Rule Collider

Backtests · US100 · roc_20_atr_z_60d · long

Does roc_20_atr_z_60d above -0.01235 work on US100? 2023 to 2026 backtest

US100 long when 20-bar change, 60-day z-score 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 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
p10roc_20_atr_z_60d > -1.25-283.1 R / 3704-190.8 R / 1672-2.6999-68.7 R / 507Active, net negative
p25roc_20_atr_z_60d > -0.6791-295.9 R / 3407-147.8 R / 1504-2.11,357-78.4 R / 474Active, net negative
p50roc_20_atr_z_60d > -0.01235-217.2 R / 2953-113.6 R / 1262-1.81,623-36.7 R / 381No edge shown
p75roc_20_atr_z_60d > 0.6605-61.5 R / 2231-36.1 R / 930-0.69,307-41.8 R / 281No edge shown
p90roc_20_atr_z_60d > 1.273-33.8 R / 1467+38.8 R / 5440.92,831-9.2 R / 147Net 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

roc_20_atr_z_60d > -1.25 (p10)

Honesty panelActive, net negative

Traded 1672 times out of sample, net negative beyond chance (-190.8 R, -0.114 R per trade, t = -2.6); still active in the last quarter (-68.7 R over 507 trades).

In sample
2023-09-30 to 2025-11-05
-283.1 R
3704 trades · 28% wins
-0.076 R per trade · t = -2.5, beyond chance
about 2,335 trades to confirm this mean (-0.076 R per trade) at t = -2 · shown: 3704
spread 0.087 R per trade
Out of sample
2025-11-05 to 2026-09-30
-190.8 R
1672 trades · 26% wins
-0.114 R per trade · t = -2.6, beyond chance
about 999 trades to confirm this mean (-0.114 R per trade) at t = -2 · shown: 1672
spread 0.052 R per trade
Last quarter
last 91 days of the window
-68.7 R
507 trades · 26% wins
-0.136 R per trade · t = -1.7, within chance
about 675 trades to confirm this mean (-0.136 R per trade) at t = -2 · shown: 507
spread 0.046 R per trade
Costs. Spread 0.076 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 -208.1 R (-0.124 R per trade over 1672 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 5,419 signals placed, 5,376 filled, 43 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2 ATR (mean 440.8 pips, 2.00 ATR); target 3.5 R; exits 71% at the stop, 20% at the target, 9% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (3,088 bars); max spread 30 pips (0 bars over it); M1 confirmation 25 pips (1,942 signals rejected).

Monthly R, roc_20_atr_z_60d > -1.25 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -23.6 R over 164 trades2023-102023-11: +23.5 R over 140 trades2023-12: +16.7 R over 154 trades2024-01: -23.3 R over 185 trades2024-02: -15.1 R over 136 trades2024-03: -5.0 R over 107 trades2024-04: -42.8 R over 146 trades2024-042024-05: -5.5 R over 154 trades2024-06: +22.3 R over 132 trades2024-07: -31.4 R over 166 trades2024-08: +14.0 R over 148 trades2024-09: -18.7 R over 163 trades2024-10: -28.7 R over 167 trades2024-102024-11: +0.6 R over 136 trades2024-12: +5.4 R over 125 trades2025-01: -6.1 R over 145 trades2025-02: -21.9 R over 108 trades2025-03: -46.0 R over 111 trades2025-04: -4.1 R over 172 trades2025-042025-05: -22.1 R over 152 trades2025-06: +23.5 R over 145 trades2025-07: -6.8 R over 153 trades2025-08: -54.7 R over 149 trades2025-09: -11.3 R over 168 trades2025-10: -8.6 R over 161 trades2025-102025-11: -30.9 R over 150 trades2025-12: -33.5 R over 173 trades2026-01: +0.1 R over 154 trades2026-02: -25.0 R over 142 trades2026-03: -50.7 R over 173 trades2026-04: +22.3 R over 137 trades2026-042026-05: +12.9 R over 85 trades2026-06: -30.5 R over 168 trades2026-07: -60.3 R over 193 trades2026-08: -5.2 R over 141 trades2026-09: -3.2 R over 173 trades+24 R-60 R

roc_20_atr_z_60d > -0.6791 (p25)

Honesty panelActive, net negative

Traded 1504 times out of sample, net negative beyond chance (-147.8 R, -0.098 R per trade, t = -2.1); still active in the last quarter (-78.4 R over 474 trades).

In sample
2023-09-30 to 2025-11-05
-295.9 R
3407 trades · 28% wins
-0.087 R per trade · t = -2.8, beyond chance
about 1,796 trades to confirm this mean (-0.087 R per trade) at t = -2 · shown: 3407
spread 0.091 R per trade
Out of sample
2025-11-05 to 2026-09-30
-147.8 R
1504 trades · 26% wins
-0.098 R per trade · t = -2.1, beyond chance
about 1,357 trades to confirm this mean (-0.098 R per trade) at t = -2 · shown: 1504
spread 0.053 R per trade
Last quarter
last 91 days of the window
-78.4 R
474 trades · 25% wins
-0.165 R per trade · t = -2.1, beyond chance
about 442 trades to confirm this mean (-0.165 R per trade) at t = -2 · shown: 474
spread 0.047 R per trade
Costs. Spread 0.079 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 -163.7 R (-0.109 R per trade over 1504 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,959 signals placed, 4,911 filled, 48 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2 ATR (mean 427.4 pips, 2.00 ATR); target 3.5 R; exits 71% at the stop, 20% at the target, 9% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (3,903 bars); max spread 30 pips (0 bars over it); M1 confirmation 25 pips (1,959 signals rejected).

Monthly R, roc_20_atr_z_60d > -0.6791 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -49.9 R over 155 trades2023-102023-11: +9.6 R over 137 trades2023-12: +1.9 R over 142 trades2024-01: -26.1 R over 169 trades2024-02: -16.7 R over 139 trades2024-03: +0.4 R over 97 trades2024-04: -45.2 R over 139 trades2024-042024-05: -6.7 R over 131 trades2024-06: +21.0 R over 119 trades2024-07: -16.0 R over 140 trades2024-08: +12.6 R over 143 trades2024-09: -19.5 R over 155 trades2024-10: -29.4 R over 158 trades2024-102024-11: -7.0 R over 118 trades2024-12: -19.2 R over 134 trades2025-01: -7.4 R over 115 trades2025-02: -32.4 R over 118 trades2025-03: -46.3 R over 113 trades2025-04: +8.6 R over 145 trades2025-042025-05: -13.0 R over 130 trades2025-06: +14.8 R over 137 trades2025-07: -2.4 R over 144 trades2025-08: -30.3 R over 142 trades2025-09: +3.7 R over 146 trades2025-10: +12.2 R over 128 trades2025-102025-11: -30.3 R over 134 trades2025-12: -30.6 R over 158 trades2026-01: +1.0 R over 152 trades2026-02: -19.3 R over 136 trades2026-03: -41.2 R over 134 trades2026-04: +20.9 R over 137 trades2026-042026-05: +20.5 R over 77 trades2026-06: -3.6 R over 115 trades2026-07: -62.4 R over 175 trades2026-08: -13.7 R over 141 trades2026-09: -2.3 R over 158 trades+21 R-62 R

roc_20_atr_z_60d > -0.01235 (p50)

Honesty panelNo edge shown

No edge shown out of sample: -113.6 R over 1262 trades is -0.090 R per trade, within what chance produces (t = -1.8); about 1,623 trades would be needed to confirm this mean at t = -2, shown: 1262.

In sample
2023-09-30 to 2025-11-05
-217.2 R
2953 trades · 28% wins
-0.074 R per trade · t = -2.2, beyond chance
about 2,527 trades to confirm this mean (-0.074 R per trade) at t = -2 · shown: 2953
spread 0.095 R per trade
Out of sample
2025-11-05 to 2026-09-30
-113.6 R
1262 trades · 27% wins
-0.090 R per trade · t = -1.8, within chance
about 1,623 trades to confirm this mean (-0.090 R per trade) at t = -2 · shown: 1262
spread 0.055 R per trade
Last quarter
last 91 days of the window
-36.7 R
381 trades · 27% wins
-0.096 R per trade · t = -1.0, within chance
about 1,394 trades to confirm this mean (-0.096 R per trade) at t = -2 · shown: 381
spread 0.049 R per trade
Costs. Spread 0.083 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 -127.5 R (-0.101 R per trade over 1262 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,268 signals placed, 4,215 filled, 53 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2 ATR (mean 408.9 pips, 2.00 ATR); target 3.5 R; exits 71% at the stop, 20% at the target, 9% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (5,478 bars); max spread 30 pips (0 bars over it); M1 confirmation 25 pips (1,912 signals rejected).

Monthly R, roc_20_atr_z_60d > -0.01235 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -52.8 R over 131 trades2023-102023-11: +3.8 R over 126 trades2023-12: -0.1 R over 128 trades2024-01: -10.7 R over 148 trades2024-02: -8.2 R over 124 trades2024-03: +6.2 R over 96 trades2024-04: -48.2 R over 112 trades2024-042024-05: -7.5 R over 114 trades2024-06: +19.1 R over 99 trades2024-07: -1.4 R over 126 trades2024-08: +14.4 R over 120 trades2024-09: -27.0 R over 131 trades2024-10: -24.4 R over 142 trades2024-102024-11: -2.7 R over 99 trades2024-12: +5.8 R over 109 trades2025-01: +0.7 R over 108 trades2025-02: -23.3 R over 95 trades2025-03: -30.6 R over 83 trades2025-04: +5.7 R over 126 trades2025-042025-05: -3.1 R over 119 trades2025-06: -8.8 R over 129 trades2025-07: -14.2 R over 132 trades2025-08: -22.8 R over 113 trades2025-09: +5.8 R over 126 trades2025-10: +13.1 R over 111 trades2025-102025-11: -23.7 R over 106 trades2025-12: -40.9 R over 129 trades2026-01: +5.7 R over 121 trades2026-02: -18.1 R over 112 trades2026-03: -23.2 R over 119 trades2026-04: +22.8 R over 123 trades2026-042026-05: +6.4 R over 75 trades2026-06: -11.8 R over 102 trades2026-07: -32.5 R over 128 trades2026-08: -10.6 R over 113 trades2026-09: +6.3 R over 140 trades+23 R-53 R

roc_20_atr_z_60d > 0.6605 (p75)

Honesty panelNo edge shown

No edge shown out of sample: -36.1 R over 930 trades is -0.039 R per trade, within what chance produces (t = -0.6); about 9,307 trades would be needed to confirm this mean at t = -2, shown: 930.

In sample
2023-09-30 to 2025-11-05
-61.5 R
2231 trades · 29% wins
-0.028 R per trade · t = -0.7, within chance
about 18,732 trades to confirm this mean (-0.028 R per trade) at t = -2 · shown: 2231
spread 0.102 R per trade
Out of sample
2025-11-05 to 2026-09-30
-36.1 R
930 trades · 27% wins
-0.039 R per trade · t = -0.6, within chance
about 9,307 trades to confirm this mean (-0.039 R per trade) at t = -2 · shown: 930
spread 0.056 R per trade
Last quarter
last 91 days of the window
-41.8 R
281 trades · 25% wins
-0.149 R per trade · t = -1.4, within chance
about 575 trades to confirm this mean (-0.149 R per trade) at t = -2 · shown: 281
spread 0.050 R per trade
Costs. Spread 0.088 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 -46.5 R (-0.050 R per trade over 930 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,208 signals placed, 3,161 filled, 47 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2 ATR (mean 390.7 pips, 2.00 ATR); target 3.5 R; exits 69% at the stop, 21% at the target, 10% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (7,728 bars); max spread 30 pips (0 bars over it); M1 confirmation 25 pips (1,619 signals rejected).

Monthly R, roc_20_atr_z_60d > 0.6605 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -8.0 R over 84 trades2023-102023-11: -5.7 R over 94 trades2023-12: +8.8 R over 83 trades2024-01: -4.7 R over 102 trades2024-02: -2.6 R over 87 trades2024-03: -0.3 R over 53 trades2024-04: -13.8 R over 84 trades2024-042024-05: +3.1 R over 85 trades2024-06: +18.5 R over 82 trades2024-07: -2.7 R over 86 trades2024-08: +9.2 R over 94 trades2024-09: -21.5 R over 112 trades2024-10: -5.9 R over 102 trades2024-102024-11: -18.5 R over 83 trades2024-12: +1.6 R over 81 trades2025-01: +1.0 R over 93 trades2025-02: -24.2 R over 82 trades2025-03: -18.6 R over 68 trades2025-04: +12.8 R over 100 trades2025-042025-05: +4.4 R over 99 trades2025-06: +2.0 R over 95 trades2025-07: -6.7 R over 94 trades2025-08: -23.9 R over 92 trades2025-09: +9.0 R over 103 trades2025-10: +27.5 R over 87 trades2025-102025-11: -16.5 R over 74 trades2025-12: -18.3 R over 87 trades2026-01: +26.2 R over 94 trades2026-02: +0.0 R over 72 trades2026-03: -18.5 R over 93 trades2026-04: +20.5 R over 103 trades2026-042026-05: +16.8 R over 57 trades2026-06: -6.8 R over 75 trades2026-07: -35.1 R over 96 trades2026-08: -22.6 R over 89 trades2026-09: +15.9 R over 96 trades+28 R-35 R

roc_20_atr_z_60d > 1.273 (p90)

Honesty panelNet positive, not distinguishable from chance

Net positive out of sample, not yet distinguishable from chance: +38.8 R over 544 trades is +0.071 R per trade, t = 0.9; about 2,831 trades would be needed to confirm this mean at t = 2, shown: 544; last quarter -9.2 R over 147 trades.

In sample
2023-09-30 to 2025-11-05
-33.8 R
1467 trades · 29% wins
-0.023 R per trade · t = -0.5, within chance
about 26,655 trades to confirm this mean (-0.023 R per trade) at t = -2 · shown: 1467
spread 0.100 R per trade
Out of sample
2025-11-05 to 2026-09-30
+38.8 R
544 trades · 30% wins
+0.071 R per trade · t = 0.9, within chance
about 2,831 trades to confirm this mean (+0.071 R per trade) at t = 2 · shown: 544
spread 0.058 R per trade
Last quarter
last 91 days of the window
-9.2 R
147 trades · 27% wins
-0.063 R per trade · t = -0.4, within chance
about 3,487 trades to confirm this mean (-0.063 R per trade) at t = -2 · shown: 147
spread 0.052 R per trade
Costs. Spread 0.089 R per trade at 1.25 times the bar’s minimum (97% 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 +32.5 R (+0.060 R per trade over 544 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 2,032 signals placed, 2,011 filled, 21 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2 ATR (mean 378.0 pips, 2.00 ATR); target 3.5 R; exits 68% at the stop, 22% at the target, 10% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (10,247 bars); max spread 30 pips (0 bars over it); M1 confirmation 25 pips (1,059 signals rejected).

Monthly R, roc_20_atr_z_60d > 1.273 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -5.2 R over 55 trades2023-102023-11: +18.1 R over 49 trades2023-12: +7.9 R over 54 trades2024-01: -1.3 R over 57 trades2024-02: -18.2 R over 57 trades2024-03: -2.6 R over 36 trades2024-04: +0.1 R over 51 trades2024-042024-05: -5.0 R over 58 trades2024-06: +4.7 R over 52 trades2024-07: +10.7 R over 58 trades2024-08: -10.5 R over 64 trades2024-09: +7.5 R over 63 trades2024-10: -1.1 R over 66 trades2024-102024-11: -7.7 R over 58 trades2024-12: +13.0 R over 53 trades2025-01: +1.3 R over 66 trades2025-02: -12.6 R over 56 trades2025-03: -21.5 R over 59 trades2025-04: -7.9 R over 70 trades2025-042025-05: -3.2 R over 61 trades2025-06: +7.3 R over 70 trades2025-07: -23.0 R over 63 trades2025-08: -5.3 R over 54 trades2025-09: +27.6 R over 61 trades2025-10: -6.7 R over 72 trades2025-102025-11: +2.2 R over 44 trades2025-12: +7.9 R over 46 trades2026-01: +10.8 R over 66 trades2026-02: -6.1 R over 54 trades2026-03: +8.4 R over 52 trades2026-04: +15.0 R over 63 trades2026-042026-05: +11.7 R over 35 trades2026-06: -1.9 R over 41 trades2026-07: -8.0 R over 45 trades2026-08: -3.6 R over 39 trades2026-09: +2.3 R over 63 trades+28 R-23 R

What roc_20_atr_z_60d measures

20-bar change, 60-day z-score (zscore), on M5 bars. roc_20_atr minus its trailing 17,280-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.