{
 "slug": "fm-1h5m-us500",
 "title": "TTrades' Fractal Model (1H to 5m) on US500",
 "status": "complete",
 "published": "2026-10-30",
 "summary": "TTrades' Fractal Model, written as fixed rules and tested on US500 from October 2021. Out of sample it took 185 trades and averaged +0.048R per trade, +8.9R in total, before trading costs. 2 of 5 test windows made money. Verdict: reject. Not this time. One of 75 tests.",
 "instrument": "US500",
 "timeframe": "M5",
 "period": {
  "start": "2021-10-01",
  "end": "2026-10-26"
 },
 "costs": "before trading costs",
 "run_id": "run_1624945b92",
 "verdict": {
  "grade": "reject",
  "summary": "Rejected: 67% probability the true Sharpe is above zero (one fixed rule set was tested, so there is no search to deflate for); p = 0.146 against block-bootstrapped price series. Also failed: fold consistency, robust to resampled trades"
 },
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  "trades": 185,
  "win_rate": 35.14,
  "expectancy_r": 0.0484,
  "profit_factor": 1.051,
  "max_drawdown_r": 20.05,
  "total_r": 8.95
 },
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 "method": "1H to 5m, with daily bias. A higher candle sweeps the previous candle's extreme and closes back inside it, or a failed one is engulfed, or a strong next candle continues it; a change in the state of delivery on the lower timeframe confirms it. In the first half of the next higher candle, after it has traded against the direction, the first new change in the state of delivery gives a market entry at the next bar's open. The stop is at that candle's extreme so far, the protected swing, and the target is 2R. No time exit and no session filter. Every rule was written down before the test and nothing was optimised.\n\nData: the broker's MetaTrader 5 bars, 1 October 2021 to 26 October 2026. A signal fills at the next bar's open; a bar that reaches both stop and target counts as stopped.\n\nThe test is a rolling walk-forward with five folds; only trades in the test windows count. Results are in R, the amount risked per trade, before trading costs.\n\nThis is one of 75 tests. With that many, three or four can look good by chance alone.\n\nThe Fractal Model is taught by the trader and educator TTrades, on ttrades.com and on YouTube. The rules here are IDFX's mechanical reading of what TTrades teaches publicly, written down before the test. TTrades reads context by eye, including correlated markets, and has not seen or endorsed this test.",
 "limitations": [
  "Before trading costs. Spread, commission and slippage would make the result worse, not better.",
  "One of 75 tests; a single good-looking result among them can be luck.",
  "The out-of-sample result covers about 3.3 years, not the whole five.",
  "A mechanical reading. TTrades reads context by eye and uses correlated markets; TTrades' own trading can differ.",
  "CFDs on one broker's feed; TTrades trades futures. A candle's sweep can differ between feeds.",
  "A backtest, not live or funded-account trading."
 ],
 "study_group": {
  "slug": "ttrades-fractal",
  "tests": 75,
  "comparison": "studies/ttrades-fractal/comparison.json"
 }
}