Around twenty candidate strategies measured against matched controls. One is still standing.
Grouped the way they are actually traded, not split into components. FTFC does not get its own row — nobody trades timeframe continuity alone, it is a filter layered onto a sweep or a combo. Measured on its own it is −0.034R at t = −11.52 across 150,000 observations, negative in both directions — so as a filter it can only subtract. Combined forms were covered separately: a from-scratch search over 276 rules had 78 clear family-wise correction and all 78 died out-of-sample.
Measured on 56 names back to 1962, entry at the next open, scored as excess over each symbol's own drift, every rule mirrored, family-wise corrected.
Every number below is research. The live system earns the claim — this page shows the work behind the rules.
A rule has to beat a random rule admitting the same number of trades, survive its own direction mirror, hold across eras, and clear costs. Most don't get past the first gate.
Each Strat Combo is tested independently. Blending them into one number hides where the edge actually lives.
| Setup | Signals | Win rate | Avg R | Strength |
|---|---|---|---|---|
MR Core — mean reversion SURVIVED Short-horizon oversold entry inside an uptrend; entry at the next open; strength-or-time exit; 8R catastrophe stop only |
61,432 | 67.5% | +0.091R | Beats a matched-random entry in the same names on the same rule (+0.055R signal-coupled, z = 17.9). Real throughout but roughly halved: +0.126R in 2010-15 → +0.063R in 2023-26, net of costs |
LSR — liquidity sweep sweep of the prior extreme, raw and with 25 / 35 / 50% retracement filters, plus the productised 25% entry |
370,000+ | — | −0.012 to −0.101R | fade ≡ continuation within 0.004R — no directional content. Deeper retracement is monotonically worse. The 25% entry loses to random timing at t = −6.55 |
Strat combos 2-1-2, 2-2 reversal, 3-1-2, 1-2-2, 3-2-2, 1-3 — both directions, intraday to weekly |
160,000+ | — | −0.028R to +0.003R | 0 of 72 cells cleared correction. 2-1-2 −0.028R (t = −3.31); 2-2 reversal +0.003R (t ≈ 1, noise). Up and down arms are near-identical |
ORB — opening range 15, 30 and 60-minute ranges, breakout entry, held to the close |
31,478 | — | worse than random | entering at a random time the same session beats the breakout at every range length. Negative after 2bps |
Backtest · 5,284 total signals · fills and market impact not modeled · not a verified performance claim.
Every signal receives a composite score based on structure, momentum, and volatility conditions. The system preferentially surfaces the high-confidence end of the distribution.
Every signal in this research passed the same filters the live system uses — same quality gates, same exclusions. That's a cleaner-than-typical backtest. It's still research.
RVOL, FTFC, compression, spread, and structural quality gates — identical to the live system.
Known data errors excluded. No result counted until fills, closes, and duplicates are clean.
No result gets promoted to a live claim until forward testing proves the setup survives real-market friction.
The Algomist surfaces and tracks confirmed setups — it never touches your brokerage. You decide what to take. The Mobile Trade Companion lets you follow any signal and watch the live R in real time.
Everything above is in-sample — measured carefully, with matched controls and era splits, but still measured on data that already existed. This program has watched a strategy backtest well and then lose money forward: a trend sleeve tested clean and came back −0.598R over 20 live trades (t = −3.36). That is why the backtest is not the claim.
Signals are written to a public ledger at the close that produces them, before the outcome exists. Results are computed mechanically afterwards and never revised. Every recorded signal is filled — losers included — because choosing which ones count is exactly how forward tests get flattered. The +0.091R above is a full-history average net of costs; the edge is smaller lately — +0.126R across 2010-15 against +0.063R across 2023-26. The recent-era figure is the honest expectation, so plan on roughly +0.06R per trade rather than +0.09R. Anything much larger early on is luck, not vindication.
R is not a floor. From 30 Jul 2026 the rule carries a catastrophe stop 8R below entry — far enough out that it binds on ~0.03% of trades. Across 74,689 backtested trades it cuts the worst trade from −18.2R to −8.0R, costs ~1.2% of expectancy, and leaves maximum drawdown unchanged. A stop is a cap with slippage, not a floor: a gap can fill through it, and a loss can still exceed 1R by a wide margin. Signals recorded before that date were logged without a stop and are filled without one — they are not rewritten.
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