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>
The 1:1 range projection is the target rule both books recommend (book 1 ch.8
discards point-and-figure counting as too subjective and keeps the vertical
projection). Tested as a complete trade on 4 symbols x M15/H1: enter on the
range breakout, stop at the far side of the range, target k x risk.
A driftless market gives P(win) = 1/(1+k) and expR = 0 at EVERY k, so the
benchmark here is analytic - no permutation null needed. Result: expR sits on
that benchmark at every k on every symbol. Target placement does not move
expectancy, which is what a martingale already said.
But the law itself is measurable, and it is not 1:1. Regressing
log(MFE) on log(range height) with log(ATR) as a FREE regressor (a shared ATR
denominator correlates the errors and biases the exponent towards the
hypothesis, so it cannot be used to argue against it):
b = 0.10 .. 0.92, centred ~0.6
b = 1 rejected in 5 of 8 at >2sd, never significantly above 1
b = 0 rejected in 7 of 8
So a bigger cause does produce a bigger effect - sub-proportionally. The 1:1
projection systematically over-reaches after a large consolidation and
under-reaches after a small one. Median travel in risk-multiples falls
monotonically across height quartiles in 8 of 8 runs.
Also adds the volume-profile machinery the second book is built on and which
nothing in the EA has: tick-level volume-at-price on a fixed absolute grid,
per-session VPOC/value area by the standard Market Profile walk, naked VPOCs,
and HVN/LVN from a rolling causal composite.
Two biases are left in deliberately, both against the hypothesis: a bar
spanning stop and target books the loss, and spread is charged on entry and
both barriers. Unresolved trades are marked to market at the horizon rather
than discarded - discarding them deletes slow winners and manufactures a
false deficit at large k.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
