20-period channel breakout
A break of the high forces anyone short to cover, and that feeds the move: entering on the break of the level catches the trend from the start, without a moving average's lag.
Measured in crypto — Binance spot · 540 pairs, delisted ones included · 0.2% per round trip
- ✓invariance
- ?costs
- ?placebo
- ✓benchmark
- ?out of sample
- ?multiple testing
At its worst the account was worth 79% less than its own best previous moment, and it spent 1,538 days below that peak.
What was measured
How many of those trades actually count
What it paid, before any deductions
Where it stalled · the broker's fee
What would have happened to the money
The account would not fit every signal
What this result does NOT say
- 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 auditor's fixed horizon (10 bars). 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 61,764 trades, but only 318 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 318 episodes, what the data supports is a range from -0.74% to +2.09% 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 | 0.66 | 1.97 | 318 |
| placebo | inconclusive | 0.56 | 1.97 | 318 |
| benchmark | passed | — | — | — |
| out of sample | inconclusive | — | — | — |
| multiple testing | inconclusive | — | — | — |
- invariance61764 signals across 750934 barsconcentration: +39.17% of the profit sits in the top 5% of trades — with the dates shuffled, +33.32% (fails above +50.00%)
- costsgross +0.674% · cost 0.200% · net +0.474% (t=0.66) · the range runs from -0.938% to +1.886%
- placeboactual +0.474% · placebo +0.068% · excess +0.406% ± 0.728% (t=0.56 against a threshold of 1.97, 318 real groups, 3,088,200 sham dates, draw error ±0.012%)
- benchmarktechnique +0.47% · buy and hold (same horizon) +0.03% · excess +0.45%
- out of sampleasset half A: +0.533% (t=0.70, 312 episodes) · asset half B: +0.417% (t=0.56, 314 episodes) · liquid half (>= US$ 2,066,613/day): +0.967% (t=1.28, 318 episodes) · illiquid half: -0.123% (t=-0.17, 293 episodes) · period 1/4 (2017-09-14 a 2022-04-29): +2.276% (t=1.84, 164 episodes) · period 2/4 (2022-04-30 a 2023-12-26): +0.414% (t=0.41, 62 episodes) · period 3/4 (2023-12-27 a 2025-04-19): +0.553% (t=0.36, 49 episodes) · period 4/4 (2025-04-20 a 2026-07-18): -1.321% (t=-1.45, 46 episodes)
- multiple testing1 variation(s) tested · t=0.66 across 318 episodes (equivalent to t=0.66) · p≈0.5105 · false positives expected by chance ≈ 0.51
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
- ×4.00
- worst drawdown from the peak
- −79%
- days below the previous peak
- 1,538
- signals refused for lack of capital
- 68%
- 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
- +0.67%
- net per trade
- +0.47%
- exit rule
- the auditor's fixed horizon (10 bars)
- horizon bars
- 10
- fee per leg
- 0.001
- episode days
- 10
- seed
- 20260728
- channel period
- 20
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
Short-term momentum is the most documented effect in the crypto literature, so this is the candidate with the best real chance of surviving the placebo — better than the RSI, whose caveat has already failed. Specific, falsifiable prediction: it PASSES the placebo and dies afterwards, at the benchmark or at multiple testing. The reason for the benchmark: a breakout only fires once the market has already moved, so it buys dear by construction. The reason for multiple testing: the 20 window is one choice among dozens equally defensible.
the filing date is not in this audit's record
The original, as it was filed
Momentum de curto prazo é o efeito mais documentado da literatura de cripto, então esta é a candidata com maior chance real de sobreviver ao placebo — mais que o RSI, cuja ressalva já falhou. Previsão específica e falsificável: PASSA no placebo e morre depois, no benchmark ou nos múltiplos testes. O motivo do benchmark: rompimento só dispara quando o mercado já se moveu, então ele compra caro por construção. O motivo dos múltiplos testes: a janela de 20 é uma escolha entre dezenas igualmente defensáveis.
Pre-registration exists to keep prediction apart from rationalisation: written after the number, every hypothesis is right.
Earlier audits of the same technique
Each variation an author teaches enters as its own test, so that whatever might work in the strategy gets covered. The verdict held in all of them.