The previous commit pooled four instruments with very different spread-to-stop
ratios and concluded the edge never beats the cost. That was too broad. Per
cell (48 cells, M5 path, k=1), 8 clear - and they are not scattered:
EURUSD H1 pin spread/stop 0.042 edge +0.160 cost 0.063 -> +0.097 R
EURUSD H1 pin 0.045 +0.127 0.067 +0.060
EURUSD H1 inside 0.047 +0.123 0.060 +0.063
EURUSD H1 inside 0.050 +0.102 0.062 +0.040
EURUSD M15 pin 0.074 +0.141 0.100 +0.042
EURUSD M15 pin 0.072 +0.140 0.099 +0.041
Every clearing cell is on the tightest-spread instrument. XAUUSD carries the
same gross edge (+0.09 to +0.135) and never clears, because its cost is 3x.
That is the mechanism predicting where the effect should survive and being
right - the opposite of the stop-run case, which inverted.
WALK-FORWARD, 4 chronological folds: 6 of 8 hold at >=3/4. EURUSD H1 pin short
side is +0.116 / +0.061 / +0.143 / +0.067 across 23 years, 4/4.
WIDENING THE STOP still says what it said: EURUSD H1 pin goes +0.078 (m=1) ->
+0.028 -> +0.009 -> +0.017 -> -0.003 (m=5). The gross edge collapses ~15x while
the stop widens 5x, so this is NOT drift - it is reversion inside roughly one
setup-risk of a stop order filled at a local extreme. It is only tradeable at
the tight stop, which is exactly where cost bites hardest.
WHAT IS NOT MODELLED, and it decides this: commission and stop slippage. Gross
edge is ~0.139 R = ~2.4 pips on a 17.3-pip stop, against 0.75 pips of spread.
That leaves ~1.6 pips of headroom for commission plus slippage before it is
gone. A demo forward test measuring both is the next step, not more history.
Also fixes a LOOKAHEAD found in the sweep-entry test: the protective stop was
anchored to the low of the very bar that filled the limit order, which is not
known until that bar closes. It was worth ~+0.15 R - larger than any real effect
here - and it inflated the placebo equally, which is how it was caught. With it
removed, buying at retail stop levels is no better than buying at an arbitrary
level the same distance away: the 'stops are a farmable magnet' claim fails its
own control.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
Tests the user's thesis directly: if price is unpredictable, trade against the
people predicting it badly. Implements the three mechanical setups from 'How To
Day Trade Forex For Profit' ch.5 with their DOCUMENTED stop rules, so retail
stops are located exactly rather than by proxy.
THE MIRROR TEST. Retail's trade and its exact mirror, priced under identical
rules. Both sides pay the same spread and suffer the same same-bar tie
convention, so those cancel in the difference and double in the sum:
edge = (mirror - retail)/2 cost = -(mirror + retail)/2
pin EDGE +0.108 R COST +0.143 R
inside EDGE +0.068 R COST +0.140 R
engulf EDGE -0.001 R COST +0.095 R
So pin-bar and inside-bar setups really are anti-predictive - the first
confirmed directional edge in this project. Engulfing is a pure coin flip whose
loss is entirely the spread, i.e. money already gone to the broker.
Stable across three conventions: H1 bars pessimistic ties, M5 path pessimistic,
M5 path optimistic. Re-walking the barriers on M5 CUT the cost (0.195 -> 0.143)
and RAISED the edge (0.078 -> 0.108), so the coarse-bar convention was masking
the effect, not manufacturing it.
THEN THE TEST THAT KILLS IT. Cost in R is spread/stop-distance, so widening the
stop divides it. If the edge is directional drift it survives. Fade expR by stop
multiple (pin, k=1, 122k trades):
m=1.0 cost 0.146 expR -0.045 implied edge +0.101
m=1.5 cost 0.097 expR -0.067 +0.030
m=2.0 cost 0.073 expR -0.065 +0.008
m=3.0 cost 0.049 expR -0.051 -0.002
m=5.0 cost 0.029 expR -0.040 -0.011
The edge decays exactly as fast as the cost, then inverts. It was never drift:
it is reversion against a stop order filled AT a local extreme, and it lives
within one bar-range of the entry - the same short-horizon reversal the tick-flow
work already measured, meeting the same fate.
Also in this commit, the volume-profile claims from Wyckoff 2.0:
MAGNET all 10 tests positive vs a distance-matched placebo, z +3.0 to +7.8,
family-wise bar 2.79 - but the effect is +0.15 to +0.59pp on a ~74%
base rate, i.e. ~0.01 R.
REACTION naked VPOC and VPOC reject +0.71 to +0.86pp (z to +5.65); value-area
edges null or negative; HVN/LVN marginal.
80% RULE dead. 27.8% traversal against a 29.0% martingale benchmark. Acceptance
nearly DOUBLES the raw rate (14.1% -> 27.8%) and the benchmark doubles
with it - every bit of the apparent improvement is geometry.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
AnimateDread