Trendline breakout and bounce on YM (spec tl_spec.md). Run 2026-10-22T18:49:07.673Z; 500 control runs per variant. One contract, $15.76 a round trip (plus one per quarterly roll held); stop one tick beyond the guiding line, trailed along it, no target. data: 2347033 minutes 2020-01-01 18:01 .. 2026-09-25 17:00 New York; 39623 hourly bars swing size 5: an upward line was active on 87.5% of hourly bars (2985 lines, median life 8 bars), a downward line on 76.8% (2562 lines, median life 8 bars) swing size 10: an upward line was active on 79.4% of hourly bars (1643 lines, median life 14 bars), a downward line on 68.1% (1309 lines, median life 14 bars) === TL-BO-5: breakout, swing size 5 === DEV n= 772 net +$59,498 avg +$77 PF 1.16 t 1.27 VAL n= 241 net -$6,428 avg -$27 PF 0.95 t -0.28 HOLDOUT n= 273 net +$10,521 avg +$39 PF 1.06 t 0.29 ALL n=1286 net +$63,591 avg +$49 a trade (gross +$65); in R: net -0.005, gross 0.012; PF 1.09 t 1.01; drawdown on closed trades -$30,057 winners 34.1% (95% 31.5-36.7%); ended by stop 1286; R median 294.11 points ($1,471); hours held median 18.37; rolls paid 21; without the 10 best -$41,790 longs n=680 net +$63,837 | shorts n=606 net -$245 by year (n, net): 2020 197 +$59,714 | 2021 190 +$10,585 | 2022 208 -$3,292 | 2023 177 -$7,509 | 2024 184 +$6,795 | 2025 202 -$10,519 | 2026 128 +$7,817 control (entries moved to the same hour of other sessions, 500 runs, 5 s): mean moved 1278.18, mean trades 1040.19, median avg -$10, 5-95% -$83 .. +$49; real avg +$49 at percentile 95.00 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.95 [PASS] 2 >= 50 trades in each period: 772 / 241 / 273 [FAIL] 3 t >= 2.5 on development: DEV t 1.27 [PASS] 4 above 95th pct of the control: percentile 95.00 [FAIL] 5 positive without top-10 trades: -$41,790 [PASS] 6 holdout net positive (not opened on YM before): HOLDOUT net +$10,521 PF 1.06 VERDICT Buried (3/6 gates) rule 3: 13 trades open across a known hole; without them avg +$24, gates 2/6 -> Buried (verdict unchanged) === TL-BO-10: breakout, swing size 10 === DEV n= 372 net +$30,074 avg +$81 PF 1.13 t 0.66 VAL n= 108 net +$7,749 avg +$72 PF 1.13 t 0.36 HOLDOUT n= 180 net -$18,840 avg -$105 PF 0.87 t -0.61 ALL n=660 net +$18,983 avg +$29 a trade (gross +$45); in R: net -0.023, gross -0.011; PF 1.04 t 0.32; drawdown on closed trades -$44,191 winners 34.1% (95% 30.6-37.8%); ended by stop 660; R median 365.19 points ($1,826); hours held median 29.80; rolls paid 20; without the 10 best -$97,863 longs n=352 net +$26,247 | shorts n=308 net -$7,264 by year (n, net): 2020 57 +$26,164 | 2021 97 -$1,542 | 2022 114 +$8,202 | 2023 104 -$2,751 | 2024 89 -$1,829 | 2025 110 +$16,799 | 2026 89 -$26,061 control (entries moved to the same hour of other sessions, 500 runs, 3 s): mean moved 656.06, mean trades 485.44, median avg -$52, 5-95% -$223 .. +$125; real avg +$29 at percentile 77.40 [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.13 [PASS] 2 >= 50 trades in each period: 372 / 108 / 180 [FAIL] 3 t >= 2.5 on development: DEV t 0.66 [FAIL] 4 above 95th pct of the control: percentile 77.40 [FAIL] 5 positive without top-10 trades: -$97,863 [FAIL] 6 holdout net positive (not opened on YM before): HOLDOUT net -$18,840 PF 0.87 VERDICT Buried (1/6 gates) rule 3: 10 trades open across a known hole; without them avg -$5, gates 1/6 -> Buried (verdict unchanged) === TL-BN-5: bounce, swing size 5 === DEV n=1181 net -$11,261 avg -$10 PF 0.94 t -0.37 VAL n= 321 net -$20,189 avg -$63 PF 0.66 t -1.93 HOLDOUT n= 418 net -$19,023 avg -$46 PF 0.79 t -1.09 ALL n=1920 net -$50,473 avg -$26 a trade (gross -$10); in R: net -0.586, gross -0.133; PF 0.86 t -1.37; drawdown on closed trades -$70,551 winners 12.3% (95% 10.9-13.9%); ended by stop 1919, end of data 1; R median 28.80 points ($144); hours held median 0.63; rolls paid 10; without the 10 best -$124,215 longs n=1014 net -$39,483 | shorts n=906 net -$10,990 by year (n, net): 2020 293 +$11,496 | 2021 349 -$19,137 | 2022 268 +$5,655 | 2023 271 -$9,275 | 2024 245 -$7,678 | 2025 278 -$24,743 | 2026 216 -$6,792 control (entries moved to the same hour of other sessions, 500 runs, 7 s): mean moved 1907.46, mean trades 1550.28, median avg -$18, 5-95% -$105 .. +$92; real avg -$26 at percentile 44.20 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.66 [PASS] 2 >= 50 trades in each period: 1181 / 321 / 418 [FAIL] 3 t >= 2.5 on development: DEV t -0.37 [FAIL] 4 above 95th pct of the control: percentile 44.20 [FAIL] 5 positive without top-10 trades: -$124,215 [FAIL] 6 holdout net positive (not opened on YM before): HOLDOUT net -$19,023 PF 0.79 VERDICT Buried (1/6 gates) rule 3: 4 trades open across a known hole; without them avg -$27, gates 1/6 -> Buried (verdict unchanged) === TL-BN-10: bounce, swing size 10 === DEV n= 678 net -$28,388 avg -$42 PF 0.77 t -1.21 VAL n= 177 net -$11,177 avg -$63 PF 0.69 t -1.06 HOLDOUT n= 329 net -$5,258 avg -$16 PF 0.93 t -0.22 ALL n=1184 net -$44,822 avg -$38 a trade (gross -$22); in R: net -0.882, gross -0.327; PF 0.81 t -1.29; drawdown on closed trades -$49,494 winners 10.1% (95% 8.5-12.0%); ended by stop 1184; R median 30.55 points ($153); hours held median 0.60; rolls paid 5; without the 10 best -$124,871 longs n=649 net -$29,566 | shorts n=535 net -$15,256 by year (n, net): 2020 122 -$3,363 | 2021 217 -$14,874 | 2022 173 -$106 | 2023 166 -$10,044 | 2024 134 -$3,616 | 2025 216 +$2,253 | 2026 156 -$15,071 control (entries moved to the same hour of other sessions, 500 runs, 5 s): mean moved 1176.26, mean trades 871.46, median avg -$49, 5-95% -$283 .. +$182; real avg -$38 at percentile 53.00 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.69 [PASS] 2 >= 50 trades in each period: 678 / 177 / 329 [FAIL] 3 t >= 2.5 on development: DEV t -1.21 [FAIL] 4 above 95th pct of the control: percentile 53.00 [FAIL] 5 positive without top-10 trades: -$124,871 [FAIL] 6 holdout net positive (not opened on YM before): HOLDOUT net -$5,258 PF 0.93 VERDICT Buried (1/6 gates) rule 3: 3 trades open across a known hole; without them avg -$39, gates 1/6 -> Buried (verdict unchanged)