P(mean<=0) = 8.0%
  Net after removing the 10 best trades: 2,872 $ (full 26,102 $)
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.84
  [PASS] 2 >= 50 trades in each period: DEV 249 / VAL 65 / HOLDOUT 98
  [FAIL] 3 t >= 2.0 on development: DEV t 1.26
  [FAIL] 4 above 95th pct of random entries: percentile 91.6
  [PASS] 5 positive without top-10 trades: 2,872 $
  [PASS] 6 holdout net positive (flagged used): HOLDOUT net 13,061 $ PF 1.36
  -> variant B: 3 gate(s) failed