macd_atr_trend · 4h bars gross return +18.3% → net +2.4% sharpe 0.45 → 0.09 after costs signal at close[t], fill at open[t+1] fee 0.5bp + slippage 0.75bp per fill look-ahead bias ruled out by construction walk-forward out-of-sample splits deflated sharpe ratio for multiple testing hansen's SPA test against data-snooping monte carlo resampling of trade paths null market: synthetic series with zero edge identical engine for live and backtest 75 research tools exposed over MCP macd_atr_trend · 4h bars gross return +18.3% → net +2.4% sharpe 0.45 → 0.09 after costs signal at close[t], fill at open[t+1] fee 0.5bp + slippage 0.75bp per fill look-ahead bias ruled out by construction walk-forward out-of-sample splits deflated sharpe ratio for multiple testing hansen's SPA test against data-snooping monte carlo resampling of trade paths null market: synthetic series with zero edge identical engine for live and backtest 75 research tools exposed over MCP
The engine
Miran Miran Miran MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · MACD_ATR_TREND · 4H BARS · GROSS RETURN +18.3% → NET +2.4% · SHARPE 0.45 → 0.09 AFTER COSTS · SIGNAL AT CLOSE[T], FILL AT OPEN[T+1] · FEE 0.5BP + SLIPPAGE 0.75BP PER FILL · LOOK-AHEAD BIAS RULED OUT BY CONSTRUCTION · WALK-FORWARD OUT-OF-SAMPLE SPLITS · DEFLATED SHARPE RATIO FOR MULTIPLE TESTING · HANSEN'S SPA TEST AGAINST DATA-SNOOPING · MONTE CARLO RESAMPLING OF TRADE PATHS · NULL MARKET: SYNTHETIC SERIES WITH ZERO EDGE · IDENTICAL ENGINE FOR LIVE AND BACKTEST · 75 RESEARCH TOOLS EXPOSED OVER MCP · Miran Most backtests flatter a strategy. Then real money touches it.
Miran is the trading research platform I'm building to fund my future ambitions. It doesn't make money yet.
It's built on one rule: a result only counts if it survives the costs and timing you'd face with real money.
Miran / research macd_atr_trend · synthetic FX · 4h
Try it. A real strategy from the Miran library, on a market generated with no edge at all .
The naive backtest says +18.3% . Add what a broker actually charges.
Return +18.3%
Sharpe (annual) 0.45
Profit factor 1.13
Max drawdown 11.1%
Lost to reality 0.0 pts