Rule Collider

Backtests · DJI30 · session_volume_ratio_z_20d · long

Does session_volume_ratio_z_20d below -0.2126 work on DJI30? 2023 to 2026 backtest

DJI30 long when Session volume ratio, 20-day z-score 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 2.5 ATR, target 3.5 R, held overnight, max spread 50 pips, no one-minute confirmation, 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
p10session_volume_ratio_z_20d < -1.07-42.2 R / 386-26.4 R / 255-0.81,427-16.8 R / 109No edge shown
p25session_volume_ratio_z_20d < -0.8514-129.3 R / 838-80.3 R / 365-2.2295-14.9 R / 126Active, net negative
p50session_volume_ratio_z_20d < -0.2126-194.9 R / 1427-115.1 R / 605-2.5399-31.8 R / 166Active, net negative
p75session_volume_ratio_z_20d < 0.5785-278.9 R / 2252-139.3 R / 1013-2.3735-46.0 R / 321Active, net negative
p90session_volume_ratio_z_20d < 1.429-348.8 R / 2663-191.0 R / 1226-3.0533-71.7 R / 391Active, 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

session_volume_ratio_z_20d < -1.07 (p10)

Honesty panelNo edge shown

No edge shown out of sample: -26.4 R over 255 trades is -0.103 R per trade, within what chance produces (t = -0.8); about 1,427 trades would be needed to confirm this mean at t = -2, shown: 255.

In sample
2023-09-30 to 2025-11-05
-42.2 R
386 trades · 26% wins
-0.109 R per trade · t = -1.1, within chance
about 1,309 trades to confirm this mean (-0.109 R per trade) at t = -2 · shown: 386
spread 0.133 R per trade
Out of sample
2025-11-05 to 2026-09-30
-26.4 R
255 trades · 26% wins
-0.103 R per trade · t = -0.8, within chance
about 1,427 trades to confirm this mean (-0.103 R per trade) at t = -2 · shown: 255
spread 0.108 R per trade
Last quarter
last 91 days of the window
-16.8 R
109 trades · 25% wins
-0.154 R per trade · t = -0.8, within chance
about 639 trades to confirm this mean (-0.154 R per trade) at t = -2 · shown: 109
spread 0.129 R per trade
Costs. Spread 0.123 R per trade at 1.25 times the bar’s minimum (more than the trades made before spread). 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 -31.9 R (-0.125 R per trade over 255 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 664 signals placed, 641 filled, 23 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 482.4 pips, 2.50 ATR); target 3.5 R; exits 74% at the stop, 26% at the target, 1% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (15,378 bars); max spread 50 pips (1,523 bars over it).

Monthly R, session_volume_ratio_z_20d < -1.07 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -2.6 R over 27 trades2023-102023-11: +22.8 R over 34 trades2023-12: +6.7 R over 26 trades2024-01: -11.6 R over 29 trades2024-02: -6.3 R over 25 trades2024-03: -9.2 R over 10 trades2024-04: -15.4 R over 37 trades2024-042024-05: +6.9 R over 5 trades2024-08: +11.5 R over 5 trades2024-11: -8.1 R over 13 trades2024-12: -7.9 R over 13 trades2025-01: +2.7 R over 5 trades2025-02: -2.8 R over 2 trades2025-022025-03: -2.5 R over 2 trades2025-04: -13.2 R over 34 trades2025-05: -4.9 R over 29 trades2025-06: -2.2 R over 31 trades2025-07: +8.0 R over 26 trades2025-08: -3.0 R over 6 trades2025-082025-09: +1.9 R over 2 trades2025-10: -9.1 R over 22 trades2025-11: -4.4 R over 22 trades2025-12: -12.9 R over 14 trades2026-01: +3.3 R over 1 trades2026-02: +0.8 R over 14 trades2026-022026-03: -1.5 R over 16 trades2026-04: -3.1 R over 36 trades2026-05: +4.3 R over 16 trades2026-06: +0.2 R over 30 trades2026-07: -8.7 R over 36 trades2026-08: -4.0 R over 38 trades2026-082026-09: -4.2 R over 35 trades+23 R-15 R

session_volume_ratio_z_20d < -0.8514 (p25)

Honesty panelActive, net negative

Traded 365 times out of sample, net negative beyond chance (-80.3 R, -0.220 R per trade, t = -2.2); still active in the last quarter (-14.9 R over 126 trades).

In sample
2023-09-30 to 2025-11-05
-129.3 R
838 trades · 25% wins
-0.154 R per trade · t = -2.3, beyond chance
about 630 trades to confirm this mean (-0.154 R per trade) at t = -2 · shown: 838
spread 0.113 R per trade
Out of sample
2025-11-05 to 2026-09-30
-80.3 R
365 trades · 23% wins
-0.220 R per trade · t = -2.2, beyond chance
about 295 trades to confirm this mean (-0.220 R per trade) at t = -2 · shown: 365
spread 0.102 R per trade
Last quarter
last 91 days of the window
-14.9 R
126 trades · 25% wins
-0.119 R per trade · t = -0.7, within chance
about 1,101 trades to confirm this mean (-0.119 R per trade) at t = -2 · shown: 126
spread 0.121 R per trade
Costs. Spread 0.110 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 -87.8 R (-0.241 R per trade over 365 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 1,244 signals placed, 1,203 filled, 41 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 497.7 pips, 2.50 ATR); target 3.5 R; exits 75% at the stop, 23% at the target, 1% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (15,144 bars); max spread 50 pips (1,363 bars over it).

Monthly R, session_volume_ratio_z_20d < -0.8514 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: +2.0 R over 27 trades2023-102023-11: +21.5 R over 35 trades2023-12: +1.7 R over 27 trades2024-01: -6.4 R over 33 trades2024-02: +0.5 R over 28 trades2024-03: -11.8 R over 36 trades2024-04: -19.2 R over 44 trades2024-042024-05: +13.4 R over 29 trades2024-06: -6.4 R over 29 trades2024-07: +3.1 R over 33 trades2024-08: -0.9 R over 26 trades2024-09: -1.4 R over 8 trades2024-10: -25.7 R over 38 trades2024-102024-11: -1.9 R over 34 trades2024-12: -19.2 R over 34 trades2025-01: +10.9 R over 33 trades2025-02: -0.8 R over 32 trades2025-03: -25.0 R over 27 trades2025-04: -10.1 R over 39 trades2025-042025-05: -0.7 R over 44 trades2025-06: -10.4 R over 45 trades2025-07: -6.5 R over 34 trades2025-08: -15.4 R over 38 trades2025-09: -0.2 R over 38 trades2025-10: -11.8 R over 40 trades2025-102025-11: -10.0 R over 34 trades2025-12: -29.8 R over 41 trades2026-01: -12.4 R over 21 trades2026-02: -6.4 R over 27 trades2026-03: -2.0 R over 24 trades2026-04: -6.7 R over 40 trades2026-042026-05: -5.2 R over 20 trades2026-06: -1.6 R over 39 trades2026-07: -8.1 R over 43 trades2026-08: -7.5 R over 41 trades2026-09: +0.7 R over 42 trades+21 R-30 R

session_volume_ratio_z_20d < -0.2126 (p50)

Honesty panelActive, net negative

Traded 605 times out of sample, net negative beyond chance (-115.1 R, -0.190 R per trade, t = -2.5); still active in the last quarter (-31.8 R over 166 trades).

In sample
2023-09-30 to 2025-11-05
-194.9 R
1427 trades · 25% wins
-0.137 R per trade · t = -2.7, beyond chance
about 803 trades to confirm this mean (-0.137 R per trade) at t = -2 · shown: 1427
spread 0.104 R per trade
Out of sample
2025-11-05 to 2026-09-30
-115.1 R
605 trades · 23% wins
-0.190 R per trade · t = -2.5, beyond chance
about 399 trades to confirm this mean (-0.190 R per trade) at t = -2 · shown: 605
spread 0.089 R per trade
Last quarter
last 91 days of the window
-31.8 R
166 trades · 23% wins
-0.191 R per trade · t = -1.3, within chance
about 401 trades to confirm this mean (-0.191 R per trade) at t = -2 · shown: 166
spread 0.109 R per trade
Costs. Spread 0.100 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 -125.8 R (-0.208 R per trade over 605 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 2,085 signals placed, 2,032 filled, 53 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 541.4 pips, 2.50 ATR); target 3.5 R; exits 75% at the stop, 24% at the target, 1% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (14,880 bars); max spread 50 pips (752 bars over it).

Monthly R, session_volume_ratio_z_20d < -0.2126 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: +0.5 R over 50 trades2023-102023-11: +14.1 R over 58 trades2023-12: +11.0 R over 48 trades2024-01: -26.6 R over 60 trades2024-02: +8.4 R over 43 trades2024-03: -8.2 R over 51 trades2024-04: -16.3 R over 60 trades2024-042024-05: +5.3 R over 46 trades2024-06: -18.9 R over 50 trades2024-07: +6.7 R over 56 trades2024-08: +1.9 R over 50 trades2024-09: +1.4 R over 53 trades2024-10: -51.2 R over 68 trades2024-102024-11: -7.7 R over 74 trades2024-12: -36.2 R over 57 trades2025-01: +3.4 R over 55 trades2025-02: -13.0 R over 53 trades2025-03: -27.9 R over 56 trades2025-04: -6.2 R over 62 trades2025-042025-05: -12.5 R over 58 trades2025-06: -4.8 R over 64 trades2025-07: +4.0 R over 51 trades2025-08: -16.3 R over 63 trades2025-09: +3.1 R over 61 trades2025-10: +3.5 R over 70 trades2025-102025-11: -22.7 R over 52 trades2025-12: -20.8 R over 66 trades2026-01: -35.8 R over 66 trades2026-02: +0.4 R over 59 trades2026-03: -14.5 R over 61 trades2026-04: +6.4 R over 51 trades2026-042026-05: -11.8 R over 25 trades2026-06: +3.1 R over 69 trades2026-07: -20.2 R over 64 trades2026-08: +0.1 R over 46 trades2026-09: -11.6 R over 56 trades+14 R-51 R

session_volume_ratio_z_20d < 0.5785 (p75)

Honesty panelActive, net negative

Traded 1013 times out of sample, net negative beyond chance (-139.3 R, -0.137 R per trade, t = -2.3); still active in the last quarter (-46.0 R over 321 trades).

In sample
2023-09-30 to 2025-11-05
-278.9 R
2252 trades · 27% wins
-0.124 R per trade · t = -3.1, beyond chance
about 931 trades to confirm this mean (-0.124 R per trade) at t = -2 · shown: 2252
spread 0.088 R per trade
Out of sample
2025-11-05 to 2026-09-30
-139.3 R
1013 trades · 26% wins
-0.137 R per trade · t = -2.3, beyond chance
about 735 trades to confirm this mean (-0.137 R per trade) at t = -2 · shown: 1013
spread 0.072 R per trade
Last quarter
last 91 days of the window
-46.0 R
321 trades · 26% wins
-0.143 R per trade · t = -1.4, within chance
about 672 trades to confirm this mean (-0.143 R per trade) at t = -2 · shown: 321
spread 0.082 R per trade
Costs. Spread 0.083 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 -153.9 R (-0.152 R per trade over 1013 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,341 signals placed, 3,265 filled, 76 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 643.1 pips, 2.50 ATR); target 3.5 R; exits 73% at the stop, 22% at the target, 6% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (11,097 bars); max spread 50 pips (613 bars over it).

Monthly R, session_volume_ratio_z_20d < 0.5785 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -18.5 R over 108 trades2023-102023-11: +18.2 R over 80 trades2023-12: +13.8 R over 70 trades2024-01: -19.5 R over 107 trades2024-02: -2.0 R over 70 trades2024-03: -3.6 R over 90 trades2024-04: -36.8 R over 97 trades2024-042024-05: -15.5 R over 74 trades2024-06: -22.9 R over 87 trades2024-07: +3.7 R over 86 trades2024-08: +5.2 R over 86 trades2024-09: -7.7 R over 83 trades2024-10: -41.9 R over 102 trades2024-102024-11: +16.3 R over 95 trades2024-12: -44.6 R over 81 trades2025-01: +17.3 R over 83 trades2025-02: -40.0 R over 89 trades2025-03: -23.6 R over 81 trades2025-04: -3.1 R over 99 trades2025-042025-05: -26.9 R over 88 trades2025-06: +10.1 R over 85 trades2025-07: -12.5 R over 83 trades2025-08: -19.5 R over 92 trades2025-09: -21.0 R over 108 trades2025-10: +7.5 R over 114 trades2025-102025-11: -21.5 R over 78 trades2025-12: -26.8 R over 90 trades2026-01: -23.6 R over 107 trades2026-02: -10.3 R over 104 trades2026-03: -13.5 R over 94 trades2026-04: +9.0 R over 83 trades2026-042026-05: -17.0 R over 46 trades2026-06: -0.8 R over 104 trades2026-07: -12.5 R over 115 trades2026-08: -2.6 R over 82 trades2026-09: -30.9 R over 124 trades+18 R-45 R

session_volume_ratio_z_20d < 1.429 (p90)

Honesty panelActive, net negative

Traded 1226 times out of sample, net negative beyond chance (-191.0 R, -0.156 R per trade, t = -3.0); still active in the last quarter (-71.7 R over 391 trades).

In sample
2023-09-30 to 2025-11-05
-348.8 R
2663 trades · 28% wins
-0.131 R per trade · t = -3.7, beyond chance
about 777 trades to confirm this mean (-0.131 R per trade) at t = -2 · shown: 2663
spread 0.076 R per trade
Out of sample
2025-11-05 to 2026-09-30
-191.0 R
1226 trades · 27% wins
-0.156 R per trade · t = -3.0, beyond chance
about 533 trades to confirm this mean (-0.156 R per trade) at t = -2 · shown: 1226
spread 0.065 R per trade
Last quarter
last 91 days of the window
-71.7 R
391 trades · 26% wins
-0.183 R per trade · t = -2.0, beyond chance
about 381 trades to confirm this mean (-0.183 R per trade) at t = -2 · shown: 391
spread 0.074 R per trade
Costs. Spread 0.073 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 -206.8 R (-0.169 R per trade over 1226 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,977 signals placed, 3,889 filled, 88 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 732.6 pips, 2.50 ATR); target 3.5 R; exits 70% at the stop, 20% at the target, 10% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (5,706 bars); max spread 50 pips (613 bars over it).

Monthly R, session_volume_ratio_z_20d < 1.429 on DJI30One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -20.9 R over 128 trades2023-102023-11: +36.4 R over 99 trades2023-12: +10.1 R over 93 trades2024-01: -23.3 R over 128 trades2024-02: -4.2 R over 87 trades2024-03: -4.0 R over 74 trades2024-04: -46.8 R over 124 trades2024-042024-05: -10.2 R over 96 trades2024-06: -28.7 R over 109 trades2024-07: -3.8 R over 108 trades2024-08: -3.8 R over 106 trades2024-09: -0.8 R over 107 trades2024-10: -47.8 R over 123 trades2024-102024-11: -0.2 R over 109 trades2024-12: -48.9 R over 92 trades2025-01: +13.3 R over 100 trades2025-02: -37.7 R over 102 trades2025-03: -25.3 R over 76 trades2025-04: -20.2 R over 116 trades2025-042025-05: -28.0 R over 107 trades2025-06: +8.1 R over 103 trades2025-07: -17.5 R over 104 trades2025-08: -14.0 R over 108 trades2025-09: -17.0 R over 118 trades2025-10: +1.2 R over 129 trades2025-102025-11: -22.9 R over 94 trades2025-12: -27.7 R over 112 trades2026-01: -22.8 R over 129 trades2026-02: -15.0 R over 129 trades2026-03: -26.1 R over 105 trades2026-04: +11.3 R over 104 trades2026-042026-05: -19.9 R over 56 trades2026-06: -10.9 R over 123 trades2026-07: -17.4 R over 132 trades2026-08: -14.9 R over 116 trades2026-09: -39.4 R over 143 trades+36 R-49 R

What session_volume_ratio_z_20d measures

Session volume ratio, 20-day z-score (zscore), on M5 bars. session_volume_ratio minus its trailing 5,760-bar mean, divided by that window's standard deviation.

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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.

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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.