FAILED

Volume filter on trend (20/10)

A trend turn without volume is a turn nobody believed in, and it usually comes undone. Requiring the day's volume to exceed the recent average before entering discards the signals the market did not back — and keeps you out of the market much of the time, which lowers risk even if the return is the same.

Measured in crypto — Binance spot · 540 pairs, delisted ones included · 0.2% per round trip

Net per trade

+1.49%

after fees

The fee is charged on both legs: every trade pays to open and pays to close.

Died at

invariance

the result is not physically plausible

Worst drawdown

−67%

907 days underwater

How far the account fell below its own best previous moment.

Timeframe

1 day

The time grid this was measured on. The same technique on a coarser or finer grid is a different measurement, and can earn a different verdict.

invariance
costs
placebo
benchmark
out of sample
multiple testing

Equity curve

Risking 1.0% per trade, marked to market every day — not only when a trade closes. The line at 1.0 is the capital it started with.

At its worst the account was worth 67% less than its own best previous moment, and it spent 907 days below that peak.

The technique against chance

Same number of trades, same holding time, same assets — only the dates were drawn at random.

The average trade and the typical one

The mean sits above the median: the lottery signature — the typical trade loses and a rare handful pays for everything.

What was measured

We coded the rule exactly as it is described and let it trade on its own from 2017-08-17 to 2026-07-28. It found trades in 540 coins, 51,434 in total. Each one enters and exits at the price that existed on that day — the program never sees what comes next, which is the most common mistake people make testing strategies at home. Wherever the description was ambiguous we took the reading least favourable to the technique; whatever was left open is stated in the hypothesis, at the foot of this page.

How many of those trades actually count

Only 29 of the 51,434. Cryptocurrencies rise and fall almost in unison, so the same rule fires on dozens of coins on the same day — and that is one bet repeated, not dozens of different bets. Counting them all separately is the trick that makes a bad test look impressive.

What it paid, before any deductions

+1.69% per trade. This is the number the technique claims, and the only one on this page that has not yet been through a single control.

Why it did not pass — it died here · where the result came from

We look at where the result came from: whether it is spread across the trades or packed into a handful of them. It concentrated. That is the shape of a lottery: the typical trade loses, and a rare handful pays for everything. Anyone following the rule for real would face a long run of losses before any gain, and would almost certainly quit before it arrived. To give the measure: 63% of the profit came from the top 5% of trades, and the same technique with its dates shuffled would concentrate 45%. The control fails above 50%.

What would have happened to the money

Risking 1.0% of capital per trade — the most widely taught rule — across the whole period: The capital would have ended at 6.59× what it started with. But that number is not trustworthy: draw the order in which the signals arrive and it ranges from 4.36× to 9.19×. That is the draw talking, not the technique. At its worst the account was worth 67% less than its own best previous moment, and it spent 907 days below that peak. In none of the 12 paths tested did it fall to less than half of what it started with.

The account would not fit every signal

61% of the trades had to be turned down: by the time they appeared, the money was already tied up in other positions. That matters because the average return per trade the technique claims is computed over trades that nobody could have taken all of.

What this result does NOT say

For an edge to be assertable here it would have to reach 4.54% per trade — that is the size that survives this archive's multiple-testing correction, and it rises as the archive grows. So FAILED means “we found nothing above that size”, and never “it cannot possibly work”. The instrument is far more sensitive than that: on synthetic data, with a clean effect, it separates from 0.69% upwards. The distance between the two numbers is the price of a real market and the price of publishing many claims. The difference matters, and it is the rule of this house: the card confronts the claim, never the person who made it.

What this card does not measure

Every verdict holds for the conditions it was measured under. These are this card's — and outside them the result does not apply.

One market, one universe: Measured on 540 spot cryptocurrency pairs, delisted ones included. It says nothing about futures, equities or indices, nor about how the same technique behaves in another market.
One window of time, not every window: The measured period runs from 2017-08-17 to 2026-07-28. A market moves through regimes, and a technique can work in one and fail in another — the card measures the regimes that fit inside this window, not the ones still to come.
One cost structure: The cost charged is 0.10% per leg, in and out. Anyone paying more than that gets a worse result, and anyone paying less gets a better one — the verdict holds for this fee.
One exit rule: The trade was closed by: the technique itself (held until the opposite signal). The same entry measured with a different exit is a different strategy, and can earn a different verdict — it happens in this archive.
The number of trades is not the sample size: There are 51,434 trades, but only 29 independent market episodes: a single move fires the technique across dozens of assets at once, and counting those as separate observations inflates any result. It is the smaller number that governs the arithmetic. With 29 episodes, what the data supports is a range from -2.44% to +5.82% per trade — the published average is the centre of it, not the exact measurement.
Daily bars: Measured at the daily close. Nothing here measures what happens inside the day, and an intraday technique is not auditable with this data.

Numbers and reproducibility

The six controls

control	status	t	threshold	episodes
invariance	failed	—	—	—
costs	inconclusive	0.74	2.05	29
placebo	inconclusive	0.77	2.05	29
benchmark	passed	—	—	—
out of sample	passed	—	—	—
multiple testing	inconclusive	—	—	—

invariance63% of the gross profit comes from 2571 trades (5% of the total) — lotteryconcentration: +63.41% of the profit sits in the top 5% of trades — with the dates shuffled, +44.58% (fails above +50.00%)
costsgross +1.688% · cost 0.200% · net +1.488% (t=0.74) · the range runs from -2.641% to +5.618%
placeboactual +1.488% · placebo -0.073% · excess +1.561% ± 2.025% (t=0.77 against a threshold of 2.05, 29 real groups, 2,571,700 sham dates, draw error ±0.015%)
benchmarktechnique +1.49% · buy and hold (same horizon) +0.37% · excess +1.12%
out of sampleasset half A: +1.439% (t=0.33, 29 episodes) · asset half B: +1.536% (t=1.08, 29 episodes) · liquid half (>= US$ 2,066,613/day): +2.121% (t=1.01, 29 episodes) · illiquid half: +0.761% (t=0.55, 28 episodes) · period 1/4 (2017-09-06 a 2022-04-13): +5.309% (t=1.51, 16 episodes) · period 2/4 (2022-04-14 a 2023-11-20): +0.909% (6 episodes — too small, does not count) · period 3/4 (2023-11-21 a 2025-03-23): +0.205% (5 episodes — too small, does not count) · period 4/4 (2025-03-24 a 2026-07-27): -0.460% (5 episodes — too small, does not count)
multiple testing1 variation(s) tested · t=0.74 across 29 episodes (equivalent to t=0.71) · p≈0.4799 · false positives expected by chance ≈ 0.48

Equity — outside the six controls, and here is why

The t of the trade series is invariant to bet size: 0.5%, 1% and 3% agree to the sixth decimal. Nothing here moves the verdict — it moves what the account would have lived through.

risking 1.0% per trade: ×6.59(×4.36–×9.19 depending on the drawn ordering)
worst drawdown from the peak: −67%
days below the previous peak: 907
signals refused for lack of capital: 61%
paths where the account halved (out of 12): 0

Reproducibility

period: 2017-08-17 to 2026-07-28
assets that traded: 540
variations tested before this one: 1
gross per trade: +1.69%
net per trade: +1.49%
exit rule: the technique itself (held until the opposite signal)
median duration bars: 5
mean duration bars: 12.1
max duration bars: 124
fee per leg: 0.001
episode days: 112
seed: 20260728
slope period: 20
volume filter period: 10

Binance spot klines (delisted pairs included) · collected from 2026-07-27 23:31 to 2026-08-03 10:49 · 540 assets · 750,934 bars · 2017-08-17 to 2026-07-28

Hypothesis, filed before the result

p. 556, and it is a LAYER over a price system, not a system of its own. Verbatim: «calculate a 10-day moving average of volume as a complement to a 20-day trend position. Simply by requiring that current volume be greater than the average volume of those past 10 days, you introduce the idea of greater participation associated with the new trend». THE CLAIM IS ABOUT RISK, NOT ABOUT RETURN, and it is falsifiable as it stands: «if the net returns are the same, the volume-filtered approach is much better, because you are out of the market longer, reducing your risk». «20-day trend position» is ambiguous between the average's slope and price penetration; we adopt the SLOPE, which is the convention already fixed in the corpus for a single average. AND THE PROTOCOL ALREADY HAS A MEASUREMENT AGAINST THIS CLAIM: a volume filter cut 73% of the trades, left the gross WORSE and inflated the error by 42%. This card is the direct confrontation. Family-level prediction, recorded before measuring: (1) NONE survives the corpus-wide Benjamini-Hochberg; (2) the gravedigger in crypto will be CONTROL 1, concentration, as in `volatilidade` (7 of 7) and `posicao` (10 of 10) — in crypto what pays a lot pays it concentrated, and this has been measured three times already; (3) SAITTA'S VOLUME FILTER will cut trades without improving the `t`, which is the signature of a filter that does not separate — PROTOCOLO.md already records the measured case in which the volume filter cut 73% of the trades, left the gross WORSE and inflated the error by 42%; (4) the VOLUME SPIKE as a reversal will have the family's best `t`, being the chapter's only claim about a rare and dated EVENT instead of an accumulated index — and even so it will not pass; (5) the three layers over on-balance volume (raw, filtered by low volume, filtered by movement) will differ from one another by LESS than the error bar, because filtering days out of an accumulator changes the accumulated series little; (6) ON-BALANCE VOLUME will do worse than the moving average crossover the corpus already publishes — if replacing price with volume in a moving average worked, the chapter would not have to admit it never tested that.

filed on 2026-08-04, before the number existed

The original, as it was filed

p. 556, e é CAMADA sobre um sistema de preço, não sistema próprio. Verbatim: «calcular uma média móvel de 10 dias do volume como complemento a uma posição de tendência de 20 dias. Simplesmente exigindo que o volume corrente seja maior que o volume médio desses últimos 10 dias, introduz-se a ideia de maior participação associada à nova tendência». ⚠️ A ALEGAÇÃO É SOBRE RISCO, NÃO SOBRE RETORNO, e é falsificável como está: «se os retornos líquidos forem os mesmos, a abordagem filtrada por volume é muito melhor, porque você fica fora do mercado mais tempo, reduzindo seu risco». ⚠️ «Posição de tendência de 20 dias» é ambíguo entre inclinação da média e penetração do preço; adota-se a INCLINAÇÃO, que é a convenção já fixada no corpus para média única. ⚠️ E O PROTOCOLO JÁ TEM MEDIDA CONTRA ESTA ALEGAÇÃO: um filtro de volume cortou 73% das operações, deixou o bruto PIOR e inflou o erro em 42%. Este card é o confronto direto. Previsão da família, registrada antes de medir: (1) NENHUMA sobrevive ao Benjamini-Hochberg do corpus; (2) o coveiro em cripto será o CONTROLE 1, concentração, como em `volatilidade` (7 de 7) e `posicao` (10 de 10) — em cripto o que rende muito rende concentrado, e isso já foi medido três vezes; (3) o FILTRO DE VOLUME DE SAITTA cortará operação sem melhorar o `t`, que é a assinatura de filtro que não separa — o PROTOCOLO.md já registra o caso medido em que o filtro de volume cortou 73% das operações, deixou o bruto PIOR e inflou o erro em 42%; (4) o PICO DE VOLUME como reversão terá o melhor `t` da família, por ser a única alegação do capítulo sobre um EVENTO raro e datado em vez de um índice acumulado — e ainda assim não passará; (5) as três camadas sobre o saldo de volume (bruta, filtrada por volume baixo, filtrada por movimento) diferirão entre si por MENOS que a barra de erro, porque filtrar dias de um acumulador muda pouco a série acumulada; (6) o SALDO DE VOLUME irá pior que o cruzamento de médias que o corpus já publica — se substituir preço por volume numa média móvel funcionasse, o capítulo não precisaria admitir que nunca testou isso.

Quotations from the source were translated from the Portuguese record and back into English — they are not the author's exact words.

Pre-registration exists to keep prediction apart from rationalisation: written after the number, every hypothesis is right.

This claim has been audited once — there is no history to compare against.