CRT Daily (New York candles) on NAS100

Method

Daily candles, 17:00 to 17:00 new york, built from 5-minute bars. 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 18:00 New York reopen after the daily break, the first 5-minute bar after C2 closes at 17:00, stop at C2's wick, target at C1's other side, flat at the next 17:00 New York, the close of the next daily candle. Pairs: every pair of consecutive daily candles (Friday's candle is followed by Monday's). Only setups with at least 1:1 planned reward to risk at C2's close. One position at a time (a daily candle allows at most one setup). 1% risk per trade. Every rule was written down before the test and nothing was optimised.

Data: 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.

The 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.

This 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.

Verdict: reject. Not this time. Out of sample, these rules averaged -0.210R per trade over 172 trades on NAS100, -36.1R in total, and 0 of 5 test windows made money. All figures are before trading costs. This is one of 24 CRT tests; see studies/crt/report.md for all of them side by side.

Run run_65977590d0, IDFX engine, 26 October 2026. Rules: studies/crt/rules.md.

The idea

Take one candle as a range (C1). If the next candle (C2) trades beyond one side of it, sweeping the orders resting there, but then closes back inside the range, the move failed. CRT trades back towards the other side of the range, with the stop at the sweep's wick, and expects the move in the candle after that (C3).

CRT (Candle Range Theory) is popularised by the trader known as Romeo (@Romeotpt on X). Its sweep-and-reclaim idea builds on "Turtle Soup" by Linda Raschke and Larry Connors (Street Smarts, 1995), which ICT later adapted. The rules here are one precise reading of CRT, written down before the test; community descriptions differ in the details.

The rules, exactly as tested

Every rule was written down before the test and none was optimised.

• Candles: daily candles, 17:00 to 17:00 New York, built from 5-minute bars.
• Pairs: every pair of consecutive daily candles (Friday's candle is followed by Monday's).
• Short: C2's high goes above C1's high, C2's low stays at or above C1's low, and C2 closes back inside C1. Long is the mirror image. Both sides swept, or a close outside C1: no trade.
• Minimum reward to risk: 1:1, measured at C2's close (distance to the target ÷ distance to the stop). The target is not moved; a setup offering less is skipped.
• Entry: market, at the 18:00 New York reopen after the daily break, the first 5-minute bar after C2 closes at 17:00.
• Stop: C2's wick (its high for a short, its low for a long).
• Target: C1's other side (its low for a short, its high for a long).
• Time exit: the next 17:00 New York, the close of the next daily candle (the end of C3), if neither stop nor target was hit.
• Trades: one position at a time (a daily candle allows at most one setup); a setup that comes while a trade is open is skipped. 1% of the account at risk per trade.

Data and test

• NAS100 (Nasdaq 100 CFD), 5-minute bars from the broker's MetaTrader 5 feed, 1 October 2021 to 26 October 2026, stamped on the broker's New York-close clock.
• A signal fills at the next bar's open. If one bar touches both the stop and the target, the stop counts.
• Rolling walk-forward, five folds; only the test windows count. Nothing was fitted in the training windows, because every rule was fixed.

Results (out of sample, before trading costs)

How the trades ended: 97 stop, 48 at the end of C3, 26 target, 1 end ("end" is a trade still open when the data ends).

Longs and shorts: longs 69 trades, -0.189R each, -13.0R; shorts 103 trades, -0.224R each, -23.0R.

Planned reward to risk at the fill: median 2.08, middle half 1.50 to 3.95. 8 trades filled below 1:1 because the next bar opened a little away from C2's close.

Gap cases (pre-run addendum in rules.md): 4 entries opened beyond C2's wick and 1 beyond the target; 172 entries came at the first bar after a market break (every daily entry does: C2 closes at 17:00 and the market reopens at 18:00).

The reward-to-risk trials

The same rule with a stricter filter, run as trials. The 1:1 rule above is the main result.

The full five years, for context. The same fixed rules over the whole period, including the first training window: 248 trades, -0.127R per trade, -31.5R. Context only, never the result.

The verdict

Reject. Rejected: expectancy of -0.210R per trade before trading costs; 1% probability the true Sharpe is above zero (one fixed rule set was tested, so there is no search to deflate for); p = 0.878 against block-bootstrapped price series. Also failed: fold consistency, robust to resampled trades.

• Sample size: passed. 172 out-of-sample trades
• Positive expectancy: failed. expectancy of -0.210R per trade before trading costs
• Walk-forward efficiency: not applicable. not applicable: every parameter is fixed, so nothing was fitted on the training windows and there is no fit to decay; the fixed rules are judged by their out-of-sample expectancy and fold consistency
• Fold consistency: failed. 0% of walk-forward folds were profitable
• Sharpe significance: failed. 1% probability the true Sharpe is above zero (one fixed rule set was tested, so there is no search to deflate for)
• Beats shuffled price: failed. p = 0.878 against block-bootstrapped price series
• Parameter sensitivity: not applicable. not applicable: the rules score -0.266 at the pinned values, so there is no edge for neighbouring values to keep (neighbours' median -0.260)
• Robust to resampled trades: failed. 1% of trade sequences resampled with replacement end profitable
• Survivable drawdown: passed. 2.0% chance of halving the account at the configured risk
• Drawdown: passed. maximum drawdown of 32.7%

Reshuffled price series scored as well or better in 35 of 40 tries (p = 0.88). Resampling the trades puts the average between -0.350R and -0.067R in 90% of cases.

24 tests. This is one of 24 CRT tests run together. With that many, one or two can look good by chance alone, so no single one should be read on its own.

Limitations

• Before trading costs. Spread, commission and slippage would make the result worse.
• 3.5 years out of sample, not 5. The first 19 months are the first training window.
• One precise reading of CRT. Other candle times, sweep definitions or exits are different strategies and were not tested here.
• One price feed. Another broker's or TradingView's candles differ slightly.
• 5-minute bars. A bar that touches both the stop and the target counts as a loss.
• TradingView's strategy export differs on a few trades: when an entry opens beyond C2's wick, TradingView's armed stop is already passed and it closes at the open; and when a bar opens beyond the target and then reaches the stop, TradingView takes the target. The free indicator matches the backtest trade for trade.
• A backtest. It is not live trading or a funded-account result.