Rule Collider

Backtests · US100 · volume_ratio_pct_20d · long

Does volume_ratio_pct_20d below 0.5003 work on US100? 2023 to 2026 backtest

US100 long when Volume ratio, 20-day percentile is below 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 2.5 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
p10volume_ratio_pct_20d < 0.1016-49.8 R / 626-24.3 R / 406-0.73,133-21.5 R / 108No edge shown
p25volume_ratio_pct_20d < 0.2514-166.6 R / 1572-33.9 R / 807-0.85,656-5.2 R / 262No edge shown
p50volume_ratio_pct_20d < 0.5003-213.6 R / 2362-120.5 R / 1154-2.3838-25.7 R / 351Active, net negative
p75volume_ratio_pct_20d < 0.7481-211.6 R / 2760-122.5 R / 1284-2.31,002-47.3 R / 400Active, net negative
p90volume_ratio_pct_20d < 0.8979-306.1 R / 3094-126.1 R / 1418-2.21,161-49.7 R / 456Active, 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

volume_ratio_pct_20d < 0.1016 (p10)

Honesty panelNo edge shown

No edge shown out of sample: -24.3 R over 406 trades is -0.060 R per trade, within what chance produces (t = -0.7); about 3,133 trades would be needed to confirm this mean at t = -2, shown: 406.

In sample
2023-09-30 to 2025-11-05
-49.8 R
626 trades · 32% wins
-0.080 R per trade · t = -1.2, within chance
about 1,666 trades to confirm this mean (-0.080 R per trade) at t = -2 · shown: 626
spread 0.097 R per trade
Out of sample
2025-11-05 to 2026-09-30
-24.3 R
406 trades · 31% wins
-0.060 R per trade · t = -0.7, within chance
about 3,133 trades to confirm this mean (-0.060 R per trade) at t = -2 · shown: 406
spread 0.061 R per trade
Last quarter
last 91 days of the window
-21.5 R
108 trades · 27% wins
-0.199 R per trade · t = -1.3, within chance
about 246 trades to confirm this mean (-0.199 R per trade) at t = -2 · shown: 108
spread 0.055 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 -29.2 R (-0.072 R per trade over 406 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 1,048 signals placed, 1,032 filled, 16 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 410.1 pips, 2.50 ATR); target 2.5 R; exits 68% at the stop, 31% at the target, 1% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (15,094 bars); max spread 30 pips (2 bars over it); M1 confirmation 50 pips (2,562 signals rejected).

Monthly R, volume_ratio_pct_20d < 0.1016 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -19.9 R over 21 trades2023-102023-11: +5.4 R over 18 trades2023-12: +11.4 R over 13 trades2024-01: -4.2 R over 23 trades2024-02: -1.7 R over 16 trades2024-03: -1.4 R over 21 trades2024-04: -12.8 R over 28 trades2024-042024-05: -6.1 R over 19 trades2024-06: -4.6 R over 21 trades2024-07: +1.8 R over 25 trades2024-08: +0.5 R over 27 trades2024-09: -8.5 R over 28 trades2024-10: -12.3 R over 28 trades2024-102024-11: -2.8 R over 26 trades2024-12: -0.3 R over 27 trades2025-01: +2.8 R over 25 trades2025-02: -9.2 R over 26 trades2025-03: -6.7 R over 27 trades2025-04: +2.5 R over 26 trades2025-042025-05: -7.5 R over 34 trades2025-06: +5.6 R over 32 trades2025-07: +2.0 R over 32 trades2025-08: -7.3 R over 27 trades2025-09: +15.5 R over 25 trades2025-10: +8.7 R over 27 trades2025-102025-11: -6.3 R over 41 trades2025-12: -20.7 R over 49 trades2026-01: +2.6 R over 38 trades2026-02: -0.8 R over 42 trades2026-03: -0.2 R over 37 trades2026-04: +1.2 R over 41 trades2026-042026-05: +8.6 R over 14 trades2026-06: +11.6 R over 40 trades2026-07: -6.3 R over 46 trades2026-08: -14.4 R over 34 trades2026-09: -0.8 R over 28 trades+15 R-21 R

volume_ratio_pct_20d < 0.2514 (p25)

Honesty panelNo edge shown

No edge shown out of sample: -33.9 R over 807 trades is -0.042 R per trade, within what chance produces (t = -0.8); about 5,656 trades would be needed to confirm this mean at t = -2, shown: 807.

In sample
2023-09-30 to 2025-11-05
-166.6 R
1572 trades · 33% wins
-0.106 R per trade · t = -2.7, beyond chance
about 855 trades to confirm this mean (-0.106 R per trade) at t = -2 · shown: 1572
spread 0.087 R per trade
Out of sample
2025-11-05 to 2026-09-30
-33.9 R
807 trades · 33% wins
-0.042 R per trade · t = -0.8, within chance
about 5,656 trades to confirm this mean (-0.042 R per trade) at t = -2 · shown: 807
spread 0.053 R per trade
Last quarter
last 91 days of the window
-5.2 R
262 trades · 33% wins
-0.020 R per trade · t = -0.2, within chance
about 25,807 trades to confirm this mean (-0.020 R per trade) at t = -2 · shown: 262
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 -42.4 R (-0.053 R per trade over 807 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 2,417 signals placed, 2,379 filled, 38 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 412.7 pips, 2.50 ATR); target 2.5 R; exits 65% at the stop, 27% at the target, 8% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (10,365 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (5,322 signals rejected).

Monthly R, volume_ratio_pct_20d < 0.2514 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -30.1 R over 63 trades2023-102023-11: +1.3 R over 53 trades2023-12: +14.8 R over 52 trades2024-01: -7.3 R over 70 trades2024-02: -8.6 R over 48 trades2024-03: -11.4 R over 50 trades2024-04: -8.1 R over 56 trades2024-042024-05: -3.9 R over 43 trades2024-06: -0.0 R over 50 trades2024-07: -11.4 R over 61 trades2024-08: +10.6 R over 73 trades2024-09: -12.9 R over 79 trades2024-10: -5.2 R over 76 trades2024-102024-11: -10.5 R over 77 trades2024-12: -6.2 R over 54 trades2025-01: -0.4 R over 57 trades2025-02: -10.2 R over 57 trades2025-03: -13.2 R over 48 trades2025-04: -6.2 R over 57 trades2025-042025-05: -15.7 R over 74 trades2025-06: +0.4 R over 74 trades2025-07: -10.0 R over 77 trades2025-08: -44.6 R over 77 trades2025-09: +5.9 R over 61 trades2025-10: +18.7 R over 77 trades2025-102025-11: -2.3 R over 65 trades2025-12: -14.5 R over 86 trades2026-01: -0.9 R over 78 trades2026-02: -11.8 R over 69 trades2026-03: -12.0 R over 74 trades2026-04: +12.7 R over 76 trades2026-042026-05: +3.8 R over 37 trades2026-06: -5.8 R over 68 trades2026-07: -2.5 R over 90 trades2026-08: -11.5 R over 82 trades2026-09: +8.9 R over 90 trades+19 R-45 R

volume_ratio_pct_20d < 0.5003 (p50)

Honesty panelActive, net negative

Traded 1154 times out of sample, net negative beyond chance (-120.5 R, -0.104 R per trade, t = -2.3); still active in the last quarter (-25.7 R over 351 trades).

In sample
2023-09-30 to 2025-11-05
-213.6 R
2362 trades · 34% wins
-0.090 R per trade · t = -2.9, beyond chance
about 1,117 trades to confirm this mean (-0.090 R per trade) at t = -2 · shown: 2362
spread 0.075 R per trade
Out of sample
2025-11-05 to 2026-09-30
-120.5 R
1154 trades · 32% wins
-0.104 R per trade · t = -2.3, beyond chance
about 838 trades to confirm this mean (-0.104 R per trade) at t = -2 · shown: 1154
spread 0.045 R per trade
Last quarter
last 91 days of the window
-25.7 R
351 trades · 33% wins
-0.073 R per trade · t = -0.9, within chance
about 1,693 trades to confirm this mean (-0.073 R per trade) at t = -2 · shown: 351
spread 0.041 R per trade
Costs. Spread 0.065 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 -130.8 R (-0.113 R per trade over 1154 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,554 signals placed, 3,516 filled, 38 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 504.4 pips, 2.50 ATR); target 2.5 R; exits 63% at the stop, 24% at the target, 12% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (4,183 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (6,251 signals rejected).

Monthly R, volume_ratio_pct_20d < 0.5003 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -15.6 R over 90 trades2023-102023-11: +2.0 R over 84 trades2023-12: +12.7 R over 82 trades2024-01: -4.7 R over 117 trades2024-02: -5.4 R over 81 trades2024-03: +2.7 R over 79 trades2024-04: -25.7 R over 96 trades2024-042024-05: -4.1 R over 85 trades2024-06: +0.9 R over 88 trades2024-07: -23.7 R over 100 trades2024-08: -2.7 R over 111 trades2024-09: -0.3 R over 103 trades2024-10: -19.0 R over 116 trades2024-102024-11: -13.1 R over 91 trades2024-12: -16.5 R over 83 trades2025-01: -0.9 R over 88 trades2025-02: +0.9 R over 75 trades2025-03: -22.9 R over 80 trades2025-04: -17.0 R over 106 trades2025-042025-05: -14.0 R over 90 trades2025-06: -9.2 R over 102 trades2025-07: -12.2 R over 99 trades2025-08: -43.2 R over 107 trades2025-09: +12.7 R over 96 trades2025-10: +9.6 R over 102 trades2025-102025-11: -23.2 R over 96 trades2025-12: -18.2 R over 110 trades2026-01: +8.7 R over 112 trades2026-02: -18.4 R over 97 trades2026-03: -41.1 R over 126 trades2026-04: +14.8 R over 99 trades2026-042026-05: -7.7 R over 57 trades2026-06: -14.4 R over 117 trades2026-07: -20.1 R over 130 trades2026-08: -20.1 R over 102 trades2026-09: +14.5 R over 119 trades+15 R-43 R

volume_ratio_pct_20d < 0.7481 (p75)

Honesty panelActive, net negative

Traded 1284 times out of sample, net negative beyond chance (-122.5 R, -0.095 R per trade, t = -2.3); still active in the last quarter (-47.3 R over 400 trades).

In sample
2023-09-30 to 2025-11-05
-211.6 R
2760 trades · 34% wins
-0.077 R per trade · t = -2.6, beyond chance
about 1,574 trades to confirm this mean (-0.077 R per trade) at t = -2 · shown: 2760
spread 0.073 R per trade
Out of sample
2025-11-05 to 2026-09-30
-122.5 R
1284 trades · 32% wins
-0.095 R per trade · t = -2.3, beyond chance
about 1,002 trades to confirm this mean (-0.095 R per trade) at t = -2 · shown: 1284
spread 0.043 R per trade
Last quarter
last 91 days of the window
-47.3 R
400 trades · 32% wins
-0.118 R per trade · t = -1.6, within chance
about 631 trades to confirm this mean (-0.118 R per trade) at t = -2 · shown: 400
spread 0.040 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 -133.7 R (-0.104 R per trade over 1284 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,086 signals placed, 4,044 filled, 42 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 547.4 pips, 2.50 ATR); target 2.5 R; exits 63% at the stop, 25% at the target, 12% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (2,612 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (6,159 signals rejected).

Monthly R, volume_ratio_pct_20d < 0.7481 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -23.3 R over 118 trades2023-102023-11: +12.8 R over 99 trades2023-12: +15.9 R over 102 trades2024-01: -20.3 R over 148 trades2024-02: -10.4 R over 102 trades2024-03: -10.0 R over 62 trades2024-04: -25.2 R over 116 trades2024-042024-05: -2.0 R over 106 trades2024-06: -5.3 R over 102 trades2024-07: -20.2 R over 115 trades2024-08: -11.1 R over 123 trades2024-09: +10.3 R over 121 trades2024-10: -18.4 R over 119 trades2024-102024-11: +5.1 R over 100 trades2024-12: -12.0 R over 95 trades2025-01: -7.2 R over 107 trades2025-02: -5.1 R over 101 trades2025-03: -30.8 R over 97 trades2025-04: +0.8 R over 120 trades2025-042025-05: -15.3 R over 107 trades2025-06: +12.8 R over 113 trades2025-07: -7.1 R over 109 trades2025-08: -33.2 R over 111 trades2025-09: -5.9 R over 120 trades2025-10: -0.4 R over 134 trades2025-102025-11: -23.7 R over 109 trades2025-12: -14.6 R over 121 trades2026-01: -4.6 R over 131 trades2026-02: -14.5 R over 113 trades2026-03: -28.0 R over 119 trades2026-04: +19.2 R over 116 trades2026-042026-05: +10.9 R over 59 trades2026-06: -26.1 R over 129 trades2026-07: -28.6 R over 141 trades2026-08: -17.1 R over 112 trades2026-09: -1.6 R over 147 trades+19 R-33 R

volume_ratio_pct_20d < 0.8979 (p90)

Honesty panelActive, net negative

Traded 1418 times out of sample, net negative beyond chance (-126.1 R, -0.089 R per trade, t = -2.2); still active in the last quarter (-49.7 R over 456 trades).

In sample
2023-09-30 to 2025-11-05
-306.1 R
3094 trades · 34% wins
-0.099 R per trade · t = -3.6, beyond chance
about 939 trades to confirm this mean (-0.099 R per trade) at t = -2 · shown: 3094
spread 0.074 R per trade
Out of sample
2025-11-05 to 2026-09-30
-126.1 R
1418 trades · 33% wins
-0.089 R per trade · t = -2.2, beyond chance
about 1,161 trades to confirm this mean (-0.089 R per trade) at t = -2 · shown: 1418
spread 0.042 R per trade
Last quarter
last 91 days of the window
-49.7 R
456 trades · 32% wins
-0.109 R per trade · t = -1.6, within chance
about 759 trades to confirm this mean (-0.109 R per trade) at t = -2 · shown: 456
spread 0.038 R per trade
Costs. Spread 0.064 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 -137.9 R (-0.097 R per trade over 1418 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,558 signals placed, 4,512 filled, 46 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 569.6 pips, 2.50 ATR); target 2.5 R; exits 64% at the stop, 24% at the target, 12% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (2,194 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (6,297 signals rejected).

Monthly R, volume_ratio_pct_20d < 0.8979 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -21.3 R over 133 trades2023-102023-11: +22.6 R over 108 trades2023-12: +4.2 R over 127 trades2024-01: -21.6 R over 157 trades2024-02: -0.2 R over 105 trades2024-03: -10.6 R over 86 trades2024-04: -43.0 R over 141 trades2024-042024-05: -1.7 R over 129 trades2024-06: -6.2 R over 113 trades2024-07: -23.4 R over 136 trades2024-08: -11.9 R over 143 trades2024-09: +3.3 R over 135 trades2024-10: -22.6 R over 132 trades2024-102024-11: -1.3 R over 121 trades2024-12: -17.5 R over 110 trades2025-01: -6.1 R over 120 trades2025-02: -5.0 R over 101 trades2025-03: -35.2 R over 83 trades2025-04: -7.6 R over 126 trades2025-042025-05: -20.9 R over 119 trades2025-06: +2.4 R over 128 trades2025-07: -14.6 R over 116 trades2025-08: -30.1 R over 110 trades2025-09: -18.7 R over 152 trades2025-10: -9.5 R over 147 trades2025-102025-11: -28.9 R over 120 trades2025-12: -2.9 R over 122 trades2026-01: -0.3 R over 138 trades2026-02: -15.3 R over 118 trades2026-03: -39.0 R over 135 trades2026-04: +15.1 R over 127 trades2026-042026-05: +17.7 R over 70 trades2026-06: -32.6 R over 148 trades2026-07: -34.0 R over 162 trades2026-08: -17.3 R over 129 trades2026-09: +1.6 R over 165 trades+23 R-43 R

What volume_ratio_pct_20d measures

Volume ratio, 20-day percentile (percentile), on M5 bars. Percentile rank of volume_ratio within the trailing 5,760 bars, 0 to 1.

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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.