Rule Collider

Backtests · US100 · price_vs_20d_low_atr · long

Does price_vs_20d_low_atr above 2.315 work on US100? 2023 to 2026 backtest

US100 long when Close vs 20-bar low (ATR) 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 2.5 ATR, target 3 R, held overnight, max spread 30 pips, one-minute confirmation 50 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
p10price_vs_20d_low_atr > 0.5295-235.7 R / 3028-148.8 R / 1393-2.4950-53.0 R / 431Active, net negative
p25price_vs_20d_low_atr > 1.196-256.8 R / 2851-113.8 R / 1269-1.91,359-38.9 R / 394No edge shown
p50price_vs_20d_low_atr > 2.315-140.5 R / 2440-77.5 R / 1047-1.51,990-28.2 R / 331No edge shown
p75price_vs_20d_low_atr > 3.782-35.6 R / 1790-54.2 R / 808-1.12,466-29.6 R / 256No edge shown
p90price_vs_20d_low_atr > 5.269-3.4 R / 1155-16.9 R / 512-0.410,940-41.8 R / 167No 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_vs_20d_low_atr > 0.5295 (p10)

Honesty panelActive, net negative

Traded 1393 times out of sample, net negative beyond chance (-148.8 R, -0.107 R per trade, t = -2.4); still active in the last quarter (-53.0 R over 431 trades).

In sample
2023-09-30 to 2025-11-05
-235.7 R
3028 trades · 31% wins
-0.078 R per trade · t = -2.6, beyond chance
about 1,830 trades to confirm this mean (-0.078 R per trade) at t = -2 · shown: 3028
spread 0.070 R per trade
Out of sample
2025-11-05 to 2026-09-30
-148.8 R
1393 trades · 29% wins
-0.107 R per trade · t = -2.4, beyond chance
about 950 trades to confirm this mean (-0.107 R per trade) at t = -2 · shown: 1393
spread 0.040 R per trade
Last quarter
last 91 days of the window
-53.0 R
431 trades · 29% wins
-0.123 R per trade · t = -1.6, within chance
about 699 trades to confirm this mean (-0.123 R per trade) at t = -2 · shown: 431
spread 0.037 R per trade
Costs. Spread 0.061 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 -160.0 R (-0.115 R per trade over 1393 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,466 signals placed, 4,421 filled, 45 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 559.9 pips, 2.50 ATR); target 3 R; exits 67% at the stop, 21% at the target, 12% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (2,339 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (5,619 signals rejected).

Monthly R, price_vs_20d_low_atr > 0.5295 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -34.7 R over 130 trades2023-102023-11: +14.1 R over 119 trades2023-12: +17.3 R over 120 trades2024-01: -17.7 R over 154 trades2024-02: -14.1 R over 112 trades2024-03: -4.8 R over 81 trades2024-04: -32.7 R over 131 trades2024-042024-05: +3.1 R over 116 trades2024-06: +4.9 R over 122 trades2024-07: -26.2 R over 135 trades2024-08: +5.5 R over 133 trades2024-09: -0.8 R over 133 trades2024-10: -22.6 R over 134 trades2024-102024-11: +6.3 R over 116 trades2024-12: -15.6 R over 103 trades2025-01: -4.1 R over 110 trades2025-02: -16.4 R over 103 trades2025-03: -42.8 R over 70 trades2025-04: -6.0 R over 123 trades2025-042025-05: -12.1 R over 123 trades2025-06: +13.5 R over 113 trades2025-07: -5.1 R over 131 trades2025-08: -28.4 R over 124 trades2025-09: +3.0 R over 135 trades2025-10: -7.8 R over 142 trades2025-102025-11: -35.0 R over 131 trades2025-12: -19.5 R over 142 trades2026-01: -2.3 R over 152 trades2026-02: -20.1 R over 114 trades2026-03: -39.0 R over 125 trades2026-04: +21.6 R over 110 trades2026-042026-05: +14.2 R over 70 trades2026-06: -27.3 R over 133 trades2026-07: -50.1 R over 160 trades2026-08: -11.2 R over 126 trades2026-09: +8.4 R over 145 trades+22 R-50 R

price_vs_20d_low_atr > 1.196 (p25)

Honesty panelNo edge shown

No edge shown out of sample: -113.8 R over 1269 trades is -0.090 R per trade, within what chance produces (t = -1.9); about 1,359 trades would be needed to confirm this mean at t = -2, shown: 1269.

In sample
2023-09-30 to 2025-11-05
-256.8 R
2851 trades · 31% wins
-0.090 R per trade · t = -2.9, beyond chance
about 1,354 trades to confirm this mean (-0.090 R per trade) at t = -2 · shown: 2851
spread 0.070 R per trade
Out of sample
2025-11-05 to 2026-09-30
-113.8 R
1269 trades · 29% wins
-0.090 R per trade · t = -1.9, within chance
about 1,359 trades to confirm this mean (-0.090 R per trade) at t = -2 · shown: 1269
spread 0.040 R per trade
Last quarter
last 91 days of the window
-38.9 R
394 trades · 30% wins
-0.099 R per trade · t = -1.2, within chance
about 1,089 trades to confirm this mean (-0.099 R per trade) at t = -2 · shown: 394
spread 0.037 R per trade
Costs. Spread 0.061 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 -124.0 R (-0.098 R per trade over 1269 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,164 signals placed, 4,120 filled, 44 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 562.7 pips, 2.50 ATR); target 3 R; exits 67% at the stop, 21% at the target, 12% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (2,836 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (5,788 signals rejected).

Monthly R, price_vs_20d_low_atr > 1.196 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -34.4 R over 117 trades2023-102023-11: +5.0 R over 113 trades2023-12: +14.9 R over 105 trades2024-01: -22.4 R over 146 trades2024-02: -10.4 R over 110 trades2024-03: -7.0 R over 68 trades2024-04: -27.2 R over 120 trades2024-042024-05: -5.7 R over 114 trades2024-06: +1.6 R over 106 trades2024-07: -21.3 R over 118 trades2024-08: +7.5 R over 133 trades2024-09: +2.1 R over 126 trades2024-10: -31.6 R over 137 trades2024-102024-11: +13.2 R over 102 trades2024-12: -18.8 R over 101 trades2025-01: +6.6 R over 105 trades2025-02: -12.9 R over 87 trades2025-03: -33.6 R over 85 trades2025-04: -4.3 R over 118 trades2025-042025-05: -22.8 R over 126 trades2025-06: +4.4 R over 114 trades2025-07: -1.7 R over 120 trades2025-08: -31.3 R over 114 trades2025-09: -11.3 R over 129 trades2025-10: -6.3 R over 128 trades2025-102025-11: -28.8 R over 114 trades2025-12: -19.9 R over 132 trades2026-01: +0.5 R over 128 trades2026-02: -20.3 R over 112 trades2026-03: -33.8 R over 116 trades2026-04: +23.4 R over 99 trades2026-042026-05: +16.5 R over 70 trades2026-06: -21.4 R over 113 trades2026-07: -42.0 R over 139 trades2026-08: -1.3 R over 117 trades2026-09: +4.4 R over 138 trades+23 R-42 R

price_vs_20d_low_atr > 2.315 (p50)

Honesty panelNo edge shown

No edge shown out of sample: -77.5 R over 1047 trades is -0.074 R per trade, within what chance produces (t = -1.5); about 1,990 trades would be needed to confirm this mean at t = -2, shown: 1047.

In sample
2023-09-30 to 2025-11-05
-140.5 R
2440 trades · 32% wins
-0.058 R per trade · t = -1.7, within chance
about 3,374 trades to confirm this mean (-0.058 R per trade) at t = -2 · shown: 2440
spread 0.073 R per trade
Out of sample
2025-11-05 to 2026-09-30
-77.5 R
1047 trades · 30% wins
-0.074 R per trade · t = -1.5, within chance
about 1,990 trades to confirm this mean (-0.074 R per trade) at t = -2 · shown: 1047
spread 0.042 R per trade
Last quarter
last 91 days of the window
-28.2 R
331 trades · 31% wins
-0.085 R per trade · t = -1.0, within chance
about 1,460 trades to confirm this mean (-0.085 R per trade) at t = -2 · shown: 331
spread 0.038 R per trade
Costs. Spread 0.064 R per trade at 1.25 times the bar’s minimum (more than the trades made before spread). 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 -86.3 R (-0.082 R per trade over 1047 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,519 signals placed, 3,487 filled, 32 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 542.4 pips, 2.50 ATR); target 3 R; exits 66% 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 (4,134 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (5,390 signals rejected).

Monthly R, price_vs_20d_low_atr > 2.315 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -36.7 R over 107 trades2023-102023-11: +4.6 R over 100 trades2023-12: +18.8 R over 85 trades2024-01: -10.2 R over 117 trades2024-02: -17.3 R over 97 trades2024-03: -13.6 R over 71 trades2024-04: -29.0 R over 97 trades2024-042024-05: +1.3 R over 102 trades2024-06: +12.8 R over 85 trades2024-07: -9.2 R over 97 trades2024-08: +18.5 R over 102 trades2024-09: -6.9 R over 110 trades2024-10: -11.5 R over 110 trades2024-102024-11: -3.6 R over 92 trades2024-12: +0.5 R over 88 trades2025-01: -3.3 R over 88 trades2025-02: -10.9 R over 81 trades2025-03: -31.7 R over 75 trades2025-04: +11.8 R over 99 trades2025-042025-05: -1.9 R over 99 trades2025-06: -2.9 R over 110 trades2025-07: -15.1 R over 116 trades2025-08: -24.1 R over 96 trades2025-09: +4.9 R over 104 trades2025-10: +16.8 R over 109 trades2025-102025-11: -15.8 R over 81 trades2025-12: -27.5 R over 108 trades2026-01: +7.9 R over 105 trades2026-02: -9.3 R over 92 trades2026-03: -26.6 R over 95 trades2026-04: +28.3 R over 92 trades2026-042026-05: +6.0 R over 58 trades2026-06: -14.9 R over 88 trades2026-07: -27.0 R over 112 trades2026-08: -10.8 R over 108 trades2026-09: +9.7 R over 111 trades+28 R-37 R

price_vs_20d_low_atr > 3.782 (p75)

Honesty panelNo edge shown

No edge shown out of sample: -54.2 R over 808 trades is -0.067 R per trade, within what chance produces (t = -1.1); about 2,466 trades would be needed to confirm this mean at t = -2, shown: 808.

In sample
2023-09-30 to 2025-11-05
-35.6 R
1790 trades · 34% wins
-0.020 R per trade · t = -0.5, within chance
about 28,509 trades to confirm this mean (-0.020 R per trade) at t = -2 · shown: 1790
spread 0.074 R per trade
Out of sample
2025-11-05 to 2026-09-30
-54.2 R
808 trades · 30% wins
-0.067 R per trade · t = -1.1, within chance
about 2,466 trades to confirm this mean (-0.067 R per trade) at t = -2 · shown: 808
spread 0.043 R per trade
Last quarter
last 91 days of the window
-29.6 R
256 trades · 29% wins
-0.116 R per trade · t = -1.1, within chance
about 795 trades to confirm this mean (-0.116 R per trade) at t = -2 · shown: 256
spread 0.039 R per trade
Costs. Spread 0.065 R per trade at 1.25 times the bar’s minimum (more than the trades made before spread). 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 -61.2 R (-0.076 R per trade over 808 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 2,630 signals placed, 2,598 filled, 32 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 520.2 pips, 2.50 ATR); target 3 R; exits 64% at the stop, 22% at the target, 14% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (6,662 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (3,976 signals rejected).

Monthly R, price_vs_20d_low_atr > 3.782 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -6.9 R over 61 trades2023-102023-11: +4.3 R over 63 trades2023-12: -2.6 R over 67 trades2024-01: -3.1 R over 84 trades2024-02: +6.6 R over 62 trades2024-03: -9.1 R over 43 trades2024-04: -15.2 R over 73 trades2024-042024-05: -0.2 R over 66 trades2024-06: +21.4 R over 63 trades2024-07: -9.0 R over 80 trades2024-08: +19.2 R over 81 trades2024-09: -1.7 R over 84 trades2024-10: -3.7 R over 86 trades2024-102024-11: -13.6 R over 77 trades2024-12: +5.4 R over 66 trades2025-01: -12.0 R over 79 trades2025-02: -15.6 R over 69 trades2025-03: -17.8 R over 52 trades2025-04: +6.8 R over 72 trades2025-042025-05: -1.6 R over 81 trades2025-06: +0.8 R over 74 trades2025-07: -2.7 R over 74 trades2025-08: -11.2 R over 66 trades2025-09: +7.3 R over 85 trades2025-10: +22.8 R over 78 trades2025-102025-11: -17.6 R over 64 trades2025-12: -18.8 R over 81 trades2026-01: +15.9 R over 77 trades2026-02: -15.8 R over 73 trades2026-03: -3.5 R over 68 trades2026-04: +16.5 R over 84 trades2026-042026-05: +3.3 R over 47 trades2026-06: -9.1 R over 62 trades2026-07: -19.3 R over 85 trades2026-08: -7.3 R over 80 trades2026-09: -3.1 R over 91 trades+23 R-19 R

price_vs_20d_low_atr > 5.269 (p90)

Honesty panelNo edge shown

No edge shown out of sample: -16.9 R over 512 trades is -0.033 R per trade, within what chance produces (t = -0.4); about 10,940 trades would be needed to confirm this mean at t = -2, shown: 512.

In sample
2023-09-30 to 2025-11-05
-3.4 R
1155 trades · 33% wins
-0.003 R per trade · t = -0.1, within chance
about 1,326,387 trades to confirm this mean (-0.003 R per trade) at t = -2 · shown: 1155
spread 0.073 R per trade
Out of sample
2025-11-05 to 2026-09-30
-16.9 R
512 trades · 31% wins
-0.033 R per trade · t = -0.4, within chance
about 10,940 trades to confirm this mean (-0.033 R per trade) at t = -2 · shown: 512
spread 0.044 R per trade
Last quarter
last 91 days of the window
-41.8 R
167 trades · 25% wins
-0.250 R per trade · t = -2.1, beyond chance
about 157 trades to confirm this mean (-0.250 R per trade) at t = -2 · shown: 167
spread 0.041 R per trade
Costs. Spread 0.064 R per trade at 1.25 times the bar’s minimum (more than the trades made before spread). 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 -21.5 R (-0.042 R per trade over 512 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 1,692 signals placed, 1,667 filled, 25 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 509.5 pips, 2.50 ATR); target 3 R; exits 64% at the stop, 23% at the target, 13% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (9,731 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (2,390 signals rejected).

Monthly R, price_vs_20d_low_atr > 5.269 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -18.2 R over 43 trades2023-102023-11: +20.3 R over 37 trades2023-12: -0.8 R over 40 trades2024-01: +18.2 R over 42 trades2024-02: -4.6 R over 41 trades2024-03: -13.9 R over 31 trades2024-04: -13.5 R over 44 trades2024-042024-05: +2.5 R over 40 trades2024-06: -4.6 R over 47 trades2024-07: +12.1 R over 47 trades2024-08: -3.4 R over 53 trades2024-09: +14.2 R over 53 trades2024-10: +7.0 R over 49 trades2024-102024-11: -2.1 R over 46 trades2024-12: +7.0 R over 39 trades2025-01: +9.5 R over 49 trades2025-02: -5.5 R over 46 trades2025-03: -11.6 R over 41 trades2025-04: -7.2 R over 56 trades2025-042025-05: +7.7 R over 50 trades2025-06: +3.7 R over 50 trades2025-07: -10.7 R over 51 trades2025-08: -12.9 R over 42 trades2025-09: +1.6 R over 57 trades2025-10: +1.3 R over 58 trades2025-102025-11: +1.7 R over 41 trades2025-12: +10.4 R over 45 trades2026-01: +6.4 R over 53 trades2026-02: -3.5 R over 43 trades2026-03: +4.0 R over 38 trades2026-04: +11.5 R over 51 trades2026-042026-05: -6.1 R over 32 trades2026-06: +1.0 R over 45 trades2026-07: -18.8 R over 58 trades2026-08: -16.1 R over 50 trades2026-09: -6.9 R over 59 trades+20 R-19 R

What price_vs_20d_low_atr measures

Close vs 20-bar low (ATR) (atr), on M5 bars. Close minus the lowest low of the last 20 M5 bars (this bar included), in ATR multiples; zero or positive, zero only when the bar closes exactly at the 20-bar low.

The name says 20d but the window is 20 bars (legacy naming, kept for compatibility).

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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.