Trading-strategy family
TSMOM_D_V1Daily BTC time-series momentumFAIL
tested Oct 24, 2026 3 variants tried
What was tested
At each daily close, go long BTC if it is higher than L days ago, short if lower. Hold exactly 7 days, with a protective stop at 2× the 14-day average daily range. One position at a time.
Kraken PF_XBTUSD perpetual candles. Costs: 0.04% per side plus 0.033% a day margin fee. Risk $100 a trade; results are in R (multiples of the amount risked). IS Oct 3, 2022 to Apr 1, 2025, OOS Apr 1, 2025 to Oct 23, 2026.
Pre-registered pass bar and result
The bar was written and hashed before the run. Results are on data the selection step never saw (out-of-sample).
| Criterion | Bar | Result | Verdict |
|---|---|---|---|
| OOS mean R per trade (net) | > 0 | +0.046 | PASS |
| OOS trades | ≥ 30 | 88 | PASS |
| OOS mean R above random-direction 95th percentile (200 seeds) | > +0.139 | +0.046 | FAIL |
| IS mean R > 0 and fee gate passed | > 0 | +0.108; gate 68.6 bp vs 58.4 bp | PASS |
| Monte Carlo pass probability ≥ MF4 baseline + 5 pp | ≥ 30.6% | 45.5% | PASS |
Why it failed
It made money in-sample (+0.108R, 140 trades) and out-of-sample (+0.046R, 88 trades), and still failed. The out-of-sample +0.046R sits well inside the range that coin-flip entries with the same exits reached (95th percentile +0.139R), so the signal cannot be credited.
The 45.5% Monte Carlo figure comes from resampling a low-variance sample with a slightly positive mean. We do not treat it as evidence of an edge.
Variants tried
3 variants, lookback L = 10, 30 or 60 days. IS picked L = 30. Others (IS / OOS, information only): L10 +0.041 / +0.011, L60 +0.100 / +0.025.
What this test cannot tell
88 OOS trades is a small sample. Disclosure: we were both proposer and tester, and the hash was not published before the run, so the lock time rests on trust.
Rules lock
Rules file SHA-256:
4657ac56e6f5c8eacec015fed9ff07d9f85ba84d06527695ed8d897c9a9c7b39
Locked:
“not recorded” means the number or time was not written down at the time, and we have not filled it in afterwards.
Submit a rule
Have a rule with numbers? Send it to us on X @ProjectAnchorHQ or Telegram t.me/ProjectAnchorHQ (market, entry, exit, stop). Free; we only need the written rule, never keys, accounts or funds. We publish the result pass or fail, and credit you only if you say yes.