Donchian Breakout

The Turtle rule: buy the N-day high, exit the N-day low. Pure trend following.

What it is

Reference — Glowwiki: Donchian Channel / Turtle Trading
The definitions and formulas below follow that article. It states its own limit plainly:
“Whether this produces profit is not addressed in that article.”
That is the question this page answers.

Note from the reference: The reference carries a test over 360 years of exchange data and 4,887 trades that found the indicator ineffective — a 35% win rate, and at a 2:1 reward-to-risk that is about five cents per dollar risked, small enough that the article notes it "might be unprofitable" once slippage is included. It also records that backtests of the published Turtle system show a drastic drop in performance after 1986 and flat performance from 1996 to 2009.

Named for Richard Donchian; the rule was made famous by the 1983 Turtle experiment run by Richard Dennis. Also known as Turtle rule.

Formulas

Channel

upper = max(Hₙ) ; lower = min(Lₙ)

Entry on a new n-period high, exit on a new n-period low

Established

The Donchian channel marks the highest high and lowest low of the last n periods. [3]

These rest on a single line of sourcing. The Glowwiki reference article draws on the same encyclopaedia cited here, so two domains do not make two independent accounts. Nothing below has been checked against a second, separately grounded source. It is listed as established because the sources state it as definition rather than as finding — not because it has been cross-verified.

Conventional reading

Breakouts of the channel are conventionally used as trend-following entries and exits. [1, 3]
A test across 360 years of exchange data and 4,887 trades reported the indicator as ineffective, with a 35% win rate. At a 2:1 reward-to-risk that is roughly five cents per dollar risked — an edge the reference notes may not survive slippage. [1, 3]
Backtests of the published Turtle system show a drastic drop in performance after 1986 and flat performance from 1996 to 2009. The reference also quotes that in the 1970s anyone with a simple trend-following method and a dart board could have made a million dollars. [1]
The usefulness of technical analysis as a whole is contested by the efficient-market hypothesis. The reference article states the dispute without ruling on it — and neither does this page. What is below is one measurement, not a verdict. [1, 2]

Listed as convention, not as established fact.

Why your chart may not match The reference puts the edge at roughly five cents per dollar risked and notes it may not survive slippage. This page charges 0.10% taker on both legs plus 0.05% slippage on every fill, which is why the assumption set is stated on every page rather than buried. Halve those costs and some of the losing rows here would turn positive — that is not a reason to halve them.

Sources

Donchian Channel / Turtle Trading — Glowwiki (en)
Technical analysis — Wikipedia (en)
Donchian channel — Wikipedia (en)

The short answer

Beat buy & hold in 2 of 3 markets tested.

ETH/USDT +1223% · Gold (PAXG) -56%. A rule that wins in one market and loses in another did not find an edge; it found a rising asset. Each figure is measured only against buying and holding that same market over that same period.

Market	Return	Buy & hold	vs B&H	Beat it	Max DD	Underwater	Grid beat
BTC/USDT	1230%	513%	+717%	yes	49%	756d	100%
ETH/USDT	1486%	263%	+1223%	yes	65%	1550d	100%
Gold (PAXG)	63%	120%	-56%	no	27%	1415d	0%

All figures on this page are from daily candles unless a row says otherwise.

Evidence

Everything below is the same rules run over real price history. Pick a market to see the fills, the equity path and the parameter grid for it.

Market

Timeframe

Finer candles cover a shorter period — a minute-level history long enough to match the daily one would be millions of bars, and the microstructure of eight years ago is not the microstructure of now. The period actually used is printed above every result.

1WBTC/USDT · 456 bars · 2018-01-01 → 2026-09-21

Total return

1439.5%

10,000 → 153,948

vs buy & hold

+926.5%

over the same period 513.0%

Max drawdown

49.4%

10,000 → 10,000

Longest underwater

107

107 days · 76% of the period

Settings that beat it

1 / 4

of 4 parameter settings tested

Win rate

100%

95% CI 44%–100% · n=3

The win rate on this page is not a readable number. With 3 closed trades the 95% confidence interval runs 44%–100% — it spans a coin flip, so the headline 100% cannot be distinguished from chance at this sample size. It is shown because leaving it out would be worse, not because it supports a conclusion.

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (4×) and max drawdown (49.4%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

6 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 68 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-36.9%	-21.1%	0.0%	2.1%	24.1%	79.5%	359.7%	18%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 393.4%, best 1439.5%, worst 69.7%. 1 of them beat buy & hold.

Parameter grid

Donchian Breakout run across its own parameter range over the full period. The same rules flip from profit to loss depending only on the numbers you picked — which is why a single headline return is meaningless on its own.

	length 10	length 20	length 55	length 100
	456%	1439%	393%	70%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 3 closed trades — showing the last 3

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2023-01-30	23,755.24	2025-11-17	94,214.32	146 bars	38,894.16	+115,053.57	+295.8%
2020-08-03	11,076.9	2022-01-24	36,226.43	77 bars	11,916.41	+26,977.75	+226.4%
2019-05-06	5,776.07	2019-11-25	6,896.78	29 bars	10,000	+1,916.41	+19.2%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2018-01-01 → 2026-09-21
Parameters	{"length":20}
Rolling test	52 bars × 68 start dates
Input hash	c1428b2e68098ebf

1DBTC/USDT · 3,188 bars · 2018-01-01 → 2026-09-23

Total return

1229.7%

10,000 → 132,970

vs buy & hold

+716.7%

over the same period 513.0%

Max drawdown

48.8%

10,000 → 7,190

Longest underwater

756

756 days · 94% of the period

Settings that beat it

4 / 4

of 4 parameter settings tested

Win rate

50%

95% CI 34%–66% · n=32

The win rate on this page is not a readable number. With 32 closed trades the 95% confidence interval runs 34%–66% — it spans a coin flip, so the headline 50% cannot be distinguished from chance at this sample size. It is shown because leaving it out would be worse, not because it supports a conclusion.

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (17×) and max drawdown (48.8%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

65 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-38.2%	-26.6%	-14.9%	20.5%	80.4%	219.1%	569.2%	34%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 673.5%, best 1229.7%, worst 615.4%. 4 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	615%	1230%	1203%	673%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Year by year

Year	2018	2019	2020	2021	2022	2023	2024	2025	2026
Return	-24%	75%	230%	40%	-39%	36%	49%	-22%	17%
Max DD	32%	48%	24%	32%	44%	20%	42%	35%	12%
Trades	3	3	2	3	3	4	4	5	2

Recent closed trades 32 closed trades — showing the last 32

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-07-15	65,076.51	2026-09-16	75,606.66	63 bars	118,143.43	+18,842.75	+16.0%
2026-03-05	72,703.1	2026-05-23	75,501.73	79 bars	113,991.96	+4,151.47	+3.6%
2026-01-05	91,575.5	2026-01-26	86,627.02	21 bars	120,744.88	-6,752.92	-5.6%
2025-10-02	118,654.29	2025-11-05	101,446.48	34 bars	141,508.9	-20,764.02	-14.7%
2025-09-17	116,847.35	2025-09-26	108,939.99	9 bars	152,084.13	-10,575.23	-7.0%
2025-08-14	123,368.09	2025-08-26	110,056.92	12 bars	170,819.71	-18,735.58	-11.0%
2025-07-10	111,289.62	2025-08-02	113,241.27	23 bars	168,211.81	+2,607.9	+1.6%
2025-04-23	93,489.71	2025-06-06	101,457.94	44 bars	155,311.23	+12,900.58	+8.3%
2024-09-19	61,790.86	2025-02-25	91,507.1	159 bars	105,085.04	+50,226.19	+47.8%
2024-08-24	64,069.26	2024-09-07	53,935.99	14 bars	125,077.88	-19,992.85	-16.0%
2024-07-16	64,756.42	2024-08-05	58,131.92	20 bars	139,610.25	-14,532.36	-10.4%
2024-05-16	66,239.61	2024-06-15	66,010.97	30 bars	140,374.29	-764.04	-0.5%
2024-02-08	44,371.77	2024-05-02	58,335.79	84 bars	106,986.23	+33,388.06	+31.2%
2023-10-02	28,006.58	2024-01-23	39,548.24	113 bars	75,915.31	+31,070.92	+40.9%
2023-06-21	28,322.15	2023-07-25	29,161.91	34 bars	73,876.83	+2,038.48	+2.8%
2023-03-15	24,682.75	2023-06-06	25,715.34	83 bars	71,052.3	+2,824.54	+4.0%
2023-02-16	24,335.03	2023-03-09	21,693.52	21 bars	79,863.55	-8,811.26	-11.0%
2022-12-14	17,784.71	2023-02-11	21,614.38	59 bars	65,844.76	+14,018.79	+21.3%
2022-09-13	22,406.64	2022-11-09	18,536.11	57 bars	79,753.17	-13,908.41	-17.4%
2022-07-20	23,410.18	2022-08-20	20,823.97	31 bars	89,837.51	-10,084.34	-11.2%
2022-02-08	43,861.91	2022-04-12	39,510.68	63 bars	99,930.78	-10,093.27	-10.1%
2021-10-06	51,497.73	2021-11-19	56,863.17	44 bars	90,682.78	+9,248	+10.2%
2021-07-26	35,398.71	2021-09-22	40,713.72	58 bars	79,002.36	+11,680.42	+14.8%
2020-10-11	11,298.87	2021-05-18	43,516.25	219 bars	20,553.8	+58,448.56	+284.4%
2020-04-07	7,333.56	2020-09-04	10,133.22	150 bars	14,904.87	+5,648.92	+37.9%
2020-01-07	7,762.78	2020-02-27	8,781.61	51 bars	13,202.01	+1,702.86	+12.9%
2019-10-27	9,234.61	2019-11-19	8,182.41	23 bars	14,929.54	-1,727.53	-11.6%
2019-08-06	11,835.91	2019-08-29	9,716.14	23 bars	18,223.14	-3,293.6	-18.1%
2019-02-19	3,899.3	2019-07-17	9,425.45	148 bars	7,553.98	+10,669.15	+141.2%
2018-08-29	7,080.54	2018-09-09	6,181.97	11 bars	8,669.3	-1,115.32	-12.9%
2018-07-18	7,321.1	2018-08-08	6,717.27	21 bars	9,467.52	-798.22	-8.4%
2018-04-21	8,856.55	2018-05-12	8,401.74	21 bars	10,000	-532.48	-5.3%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2018-01-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	365 bars × 61 start dates
Input hash	f92aab5adf48a745

4HBTC/USDT · 19,111 bars · 2018-01-01 → 2026-09-23

Total return

860.1%

10,000 → 96,008

vs buy & hold

+347.1%

over the same period 513.0%

Max drawdown

58.7%

10,000 → 4,931

Longest underwater

6571

6571 days · 99% of the period

Settings that beat it

3 / 4

of 4 parameter settings tested

Win rate

38%

95% CI 31%–45% · n=181

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (12×) and max drawdown (58.7%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

363 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-38.7%	-23.1%	-10.7%	43.0%	94.5%	124.7%	323.6%	30%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 860.1%, best 999.9%, worst 354.6%. 3 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	355%	860%	1000%	866%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 181 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-03	81,388.67	2026-09-08	78,442.76	28 bars	95,838.41	-3,653.49	-3.8%
2026-08-17	64,232.1	2026-08-28	77,541.24	67 bars	79,547.69	+16,290.72	+20.5%
2026-08-05	64,872.69	2026-08-10	64,013.68	30 bars	80,776.55	-1,228.86	-1.5%
2026-07-02	61,388.68	2026-07-24	64,061.81	133 bars	77,560.92	+3,215.63	+4.2%
2026-06-22	64,869.37	2026-06-23	62,854.6	4 bars	80,207.35	-2,646.43	-3.3%
2026-06-14	64,490.24	2026-06-18	62,338.25	28 bars	83,142.32	-2,934.98	-3.5%
2026-05-01	78,485.1	2026-05-13	78,787.8	72 bars	82,988.71	+153.61	+0.2%
2026-04-01	68,726.35	2026-04-27	76,754.7	158 bars	74,457.06	+8,531.65	+11.5%
2026-03-10	70,616.24	2026-03-19	70,156.06	53 bars	75,095.48	-638.43	-0.9%
2026-02-25	69,072.78	2026-03-07	67,046.79	60 bars	77,519.57	-2,424.09	-3.1%
2026-02-21	68,649.32	2026-02-23	64,901.71	9 bars	82,159.92	-4,640.35	-5.7%
2026-02-14	70,540.99	2026-02-18	66,144.06	26 bars	87,796.92	-5,637.01	-6.4%
2026-01-28	90,125.03	2026-01-29	84,891.55	7 bars	93,396.12	-5,599.2	-6.0%
2026-01-13	93,496.71	2026-01-19	93,626.3	32 bars	93,453.57	-57.45	-0.1%
2025-12-29	90,168.61	2026-01-08	90,502.75	61 bars	93,294.95	+158.63	+0.2%
2025-12-22	89,990.4	2025-12-23	87,530.99	5 bars	96,108.33	-2,813.39	-2.9%
2025-12-03	92,675.22	2025-12-14	88,600.56	70 bars	100,729.54	-4,621.2	-4.6%
2025-11-24	88,371.45	2025-12-01	86,302.96	38 bars	103,350.3	-2,620.76	-2.5%
2025-11-09	104,857.97	2025-11-12	101,246.66	18 bars	107,250.93	-3,900.63	-3.6%
2025-10-20	110,200.52	2025-10-29	110,584.68	58 bars	107,092.33	+158.61	+0.1%
2025-09-29	112,220.04	2025-10-10	118,959.48	70 bars	101,227.45	+5,864.87	+5.8%
2025-09-02	110,377.35	2025-09-22	114,592.57	120 bars	97,699.07	+3,528.38	+3.6%
2025-08-22	116,428.94	2025-08-26	110,056.92	20 bars	103,562.51	-5,863.44	-5.7%
2025-08-07	116,577.8	2025-08-18	115,261.34	64 bars	104,955.05	-1,392.54	-1.3%
2025-07-02	109,730.98	2025-07-15	116,720.74	75 bars	98,867.41	+6,087.64	+6.2%
2025-06-25	107,251.62	2025-07-01	106,552.49	36 bars	99,715.35	-847.94	-0.9%
2025-06-16	107,115.33	2025-06-17	104,189.5	8 bars	102,720.77	-3,005.43	-2.9%
2025-06-08	106,037.52	2025-06-13	105,618.9	26 bars	103,334.37	-613.59	-0.6%
2025-06-03	106,663.97	2025-06-05	101,863.8	13 bars	108,420.45	-5,086.08	-4.7%
2025-05-18	105,570.76	2025-05-29	105,678.87	67 bars	108,526.37	-105.92	-0.1%
2025-05-07	96,882.44	2025-05-12	101,809.06	35 bars	103,481.45	+5,044.92	+4.9%
2025-04-11	83,900.21	2025-05-05	94,230.47	139 bars	92,321.48	+11,159.97	+12.1%
2025-04-01	85,323.52	2025-04-06	79,574.53	31 bars	99,189.57	-6,868.09	-6.9%
2025-03-19	85,476.1	2025-03-28	85,170.37	51 bars	99,744.91	-555.34	-0.6%
2025-03-14	84,766.94	2025-03-18	81,569.41	24 bars	103,862.43	-4,117.53	-4.0%
2025-03-02	87,471.71	2025-03-09	83,038.86	42 bars	109,625.94	-5,763.51	-5.3%
2025-02-20	98,472.01	2025-02-24	94,276.79	23 bars	114,733.43	-5,107.48	-4.5%
2025-01-14	96,596.31	2025-01-27	101,344.94	76 bars	109,576.4	+5,157.03	+4.7%
2025-01-02	96,781.37	2025-01-07	96,403.76	32 bars	110,225.83	-649.43	-0.6%
2024-12-16	104,516.22	2024-12-19	100,153.91	18 bars	115,257.12	-5,031.29	-4.4%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2018-01-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	2190 bars × 61 start dates
Input hash	ff479f443d593b52

1HBTC/USDT · 41,442 bars · 2022-01-01 → 2026-09-23

Total return

-70.2%

10,000 → 2,981

vs buy & hold

-152.1%

over the same period 81.9%

Max drawdown

74.3%

10,000 → 2,585

Longest underwater

41355

41355 days · 100% of the period

Settings that beat it

1 / 4

of 4 parameter settings tested

Win rate

31%

95% CI 27%–36% · n=450

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (74.3%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 301 of 900 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-53.9%	-38.7%	-31.2%	-16.8%	-1.5%	12.8%	25.4%	77%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -70.2%, best 86.2%, worst -81.3%. 1 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	-81%	-70%	55%	86%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 450 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-21	81,648.52	2026-09-23	85,607.14	59 bars	2,849.05	+132.16	+4.6%
2026-09-18	77,422.16	2026-09-20	80,291.35	47 bars	2,752.74	+96.31	+3.5%
2026-09-14	77,638.8	2026-09-15	77,248.07	28 bars	2,772.21	-19.46	-0.7%
2026-09-11	78,072	2026-09-12	77,076.44	31 bars	2,813.63	-41.43	-1.5%
2026-09-09	79,211.09	2026-09-10	76,857.56	32 bars	2,905.6	-91.96	-3.2%
2026-09-07	80,382	2026-09-07	78,782.59	16 bars	2,970.52	-64.92	-2.2%
2026-09-05	80,082.01	2026-09-06	79,503.3	22 bars	2,998.13	-27.61	-0.9%
2026-09-03	77,854.93	2026-09-04	79,414.22	34 bars	2,945.15	+52.98	+1.8%
2026-08-31	78,936.8	2026-09-01	77,227.16	24 bars	3,016.38	-71.23	-2.4%
2026-08-29	78,053.38	2026-08-31	77,643.16	33 bars	3,038.38	-22.01	-0.7%
2026-08-27	79,795.88	2026-08-28	78,291.96	31 bars	3,102.95	-64.56	-2.1%
2026-08-23	77,526.36	2026-08-26	77,751.58	73 bars	3,100.15	+2.79	+0.1%
2026-08-17	63,435.03	2026-08-23	76,015.35	147 bars	2,592.27	+507.89	+19.6%
2026-08-16	63,291.63	2026-08-16	62,898.15	5 bars	2,613.71	-21.44	-0.8%
2026-08-12	64,272.16	2026-08-13	63,128.55	29 bars	2,666.38	-52.68	-2.0%
2026-08-09	65,252.39	2026-08-10	64,529.7	24 bars	2,701.64	-35.26	-1.3%
2026-08-03	63,999.17	2026-08-09	64,829.03	131 bars	2,672.4	+29.24	+1.1%
2026-08-02	63,483.31	2026-08-03	62,839.04	25 bars	2,705.2	-32.8	-1.2%
2026-07-29	64,467.85	2026-07-31	63,918.03	49 bars	2,733.93	-28.73	-1.1%
2026-07-25	64,448.2	2026-07-27	63,760.11	52 bars	2,768.97	-35.04	-1.3%
2026-07-20	65,631.55	2026-07-22	65,941.91	38 bars	2,761.46	+7.52	+0.3%
2026-07-17	64,291.86	2026-07-20	64,095.95	59 bars	2,775.44	-13.99	-0.5%
2026-07-14	63,991.97	2026-07-16	64,205.88	43 bars	2,771.73	+3.71	+0.1%
2026-07-09	62,991.44	2026-07-12	63,787.1	65 bars	2,742.64	+29.09	+1.1%
2026-07-06	64,522.21	2026-07-08	61,987.35	35 bars	2,860.51	-117.87	-4.1%
2026-07-01	59,527.78	2026-07-06	62,452.6	118 bars	2,732	+128.51	+4.7%
2026-06-27	60,618.64	2026-06-28	59,660.77	27 bars	2,781.42	-49.42	-1.8%
2026-06-22	64,638.3	2026-06-23	63,591.22	27 bars	2,832.88	-51.46	-1.8%
2026-06-20	63,575.67	2026-06-21	63,816.08	45 bars	2,827.86	+5.02	+0.2%
2026-06-14	65,344.25	2026-06-17	64,893.56	59 bars	2,853.2	-25.34	-0.9%
2026-06-10	62,670.55	2026-06-14	63,700.78	98 bars	2,812.68	+40.53	+1.4%
2026-06-07	61,731.91	2026-06-09	62,242.48	58 bars	2,795.19	+17.49	+0.6%
2026-05-25	77,752.85	2026-05-26	76,753.84	10 bars	2,837.24	-42.05	-1.5%
2026-05-23	77,324.72	2026-05-24	76,113.06	25 bars	2,888.18	-50.94	-1.8%
2026-05-20	77,235.59	2026-05-22	76,735.84	57 bars	2,912.8	-24.63	-0.9%
2026-05-17	78,505.22	2026-05-18	77,418.94	13 bars	2,959.59	-46.78	-1.6%
2026-05-14	81,005.32	2026-05-15	78,719.21	23 bars	3,051.64	-92.05	-3.0%
2026-05-09	80,853.1	2026-05-12	80,426.68	68 bars	3,073.96	-22.32	-0.7%
2026-05-01	76,724.46	2026-05-07	80,463.44	156 bars	2,936.98	+136.97	+4.7%
2026-04-29	77,308.39	2026-04-29	75,886.28	11 bars	2,998.01	-61.03	-2.0%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2022-01-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	8760 bars × 61 start dates
Input hash	eabc7d509daeba78

15mBTC/USDT · 37,226 bars · 2025-09-01 → 2026-09-23

Total return

-82.6%

10,000 → 1,738

vs buy & hold

-60.3%

over the same period -22.3%

Max drawdown

84.6%

10,000 → 1,561

Longest underwater

37187

37187 days · 100% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

23%

95% CI 20%–27% · n=450

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (84.6%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 301 of 900 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-60.2%	-56.6%	-52.0%	-48.9%	-42.9%	-40.1%	-34.8%	100%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -82.6%, best -22.4%, worst -90.0%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	-90%	-83%	-49%	-22%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 450 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-23	86,764.8	2026-09-23	86,014.23	26 bars	1,756.68	-18.68	-1.1%
2026-09-22	86,192.73	2026-09-22	85,994.99	54 bars	1,764.24	-7.56	-0.4%
2026-09-21	81,724.8	2026-09-22	85,847.77	99 bars	1,682.88	+81.37	+4.8%
2026-09-20	81,200.65	2026-09-20	80,729.17	20 bars	1,696.09	-13.22	-0.8%
2026-09-18	76,782.38	2026-09-19	81,287.03	167 bars	1,605.31	+90.78	+5.7%
2026-09-17	76,858.4	2026-09-17	76,113.93	6 bars	1,624.26	-18.95	-1.2%
2026-09-17	76,669.68	2026-09-17	76,153.91	41 bars	1,638.53	-14.27	-0.9%
2026-09-16	76,274.13	2026-09-16	75,532.87	10 bars	1,657.92	-19.39	-1.2%
2026-09-16	76,002.77	2026-09-16	75,485.71	22 bars	1,672.62	-14.7	-0.9%
2026-09-14	77,572.77	2026-09-14	78,550.71	80 bars	1,655.1	+17.52	+1.1%
2026-09-13	77,048.01	2026-09-13	76,895.54	32 bars	1,661.71	-6.6	-0.4%
2026-09-12	77,398.68	2026-09-12	77,193.6	35 bars	1,669.46	-7.75	-0.5%
2026-09-11	77,628.81	2026-09-11	77,049.47	22 bars	1,685.38	-15.92	-0.9%
2026-09-11	77,222	2026-09-11	76,925.75	21 bars	1,695.25	-9.88	-0.6%
2026-09-08	78,943.45	2026-09-09	78,438.77	93 bars	1,709.58	-14.32	-0.8%
2026-09-08	79,437.7	2026-09-08	78,733.97	8 bars	1,728.31	-18.73	-1.1%
2026-09-07	79,382.05	2026-09-07	78,773.55	12 bars	1,745.15	-16.84	-1.0%
2026-09-07	79,646.64	2026-09-07	79,136.74	5 bars	1,759.91	-14.76	-0.8%
2026-09-06	79,956.42	2026-09-07	79,592.06	37 bars	1,771.51	-11.6	-0.7%
2026-09-05	79,757.44	2026-09-06	79,764.1	87 bars	1,774.9	-3.4	-0.2%
2026-09-04	81,376.87	2026-09-04	79,646.16	5 bars	1,817.1	-42.2	-2.3%
2026-09-02	77,420.35	2026-09-04	80,786.67	143 bars	1,744.87	+72.23	+4.1%
2026-09-02	77,699.39	2026-09-02	77,209.4	20 bars	1,759.46	-14.59	-0.8%
2026-09-01	77,576.27	2026-09-02	76,848.49	8 bars	1,779.68	-20.22	-1.1%
2026-09-01	78,308.23	2026-09-01	77,404.29	10 bars	1,804.07	-24.39	-1.4%
2026-09-01	79,032.69	2026-09-01	78,270.84	11 bars	1,825.27	-21.21	-1.2%
2026-08-31	78,950.8	2026-08-31	78,553.85	21 bars	1,838.17	-12.9	-0.7%
2026-08-31	78,252.11	2026-08-31	77,846.61	21 bars	1,851.44	-13.27	-0.7%
2026-08-30	78,285.03	2026-08-30	78,436.76	56 bars	1,851.56	-0.12	-0.0%
2026-08-29	77,964.96	2026-08-30	77,977.16	43 bars	1,854.98	-3.42	-0.2%
2026-08-29	77,884.8	2026-08-29	77,468.42	16 bars	1,868.68	-13.7	-0.7%
2026-08-26	78,833.68	2026-08-28	79,877.92	117 bars	1,847.95	+20.74	+1.1%
2026-08-26	79,270.16	2026-08-26	78,485.79	28 bars	1,870.15	-22.2	-1.2%
2026-08-25	79,541.76	2026-08-25	78,707.35	15 bars	1,893.76	-23.61	-1.3%
2026-08-24	77,798.87	2026-08-25	79,665.94	99 bars	1,853.08	+40.68	+2.2%
2026-08-23	76,795.91	2026-08-24	76,883.65	62 bars	1,854.67	-1.59	-0.1%
2026-08-22	77,434.57	2026-08-22	76,817.57	21 bars	1,873.31	-18.64	-1.0%
2026-08-19	64,482.35	2026-08-22	77,297.94	274 bars	1,565.85	+307.46	+19.6%
2026-08-18	65,027.58	2026-08-18	64,610.95	22 bars	1,579.11	-13.25	-0.8%
2026-08-18	64,462.89	2026-08-18	64,041.68	27 bars	1,592.67	-13.57	-0.9%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2025-09-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	12408 bars × 61 start dates
Input hash	5f4d58b38d68d49e

5mBTC/USDT · 59,550 bars · 2026-03-01 → 2026-09-23

Total return

-90.0%

10,000 → 1,000

vs buy & hold

-115.5%

over the same period 25.5%

Max drawdown

90.2%

10,000 → 1,000

Longest underwater

58454

58454 days · 100% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

19%

95% CI 16%–22% · n=701

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (90.2%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 352 of 1403 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-65.3%	-62.5%	-61.1%	-57.7%	-54.0%	-50.1%	-48.9%	100%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -90.0%, best -31.2%, worst -90.0%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	-90%	-90%	-68%	-31%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 701 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-10	77,450.72	2026-09-10	76,892.95	14 bars	1,010.26	-9.28	-0.9%
2026-09-10	78,516.74	2026-09-10	78,182.9	13 bars	1,016.61	-6.34	-0.6%
2026-09-10	78,552.07	2026-09-10	78,237.99	24 bars	1,022.73	-6.12	-0.6%
2026-09-09	78,280.21	2026-09-10	78,006.98	24 bars	1,028.37	-5.64	-0.5%
2026-09-09	79,345.91	2026-09-09	79,207.06	22 bars	1,032.23	-3.87	-0.4%
2026-09-09	78,967.46	2026-09-09	79,043.33	68 bars	1,033.31	-1.07	-0.1%
2026-09-09	78,659.78	2026-09-09	78,609.87	36 bars	1,036.03	-2.73	-0.3%
2026-09-08	78,595.28	2026-09-08	78,496.32	35 bars	1,039.41	-3.38	-0.3%
2026-09-08	78,531.25	2026-09-08	78,079.49	6 bars	1,047.52	-8.11	-0.8%
2026-09-08	78,629.44	2026-09-08	78,357.54	19 bars	1,053.26	-5.74	-0.5%
2026-09-08	79,265.61	2026-09-08	79,176.38	23 bars	1,056.56	-3.3	-0.3%
2026-09-07	79,191.58	2026-09-07	79,124.43	57 bars	1,059.57	-3.01	-0.3%
2026-09-07	79,569.75	2026-09-07	79,101.37	20 bars	1,067.98	-8.41	-0.8%
2026-09-07	79,818.8	2026-09-07	79,552.2	22 bars	1,073.7	-5.72	-0.5%
2026-09-07	80,426.21	2026-09-07	79,752.89	7 bars	1,084.94	-11.23	-1.0%
2026-09-06	80,095.21	2026-09-07	79,949.44	26 bars	1,089.09	-4.15	-0.4%
2026-09-06	80,043.7	2026-09-06	79,793.51	10 bars	1,094.69	-5.6	-0.5%
2026-09-06	79,875.91	2026-09-06	79,757.72	23 bars	1,098.51	-3.82	-0.4%
2026-09-06	79,810.79	2026-09-06	79,546.23	7 bars	1,104.37	-5.86	-0.5%
2026-09-06	79,914.93	2026-09-06	79,799.7	62 bars	1,108.18	-3.81	-0.3%
2026-09-06	80,126.03	2026-09-06	79,711.69	14 bars	1,116.17	-7.99	-0.7%
2026-09-05	79,905.93	2026-09-06	79,764.1	94 bars	1,120.39	-4.22	-0.4%
2026-09-05	79,715.83	2026-09-05	79,744.38	86 bars	1,122.23	-1.84	-0.2%
2026-09-05	79,648.89	2026-09-05	79,528.23	30 bars	1,126.19	-3.95	-0.4%
2026-09-04	79,800.37	2026-09-04	79,592.5	64 bars	1,131.39	-5.2	-0.5%
2026-09-04	81,316.89	2026-09-04	79,802.38	14 bars	1,155.17	-23.78	-2.1%
2026-09-04	81,023.06	2026-09-04	80,811.35	22 bars	1,160.51	-5.34	-0.5%
2026-09-04	81,128.25	2026-09-04	80,807.59	25 bars	1,167.45	-6.94	-0.6%
2026-09-04	81,430.96	2026-09-04	80,993.33	3 bars	1,176.11	-8.66	-0.7%
2026-09-03	77,861.8	2026-09-03	81,091.24	135 bars	1,131.53	+44.58	+3.9%
2026-09-03	78,179.09	2026-09-03	77,641.73	10 bars	1,141.64	-10.11	-0.9%
2026-09-02	77,320.65	2026-09-03	77,553.49	53 bars	1,140.49	+1.15	+0.1%
2026-09-02	76,867.16	2026-09-02	76,997.47	64 bars	1,140.84	-0.35	-0.0%
2026-09-02	77,513.09	2026-09-02	77,327.33	63 bars	1,145.87	-5.03	-0.4%
2026-09-01	77,435.53	2026-09-02	77,168.49	14 bars	1,152.14	-6.27	-0.5%
2026-09-01	78,405.19	2026-09-01	77,630.06	25 bars	1,165.98	-13.83	-1.2%
2026-09-01	78,138.08	2026-09-01	77,847.4	24 bars	1,172.67	-6.7	-0.6%
2026-09-01	78,769.36	2026-09-01	78,706.02	41 bars	1,175.97	-3.29	-0.3%
2026-09-01	78,850.44	2026-09-01	78,382.17	14 bars	1,185.36	-9.39	-0.8%
2026-08-31	78,556.44	2026-08-31	78,798.58	70 bars	1,184.08	+1.28	+0.1%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2026-03-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	19850 bars × 61 start dates
Input hash	86ca0925a09ef478

1WETH/USDT · 456 bars · 2018-01-01 → 2026-09-21

Total return

412.1%

10,000 → 51,207

vs buy & hold

+149.5%

over the same period 262.6%

Max drawdown

75.8%

10,000 → 3,966

Longest underwater

133

133 days · 78% of the period

Settings that beat it

3 / 4

of 4 parameter settings tested

Win rate

40%

95% CI 12%–77% · n=5

The win rate on this page is not a readable number. With 5 closed trades the 95% confidence interval runs 12%–77% — it spans a coin flip, so the headline 40% cannot be distinguished from chance at this sample size. It is shown because leaving it out would be worse, not because it supports a conclusion.

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (12×) and max drawdown (75.8%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

10 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 68 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-54.7%	-38.0%	-7.0%	0.0%	33.5%	89.6%	362.8%	32%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 412.1%, best 691.7%, worst 39.9%. 3 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	692%	412%	40%	614%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 5 closed trades — showing the last 5

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2025-07-14	2,973.52	2026-02-02	2,269.02	29 bars	67,240.05	-16,033.16	-23.8%
2024-12-02	3,709.46	2025-03-10	2,019.42	14 bars	123,760.24	-56,520.19	-45.7%
2023-03-20	1,781.56	2024-08-05	2,687.57	72 bars	82,203.67	+41,556.57	+50.5%
2020-02-10	228.64	2022-01-24	2,537.73	102 bars	7,421.21	+74,782.46	+1007.7%
2019-05-13	188.16	2019-11-25	139.92	28 bars	10,000	-2,578.79	-25.8%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2018-01-01 → 2026-09-21
Parameters	{"length":20}
Rolling test	52 bars × 68 start dates
Input hash	3fcb99746b163365

1DETH/USDT · 3,188 bars · 2018-01-01 → 2026-09-23

Total return

1485.8%

10,000 → 158,580

vs buy & hold

+1223.2%

over the same period 262.6%

Max drawdown

64.8%

10,000 → 5,402

Longest underwater

1550

1550 days · 94% of the period

Settings that beat it

4 / 4

of 4 parameter settings tested

Win rate

50%

95% CI 33%–67% · n=30

The win rate on this page is not a readable number. With 30 closed trades the 95% confidence interval runs 33%–67% — it spans a coin flip, so the headline 50% cannot be distinguished from chance at this sample size. It is shown because leaving it out would be worse, not because it supports a conclusion.

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (18×) and max drawdown (64.8%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

61 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-51.6%	-38.2%	-9.1%	13.8%	48.9%	318.7%	842.2%	34%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 424.7%, best 1485.8%, worst 401.3%. 4 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	425%	1486%	522%	401%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Year by year

Year	2018	2019	2020	2021	2022	2023	2024	2025	2026
Return	-30%	12%	299%	104%	-50%	-2%	19%	8%	30%
Max DD	60%	36%	38%	42%	62%	39%	46%	43%	16%
Trades	3	4	2	3	4	3	4	3	1

Recent closed trades 30 closed trades — showing the last 30

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-03-17	2,354.15	2026-05-17	2,179.68	61 bars	122,149.88	-9,278.55	-7.6%
2025-12-10	3,319.7	2026-01-21	2,938.41	42 bars	138,276.36	-16,126.48	-11.7%
2025-10-07	4,686.36	2025-11-04	3,602.04	28 bars	180,261.95	-41,985.59	-23.3%
2025-07-10	2,770.12	2025-09-23	4,196.99	75 bars	119,215.84	+61,046.12	+51.2%
2025-05-09	2,208.49	2025-06-22	2,294.57	44 bars	114,973.3	+4,242.54	+3.7%
2024-09-22	2,613.71	2024-12-20	3,415.3	89 bars	88,164.41	+26,808.89	+30.4%
2024-05-21	3,663.62	2024-06-12	3,495.58	22 bars	92,587.64	-4,423.23	-4.8%
2024-04-09	3,696.46	2024-04-14	3,005.51	5 bars	114,101.04	-21,513.41	-18.9%
2023-10-24	1,766.35	2024-03-20	3,157.07	148 bars	63,966.32	+50,134.73	+78.4%
2023-10-02	1,734.67	2023-10-13	1,538.84	11 bars	72,250.77	-8,284.46	-11.5%
2023-07-14	2,005.49	2023-08-18	1,680.65	35 bars	86,388.31	-14,137.54	-16.4%
2023-03-15	1,700.26	2023-06-11	1,750.64	88 bars	84,069.98	+2,318.33	+2.8%
2022-12-14	1,321.35	2023-02-11	1,512.29	59 bars	73,602.31	+10,467.67	+14.2%
2022-10-26	1,460.47	2022-11-10	1,102.18	15 bars	97,723.86	-24,121.56	-24.7%
2022-09-11	1,775.01	2022-09-19	1,333.84	8 bars	130,306.08	-32,582.21	-25.0%
2022-07-17	1,356.52	2022-08-27	1,507.43	41 bars	117,495.93	+12,810.15	+10.9%
2022-03-25	3,112.31	2022-05-01	2,725.31	37 bars	134,449.2	-16,953.27	-12.6%
2021-10-15	3,792.72	2021-11-19	3,994.9	35 bars	127,900.13	+6,549.07	+5.1%
2021-07-31	2,463	2021-09-21	2,975.83	52 bars	106,070.8	+21,829.33	+20.6%
2020-10-13	386.7	2021-05-20	2,437.7	219 bars	16,860.17	+89,210.63	+529.1%
2020-04-07	171.41	2020-09-06	334.87	152 bars	8,647.21	+8,212.95	+95.0%
2020-01-07	144.21	2020-03-09	199.33	62 bars	6,268.64	+2,378.58	+37.9%
2019-09-17	197.33	2019-10-24	162.27	37 bars	7,638.3	-1,369.66	-17.9%
2019-06-22	294.4	2019-07-12	268.54	20 bars	8,390.67	-752.37	-9.0%
2019-05-12	190.3	2019-06-10	230.9	29 bars	6,928.84	+1,461.83	+21.1%
2019-02-11	125.18	2019-04-26	154.62	74 bars	5,620.82	+1,308.02	+23.3%
2018-12-24	129.09	2019-01-29	105.44	36 bars	6,895.76	-1,274.94	-18.5%
2018-11-07	220.88	2018-11-15	187.34	8 bars	8,146.78	-1,251.02	-15.4%
2018-07-18	499.14	2018-08-08	378.01	21 bars	10,778.85	-2,632.06	-24.4%
2018-04-16	534.15	2018-05-24	576.9	38 bars	10,000	+778.85	+7.8%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2018-01-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	365 bars × 61 start dates
Input hash	6f3408b72bf58ab5

4HETH/USDT · 19,111 bars · 2018-01-01 → 2026-09-23

Total return

221.5%

10,000 → 32,146

vs buy & hold

-41.2%

over the same period 262.6%

Max drawdown

72.8%

10,000 → 6,733

Longest underwater

11764

11764 days · 99% of the period

Settings that beat it

3 / 4

of 4 parameter settings tested

Win rate

33%

95% CI 27%–40% · n=206

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (8×) and max drawdown (72.8%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 207 of 413 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-54.5%	-39.1%	-19.5%	14.3%	62.7%	174.8%	243.2%	44%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 749.9%, best 1909.4%, worst 221.5%. 3 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	750%	221%	1909%	1871%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 206 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-11	2,560.71	2026-09-15	2,423.26	24 bars	33,087.54	-1,838.61	-5.6%
2026-09-03	2,517.84	2026-09-10	2,440.32	42 bars	34,206.95	-1,119.4	-3.3%
2026-08-17	1,901.88	2026-09-02	2,380.68	98 bars	27,382.01	+6,824.94	+24.9%
2026-08-05	1,917.98	2026-08-10	1,876.05	29 bars	28,050	-667.99	-2.4%
2026-07-11	1,815.73	2026-08-01	1,836.37	127 bars	27,790.19	+259.8	+0.9%
2026-06-29	1,626.41	2026-07-08	1,722.1	53 bars	26,298.62	+1,491.57	+5.7%
2026-06-22	1,768.56	2026-06-23	1,682.18	5 bars	27,704.49	-1,405.87	-5.1%
2026-06-15	1,726.49	2026-06-18	1,681.39	22 bars	28,504.63	-800.14	-2.8%
2026-05-10	2,348.73	2026-05-12	2,285.88	11 bars	29,347.09	-842.46	-2.9%
2026-05-04	2,386.3	2026-05-07	2,293.67	21 bars	30,593.39	-1,246.31	-4.1%
2026-04-22	2,391.17	2026-04-27	2,273.93	32 bars	32,235.18	-1,641.78	-5.1%
2026-03-31	2,097.59	2026-04-20	2,262.15	115 bars	29,950.07	+2,285.11	+7.6%
2026-03-10	2,062.73	2026-03-19	2,117.75	55 bars	29,230.36	+719.71	+2.5%
2026-02-25	2,014.7	2026-03-07	1,954.22	61 bars	30,195.24	-964.88	-3.2%
2026-02-13	2,058.77	2026-02-23	1,861.95	56 bars	33,453.92	-3,258.68	-9.7%
2026-01-27	2,981.97	2026-01-29	2,822.9	11 bars	35,409.82	-1,955.9	-5.5%
2025-12-29	3,045.27	2026-01-19	3,210.67	126 bars	33,652.87	+1,756.94	+5.2%
2025-12-22	3,023.04	2025-12-23	2,927.13	9 bars	34,825.18	-1,172.31	-3.4%
2025-12-03	3,058.97	2025-12-12	3,069.86	56 bars	34,771.05	+54.13	+0.2%
2025-11-24	2,960.48	2025-12-01	2,824.36	38 bars	36,519.84	-1,748.79	-4.8%
2025-11-09	3,517.28	2025-11-13	3,196.09	25 bars	40,270.31	-3,750.47	-9.3%
2025-10-20	4,057.06	2025-10-29	3,903.75	57 bars	41,935.62	-1,665.31	-4.0%
2025-09-29	4,144.23	2025-10-09	4,370.87	63 bars	39,840.74	+2,094.88	+5.3%
2025-09-10	4,407.1	2025-09-22	4,303.72	69 bars	40,879.48	-1,038.75	-2.5%
2025-08-22	4,618.4	2025-08-29	4,313.94	42 bars	43,852.16	-2,972.68	-6.8%
2025-08-05	3,722.85	2025-08-18	4,318.06	79 bars	37,883.19	+5,968.97	+15.8%
2025-07-02	2,606.03	2025-08-01	3,516.66	180 bars	28,129.66	+9,753.53	+34.7%
2025-06-26	2,490.03	2025-07-01	2,401.67	34 bars	29,223.04	-1,093.38	-3.7%
2025-06-16	2,661.87	2025-06-20	2,413.63	24 bars	32,293.09	-3,070.06	-9.5%
2025-06-09	2,581.87	2025-06-13	2,513.06	20 bars	33,243.7	-950.6	-2.9%
2025-06-04	2,669.25	2025-06-06	2,412.81	8 bars	36,850.56	-3,606.87	-9.8%
2025-05-22	2,630.55	2025-05-31	2,530.08	53 bars	38,390.61	-1,540.05	-4.0%
2025-05-08	1,902.04	2025-05-18	2,407	64 bars	30,397.51	+7,993.1	+26.3%
2025-04-14	1,676.16	2025-05-05	1,807.96	123 bars	28,237.99	+2,159.52	+7.6%
2025-04-01	1,919.55	2025-04-06	1,625.43	31 bars	33,414.44	-5,176.45	-15.5%
2025-03-19	2,029.01	2025-03-28	1,909.25	53 bars	35,581.47	-2,167.03	-6.1%
2025-03-02	2,487.66	2025-03-04	2,073.85	8 bars	42,766.75	-7,185.27	-16.8%
2025-02-21	2,790.12	2025-02-25	2,512.26	21 bars	47,591.92	-4,825.17	-10.1%
2025-02-13	2,739.64	2025-02-18	2,629.06	35 bars	49,692.85	-2,100.93	-4.2%
2025-01-30	3,256.93	2025-02-02	3,063.34	17 bars	52,939	-3,246.15	-6.1%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2018-01-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	2190 bars × 61 start dates
Input hash	474a18d4b890014c

1HETH/USDT · 41,442 bars · 2022-01-01 → 2026-09-23

Total return

-90.0%

10,000 → 997

vs buy & hold

-62.3%

over the same period -27.7%

Max drawdown

90.2%

10,000 → 997

Longest underwater

41401

41401 days · 100% of the period

Settings that beat it

1 / 4

of 4 parameter settings tested

Win rate

31%

95% CI 26%–36% · n=330

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (90.2%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 331 of 661 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-68.1%	-58.3%	-44.1%	-29.1%	-18.6%	0.8%	40.0%	87%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -82.7%, best -9.2%, worst -90.0%. 1 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	-83%	-90%	-9%	-53%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 330 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2025-04-18	1,600.55	2025-04-20	1,573.74	37 bars	1,028.07	-19.24	-1.9%
2025-04-14	1,679.68	2025-04-15	1,594.14	34 bars	1,085.4	-57.33	-5.3%
2025-04-12	1,592.56	2025-04-13	1,573.48	29 bars	1,100.75	-15.36	-1.4%
2025-04-09	1,503.38	2025-04-10	1,495.22	23 bars	1,108.98	-8.22	-0.7%
2025-04-04	1,829.21	2025-04-05	1,786.14	29 bars	1,138	-29.02	-2.5%
2025-04-01	1,858.6	2025-04-02	1,797.15	40 bars	1,179.26	-41.27	-3.5%
2025-03-24	2,041.3	2025-03-25	2,042.23	23 bars	1,181.09	-1.82	-0.1%
2025-03-22	1,990.01	2025-03-24	1,979.72	45 bars	1,189.6	-8.52	-0.7%
2025-03-18	1,918.88	2025-03-20	1,981.55	36 bars	1,154.29	+35.32	+3.1%
2025-03-17	1,949.53	2025-03-18	1,878.88	19 bars	1,200.09	-45.8	-3.8%
2025-03-14	1,920.46	2025-03-16	1,906.8	43 bars	1,211.11	-11.02	-0.9%
2025-03-08	2,200.02	2025-03-09	2,133.03	17 bars	1,251.65	-40.53	-3.2%
2025-03-04	2,173.72	2025-03-06	2,190.09	46 bars	1,244.77	+6.87	+0.5%
2025-03-02	2,243.33	2025-03-03	2,273.68	29 bars	1,230.61	+14.16	+1.1%
2025-02-22	2,777.06	2025-02-24	2,716.72	36 bars	1,260.46	-29.85	-2.4%
2025-02-20	2,743.11	2025-02-21	2,671.31	39 bars	1,296.93	-36.47	-2.8%
2025-02-17	2,715.95	2025-02-18	2,676.28	21 bars	1,318.79	-21.86	-1.7%
2025-02-14	2,716.75	2025-02-15	2,687.35	35 bars	1,335.89	-17.1	-1.3%
2025-02-12	2,674.34	2025-02-13	2,635.21	21 bars	1,358.44	-22.55	-1.7%
2025-02-10	2,679.11	2025-02-11	2,633.09	24 bars	1,384.94	-26.51	-1.9%
2025-02-09	2,679.87	2025-02-09	2,551.1	18 bars	1,457.76	-72.82	-5.0%
2025-02-07	2,764.07	2025-02-07	2,657.97	8 bars	1,518.99	-61.23	-4.0%
2025-02-06	2,833.58	2025-02-06	2,704.22	10 bars	1,594.84	-75.85	-4.8%
2025-02-03	2,871.43	2025-02-04	2,638.26	23 bars	1,739.27	-144.43	-8.3%
2025-01-30	3,203.1	2025-02-01	3,266.85	53 bars	1,708.74	+30.52	+1.8%
2025-01-26	3,353.95	2025-01-26	3,286.52	18 bars	1,747.29	-38.55	-2.2%
2025-01-23	3,324.02	2025-01-25	3,272.33	26 bars	1,778.44	-31.15	-1.8%
2025-01-19	3,382.84	2025-01-22	3,248.32	76 bars	1,855.8	-77.36	-4.2%
2025-01-17	3,409.03	2025-01-18	3,364.01	20 bars	1,884.41	-28.6	-1.5%
2025-01-14	3,185.5	2025-01-16	3,275.5	56 bars	1,836.3	+48.11	+2.6%
2025-01-13	3,310.2	2025-01-13	3,189.77	6 bars	1,909.45	-73.14	-3.8%
2025-01-11	3,301.19	2025-01-12	3,238.36	12 bars	1,950.39	-40.94	-2.1%
2024-12-31	3,430.08	2025-01-07	3,637.46	166 bars	1,842.88	+107.51	+5.8%
2024-12-30	3,422.72	2024-12-30	3,313.91	13 bars	1,907.2	-64.32	-3.4%
2024-12-27	3,399.69	2024-12-29	3,368.43	56 bars	1,928.75	-21.55	-1.1%
2024-12-23	3,376.36	2024-12-26	3,420.29	63 bars	1,907.78	+20.96	+1.1%
2024-12-20	3,481.1	2024-12-21	3,316.34	26 bars	2,006.57	-98.79	-4.9%
2024-12-15	3,913.78	2024-12-17	3,937.22	47 bars	1,998.62	+7.96	+0.4%
2024-12-11	3,718.7	2024-12-14	3,866.9	73 bars	1,925.87	+72.75	+3.8%
2024-12-08	4,012.35	2024-12-09	3,864.88	10 bars	2,003.36	-77.49	-3.9%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2022-01-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	8760 bars × 61 start dates
Input hash	b8086fe9139f49c2

15mETH/USDT · 37,226 bars · 2025-09-01 → 2026-09-23

Total return

-82.9%

10,000 → 1,709

vs buy & hold

-43.4%

over the same period -39.5%

Max drawdown

85.0%

10,000 → 1,538

Longest underwater

36058

36058 days · 100% of the period

Settings that beat it

1 / 4

of 4 parameter settings tested

Win rate

25%

95% CI 21%–29% · n=419

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (85.0%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 280 of 838 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-58.4%	-55.6%	-52.9%	-49.6%	-46.1%	-43.1%	-39.9%	100%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -82.9%, best -29.5%, worst -90.0%. 1 of them beat buy & hold.

Parameter grid

	length 10	length 20	length 55	length 100
	-90%	-83%	-41%	-30%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 419 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-22	2,767.87	2026-09-23	2,738.22	34 bars	1,730.97	-21.97	-1.3%
2026-09-22	2,765.23	2026-09-22	2,737.63	11 bars	1,751.92	-20.95	-1.2%
2026-09-22	2,747.92	2026-09-22	2,726.42	24 bars	1,769.28	-17.35	-1.0%
2026-09-21	2,682.52	2026-09-22	2,753.11	66 bars	1,727.36	+41.91	+2.4%
2026-09-20	2,587.39	2026-09-21	2,647.64	88 bars	1,691.44	+35.92	+2.1%
2026-09-18	2,463.6	2026-09-19	2,632.99	162 bars	1,585.79	+105.65	+6.7%
2026-09-17	2,456.67	2026-09-17	2,442.54	40 bars	1,598.16	-12.37	-0.8%
2026-09-17	2,440	2026-09-17	2,434.4	35 bars	1,605.04	-6.88	-0.4%
2026-09-16	2,427.25	2026-09-16	2,375.13	24 bars	1,643.54	-38.51	-2.3%
2026-09-14	2,522.67	2026-09-14	2,523.56	27 bars	1,646.26	-2.71	-0.2%
2026-09-14	2,519.72	2026-09-14	2,504.43	39 bars	1,659.62	-13.37	-0.8%
2026-09-13	2,494.03	2026-09-13	2,486.95	30 bars	1,667.68	-8.06	-0.5%
2026-09-12	2,519.97	2026-09-12	2,529.23	40 bars	1,664.9	+2.78	+0.2%
2026-09-11	2,495.22	2026-09-11	2,515.42	37 bars	1,654.83	+10.07	+0.6%
2026-09-11	2,463.23	2026-09-11	2,452.7	27 bars	1,665.26	-10.43	-0.6%
2026-09-10	2,482.96	2026-09-10	2,460.84	24 bars	1,683.6	-18.33	-1.1%
2026-09-08	2,497.25	2026-09-09	2,489.36	73 bars	1,692.31	-8.71	-0.5%
2026-09-08	2,494.91	2026-09-08	2,448.51	16 bars	1,727.83	-35.52	-2.1%
2026-09-08	2,503.94	2026-09-08	2,476.75	15 bars	1,750.3	-22.47	-1.3%
2026-09-07	2,506.73	2026-09-07	2,481.8	6 bars	1,771.42	-21.12	-1.2%
2026-09-06	2,498.92	2026-09-07	2,496.52	36 bars	1,776.67	-5.25	-0.3%
2026-09-05	2,458.1	2026-09-06	2,488.43	95 bars	1,758.53	+18.14	+1.0%
2026-09-04	2,524.84	2026-09-04	2,450.02	33 bars	1,815.86	-57.33	-3.2%
2026-09-02	2,418.38	2026-09-03	2,493.43	131 bars	1,764.73	+51.13	+2.9%
2026-09-02	2,427.9	2026-09-02	2,395.03	6 bars	1,792.53	-27.8	-1.6%
2026-09-01	2,485.78	2026-09-01	2,446.88	10 bars	1,824.68	-32.15	-1.8%
2026-08-31	2,466.55	2026-08-31	2,463.18	34 bars	1,830.84	-6.16	-0.3%
2026-08-29	2,445.92	2026-08-30	2,473	122 bars	1,814.41	+16.42	+0.9%
2026-08-29	2,446.87	2026-08-29	2,434.02	14 bars	1,827.65	-13.23	-0.7%
2026-08-28	2,507.82	2026-08-28	2,476.67	13 bars	1,854.34	-26.69	-1.4%
2026-08-26	2,468.45	2026-08-28	2,493.47	129 bars	1,839.41	+14.93	+0.8%
2026-08-26	2,469.31	2026-08-26	2,449.38	28 bars	1,858.09	-18.68	-1.0%
2026-08-25	2,493.93	2026-08-25	2,477.7	29 bars	1,874	-15.91	-0.9%
2026-08-24	2,471.54	2026-08-24	2,457.09	41 bars	1,888.79	-14.79	-0.8%
2026-08-23	2,420.91	2026-08-24	2,438.09	68 bars	1,879.23	+9.56	+0.5%
2026-08-22	2,436.22	2026-08-22	2,406.34	9 bars	1,906.38	-27.14	-1.4%
2026-08-20	2,285.16	2026-08-22	2,443.97	180 bars	1,786.07	+120.31	+6.7%
2026-08-19	1,918.6	2026-08-20	2,227.52	81 bars	1,541.46	+244.62	+15.9%
2026-08-18	1,919.19	2026-08-19	1,909.42	48 bars	1,552.44	-10.98	-0.7%
2026-08-17	1,916.29	2026-08-18	1,900.58	10 bars	1,568.41	-15.96	-1.0%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2025-09-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	12408 bars × 61 start dates
Input hash	ceef01030180b866

5mETH/USDT · 59,550 bars · 2026-03-01 → 2026-09-23

Total return

-88.5%

10,000 → 1,149

vs buy & hold

-123.9%

over the same period 35.3%

Max drawdown

89.4%

10,000 → 1,105

Longest underwater

58454

58454 days · 100% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

21%

95% CI 19%–25% · n=704

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (89.4%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 353 of 1408 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-59.9%	-58.3%	-56.9%	-55.0%	-51.8%	-48.0%	-44.2%	100%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -88.5%, best -37.1%, worst -90.0%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	-90%	-89%	-64%	-37%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 704 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-23	2,767.69	2026-09-23	2,764.12	25 bars	1,152.64	-3.79	-0.3%
2026-09-22	2,758.84	2026-09-23	2,748.1	37 bars	1,159.47	-6.82	-0.6%
2026-09-22	2,758.18	2026-09-22	2,741.62	54 bars	1,168.8	-9.34	-0.8%
2026-09-22	2,740.3	2026-09-22	2,728.33	71 bars	1,176.28	-7.48	-0.6%
2026-09-21	2,759.59	2026-09-22	2,753.11	72 bars	1,181.41	-5.13	-0.4%
2026-09-21	2,677.64	2026-09-21	2,738.04	113 bars	1,157.66	+23.75	+2.1%
2026-09-21	2,672.21	2026-09-21	2,653.07	16 bars	1,168.35	-10.68	-0.9%
2026-09-20	2,647.46	2026-09-21	2,648.14	45 bars	1,170.39	-2.04	-0.2%
2026-09-20	2,581.9	2026-09-20	2,619.76	110 bars	1,155.78	+14.6	+1.3%
2026-09-20	2,586.05	2026-09-20	2,569.92	16 bars	1,165.36	-9.58	-0.8%
2026-09-19	2,637.68	2026-09-20	2,623.23	22 bars	1,174.13	-8.77	-0.8%
2026-09-19	2,629.76	2026-09-19	2,636.46	157 bars	1,173.49	+0.64	+0.1%
2026-09-19	2,623.91	2026-09-19	2,615.59	44 bars	1,179.58	-6.09	-0.5%
2026-09-18	2,531.43	2026-09-18	2,623.47	107 bars	1,140.48	+39.11	+3.4%
2026-09-18	2,455.82	2026-09-18	2,497.35	137 bars	1,123.75	+16.72	+1.5%
2026-09-17	2,443.82	2026-09-17	2,455.11	79 bars	1,120.83	+2.93	+0.3%
2026-09-16	2,409.79	2026-09-17	2,437.86	107 bars	1,110.14	+10.69	+1.0%
2026-09-16	2,417.7	2026-09-16	2,401.04	42 bars	1,120.08	-9.94	-0.9%
2026-09-16	2,407.3	2026-09-16	2,399.1	48 bars	1,126.16	-6.08	-0.5%
2026-09-16	2,410.55	2026-09-16	2,389.8	12 bars	1,138.21	-12.05	-1.1%
2026-09-16	2,411.14	2026-09-16	2,397.08	29 bars	1,147.18	-8.97	-0.8%
2026-09-16	2,408.2	2026-09-16	2,392.54	3 bars	1,157	-9.82	-0.9%
2026-09-15	2,406.71	2026-09-16	2,395.69	23 bars	1,164.65	-7.65	-0.7%
2026-09-15	2,439.06	2026-09-15	2,407.71	13 bars	1,182.18	-17.53	-1.5%
2026-09-15	2,480.4	2026-09-15	2,471.77	24 bars	1,188.68	-6.5	-0.5%
2026-09-15	2,520.43	2026-09-15	2,504.03	15 bars	1,198.86	-10.18	-0.9%
2026-09-14	2,524.95	2026-09-14	2,527.13	81 bars	1,200.23	-1.37	-0.1%
2026-09-14	2,489.82	2026-09-14	2,514.9	84 bars	1,190.64	+9.59	+0.8%
2026-09-14	2,487.11	2026-09-14	2,468.25	4 bars	1,202.14	-11.5	-1.0%
2026-09-13	2,485.5	2026-09-13	2,502.7	65 bars	1,196.27	+5.87	+0.5%
2026-09-13	2,524.81	2026-09-13	2,518.57	14 bars	1,201.64	-5.37	-0.4%
2026-09-12	2,528.37	2026-09-13	2,521.7	53 bars	1,207.23	-5.59	-0.5%
2026-09-12	2,515.09	2026-09-12	2,534.46	109 bars	1,200.4	+6.83	+0.6%
2026-09-11	2,466.75	2026-09-11	2,558.92	41 bars	1,159.48	+40.92	+3.5%
2026-09-11	2,452.66	2026-09-11	2,455.29	81 bars	1,160.56	-1.07	-0.1%
2026-09-11	2,458.63	2026-09-11	2,440.78	27 bars	1,171.38	-10.83	-0.9%
2026-09-10	2,442.49	2026-09-10	2,458.9	82 bars	1,165.9	+5.49	+0.5%
2026-09-10	2,477.58	2026-09-10	2,466.14	4 bars	1,173.65	-7.75	-0.7%
2026-09-10	2,476.46	2026-09-10	2,472.67	41 bars	1,177.8	-4.15	-0.4%
2026-09-09	2,468.03	2026-09-10	2,457.76	24 bars	1,185.09	-7.29	-0.6%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2026-03-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	19850 bars × 61 start dates
Input hash	9b0e4034368fc4bb

1WGold (PAXG) · 318 bars · 2020-08-24 → 2026-09-21

Total return

101.5%

10,000 → 20,149

vs buy & hold

-18.4%

over the same period 119.8%

Max drawdown

26.6%

10,000 → 8,955

Longest underwater

108

108 days · 67% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

50%

95% CI 9%–91% · n=2

The win rate on this page is not a readable number. With 2 closed trades the 95% confidence interval runs 9%–91% — it spans a coin flip, so the headline 50% cannot be distinguished from chance at this sample size. It is shown because leaving it out would be worse, not because it supports a conclusion.

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (26.6%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

5 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 67 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-21.4%	-5.2%	-0.2%	2.4%	17.9%	23.1%	50.7%	25%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 101.5%, best 104.7%, worst 94.9%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	95%	101%	105%	105%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 2 closed trades — showing the last 2

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2023-01-09	1,858.93	2023-08-21	1,874.06	32 bars	9,278.05	+56.84	+0.6%
2021-11-15	1,873.94	2022-07-11	1,742.13	34 bars	10,000	-721.95	-7.2%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2020-08-24 → 2026-09-21
Parameters	{"length":20}
Rolling test	52 bars × 67 start dates
Input hash	1afa203f7b3ee250

1DGold (PAXG) · 2,218 bars · 2020-08-28 → 2026-09-23

Total return

63.5%

10,000 → 16,347

vs buy & hold

-56.4%

over the same period 119.8%

Max drawdown

26.8%

10,000 → 7,366

Longest underwater

1415

1415 days · 94% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

32%

95% CI 16%–53% · n=22

The win rate on this page is not a readable number. With 22 closed trades the 95% confidence interval runs 16%–53% — it spans a coin flip, so the headline 32% cannot be distinguished from chance at this sample size. It is shown because leaving it out would be worse, not because it supports a conclusion.

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (2×) and max drawdown (26.8%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

45 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 62 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-18.4%	-9.1%	-3.3%	7.0%	23.5%	36.6%	45.6%	34%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 46.3%, best 114.1%, worst 46.3%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	46%	63%	114%	46%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Year by year

Year	2021	2022	2023	2024	2025	2026
Return	-9%	-2%	1%	23%	38%	0%
Max DD	14%	18%	9%	7%	14%	15%
Trades	4	4	4	2	3	1

Recent closed trades 22 closed trades — showing the last 22

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2025-08-29	3,417.52	2026-03-16	4,987.1	199 bars	11,209.04	+5,115.34	+45.6%
2025-07-22	3,397.1	2025-07-31	3,297.36	9 bars	11,571.2	-362.17	-3.1%
2025-06-03	3,398.69	2025-06-28	3,294.55	25 bars	11,960.85	-389.65	-3.3%
2025-01-11	2,689.34	2025-05-15	3,195.4	124 bars	10,086.76	+1,874.09	+18.6%
2024-07-12	2,393.2	2024-11-07	2,653.67	118 bars	9,114.88	+971.87	+10.7%
2024-03-05	2,066.03	2024-06-08	2,309.84	95 bars	8,169.1	+945.79	+11.6%
2023-12-28	2,053.03	2024-01-11	1,998	14 bars	8,410.88	-241.78	-2.9%
2023-11-28	1,998	2023-12-13	1,963.02	15 bars	8,577.9	-167.02	-1.9%
2023-10-19	1,941.97	2023-11-09	1,929.04	21 bars	8,652.71	-74.81	-0.9%
2023-07-13	1,945.97	2023-08-10	1,919.04	28 bars	8,791.71	-139	-1.6%
2023-03-05	1,850.92	2023-05-19	1,977.01	75 bars	8,247.49	+544.22	+6.6%
2022-11-05	1,672.84	2023-02-04	1,866.07	91 bars	7,408.27	+839.22	+11.3%
2022-10-05	1,721.86	2022-10-20	1,620.19	15 bars	7,888.92	-480.65	-6.1%
2022-07-30	1,764.88	2022-08-20	1,738.13	21 bars	8,026.37	-137.45	-1.7%
2022-06-12	1,881.94	2022-06-15	1,815.09	3 bars	8,338.64	-312.27	-3.7%
2022-01-01	1,835.92	2022-04-26	1,907.05	115 bars	8,043.7	+294.94	+3.7%
2021-10-14	1,796.9	2021-12-01	1,775.11	48 bars	8,158.72	-115.02	-1.4%
2021-08-28	1,822.91	2021-09-17	1,763.12	20 bars	8,452.29	-293.58	-3.5%
2021-07-15	1,833.4	2021-08-07	1,770.67	23 bars	8,769.22	-316.92	-3.6%
2021-05-07	1,837.01	2021-06-17	1,823.63	41 bars	8,851.24	-82.03	-0.9%
2020-12-18	1,905.15	2021-02-05	1,808.68	49 bars	9,342.04	-490.8	-5.3%
2020-11-06	1,954.82	2020-11-25	1,829.85	19 bars	10,000	-657.96	-6.6%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2020-08-28 → 2026-09-23
Parameters	{"length":20}
Rolling test	365 bars × 62 start dates
Input hash	8c2a1917582f04d2

4HGold (PAXG) · 13,304 bars · 2020-08-28 → 2026-09-23

Total return

-0.9%

10,000 → 9,908

vs buy & hold

-120.8%

over the same period 119.8%

Max drawdown

30.2%

10,000 → 6,978

Longest underwater

11228

11228 days · 99% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

36%

95% CI 28%–44% · n=129

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (30.2%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

258 fills. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-18.9%	-12.9%	-7.2%	1.6%	9.2%	29.2%	42.7%	46%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -0.9%, best 77.4%, worst -19.0%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	-19%	-1%	58%	77%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 129 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-18	4,393.02	2026-09-22	4,301.67	24 bars	10,138.88	-230.66	-2.3%
2026-09-03	4,496.86	2026-09-08	4,359.5	31 bars	10,479.27	-340.39	-3.3%
2026-08-19	4,488.17	2026-08-28	4,516.79	54 bars	10,433.72	+45.55	+0.4%
2026-08-17	4,398.1	2026-08-18	4,345.3	10 bars	10,581.65	-147.93	-1.4%
2026-08-05	4,122.54	2026-08-14	4,327.33	54 bars	10,101.07	+480.58	+4.8%
2026-07-20	4,022.98	2026-07-28	4,042.01	48 bars	10,073.64	+27.42	+0.3%
2026-07-02	4,126.67	2026-07-07	4,107.76	31 bars	10,140.3	-66.65	-0.7%
2026-06-15	4,291.32	2026-06-18	4,211.03	23 bars	10,354.33	-214.03	-2.1%
2026-05-29	4,564.83	2026-06-01	4,472.47	18 bars	10,589.31	-234.98	-2.2%
2026-05-25	4,564.07	2026-05-27	4,477.56	14 bars	10,815.51	-226.21	-2.1%
2026-05-12	4,759.96	2026-05-15	4,610.32	19 bars	11,188.9	-373.39	-3.3%
2026-05-06	4,671.88	2026-05-11	4,671.64	29 bars	11,211.88	-22.98	-0.2%
2026-04-14	4,764.77	2026-04-20	4,737.62	34 bars	11,298.71	-86.83	-0.8%
2026-03-25	4,551.97	2026-04-12	4,688.9	112 bars	10,990.72	+308	+2.8%
2026-03-10	5,233.18	2026-03-13	5,035.69	18 bars	11,444.61	-453.89	-4.0%
2026-02-20	5,092.03	2026-03-03	5,164.57	64 bars	11,306.47	+138.14	+1.2%
2026-02-04	5,095.92	2026-02-12	4,952.81	52 bars	11,656.44	-349.97	-3.0%
2026-01-05	4,432.66	2026-01-30	4,963.9	153 bars	10,429.79	+1,226.65	+11.8%
2025-12-11	4,241.42	2025-12-29	4,489.54	110 bars	9,873.1	+556.7	+5.6%
2025-11-24	4,119.8	2025-12-02	4,205.36	46 bars	9,691.59	+181.5	+1.9%
2025-11-10	4,046.92	2025-11-14	4,078.16	27 bars	9,636.61	+54.98	+0.6%
2025-08-22	3,353.87	2025-10-21	4,137.33	360 bars	7,827.42	+1,809.19	+23.1%
2025-08-18	3,345.93	2025-08-19	3,317.67	8 bars	7,909.9	-82.48	-1.0%
2025-08-01	3,351.26	2025-08-11	3,372.69	57 bars	7,875.38	+34.52	+0.4%
2025-07-21	3,368.3	2025-07-25	3,349.57	25 bars	7,935.27	-59.89	-0.8%
2025-07-11	3,345.48	2025-07-15	3,336.34	25 bars	7,972.94	-37.67	-0.5%
2025-06-30	3,317.61	2025-07-07	3,309.75	39 bars	8,007.86	-34.92	-0.4%
2025-06-22	3,423.11	2025-06-24	3,348.45	13 bars	8,202.79	-194.93	-2.4%
2025-06-12	3,381.09	2025-06-16	3,424.72	28 bars	8,114.51	+88.28	+1.1%
2025-06-02	3,364.29	2025-06-06	3,332.91	27 bars	8,207.3	-92.79	-1.1%
2025-05-19	3,268.49	2025-05-27	3,312.04	47 bars	8,115.6	+91.7	+1.1%
2025-05-05	3,327.66	2025-05-12	3,231.38	41 bars	8,374.14	-258.54	-3.1%
2025-04-28	3,356.68	2025-05-01	3,246.38	14 bars	8,676	-301.86	-3.5%
2025-04-09	3,086.54	2025-04-23	3,299.35	85 bars	8,132.65	+543.35	+6.7%
2025-03-27	3,063.53	2025-04-03	3,104.45	42 bars	8,041.53	+91.12	+1.1%
2025-03-13	2,956.48	2025-03-24	3,024.49	69 bars	7,876.44	+165.09	+2.1%
2025-03-04	2,902.45	2025-03-10	2,890.55	39 bars	7,924.69	-48.25	-0.6%
2025-02-10	2,932.47	2025-02-27	2,898.55	102 bars	8,033.47	-108.78	-1.4%
2025-01-31	2,803.4	2025-02-03	2,778.61	18 bars	8,121.37	-87.9	-1.1%
2025-01-21	2,729.36	2025-01-27	2,732.63	36 bars	8,127.89	-6.52	-0.1%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2020-08-28 → 2026-09-23
Parameters	{"length":20}
Rolling test	2190 bars × 61 start dates
Input hash	8e5019bafa69e219

1HGold (PAXG) · 41,442 bars · 2022-01-01 → 2026-09-23

Total return

-58.5%

10,000 → 4,148

vs buy & hold

-191.6%

over the same period 133.1%

Max drawdown

60.9%

10,000 → 4,071

Longest underwater

39841

39841 days · 100% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

33%

95% CI 28%–37% · n=405

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (60.9%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 271 of 810 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-35.2%	-28.0%	-25.9%	-22.2%	-0.6%	2.8%	16.9%	79%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -58.5%, best 53.5%, worst -87.4%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	-87%	-59%	14%	54%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 405 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-18	4,393.77	2026-09-20	4,359.57	44 bars	4,189.03	-40.91	-1.0%
2026-09-16	4,328.91	2026-09-16	4,270.87	16 bars	4,254.46	-65.43	-1.5%
2026-09-11	4,394.35	2026-09-13	4,349.13	46 bars	4,307.29	-52.83	-1.2%
2026-09-08	4,426.66	2026-09-08	4,374.25	19 bars	4,367.63	-60.33	-1.4%
2026-09-02	4,395.18	2026-09-04	4,398.47	47 bars	4,373.09	-5.47	-0.1%
2026-08-30	4,469.82	2026-08-31	4,417.79	13 bars	4,433.46	-60.37	-1.4%
2026-08-21	4,531.72	2026-08-25	4,605.38	105 bars	4,371.29	+62.17	+1.4%
2026-08-19	4,431.98	2026-08-20	4,454.42	23 bars	4,357.98	+13.31	+0.3%
2026-08-17	4,400.12	2026-08-18	4,365.23	38 bars	4,401.61	-43.63	-1.0%
2026-08-16	4,385.13	2026-08-17	4,366.65	1 bars	4,429.09	-27.48	-0.6%
2026-08-16	4,383.88	2026-08-16	4,372.6	9 bars	4,449.41	-20.31	-0.5%
2026-08-10	4,375.5	2026-08-13	4,378.48	59 bars	4,455.28	-5.87	-0.1%
2026-08-04	4,073.21	2026-08-09	4,336.37	131 bars	4,193.27	+262	+6.3%
2026-08-02	4,055.34	2026-08-03	4,053.22	23 bars	4,203.86	-10.59	-0.3%
2026-07-29	4,103.29	2026-07-31	4,061.59	37 bars	4,255.53	-51.67	-1.2%
2026-07-24	4,065.12	2026-07-28	4,050.65	83 bars	4,279.28	-23.75	-0.5%
2026-07-20	4,021.04	2026-07-23	4,088.57	77 bars	4,217.02	+62.26	+1.5%
2026-07-17	4,015.7	2026-07-19	4,001.92	45 bars	4,240.01	-22.99	-0.5%
2026-07-14	4,073.63	2026-07-16	3,988.16	48 bars	4,339.53	-99.53	-2.3%
2026-07-09	4,104.71	2026-07-10	4,089.05	26 bars	4,364.87	-25.34	-0.6%
2026-06-30	4,038.39	2026-07-06	4,158.49	133 bars	4,247.3	+117.58	+2.8%
2026-06-25	4,041.96	2026-06-27	4,071.39	52 bars	4,225.03	+22.26	+0.5%
2026-06-22	4,199.7	2026-06-23	4,156.08	25 bars	4,277.92	-52.89	-1.2%
2026-06-21	4,164.69	2026-06-21	4,151.16	17 bars	4,300.45	-22.53	-0.5%
2026-06-11	4,151.82	2026-06-17	4,279.31	145 bars	4,180.69	+119.76	+2.9%
2026-06-07	4,314.99	2026-06-08	4,284.57	23 bars	4,218.8	-38.11	-0.9%
2026-06-04	4,472.49	2026-06-05	4,439.26	23 bars	4,258.89	-40.09	-0.9%
2026-06-02	4,514.1	2026-06-03	4,468.8	19 bars	4,310.67	-51.78	-1.2%
2026-05-31	4,537.13	2026-06-01	4,511.35	19 bars	4,343.97	-33.31	-0.8%
2026-05-28	4,479.02	2026-05-30	4,520.48	55 bars	4,312.75	+31.22	+0.7%
2026-05-23	4,517.87	2026-05-26	4,539.33	53 bars	4,300.95	+11.8	+0.3%
2026-05-20	4,531.65	2026-05-21	4,499.85	22 bars	4,340.02	-39.07	-0.9%
2026-05-18	4,572.69	2026-05-19	4,505.11	25 bars	4,413.94	-73.92	-1.7%
2026-05-17	4,542.97	2026-05-18	4,511.1	11 bars	4,454.02	-40.08	-0.9%
2026-05-11	4,731.5	2026-05-12	4,672.63	24 bars	4,519.17	-65.15	-1.4%
2026-05-05	4,573.26	2026-05-10	4,701.91	127 bars	4,404.32	+114.85	+2.6%
2026-05-03	4,607.49	2026-05-04	4,581.51	22 bars	4,438.17	-33.85	-0.8%
2026-04-30	4,584.2	2026-05-01	4,594.9	23 bars	4,436.7	+1.47	+0.0%
2026-04-27	4,715.36	2026-04-27	4,658.2	12 bars	4,500.13	-63.43	-1.4%
2026-04-26	4,700.22	2026-04-26	4,674.94	10 bars	4,533.52	-33.39	-0.7%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2022-01-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	8760 bars × 61 start dates
Input hash	4bf8bf240774f272

15mGold (PAXG) · 37,227 bars · 2025-09-01 → 2026-09-23

Total return

-67.4%

10,000 → 3,259

vs buy & hold

-91.0%

over the same period 23.6%

Max drawdown

68.0%

10,000 → 3,244

Longest underwater

36962

36962 days · 100% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

22%

95% CI 18%–26% · n=440

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (68.0%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 294 of 880 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-38.5%	-35.7%	-33.1%	-29.8%	-27.7%	-26.4%	-24.1%	100%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -67.4%, best -14.0%, worst -90.0%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	-90%	-67%	-19%	-14%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 440 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-09-22	4,340.82	2026-09-23	4,346.13	51 bars	3,261.87	-2.54	-0.1%
2026-09-21	4,360.11	2026-09-22	4,335.58	21 bars	3,286.89	-25.02	-0.8%
2026-09-21	4,367.07	2026-09-21	4,330.09	39 bars	3,321.6	-34.71	-1.0%
2026-09-20	4,374.08	2026-09-21	4,355.27	8 bars	3,342.62	-21.02	-0.6%
2026-09-20	4,368.35	2026-09-20	4,358.13	7 bars	3,357.17	-14.55	-0.4%
2026-09-20	4,366.54	2026-09-20	4,358.83	18 bars	3,369.84	-12.67	-0.4%
2026-09-19	4,369.63	2026-09-20	4,360.37	13 bars	3,383.76	-13.92	-0.4%
2026-09-19	4,369.41	2026-09-19	4,362.25	33 bars	3,396.1	-12.34	-0.4%
2026-09-18	4,383.09	2026-09-19	4,366.51	28 bars	3,415.83	-19.72	-0.6%
2026-09-18	4,369.9	2026-09-18	4,368.49	27 bars	3,423.77	-7.94	-0.2%
2026-09-18	4,360.31	2026-09-18	4,338.6	11 bars	3,447.79	-24.02	-0.7%
2026-09-17	4,295.1	2026-09-17	4,341.85	75 bars	3,417.49	+30.3	+0.9%
2026-09-16	4,305.32	2026-09-16	4,312.82	63 bars	3,418.38	-0.89	-0.0%
2026-09-15	4,296.55	2026-09-15	4,290.57	40 bars	3,429.99	-11.61	-0.3%
2026-09-14	4,311.01	2026-09-15	4,285.55	61 bars	3,457.28	-27.29	-0.8%
2026-09-14	4,360.22	2026-09-14	4,327.48	11 bars	3,490.42	-33.13	-0.9%
2026-09-13	4,357.17	2026-09-13	4,342.69	17 bars	3,509.07	-18.65	-0.5%
2026-09-13	4,361.86	2026-09-13	4,351.73	19 bars	3,524.28	-15.21	-0.4%
2026-09-13	4,359.19	2026-09-13	4,352.17	6 bars	3,537.02	-12.75	-0.4%
2026-09-12	4,359.22	2026-09-12	4,352.29	14 bars	3,549.74	-12.72	-0.4%
2026-09-12	4,358.64	2026-09-12	4,352.34	10 bars	3,562	-12.25	-0.3%
2026-09-11	4,394.35	2026-09-11	4,349.22	21 bars	3,606.16	-44.16	-1.2%
2026-09-11	4,351.49	2026-09-11	4,340.33	21 bars	3,622.67	-16.52	-0.5%
2026-09-11	4,336.89	2026-09-11	4,310.79	13 bars	3,651.9	-29.23	-0.8%
2026-09-09	4,373.17	2026-09-10	4,403.35	125 bars	3,634.13	+17.77	+0.5%
2026-09-08	4,414.51	2026-09-08	4,385.91	13 bars	3,665.15	-31.02	-0.9%
2026-09-07	4,414.51	2026-09-08	4,410.37	62 bars	3,675.92	-10.78	-0.3%
2026-09-07	4,418.13	2026-09-07	4,385.69	14 bars	3,710.53	-34.61	-0.9%
2026-09-05	4,436.92	2026-09-05	4,430.11	27 bars	3,723.67	-13.14	-0.4%
2026-09-04	4,487.28	2026-09-04	4,395.97	20 bars	3,808.62	-84.96	-2.2%
2026-09-04	4,488.77	2026-09-04	4,468.08	2 bars	3,833.92	-25.3	-0.7%
2026-09-02	4,351.7	2026-09-03	4,470.8	127 bars	3,739.26	+94.66	+2.5%
2026-08-31	4,444.37	2026-09-01	4,438.93	24 bars	3,751.34	-12.08	-0.3%
2026-08-31	4,448.26	2026-08-31	4,417.35	26 bars	3,785.15	-33.81	-0.9%
2026-08-30	4,468.64	2026-08-30	4,462.72	32 bars	3,797.77	-12.61	-0.3%
2026-08-30	4,466.75	2026-08-30	4,459.77	10 bars	3,811.33	-13.56	-0.4%
2026-08-29	4,461.79	2026-08-30	4,460.53	60 bars	3,820.04	-8.71	-0.2%
2026-08-28	4,606.3	2026-08-28	4,538.34	29 bars	3,885.01	-64.97	-1.7%
2026-08-27	4,605.29	2026-08-27	4,591.52	21 bars	3,904.46	-19.45	-0.5%
2026-08-26	4,608.53	2026-08-27	4,593.27	34 bars	3,925.27	-20.82	-0.5%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2025-09-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	12409 bars × 61 start dates
Input hash	01292b20024c4303

5mGold (PAXG) · 59,551 bars · 2026-03-01 → 2026-09-23

Total return

-90.0%

10,000 → 1,000

vs buy & hold

-69.7%

over the same period -20.3%

Max drawdown

90.1%

10,000 → 1,000

Longest underwater

59425

59425 days · 100% of the period

Settings that beat it

0 / 4

of 4 parameter settings tested

Win rate

13%

95% CI 10%–15% · n=714

A 0% risk of ruin here is a property of the test, not a safety rating. These runs are long-only spot with no borrowed money, so there is no margin call and nothing can force the position closed. The account cannot be wiped out — it gets stuck holding the asset instead. Capital deployed (1×) and max drawdown (90.1%) are the numbers that carry the risk on this page. The same rules run on margin would be a different measurement, and this figure would not stay at zero.

Daily candles

account equitybuy & holddashed = starting capital

Showing 358 of 1428 fills on the chart. Signals are taken on the close and filled at the next open.

Outcome distribution

A single return is one chosen start date. These are 61 runs of the same rules with the start shifted forward 30 days at a time.

Worst	p10	p25	Median	p75	p90	Best	Losing starts
-61.0%	-60.3%	-59.6%	-58.1%	-56.4%	-53.2%	-50.9%	100%

Does it survive its own parameters?

The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median -90.0%, best -41.1%, worst -90.0%. 0 of them beat buy & hold.

A strategy that only works at one setting did not work — it was fitted.

Parameter grid

	length 10	length 20	length 55	length 100
	-90%	-90%	-60%	-41%

Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).

Recent closed trades 714 closed trades — showing the last 40

Entered	Entry	Exited	Exit	Held	Size	P&L (USDT)	Return
2026-08-31	4,455.95	2026-08-31	4,443.02	9 bars	1,004.45	-4.92	-0.5%
2026-08-31	4,444.37	2026-08-31	4,445.34	27 bars	1,006.24	-1.79	-0.2%
2026-08-31	4,442.22	2026-08-31	4,426.93	25 bars	1,011.74	-5.5	-0.5%
2026-08-31	4,449.22	2026-08-31	4,445.18	29 bars	1,014.68	-2.95	-0.3%
2026-08-31	4,430.54	2026-08-31	4,432.6	43 bars	1,016.24	-1.56	-0.1%
2026-08-31	4,468.9	2026-08-31	4,422.94	17 bars	1,028.86	-12.62	-1.2%
2026-08-30	4,474.59	2026-08-30	4,469.09	22 bars	1,032.19	-3.33	-0.3%
2026-08-30	4,466.16	2026-08-30	4,463.26	37 bars	1,034.93	-2.74	-0.3%
2026-08-30	4,465.08	2026-08-30	4,460.38	39 bars	1,038.09	-3.17	-0.3%
2026-08-29	4,464.56	2026-08-30	4,461.77	39 bars	1,040.82	-2.73	-0.3%
2026-08-29	4,464.29	2026-08-29	4,459.69	52 bars	1,043.98	-3.16	-0.3%
2026-08-29	4,460.14	2026-08-29	4,454.16	18 bars	1,047.48	-3.49	-0.3%
2026-08-29	4,460.43	2026-08-29	4,455.5	18 bars	1,050.73	-3.26	-0.3%
2026-08-28	4,600.01	2026-08-28	4,570.18	5 bars	1,059.71	-8.97	-0.9%
2026-08-28	4,583.17	2026-08-28	4,591.51	49 bars	1,059.9	-0.19	-0.0%
2026-08-27	4,602.02	2026-08-27	4,586.62	17 bars	1,065.59	-5.69	-0.5%
2026-08-27	4,608.52	2026-08-27	4,593.71	17 bars	1,071.16	-5.58	-0.5%
2026-08-27	4,594.1	2026-08-27	4,592.66	33 bars	1,073.64	-2.48	-0.2%
2026-08-27	4,593.54	2026-08-27	4,576.72	17 bars	1,079.75	-6.1	-0.6%
2026-08-27	4,624.66	2026-08-27	4,615.69	33 bars	1,084.01	-4.26	-0.4%
2026-08-26	4,607.66	2026-08-27	4,598.67	29 bars	1,088.3	-4.29	-0.4%
2026-08-26	4,600.74	2026-08-26	4,585.56	12 bars	1,094.09	-5.79	-0.5%
2026-08-26	4,622.31	2026-08-26	4,601.87	14 bars	1,101.15	-7.06	-0.6%
2026-08-26	4,642.16	2026-08-26	4,630.2	2 bars	1,106.21	-5.05	-0.5%
2026-08-26	4,651.51	2026-08-26	4,636.23	21 bars	1,112.08	-5.87	-0.5%
2026-08-25	4,642.19	2026-08-25	4,649.95	68 bars	1,112.44	-0.37	-0.0%
2026-08-25	4,630.64	2026-08-25	4,625.36	28 bars	1,115.94	-3.5	-0.3%
2026-08-25	4,635.09	2026-08-25	4,623.17	18 bars	1,121.06	-5.12	-0.5%
2026-08-25	4,638.13	2026-08-25	4,625.32	26 bars	1,126.42	-5.36	-0.5%
2026-08-24	4,639.49	2026-08-25	4,657.37	72 bars	1,124.34	+2.08	+0.2%
2026-08-24	4,644.16	2026-08-24	4,640.44	69 bars	1,127.49	-3.15	-0.3%
2026-08-24	4,643.03	2026-08-24	4,627.06	19 bars	1,133.65	-6.16	-0.5%
2026-08-23	4,616.31	2026-08-24	4,623.13	68 bars	1,134.24	-0.59	-0.1%
2026-08-23	4,604.87	2026-08-23	4,602.02	40 bars	1,137.22	-2.98	-0.3%
2026-08-23	4,591.42	2026-08-23	4,600.01	87 bars	1,137.37	-0.15	-0.0%
2026-08-23	4,589.57	2026-08-23	4,585.03	28 bars	1,140.78	-3.41	-0.3%
2026-08-23	4,591.46	2026-08-23	4,584.67	21 bars	1,144.76	-3.98	-0.4%
2026-08-22	4,590.6	2026-08-22	4,583.68	13 bars	1,148.78	-4.03	-0.4%
2026-08-22	4,589.32	2026-08-22	4,583.45	51 bars	1,152.56	-3.78	-0.3%
2026-08-22	4,592.05	2026-08-22	4,581.8	46 bars	1,157.45	-4.89	-0.4%

Prices include slippage; size is what was actually committed to that trade including fees.

Assumptions

Period	2026-03-01 → 2026-09-23
Parameters	{"length":20}
Rolling test	19850 bars × 61 start dates
Input hash	6247bbd00e67bcc8

Other strategies

Buy & Hold Martingale Grid DCA MA Cross EMA Cross RSI Reversion MACD Cross Bollinger Reversion Supertrend Stochastic Cross Parabolic SAR