User claim: swings dwarf the spread, so cost cannot be what blocks swing
trading at 1:2/1:3 RR. Measured on the validated M1 bid/ask book, SP500
H1, ATR-scaled causal ZigZag at 4 reversal thresholds:
- The premise is CONFIRMED: median swing 36-79 spreads, mean up to 110.
Perfect-foresight expectancy +28 to +59 pts/leg.
- The conclusion does not follow: trading every confirmed leg (enter on
the ZigZag confirmation close, real ask/bid fills, exit on the next
confirmation) grosses -0.2 to -0.5 pts/leg AT ZERO COST, on 3,681 to
13,871 legs. The confirmation retracement - the event that DEFINES a
pivot - consumes the entire swing before the spread is even charged.
- Long/short split is symmetric around the index drift (LONG +1.18,
SHORT -2.17 gross at 3xATR), i.e. no swing structure beyond drift.
- 3.0xATR reversal reproduces the EA ZigZag cadence exactly (median leg
17 bars, 49 legs/1000 bars vs the EA measured 17 and 44).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
