{ "slug": "crt-15m-nas100", "title": "CRT 15m (New York candles) on NAS100", "status": "complete", "published": "2026-10-26", "summary": "CRT on 15m New York candles, written as fixed rules and tested on NAS100 5-minute data from October 2021. In the out-of-sample windows (May 2023 to Oct 2026) it took 1788 trades and averaged -0.012R per trade, -21.9R in total, before trading costs. 2 of 5 test windows made money. Verdict: reject. Not this time. One of 24 CRT tests.", "instrument": "NAS100", "timeframe": "M5", "period": { "start": "2021-10-01", "end": "2026-10-26" }, "costs": "before trading costs", "run_id": "run_8b7fb7b8d4", "verdict": { "grade": "reject", "summary": "Rejected: expectancy of -0.012R per trade before trading costs; 40% probability the true Sharpe is above zero (one fixed rule set was tested, so there is no search to deflate for); p = 0.707 against block-bootstrapped price series. Also failed: fold consistency, robust to resampled trades, survivable drawdown, drawdown" }, "oos_metrics": { "trades": 1788, "win_rate": 37.81, "expectancy_r": -0.0123, "profit_factor": 0.966, "max_drawdown_r": 56.42, "total_r": -21.91 }, "equity_curve": [ [ "2023-05-12T05:10:00+00:00", 0.0 ], [ "2023-05-12T06:50:00+00:00", -1.0 ], [ "2023-05-12T07:55:00+00:00", 0.81 ], [ "2023-05-15T05:55:00+00:00", -0.19 ], [ "2023-05-15T06:30:00+00:00", -1.19 ], [ "2023-05-16T06:00:00+00:00", -2.19 ], [ "2023-05-16T06:45:00+00:00", -3.19 ], [ "2023-05-17T06:40:00+00:00", -3.079 ], [ "2023-05-17T06:45:00+00:00", -4.079 ], [ "2023-05-18T06:00:00+00:00", -5.079 ], [ "2023-05-18T06:45:00+00:00", -6.079 ], [ "2023-05-19T05:45:00+00:00", -4.865 ], [ "2023-05-19T06:45:00+00:00", -5.865 ], [ "2023-05-22T06:20:00+00:00", -4.639 ], [ "2023-05-22T09:10:00+00:00", -5.639 ], [ "2023-05-23T07:30:00+00:00", -6.639 ], [ "2023-05-23T07:50:00+00:00", -5.396 ], [ "2023-05-24T08:05:00+00:00", -3.714 ], [ 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C1 is a candle, C2 the next one. If C2 trades beyond one side of C1 only and closes back inside it, the trade is the other way: enter at the open of the first 5-minute bar after C2 closes, stop at C2's wick, target at C1's other side, flat at the close of the next 15-minute candle, fifteen minutes after entry. Pairs: pairs inside 01:00 to 13:00 New York (C1 opens at 01:00 or later, C2 closes by 13:00). Only setups with at least 1:1 planned reward to risk at C2's close. One position at a time, at most 2 trades a day, taken in time order. 1% risk per trade. Every rule was written down before the test and nothing was optimised.\n\nData: the broker's MetaTrader 5 5-minute bars, 1 October 2021 to 26 October 2026. A signal fills at the next bar's open; if one bar touches both the stop and the target, the stop counts.\n\nThe test is a rolling walk-forward with five folds, each a training window of about 19 months and a test window of about 8 months; only trades in the test windows (May 2023 to October 2026) count. Nothing was fitted in the training windows because nothing was tunable. Results are in R, the amount risked per trade, before trading costs.\n\nThis is one of 24 CRT tests (4 timeframes, 2 markets, 3 reward-to-risk floors). With that many, one can look good by chance alone.", "limitations": [ "Before trading costs. Spread, commission and slippage would make the result worse, not better.", "One of 24 tests run on CRT; a single good-looking result among them can be luck.", "The out-of-sample result covers about 3.5 years (May 2023 to October 2026), not the whole five.", "One precise reading of CRT. Other definitions of the candles, the sweep or the exit could behave differently.", "One broker's price feed. Candles built from another feed differ slightly.", "5-minute bars: what happens inside a bar is not visible, so a bar that touches both stop and target counts as a loss.", "A backtest, not live or funded-account trading." ], "study_group": { "slug": "crt", "tests": 24, "comparison": "studies/crt/comparison.json" } }