Rule Collider

Backtests · DJI30 · h1_roc_20_atr · long

Does h1_roc_20_atr below 0.3647 work on DJI30? 2023 to 2026 backtest

DJI30 long when H1 20-bar change (H1 ATR) is below the threshold, tested at five thresholds taken from the feature’s own distribution on DJI30 over this window: its 10th, 25th, 50th, 75th and 90th percentiles. Window 2023-09-30 to 2026-09-30, the last 30 percent held out of sample; stop 3 ATR, target 3 R, held overnight, max spread 50 pips, one-minute confirmation 25 pips, no hour filter. Fills and spread as measured on a demo fleet (how a result is judged). The direction and the exit are the ones the research catalogue carried for this pair; the thresholds are not.

Five thresholds, one rule shape

PercentileConditionIn sample R / tradesOut of sample R / tradestTrades to confirmLast quarter R / tradesVerdict
p10h1_roc_20_atr < -3.862-47.1 R / 511-42.4 R / 231-1.7327-39.5 R / 73No edge shown
p25h1_roc_20_atr < -1.868-96.7 R / 972-77.8 R / 446-2.3335-48.7 R / 153Active, net negative
p50h1_roc_20_atr < 0.3647-143.7 R / 1560-104.6 R / 732-2.4514-52.9 R / 259Active, net negative
p75h1_roc_20_atr < 2.606-229.3 R / 2065-164.6 R / 966-3.3354-58.0 R / 309Active, net negative
p90h1_roc_20_atr < 4.992-226.1 R / 2334-175.4 R / 1075-3.3390-66.6 R / 349Active, net negative

R is the risk on one trade. The out-of-sample split carries the verdict: below 100 trades it is “no edge shown” whatever the t; a positive mean with t below 2 is “net positive, not yet distinguishable from chance”; the last column is how many trades that mean would need to reach t = 2.

Each threshold in full

h1_roc_20_atr < -3.862 (p10)

Honesty panelNo edge shown

No edge shown out of sample: -42.4 R over 231 trades is -0.183 R per trade, within what chance produces (t = -1.7); about 327 trades would be needed to confirm this mean at t = -2, shown: 231.

In sample
2023-09-30 to 2025-11-05
-47.1 R
511 trades · 32% wins
-0.092 R per trade · t = -1.3, within chance
about 1,287 trades to confirm this mean (-0.092 R per trade) at t = -2 · shown: 511
spread 0.058 R per trade
Out of sample
2025-11-05 to 2026-09-30
-42.4 R
231 trades · 27% wins
-0.183 R per trade · t = -1.7, within chance
about 327 trades to confirm this mean (-0.183 R per trade) at t = -2 · shown: 231
spread 0.050 R per trade
Last quarter
last 91 days of the window
-39.5 R
73 trades · 21% wins
-0.541 R per trade · t = -3.3, beyond chance
about 27 trades to confirm this mean (-0.541 R per trade) at t = -2 · shown: 73
spread 0.058 R per trade
Costs. Spread 0.056 R per trade at 1.25 times the bar’s minimum. Fill offset 0.14 stop-distances on every entry, measured on 931 demo fills. At 1.5 times the bar’s minimum the out-of-sample figure would read -44.7 R (-0.193 R per trade over 231 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 749 signals placed, 742 filled, 7 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 3 ATR (mean 971.0 pips, 3.00 ATR); target 3 R; exits 65% at the stop, 21% at the target, 13% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (13,018 bars); max spread 50 pips (2,435 bars over it); M1 confirmation 25 pips (144 signals rejected).

Monthly R, h1_roc_20_atr < -3.862 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: +0.5 R over 27 trades2023-102023-11: -0.9 R over 4 trades2023-12: +4.0 R over 5 trades2024-01: +4.8 R over 12 trades2024-02: -5.1 R over 25 trades2024-03: +1.4 R over 25 trades2024-04: -4.1 R over 28 trades2024-042024-05: -8.2 R over 35 trades2024-06: +0.7 R over 20 trades2024-07: +0.3 R over 17 trades2024-08: -6.1 R over 16 trades2024-09: -4.7 R over 15 trades2024-10: +3.3 R over 24 trades2024-102024-11: +1.1 R over 17 trades2024-12: -12.6 R over 37 trades2025-01: +0.0 R over 14 trades2025-02: +7.6 R over 24 trades2025-03: -9.7 R over 24 trades2025-04: +0.4 R over 35 trades2025-042025-05: -6.7 R over 15 trades2025-06: +0.1 R over 8 trades2025-07: -0.4 R over 18 trades2025-08: -8.5 R over 22 trades2025-09: -1.5 R over 12 trades2025-10: +0.6 R over 26 trades2025-102025-11: -15.0 R over 29 trades2025-12: +12.2 R over 22 trades2026-01: +0.4 R over 28 trades2026-02: -3.6 R over 22 trades2026-03: -2.6 R over 33 trades2026-04: +5.1 R over 14 trades2026-042026-05: -5.1 R over 8 trades2026-06: +2.6 R over 8 trades2026-07: -0.3 R over 16 trades2026-08: -10.4 R over 22 trades2026-09: -28.8 R over 35 trades+12 R-29 R

h1_roc_20_atr < -1.868 (p25)

Honesty panelActive, net negative

Traded 446 times out of sample, net negative beyond chance (-77.8 R, -0.174 R per trade, t = -2.3); still active in the last quarter (-48.7 R over 153 trades).

In sample
2023-09-30 to 2025-11-05
-96.7 R
972 trades · 33% wins
-0.099 R per trade · t = -1.9, within chance
about 1,072 trades to confirm this mean (-0.099 R per trade) at t = -2 · shown: 972
spread 0.058 R per trade
Out of sample
2025-11-05 to 2026-09-30
-77.8 R
446 trades · 30% wins
-0.174 R per trade · t = -2.3, beyond chance
about 335 trades to confirm this mean (-0.174 R per trade) at t = -2 · shown: 446
spread 0.048 R per trade
Last quarter
last 91 days of the window
-48.7 R
153 trades · 27% wins
-0.318 R per trade · t = -2.6, beyond chance
about 92 trades to confirm this mean (-0.318 R per trade) at t = -2 · shown: 153
spread 0.059 R per trade
Costs. Spread 0.055 R per trade at 1.25 times the bar’s minimum. Fill offset 0.14 stop-distances on every entry, measured on 931 demo fills. At 1.5 times the bar’s minimum the out-of-sample figure would read -82.0 R (-0.184 R per trade over 446 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 1,430 signals placed, 1,418 filled, 12 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 3 ATR (mean 1002.1 pips, 3.00 ATR); target 3 R; exits 64% at the stop, 20% at the target, 16% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (9,748 bars); max spread 50 pips (2,185 bars over it); M1 confirmation 25 pips (293 signals rejected).

Monthly R, h1_roc_20_atr < -1.868 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -9.5 R over 55 trades2023-102023-11: +6.0 R over 16 trades2023-12: -1.9 R over 12 trades2024-01: +4.0 R over 43 trades2024-02: -0.1 R over 31 trades2024-03: -1.7 R over 34 trades2024-04: -8.1 R over 49 trades2024-042024-05: -1.5 R over 44 trades2024-06: +2.6 R over 33 trades2024-07: -12.4 R over 43 trades2024-08: -7.2 R over 32 trades2024-09: +6.6 R over 37 trades2024-10: -6.1 R over 51 trades2024-102024-11: -11.1 R over 33 trades2024-12: -26.4 R over 61 trades2025-01: +3.2 R over 33 trades2025-02: +1.5 R over 41 trades2025-03: -23.4 R over 46 trades2025-04: -6.5 R over 57 trades2025-042025-05: -11.9 R over 38 trades2025-06: +13.3 R over 21 trades2025-07: +3.3 R over 34 trades2025-08: -5.7 R over 38 trades2025-09: -2.7 R over 38 trades2025-10: +5.6 R over 42 trades2025-102025-11: -25.2 R over 47 trades2025-12: +16.0 R over 33 trades2026-01: -18.0 R over 56 trades2026-02: -0.9 R over 40 trades2026-03: -15.2 R over 51 trades2026-04: +8.7 R over 39 trades2026-042026-05: -1.9 R over 18 trades2026-06: +1.0 R over 19 trades2026-07: -14.2 R over 38 trades2026-08: -16.6 R over 44 trades2026-09: -17.8 R over 71 trades+16 R-26 R

h1_roc_20_atr < 0.3647 (p50)

Honesty panelActive, net negative

Traded 732 times out of sample, net negative beyond chance (-104.6 R, -0.143 R per trade, t = -2.4); still active in the last quarter (-52.9 R over 259 trades).

In sample
2023-09-30 to 2025-11-05
-143.7 R
1560 trades · 33% wins
-0.092 R per trade · t = -2.3, beyond chance
about 1,231 trades to confirm this mean (-0.092 R per trade) at t = -2 · shown: 1560
spread 0.058 R per trade
Out of sample
2025-11-05 to 2026-09-30
-104.6 R
732 trades · 31% wins
-0.143 R per trade · t = -2.4, beyond chance
about 514 trades to confirm this mean (-0.143 R per trade) at t = -2 · shown: 732
spread 0.050 R per trade
Last quarter
last 91 days of the window
-52.9 R
259 trades · 29% wins
-0.204 R per trade · t = -2.1, beyond chance
about 245 trades to confirm this mean (-0.204 R per trade) at t = -2 · shown: 259
spread 0.059 R per trade
Costs. Spread 0.055 R per trade at 1.25 times the bar’s minimum. Fill offset 0.14 stop-distances on every entry, measured on 931 demo fills. At 1.5 times the bar’s minimum the out-of-sample figure would read -111.9 R (-0.153 R per trade over 732 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 2,310 signals placed, 2,292 filled, 18 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 3 ATR (mean 982.0 pips, 3.00 ATR); target 3 R; exits 63% at the stop, 20% at the target, 17% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (5,802 bars); max spread 50 pips (1,731 bars over it); M1 confirmation 25 pips (498 signals rejected).

Monthly R, h1_roc_20_atr < 0.3647 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -20.7 R over 89 trades2023-102023-11: +2.1 R over 44 trades2023-12: +14.8 R over 42 trades2024-01: -14.6 R over 77 trades2024-02: -3.5 R over 47 trades2024-03: +1.4 R over 50 trades2024-04: -26.9 R over 79 trades2024-042024-05: -3.3 R over 61 trades2024-06: -4.9 R over 74 trades2024-07: +13.1 R over 65 trades2024-08: +1.7 R over 60 trades2024-09: -10.4 R over 65 trades2024-10: -12.6 R over 68 trades2024-102024-11: -8.7 R over 51 trades2024-12: -32.8 R over 73 trades2025-01: +10.3 R over 54 trades2025-02: -6.5 R over 67 trades2025-03: -15.8 R over 46 trades2025-04: -4.0 R over 70 trades2025-042025-05: -5.5 R over 65 trades2025-06: +16.0 R over 58 trades2025-07: -8.8 R over 55 trades2025-08: +3.1 R over 62 trades2025-09: -11.7 R over 64 trades2025-10: -10.4 R over 64 trades2025-102025-11: -22.8 R over 63 trades2025-12: -0.0 R over 80 trades2026-01: -22.8 R over 78 trades2026-02: -0.7 R over 76 trades2026-03: -21.7 R over 71 trades2026-04: +17.0 R over 52 trades2026-042026-05: -7.3 R over 29 trades2026-06: +1.4 R over 34 trades2026-07: +0.6 R over 83 trades2026-08: -23.0 R over 74 trades2026-09: -30.5 R over 102 trades+17 R-33 R

h1_roc_20_atr < 2.606 (p75)

Honesty panelActive, net negative

Traded 966 times out of sample, net negative beyond chance (-164.6 R, -0.170 R per trade, t = -3.3); still active in the last quarter (-58.0 R over 309 trades).

In sample
2023-09-30 to 2025-11-05
-229.3 R
2065 trades · 32% wins
-0.111 R per trade · t = -3.1, beyond chance
about 851 trades to confirm this mean (-0.111 R per trade) at t = -2 · shown: 2065
spread 0.059 R per trade
Out of sample
2025-11-05 to 2026-09-30
-164.6 R
966 trades · 30% wins
-0.170 R per trade · t = -3.3, beyond chance
about 354 trades to confirm this mean (-0.170 R per trade) at t = -2 · shown: 966
spread 0.050 R per trade
Last quarter
last 91 days of the window
-58.0 R
309 trades · 29% wins
-0.188 R per trade · t = -2.1, beyond chance
about 292 trades to confirm this mean (-0.188 R per trade) at t = -2 · shown: 309
spread 0.058 R per trade
Costs. Spread 0.056 R per trade at 1.25 times the bar’s minimum. Fill offset 0.14 stop-distances on every entry, measured on 931 demo fills. At 1.5 times the bar’s minimum the out-of-sample figure would read -174.2 R (-0.180 R per trade over 966 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,056 signals placed, 3,031 filled, 25 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 3 ATR (mean 960.4 pips, 3.00 ATR); target 3 R; exits 64% at the stop, 20% at the target, 16% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (3,356 bars); max spread 50 pips (1,180 bars over it); M1 confirmation 25 pips (627 signals rejected).

Monthly R, h1_roc_20_atr < 2.606 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -19.2 R over 102 trades2023-102023-11: +16.2 R over 66 trades2023-12: +11.8 R over 68 trades2024-01: -13.8 R over 90 trades2024-02: +7.0 R over 68 trades2024-03: -14.6 R over 73 trades2024-04: -31.0 R over 108 trades2024-042024-05: +1.3 R over 82 trades2024-06: -9.2 R over 91 trades2024-07: +14.5 R over 84 trades2024-08: -3.2 R over 82 trades2024-09: +2.6 R over 90 trades2024-10: -25.1 R over 95 trades2024-102024-11: -9.6 R over 74 trades2024-12: -53.9 R over 87 trades2025-01: +3.2 R over 77 trades2025-02: -21.0 R over 87 trades2025-03: -17.9 R over 58 trades2025-04: -8.2 R over 86 trades2025-042025-05: -13.2 R over 84 trades2025-06: -0.1 R over 78 trades2025-07: -7.1 R over 76 trades2025-08: -15.4 R over 82 trades2025-09: -3.4 R over 78 trades2025-10: -13.5 R over 88 trades2025-102025-11: -17.6 R over 77 trades2025-12: -11.5 R over 102 trades2026-01: -25.1 R over 93 trades2026-02: -7.6 R over 104 trades2026-03: -26.4 R over 85 trades2026-04: -4.4 R over 72 trades2026-042026-05: -18.8 R over 45 trades2026-06: -1.5 R over 90 trades2026-07: -4.0 R over 103 trades2026-08: -17.9 R over 89 trades2026-09: -36.1 R over 117 trades+16 R-54 R

h1_roc_20_atr < 4.992 (p90)

Honesty panelActive, net negative

Traded 1075 times out of sample, net negative beyond chance (-175.4 R, -0.163 R per trade, t = -3.3); still active in the last quarter (-66.6 R over 349 trades).

In sample
2023-09-30 to 2025-11-05
-226.1 R
2334 trades · 33% wins
-0.097 R per trade · t = -2.9, beyond chance
about 1,135 trades to confirm this mean (-0.097 R per trade) at t = -2 · shown: 2334
spread 0.059 R per trade
Out of sample
2025-11-05 to 2026-09-30
-175.4 R
1075 trades · 30% wins
-0.163 R per trade · t = -3.3, beyond chance
about 390 trades to confirm this mean (-0.163 R per trade) at t = -2 · shown: 1075
spread 0.051 R per trade
Last quarter
last 91 days of the window
-66.6 R
349 trades · 29% wins
-0.191 R per trade · t = -2.2, beyond chance
about 284 trades to confirm this mean (-0.191 R per trade) at t = -2 · shown: 349
spread 0.058 R per trade
Costs. Spread 0.056 R per trade at 1.25 times the bar’s minimum. Fill offset 0.14 stop-distances on every entry, measured on 931 demo fills. At 1.5 times the bar’s minimum the out-of-sample figure would read -186.3 R (-0.173 R per trade over 1075 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,436 signals placed, 3,409 filled, 27 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 3 ATR (mean 948.6 pips, 3.00 ATR); target 3 R; exits 64% at the stop, 20% at the target, 16% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (1,899 bars); max spread 50 pips (874 bars over it); M1 confirmation 25 pips (714 signals rejected).

Monthly R, h1_roc_20_atr < 4.992 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -19.6 R over 115 trades2023-102023-11: +23.4 R over 76 trades2023-12: +11.3 R over 82 trades2024-01: -5.3 R over 103 trades2024-02: +4.5 R over 84 trades2024-03: -9.4 R over 62 trades2024-04: -36.8 R over 116 trades2024-042024-05: +1.6 R over 92 trades2024-06: -12.5 R over 100 trades2024-07: +10.6 R over 89 trades2024-08: -4.1 R over 91 trades2024-09: +2.6 R over 99 trades2024-10: -37.8 R over 111 trades2024-102024-11: -0.9 R over 91 trades2024-12: -48.4 R over 90 trades2025-01: +11.8 R over 86 trades2025-02: -25.8 R over 91 trades2025-03: -19.7 R over 63 trades2025-04: -15.4 R over 101 trades2025-042025-05: -20.7 R over 99 trades2025-06: +3.7 R over 90 trades2025-07: -19.1 R over 97 trades2025-08: -2.0 R over 92 trades2025-09: -9.2 R over 98 trades2025-10: -2.5 R over 105 trades2025-102025-11: -16.8 R over 87 trades2025-12: -20.4 R over 116 trades2026-01: -28.5 R over 103 trades2026-02: -9.1 R over 110 trades2026-03: -29.8 R over 82 trades2026-04: +7.2 R over 89 trades2026-042026-05: -12.2 R over 51 trades2026-06: -5.4 R over 99 trades2026-07: -14.1 R over 122 trades2026-08: -16.3 R over 100 trades2026-09: -36.1 R over 127 trades+23 R-48 R

What h1_roc_20_atr measures

H1 20-bar change (H1 ATR) (atr), on H1 bars. H1 close minus the H1 close 20 bars earlier, in multiples of the H1 ATR(14).

Test your own variant

Rule Collider runs one rule on one symbol over years of broker M5 data with the fills and the spread a demo fleet measured, and shows the out-of-sample figure first. Early access goes to the waitlist in signup order.

Join the waitlist

Historical simulation on broker M5 data with a measured fill offset, a measured spread factor, swap and a one-minute confirmation model. Past results do not predict future results. This is a research tool, not investment advice. Hours are broker time, the chart time in MT5. Built 2026-11-04 from runs ending 2026-09-30; refreshed monthly.