Rule Collider

Backtests · US100 · price_above_ema20 · long

Does price_above_ema20 above 0 work on US100? 2023 to 2026 backtest

US100 long when Close above EMA20 is above the threshold, tested at five thresholds taken from the feature’s own distribution on US100 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 ATR, target 3.5 R, held overnight, max spread 30 pips, one-minute confirmation 65 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
p10, p25price_above_ema20 > 0-248.6 R / 2801-108.2 R / 1247-1.71,732-50.6 R / 387No edge shown

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

price_above_ema20 > 0 (p10, p25)

Honesty panelNo edge shown

No edge shown out of sample: -108.2 R over 1247 trades is -0.087 R per trade, within what chance produces (t = -1.7); about 1,732 trades would be needed to confirm this mean at t = -2, shown: 1247.

In sample
2023-09-30 to 2025-11-05
-248.6 R
2801 trades · 28% wins
-0.089 R per trade · t = -2.6, beyond chance
about 1,701 trades to confirm this mean (-0.089 R per trade) at t = -2 · shown: 2801
spread 0.088 R per trade
Out of sample
2025-11-05 to 2026-09-30
-108.2 R
1247 trades · 27% wins
-0.087 R per trade · t = -1.7, within chance
about 1,732 trades to confirm this mean (-0.087 R per trade) at t = -2 · shown: 1247
spread 0.053 R per trade
Last quarter
last 91 days of the window
-50.6 R
387 trades · 26% wins
-0.131 R per trade · t = -1.5, within chance
about 729 trades to confirm this mean (-0.131 R per trade) at t = -2 · shown: 387
spread 0.048 R per trade
Costs. Spread 0.077 R per trade at 1.25 times the bar’s minimum. Fill offset 0.08 stop-distances on every entry, measured on 1,037 demo fills. At 1.5 times the bar’s minimum the out-of-sample figure would read -121.4 R (-0.097 R per trade over 1247 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,095 signals placed, 4,048 filled, 47 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2 ATR (mean 439.4 pips, 2.00 ATR); target 3.5 R; exits 70% at the stop, 19% at the target, 10% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (4,904 bars); max spread 30 pips (0 bars over it); M1 confirmation 65 pips (11,450 signals rejected).

Monthly R, price_above_ema20 > 0 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -50.9 R over 125 trades2023-102023-11: +5.0 R over 93 trades2023-12: +12.8 R over 97 trades2024-01: -22.5 R over 134 trades2024-02: -9.9 R over 112 trades2024-03: -2.9 R over 72 trades2024-04: -37.9 R over 114 trades2024-042024-05: +2.2 R over 103 trades2024-06: +7.6 R over 95 trades2024-07: -17.1 R over 115 trades2024-08: +4.5 R over 124 trades2024-09: -4.2 R over 124 trades2024-10: +5.9 R over 122 trades2024-102024-11: -4.9 R over 105 trades2024-12: -6.4 R over 107 trades2025-01: -10.9 R over 117 trades2025-02: -15.4 R over 88 trades2025-03: -52.1 R over 99 trades2025-04: +9.0 R over 125 trades2025-042025-05: -5.2 R over 110 trades2025-06: -2.5 R over 127 trades2025-07: -24.5 R over 126 trades2025-08: -26.7 R over 111 trades2025-09: +1.4 R over 120 trades2025-10: +3.7 R over 129 trades2025-102025-11: -25.1 R over 113 trades2025-12: -25.2 R over 128 trades2026-01: -3.2 R over 116 trades2026-02: -7.5 R over 108 trades2026-03: -21.2 R over 116 trades2026-04: +19.6 R over 116 trades2026-042026-05: +14.2 R over 70 trades2026-06: -15.8 R over 100 trades2026-07: -38.7 R over 130 trades2026-08: -16.9 R over 125 trades2026-09: +5.0 R over 132 trades+20 R-52 R

What price_above_ema20 measures

Close above EMA20 (flag), on M5 bars. 1 when the bar closes above the 20-bar exponential average, else 0.

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.

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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.