Rule Collider

Backtests · US100 · price_vs_ema20_atr · long

Does price_vs_ema20_atr above 0.1533 work on US100? 2023 to 2026 backtest

US100 long when Close vs EMA20 (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 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
p10price_vs_ema20_atr > -1.646-202.1 R / 2794-133.7 R / 1233-2.3905-38.5 R / 376Active, net negative
p25price_vs_ema20_atr > -0.7811-187.5 R / 2554-102.6 R / 1138-1.91,317-35.6 R / 361No edge shown
p50price_vs_ema20_atr > 0.1533-179.8 R / 2290-67.8 R / 1003-1.32,362-38.5 R / 320No edge shown
p75price_vs_ema20_atr > 1.069-89.6 R / 1759-40.0 R / 801-0.84,462-25.7 R / 246No edge shown
p90price_vs_ema20_atr > 1.884+83.2 R / 1149+11.7 R / 5360.324,215-13.3 R / 169Net positive, not distinguishable from chance

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_ema20_atr > -1.646 (p10)

Honesty panelActive, net negative

Traded 1233 times out of sample, net negative beyond chance (-133.7 R, -0.108 R per trade, t = -2.3); still active in the last quarter (-38.5 R over 376 trades).

In sample
2023-09-30 to 2025-11-05
-202.1 R
2794 trades · 31% wins
-0.072 R per trade · t = -2.3, beyond chance
about 2,101 trades to confirm this mean (-0.072 R per trade) at t = -2 · shown: 2794
spread 0.070 R per trade
Out of sample
2025-11-05 to 2026-09-30
-133.7 R
1233 trades · 29% wins
-0.108 R per trade · t = -2.3, beyond chance
about 905 trades to confirm this mean (-0.108 R per trade) at t = -2 · shown: 1233
spread 0.040 R per trade
Last quarter
last 91 days of the window
-38.5 R
376 trades · 30% wins
-0.103 R per trade · t = -1.2, within chance
about 988 trades to confirm this mean (-0.103 R per trade) at t = -2 · shown: 376
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 -143.5 R (-0.116 R per trade over 1233 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,053 signals placed, 4,027 filled, 26 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 570.5 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 (2,447 bars); max spread 30 pips (0 bars over it); M1 confirmation 65 pips (11,323 signals rejected).

Monthly R, price_vs_ema20_atr > -1.646 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -43.8 R over 129 trades2023-102023-11: +15.1 R over 112 trades2023-12: +11.9 R over 111 trades2024-01: -6.8 R over 131 trades2024-02: -8.7 R over 110 trades2024-03: -1.0 R over 65 trades2024-04: -21.3 R over 114 trades2024-042024-05: -7.3 R over 115 trades2024-06: +1.3 R over 108 trades2024-07: -14.2 R over 118 trades2024-08: -1.2 R over 128 trades2024-09: +1.8 R over 126 trades2024-10: -25.9 R over 119 trades2024-102024-11: +8.7 R over 102 trades2024-12: -2.3 R over 88 trades2025-01: -0.4 R over 105 trades2025-02: -13.6 R over 87 trades2025-03: -32.3 R over 82 trades2025-04: -5.3 R over 125 trades2025-042025-05: -14.0 R over 114 trades2025-06: +7.7 R over 109 trades2025-07: -6.8 R over 123 trades2025-08: -33.2 R over 119 trades2025-09: +2.6 R over 116 trades2025-10: -4.6 R over 125 trades2025-102025-11: -33.6 R over 117 trades2025-12: -21.5 R over 118 trades2026-01: -8.4 R over 117 trades2026-02: -24.0 R over 114 trades2026-03: -33.6 R over 117 trades2026-04: +16.2 R over 113 trades2026-042026-05: +15.4 R over 68 trades2026-06: -14.3 R over 106 trades2026-07: -40.7 R over 134 trades2026-08: -0.9 R over 111 trades2026-09: +3.1 R over 131 trades+16 R-44 R

price_vs_ema20_atr > -0.7811 (p25)

Honesty panelNo edge shown

No edge shown out of sample: -102.6 R over 1138 trades is -0.090 R per trade, within what chance produces (t = -1.9); about 1,317 trades would be needed to confirm this mean at t = -2, shown: 1138.

In sample
2023-09-30 to 2025-11-05
-187.5 R
2554 trades · 31% wins
-0.073 R per trade · t = -2.2, beyond chance
about 2,044 trades to confirm this mean (-0.073 R per trade) at t = -2 · shown: 2554
spread 0.070 R per trade
Out of sample
2025-11-05 to 2026-09-30
-102.6 R
1138 trades · 30% wins
-0.090 R per trade · t = -1.9, within chance
about 1,317 trades to confirm this mean (-0.090 R per trade) at t = -2 · shown: 1138
spread 0.041 R per trade
Last quarter
last 91 days of the window
-35.6 R
361 trades · 31% wins
-0.099 R per trade · t = -1.2, within chance
about 1,069 trades to confirm this mean (-0.099 R per trade) at t = -2 · shown: 361
spread 0.038 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 -111.9 R (-0.098 R per trade over 1138 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,723 signals placed, 3,692 filled, 31 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 566.5 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 (3,201 bars); max spread 30 pips (0 bars over it); M1 confirmation 65 pips (11,268 signals rejected).

Monthly R, price_vs_ema20_atr > -0.7811 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -46.1 R over 122 trades2023-102023-11: +12.6 R over 98 trades2023-12: +10.2 R over 98 trades2024-01: -14.8 R over 121 trades2024-02: -9.7 R over 98 trades2024-03: -5.4 R over 55 trades2024-04: -23.7 R over 107 trades2024-042024-05: -7.2 R over 102 trades2024-06: +0.1 R over 99 trades2024-07: -11.0 R over 104 trades2024-08: +24.5 R over 114 trades2024-09: +4.0 R over 114 trades2024-10: -24.5 R over 120 trades2024-102024-11: +4.6 R over 93 trades2024-12: -4.9 R over 96 trades2025-01: -0.9 R over 93 trades2025-02: -16.3 R over 83 trades2025-03: -44.1 R over 63 trades2025-04: +8.1 R over 107 trades2025-042025-05: -22.1 R over 121 trades2025-06: +7.7 R over 100 trades2025-07: -11.5 R over 111 trades2025-08: -32.8 R over 106 trades2025-09: +6.0 R over 116 trades2025-10: +14.8 R over 107 trades2025-102025-11: -22.8 R over 97 trades2025-12: -21.4 R over 109 trades2026-01: +3.2 R over 106 trades2026-02: -19.4 R over 105 trades2026-03: -28.1 R over 106 trades2026-04: +23.0 R over 99 trades2026-042026-05: +11.4 R over 64 trades2026-06: -18.4 R over 97 trades2026-07: -29.1 R over 125 trades2026-08: -4.7 R over 108 trades2026-09: -1.8 R over 128 trades+25 R-46 R

price_vs_ema20_atr > 0.1533 (p50)

Honesty panelNo edge shown

No edge shown out of sample: -67.8 R over 1003 trades is -0.068 R per trade, within what chance produces (t = -1.3); about 2,362 trades would be needed to confirm this mean at t = -2, shown: 1003.

In sample
2023-09-30 to 2025-11-05
-179.8 R
2290 trades · 31% wins
-0.079 R per trade · t = -2.3, beyond chance
about 1,788 trades to confirm this mean (-0.079 R per trade) at t = -2 · shown: 2290
spread 0.072 R per trade
Out of sample
2025-11-05 to 2026-09-30
-67.8 R
1003 trades · 31% wins
-0.068 R per trade · t = -1.3, within chance
about 2,362 trades to confirm this mean (-0.068 R per trade) at t = -2 · shown: 1003
spread 0.042 R per trade
Last quarter
last 91 days of the window
-38.5 R
320 trades · 29% wins
-0.120 R per trade · t = -1.3, within chance
about 713 trades to confirm this mean (-0.120 R per trade) at t = -2 · shown: 320
spread 0.038 R per trade
Costs. Spread 0.063 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 -76.2 R (-0.076 R per trade over 1003 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,320 signals placed, 3,293 filled, 27 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 549.9 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 (4,415 bars); max spread 30 pips (0 bars over it); M1 confirmation 65 pips (9,732 signals rejected).

Monthly R, price_vs_ema20_atr > 0.1533 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -31.8 R over 100 trades2023-102023-11: +6.3 R over 82 trades2023-12: +10.6 R over 82 trades2024-01: -13.3 R over 106 trades2024-02: -6.3 R over 86 trades2024-03: -5.3 R over 64 trades2024-04: -22.8 R over 88 trades2024-042024-05: -8.0 R over 85 trades2024-06: -4.8 R over 90 trades2024-07: -11.8 R over 96 trades2024-08: +7.5 R over 107 trades2024-09: -1.6 R over 98 trades2024-10: -6.9 R over 106 trades2024-102024-11: -4.2 R over 87 trades2024-12: -0.2 R over 87 trades2025-01: -8.4 R over 97 trades2025-02: -10.4 R over 69 trades2025-03: -36.1 R over 66 trades2025-04: +2.5 R over 101 trades2025-042025-05: -0.2 R over 86 trades2025-06: +11.7 R over 96 trades2025-07: -21.9 R over 108 trades2025-08: -23.4 R over 89 trades2025-09: +3.4 R over 104 trades2025-10: +1.4 R over 104 trades2025-102025-11: -23.4 R over 87 trades2025-12: -24.5 R over 101 trades2026-01: +8.5 R over 97 trades2026-02: -1.5 R over 86 trades2026-03: -14.6 R over 79 trades2026-04: +24.3 R over 96 trades2026-042026-05: +13.5 R over 56 trades2026-06: -17.5 R over 87 trades2026-07: -30.2 R over 110 trades2026-08: -10.1 R over 99 trades2026-09: +1.8 R over 111 trades+24 R-36 R

price_vs_ema20_atr > 1.069 (p75)

Honesty panelNo edge shown

No edge shown out of sample: -40.0 R over 801 trades is -0.050 R per trade, within what chance produces (t = -0.8); about 4,462 trades would be needed to confirm this mean at t = -2, shown: 801.

In sample
2023-09-30 to 2025-11-05
-89.6 R
1759 trades · 32% wins
-0.051 R per trade · t = -1.3, within chance
about 4,443 trades to confirm this mean (-0.051 R per trade) at t = -2 · shown: 1759
spread 0.073 R per trade
Out of sample
2025-11-05 to 2026-09-30
-40.0 R
801 trades · 31% wins
-0.050 R per trade · t = -0.8, within chance
about 4,462 trades to confirm this mean (-0.050 R per trade) at t = -2 · shown: 801
spread 0.043 R per trade
Last quarter
last 91 days of the window
-25.7 R
246 trades · 29% wins
-0.104 R per trade · t = -1.0, within chance
about 993 trades to confirm this mean (-0.104 R per trade) at t = -2 · shown: 246
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 -46.8 R (-0.058 R per trade over 801 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 2,580 signals placed, 2,560 filled, 20 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 533.2 pips, 2.50 ATR); target 3 R; exits 65% at the stop, 22% at the target, 13% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (7,206 bars); max spread 30 pips (0 bars over it); M1 confirmation 65 pips (6,538 signals rejected).

Monthly R, price_vs_ema20_atr > 1.069 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -22.3 R over 73 trades2023-102023-11: +8.2 R over 61 trades2023-12: +26.2 R over 51 trades2024-01: -5.3 R over 76 trades2024-02: +8.6 R over 60 trades2024-03: +2.9 R over 49 trades2024-04: -8.4 R over 60 trades2024-042024-05: -3.9 R over 65 trades2024-06: +2.9 R over 70 trades2024-07: -3.7 R over 64 trades2024-08: -7.8 R over 82 trades2024-09: -14.3 R over 94 trades2024-10: -13.7 R over 76 trades2024-102024-11: -13.7 R over 75 trades2024-12: -1.4 R over 69 trades2025-01: -10.4 R over 79 trades2025-02: -8.1 R over 63 trades2025-03: -22.1 R over 56 trades2025-04: +7.8 R over 76 trades2025-042025-05: +1.0 R over 81 trades2025-06: +6.9 R over 74 trades2025-07: -5.8 R over 73 trades2025-08: -11.9 R over 68 trades2025-09: -2.6 R over 80 trades2025-10: +4.8 R over 80 trades2025-102025-11: -17.3 R over 68 trades2025-12: -25.4 R over 82 trades2026-01: +29.9 R over 73 trades2026-02: -5.1 R over 66 trades2026-03: -14.7 R over 74 trades2026-04: +17.4 R over 86 trades2026-042026-05: +6.2 R over 47 trades2026-06: -9.1 R over 63 trades2026-07: -21.4 R over 89 trades2026-08: -6.2 R over 75 trades2026-09: +2.0 R over 82 trades+30 R-25 R

price_vs_ema20_atr > 1.884 (p90)

Honesty panelNet positive, not distinguishable from chance

Net positive out of sample, not yet distinguishable from chance: +11.7 R over 536 trades is +0.022 R per trade, t = 0.3; about 24,215 trades would be needed to confirm this mean at t = 2, shown: 536; last quarter -13.3 R over 169 trades.

In sample
2023-09-30 to 2025-11-05
+83.2 R
1149 trades · 35% wins
+0.072 R per trade · t = 1.4, within chance
about 2,314 trades to confirm this mean (+0.072 R per trade) at t = 2 · shown: 1149
spread 0.071 R per trade
Out of sample
2025-11-05 to 2026-09-30
+11.7 R
536 trades · 33% wins
+0.022 R per trade · t = 0.3, within chance
about 24,215 trades to confirm this mean (+0.022 R per trade) at t = 2 · shown: 536
spread 0.044 R per trade
Last quarter
last 91 days of the window
-13.3 R
169 trades · 30% wins
-0.079 R per trade · t = -0.6, within chance
about 1,797 trades to confirm this mean (-0.079 R per trade) at t = -2 · shown: 169
spread 0.039 R per trade
Costs. Spread 0.062 R per trade at 1.25 times the bar’s minimum (53% of the gross). 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 +7.0 R (+0.013 R per trade over 536 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 1,694 signals placed, 1,685 filled, 9 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 512.1 pips, 2.50 ATR); target 3 R; exits 62% at the stop, 25% at the target, 13% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (9,788 bars); max spread 30 pips (0 bars over it); M1 confirmation 65 pips (3,342 signals rejected).

Monthly R, price_vs_ema20_atr > 1.884 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -8.6 R over 40 trades2023-102023-11: +12.6 R over 35 trades2023-12: +6.8 R over 35 trades2024-01: +17.1 R over 46 trades2024-02: -1.6 R over 40 trades2024-03: -3.4 R over 34 trades2024-04: +10.4 R over 34 trades2024-042024-05: +9.2 R over 41 trades2024-06: +2.4 R over 44 trades2024-07: +17.0 R over 44 trades2024-08: -13.7 R over 58 trades2024-09: -4.1 R over 57 trades2024-10: -1.2 R over 51 trades2024-102024-11: -4.4 R over 50 trades2024-12: +25.2 R over 37 trades2025-01: -13.6 R over 59 trades2025-02: -6.1 R over 40 trades2025-03: -3.8 R over 40 trades2025-04: +5.5 R over 61 trades2025-042025-05: +7.6 R over 54 trades2025-06: +17.1 R over 55 trades2025-07: -4.6 R over 45 trades2025-08: -8.8 R over 44 trades2025-09: +7.0 R over 51 trades2025-10: +18.5 R over 51 trades2025-102025-11: +4.0 R over 40 trades2025-12: -9.0 R over 43 trades2026-01: +7.4 R over 55 trades2026-02: +0.9 R over 47 trades2026-03: +4.4 R over 49 trades2026-04: +12.1 R over 59 trades2026-042026-05: +1.9 R over 38 trades2026-06: +4.1 R over 39 trades2026-07: -15.5 R over 64 trades2026-08: +0.0 R over 48 trades2026-09: +2.1 R over 57 trades+25 R-15 R

What price_vs_ema20_atr measures

Close vs EMA20 (ATR) (atr), on M5 bars. Distance of the close from the 20-bar exponential average, in multiples of the ATR(14).

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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.