Moving average crossover (20/50) · exit by 3% of the extreme
A trend technique delivers its result despite the trades that turn against it, not because of them. Cutting each trade as soon as price moves far enough from its own best point takes the loss before the technique itself notices the turn — and what remains is better than having no stop at all, provided the level adapts to volatility instead of being a fixed amount.
Measured in forex — EUR/USD and GBP/USD · daily bars built from 15m · 1 pip spread (~0.009% per round trip) · no survivorship bias
- ✓invariance
- ?costs
- ?placebo
- ✓benchmark
- ?out of sample
- ✗multiple testing
At its worst the account was worth 0% less than its own best previous moment, and it spent 824 days below that peak.
What was measured
How many of those trades actually count
What it paid, before any deductions
Why it did not pass — it died here · how many versions were tested
What would have happened to the money
What this result does NOT say
- One market, one universe
- Measured on 2 spot currency pairs. 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 2020-01-01 to 2026-06-26. 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 a 1.0 pip spread, crossed once. 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 86 trades, but only 44 independent market episodes: trades that overlap in time are not independent observations, and counting them as if they were inflates any result. It is the smaller number that governs the arithmetic. With 44 episodes, what the data supports is a range from -0.62% to +0.95% 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 | passed | — | — | — |
| costs | inconclusive | 0.41 | 2.02 | 44 |
| placebo | inconclusive | 0.34 | 2.02 | 44 |
| benchmark | passed | — | — | — |
| out of sample | inconclusive | — | — | — |
| multiple testing | failed | — | — | — |
- invariance86 signals across 4055 barsconcentration: +34.66% of the profit sits in the top 5% of trades — with the dates shuffled, +32.30% (fails above +50.00%)
- costsgross +0.169% · cost 0.008% · net +0.160% (t=0.41) · the range runs from -0.624% to +0.945%
- placeboactual +0.160% · placebo +0.029% · excess +0.131% ± 0.391% (t=0.34 against a threshold of 2.02, 44 real groups, 4,300 sham dates, draw error ±0.041%)
- benchmarktechnique +0.16% · buy and hold (same horizon) +0.11% · excess +0.05%
- out of sampleasset half A: +0.166% (t=0.38, 33 episodes) · asset half B: +0.155% (t=0.34, 35 episodes) · liquid half (>= US$ 0/day): +0.160% (t=0.41, 44 episodes) · period 1/4 (2020-03-10 a 2021-09-27): -0.214% (t=-0.45, 12 episodes) · period 2/4 (2021-10-29 a 2023-03-26): +0.759% (t=0.91, 11 episodes) · period 3/4 (2023-03-28 a 2024-07-17): -0.380% (t=-0.83, 10 episodes) · period 4/4 (2024-08-19 a 2026-04-21): +0.479% (t=0.48, 13 episodes)
- multiple testing2 variation(s) tested · t=0.41 across 44 episodes (equivalent to t=0.40) · p≈0.6889 · false positives expected by chance ≈ 1.38
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
- ×1.00
- worst drawdown from the peak
- −0%
- days below the previous peak
- 824
- signals refused for lack of capital
- 0%
- paths where the account halved (out of 12)
- 0
Reproducibility
- period
- 2020-01-01 to 2026-06-26
- assets that traded
- 2
- variations tested before this one
- 2
- gross per trade
- +0.17%
- net per trade
- +0.16%
- exit rule
- the technique itself (held until the opposite signal)
- median duration bars
- 34
- mean duration bars
- 39.7
- max duration bars
- 137
- spread pips
- 1.0
- episode days
- 40
- seed
- 20260728
- fast average
- 20
- slow average
- 50
- drag %
- 0.03
- drag reference
- extreme
- base
- Moving average crossover (20/50)
Twelve Data forex (15m aggregated to 1d) · collected on 2026-07-25 · 2 assets · 4,055 bars · 2020-01-01 to 2026-06-26
Hypothesis, filed before the result
Exit the long if the price falls 3% from the trade's highest point, or if the trend turns — whichever comes first. The source offers TWO constructions in the same sentence: 3% below the trade's highest close, and 3% below the trend line itself (a band). These are different readings of the same rule and both will be measured. It is the only stop in this family that is monotonic by construction: measured, it backs away on 0.0% of the bars. Family-level prediction, recorded before measuring: (1) the stop IMPROVES concentration and worsens the mean — it cuts the right tail along with the left, and control 1 is where the 20/50 crossover already dies; if any card in this family changes its verdict relative to the base, I expect it to be by clearing the invariant, not by gaining return; (2) the VOLATILITY stops will do better than the fixed percentage, because that is what the source claims («the ones most likely to work need to adapt to volatility, and not to a fixed value in money or percentage of price») and the claim is testable; (3) the 12 × average true range of 252 will almost never be touched — it is far too wide a stop for crypto, and will measure practically the same thing as the base with no stop; (4) the profit TARGETS will do worse than the stops, because the source's own table shows that the best result for the slow average was WITHOUT profit taking; (5) none survives the family's Benjamini-Hochberg. MEASURED IN FOREX (EUR/USD and GBP/USD, daily aggregated from 15m), and not in crypto. This is a pre-registered REPLICATION of the same technique in the second market — not a new discovery —, and the multiple-testing count treats it as such. What changes: 2 pairs over 6.5 years against 670 symbols over 9, the cost of turnover is ~20× lower, the detection floor is ~10× lower (0.092% against 0.97%) and there is no survivorship bias. And there is one difference that matters especially to this family: a 3% stop is enormous in forex and tight in crypto — the same rule, measured in two markets, is not the same severity.
filed on 2026-08-03, before the number existed
The original, as it was filed
Sai da compra se o preço cair 3% do ponto mais alto da operação, ou se a tendência virar — o que vier primeiro. ⚠️ A fonte oferece DUAS construções na mesma frase: 3% abaixo do maior fechamento da operação, e 3% abaixo da própria linha de tendência (uma banda). São leituras diferentes da mesma regra e as duas serão medidas. ⚠️ É o único stop desta família que é monotônico por construção: medido, ele recua em 0,0% das velas. Previsão da família, registrada antes de medir: (1) o stop MELHORA a concentração e piora a média — ele corta a cauda direita junto com a esquerda, e o controle 1 é onde o cruzamento 20/50 já morre; se algum card desta família mudar de veredito em relação à base, espero que seja por sair do invariante, não por ganhar retorno; (2) os stops de VOLATILIDADE irão melhor que o percentual fixo, porque é isso que a fonte afirma («os que têm mais chance de funcionar precisam se adaptar à volatilidade, e não a um valor fixo em dinheiro ou percentual do preço») e a afirmação é testável; (3) o 12 × amplitude real de 252 dias quase nunca será tocado — é um stop largo demais para cripto, e vai medir praticamente a mesma coisa que a base sem stop; (4) os ALVOS de lucro irão pior que os stops, porque a própria fonte mostra na tabela dela que o melhor resultado da média lenta foi SEM tomada de lucro; (5) nenhuma sobrevive ao Benjamini-Hochberg da família. ⚠️ MEDIDO EM FOREX (EUR/USD e GBP/USD, diário agregado de 15m), e não em cripto. Isto é uma REPLICAÇÃO pré-registrada da mesma técnica no segundo mercado — não uma descoberta nova —, e a conta de múltiplos testes a trata como tal. O que muda: 2 pares em 6,5 anos contra 670 símbolos em 9, o custo do giro é ~20× menor, o piso de detecção é ~10× menor (0,092% contra 0,97%) e não há viés de sobrevivência. ⚠️ E há uma diferença que importa especialmente a esta família: um stop de 3% é enorme em forex e apertado em cripto — a mesma regra, medida em dois mercados, não é a mesma severidade.
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.
The same technique in the other market
The verdict held in the other market too, on independent data.
- forexFAILED← this one
- cryptoFAILEDopen that card
This claim has been audited once — there is no history to compare against.