Rule Collider

Backtests · US100 · vwap_distance · long

Does vwap_distance above 0.39 work on US100? 2023 to 2026 backtest

US100 long when Close vs 50-bar VWAP (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
p10vwap_distance > -3.071-199.8 R / 2919-129.5 R / 1233-2.3974-57.4 R / 390Active, net negative
p25vwap_distance > -1.452-213.6 R / 2640-97.5 R / 1095-1.81,362-31.5 R / 334No edge shown
p50vwap_distance > 0.39-123.2 R / 2152-51.6 R / 880-1.13,178-21.6 R / 268No edge shown
p75vwap_distance > 2.284-52.5 R / 1493-4.6 R / 615-0.1207,202-9.9 R / 184No edge shown
p90vwap_distance > 4.076+49.0 R / 829+10.8 R / 3550.312,586-6.9 R / 109Net 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

vwap_distance > -3.071 (p10)

Honesty panelActive, net negative

Traded 1233 times out of sample, net negative beyond chance (-129.5 R, -0.105 R per trade, t = -2.3); still active in the last quarter (-57.4 R over 390 trades).

In sample
2023-09-30 to 2025-11-05
-199.8 R
2919 trades · 31% wins
-0.068 R per trade · t = -2.2, beyond chance
about 2,395 trades to confirm this mean (-0.068 R per trade) at t = -2 · shown: 2919
spread 0.072 R per trade
Out of sample
2025-11-05 to 2026-09-30
-129.5 R
1233 trades · 29% wins
-0.105 R per trade · t = -2.3, beyond chance
about 974 trades to confirm this mean (-0.105 R per trade) at t = -2 · shown: 1233
spread 0.040 R per trade
Last quarter
last 91 days of the window
-57.4 R
390 trades · 28% wins
-0.147 R per trade · t = -1.8, within chance
about 469 trades to confirm this mean (-0.147 R per trade) at t = -2 · shown: 390
spread 0.037 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 -139.4 R (-0.113 R per trade over 1233 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,193 signals placed, 4,152 filled, 41 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 551.8 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 (2,925 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (5,954 signals rejected).

Monthly R, vwap_distance > -3.071 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -30.7 R over 121 trades2023-102023-11: +7.5 R over 119 trades2023-12: +17.8 R over 115 trades2024-01: -16.5 R over 139 trades2024-02: -16.7 R over 114 trades2024-03: -17.8 R over 76 trades2024-04: -20.6 R over 119 trades2024-042024-05: -6.7 R over 117 trades2024-06: +12.2 R over 115 trades2024-07: -19.2 R over 126 trades2024-08: +17.7 R over 118 trades2024-09: -7.2 R over 128 trades2024-10: -18.5 R over 131 trades2024-102024-11: +6.0 R over 113 trades2024-12: -4.1 R over 107 trades2025-01: +3.5 R over 98 trades2025-02: -6.8 R over 93 trades2025-03: -34.4 R over 85 trades2025-04: -3.1 R over 121 trades2025-042025-05: -10.5 R over 116 trades2025-06: +12.4 R over 119 trades2025-07: -11.6 R over 134 trades2025-08: -36.9 R over 127 trades2025-09: +0.3 R over 125 trades2025-10: -4.9 R over 132 trades2025-102025-11: -29.1 R over 110 trades2025-12: -15.5 R over 125 trades2026-01: -8.4 R over 127 trades2026-02: -15.9 R over 109 trades2026-03: -25.7 R over 99 trades2026-04: +19.2 R over 111 trades2026-042026-05: +13.8 R over 67 trades2026-06: -21.5 R over 106 trades2026-07: -51.9 R over 146 trades2026-08: -7.0 R over 110 trades2026-09: +1.5 R over 134 trades+19 R-52 R

vwap_distance > -1.452 (p25)

Honesty panelNo edge shown

No edge shown out of sample: -97.5 R over 1095 trades is -0.089 R per trade, within what chance produces (t = -1.8); about 1,362 trades would be needed to confirm this mean at t = -2, shown: 1095.

In sample
2023-09-30 to 2025-11-05
-213.6 R
2640 trades · 31% wins
-0.081 R per trade · t = -2.5, beyond chance
about 1,698 trades to confirm this mean (-0.081 R per trade) at t = -2 · shown: 2640
spread 0.073 R per trade
Out of sample
2025-11-05 to 2026-09-30
-97.5 R
1095 trades · 30% wins
-0.089 R per trade · t = -1.8, within chance
about 1,362 trades to confirm this mean (-0.089 R per trade) at t = -2 · shown: 1095
spread 0.042 R per trade
Last quarter
last 91 days of the window
-31.5 R
334 trades · 30% wins
-0.094 R per trade · t = -1.1, within chance
about 1,194 trades to confirm this mean (-0.094 R per trade) at t = -2 · shown: 334
spread 0.037 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 -106.6 R (-0.097 R per trade over 1095 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,776 signals placed, 3,735 filled, 41 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 538.4 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 (4,056 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (5,415 signals rejected).

Monthly R, vwap_distance > -1.452 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -24.0 R over 109 trades2023-102023-11: +2.2 R over 114 trades2023-12: +14.1 R over 97 trades2024-01: -14.2 R over 125 trades2024-02: -20.7 R over 110 trades2024-03: -2.8 R over 53 trades2024-04: -28.5 R over 104 trades2024-042024-05: -1.7 R over 107 trades2024-06: +15.9 R over 100 trades2024-07: -23.8 R over 113 trades2024-08: +15.0 R over 114 trades2024-09: -2.0 R over 115 trades2024-10: -23.5 R over 120 trades2024-102024-11: +0.7 R over 99 trades2024-12: +0.0 R over 96 trades2025-01: -0.9 R over 100 trades2025-02: -10.9 R over 78 trades2025-03: -38.7 R over 58 trades2025-04: -5.6 R over 116 trades2025-042025-05: -22.9 R over 125 trades2025-06: +5.6 R over 111 trades2025-07: -11.9 R over 116 trades2025-08: -28.9 R over 113 trades2025-09: -8.3 R over 122 trades2025-10: +7.4 R over 119 trades2025-102025-11: -19.7 R over 93 trades2025-12: -28.4 R over 125 trades2026-01: -7.1 R over 111 trades2026-02: -2.5 R over 99 trades2026-03: -27.9 R over 93 trades2026-04: +13.2 R over 106 trades2026-042026-05: +12.5 R over 56 trades2026-06: -11.7 R over 84 trades2026-07: -34.1 R over 117 trades2026-08: -2.5 R over 89 trades2026-09: +5.1 R over 128 trades+16 R-39 R

vwap_distance > 0.39 (p50)

Honesty panelNo edge shown

No edge shown out of sample: -51.6 R over 880 trades is -0.059 R per trade, within what chance produces (t = -1.1); about 3,178 trades would be needed to confirm this mean at t = -2, shown: 880.

In sample
2023-09-30 to 2025-11-05
-123.2 R
2152 trades · 32% wins
-0.057 R per trade · t = -1.6, within chance
about 3,513 trades to confirm this mean (-0.057 R per trade) at t = -2 · shown: 2152
spread 0.078 R per trade
Out of sample
2025-11-05 to 2026-09-30
-51.6 R
880 trades · 32% wins
-0.059 R per trade · t = -1.1, within chance
about 3,178 trades to confirm this mean (-0.059 R per trade) at t = -2 · shown: 880
spread 0.043 R per trade
Last quarter
last 91 days of the window
-21.6 R
268 trades · 31% wins
-0.081 R per trade · t = -0.8, within chance
about 1,653 trades to confirm this mean (-0.081 R per trade) at t = -2 · shown: 268
spread 0.039 R per trade
Costs. Spread 0.068 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 -59.2 R (-0.067 R per trade over 880 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 3,057 signals placed, 3,032 filled, 25 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 511.8 pips, 2.50 ATR); target 3 R; exits 66% at the stop, 22% at the target, 12% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (5,993 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (5,154 signals rejected).

Monthly R, vwap_distance > 0.39 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -41.8 R over 99 trades2023-102023-11: +12.4 R over 82 trades2023-12: +28.3 R over 74 trades2024-01: -5.5 R over 109 trades2024-02: -20.1 R over 88 trades2024-03: -4.6 R over 61 trades2024-04: -30.9 R over 90 trades2024-042024-05: -1.2 R over 81 trades2024-06: +19.6 R over 82 trades2024-07: +7.4 R over 84 trades2024-08: +4.7 R over 93 trades2024-09: -19.8 R over 99 trades2024-10: -6.9 R over 92 trades2024-102024-11: +0.9 R over 77 trades2024-12: -6.4 R over 91 trades2025-01: -7.0 R over 84 trades2025-02: -21.6 R over 71 trades2025-03: -16.5 R over 58 trades2025-04: +2.2 R over 85 trades2025-042025-05: +3.0 R over 89 trades2025-06: -2.5 R over 92 trades2025-07: -12.1 R over 96 trades2025-08: -18.5 R over 82 trades2025-09: +8.0 R over 94 trades2025-10: +6.6 R over 94 trades2025-102025-11: -10.1 R over 74 trades2025-12: -23.0 R over 93 trades2026-01: +5.2 R over 95 trades2026-02: -5.3 R over 75 trades2026-03: -11.1 R over 73 trades2026-04: +14.1 R over 90 trades2026-042026-05: +6.8 R over 49 trades2026-06: -7.7 R over 68 trades2026-07: -18.8 R over 84 trades2026-08: +0.3 R over 83 trades2026-09: -3.2 R over 101 trades+28 R-42 R

vwap_distance > 2.284 (p75)

Honesty panelNo edge shown

No edge shown out of sample: -4.6 R over 615 trades is -0.007 R per trade, within what chance produces (t = -0.1); about 207,202 trades would be needed to confirm this mean at t = -2, shown: 615.

In sample
2023-09-30 to 2025-11-05
-52.5 R
1493 trades · 32% wins
-0.035 R per trade · t = -0.8, within chance
about 9,462 trades to confirm this mean (-0.035 R per trade) at t = -2 · shown: 1493
spread 0.081 R per trade
Out of sample
2025-11-05 to 2026-09-30
-4.6 R
615 trades · 32% wins
-0.007 R per trade · t = -0.1, within chance
about 207,202 trades to confirm this mean (-0.007 R per trade) at t = -2 · shown: 615
spread 0.046 R per trade
Last quarter
last 91 days of the window
-9.9 R
184 trades · 30% wins
-0.054 R per trade · t = -0.4, within chance
about 4,006 trades to confirm this mean (-0.054 R per trade) at t = -2 · shown: 184
spread 0.041 R per trade
Costs. Spread 0.071 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 -10.3 R (-0.017 R per trade over 615 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 2,126 signals placed, 2,108 filled, 18 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 478.3 pips, 2.50 ATR); target 3 R; exits 65% at the stop, 23% at the target, 12% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (9,206 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (3,647 signals rejected).

Monthly R, vwap_distance > 2.284 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -17.4 R over 53 trades2023-102023-11: +5.8 R over 54 trades2023-12: +11.2 R over 51 trades2024-01: +13.2 R over 62 trades2024-02: -17.5 R over 53 trades2024-03: +0.1 R over 41 trades2024-04: -2.5 R over 54 trades2024-042024-05: -4.1 R over 60 trades2024-06: +13.3 R over 57 trades2024-07: +3.3 R over 64 trades2024-08: -9.4 R over 71 trades2024-09: -14.3 R over 74 trades2024-10: -5.3 R over 65 trades2024-102024-11: -16.9 R over 62 trades2024-12: +10.2 R over 55 trades2025-01: -2.5 R over 64 trades2025-02: -7.9 R over 54 trades2025-03: -11.9 R over 41 trades2025-04: +3.3 R over 59 trades2025-042025-05: -9.2 R over 69 trades2025-06: +6.0 R over 71 trades2025-07: -11.3 R over 62 trades2025-08: -17.0 R over 58 trades2025-09: +11.3 R over 67 trades2025-10: +16.3 R over 69 trades2025-102025-11: -5.3 R over 52 trades2025-12: -3.7 R over 56 trades2026-01: +8.3 R over 65 trades2026-02: -12.2 R over 57 trades2026-03: +3.0 R over 50 trades2026-04: +12.7 R over 64 trades2026-042026-05: +6.8 R over 38 trades2026-06: -3.7 R over 52 trades2026-07: -19.3 R over 66 trades2026-08: +1.8 R over 53 trades2026-09: +7.7 R over 65 trades+16 R-19 R

vwap_distance > 4.076 (p90)

Honesty panelNet positive, not distinguishable from chance

Net positive out of sample, not yet distinguishable from chance: +10.8 R over 355 trades is +0.031 R per trade, t = 0.3; about 12,586 trades would be needed to confirm this mean at t = 2, shown: 355; last quarter -6.9 R over 109 trades.

In sample
2023-09-30 to 2025-11-05
+49.0 R
829 trades · 34% wins
+0.059 R per trade · t = 1.0, within chance
about 3,548 trades to confirm this mean (+0.059 R per trade) at t = 2 · shown: 829
spread 0.087 R per trade
Out of sample
2025-11-05 to 2026-09-30
+10.8 R
355 trades · 32% wins
+0.031 R per trade · t = 0.3, within chance
about 12,586 trades to confirm this mean (+0.031 R per trade) at t = 2 · shown: 355
spread 0.048 R per trade
Last quarter
last 91 days of the window
-6.9 R
109 trades · 29% wins
-0.063 R per trade · t = -0.4, within chance
about 2,922 trades to confirm this mean (-0.063 R per trade) at t = -2 · shown: 109
spread 0.043 R per trade
Costs. Spread 0.076 R per trade at 1.25 times the bar’s minimum (60% 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 +7.4 R (+0.021 R per trade over 355 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 1,200 signals placed, 1,184 filled, 16 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2.5 ATR (mean 454.2 pips, 2.50 ATR); target 3 R; exits 64% at the stop, 26% at the target, 11% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (12,195 bars); max spread 30 pips (0 bars over it); M1 confirmation 50 pips (1,999 signals rejected).

Monthly R, vwap_distance > 4.076 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -10.8 R over 28 trades2023-102023-11: +23.0 R over 29 trades2023-12: +13.4 R over 31 trades2024-01: +15.1 R over 37 trades2024-02: -0.4 R over 27 trades2024-03: +2.0 R over 30 trades2024-04: -6.2 R over 27 trades2024-042024-05: -10.3 R over 31 trades2024-06: +8.6 R over 34 trades2024-07: +7.2 R over 41 trades2024-08: -3.6 R over 40 trades2024-09: +10.8 R over 37 trades2024-10: +4.4 R over 35 trades2024-102024-11: -9.5 R over 33 trades2024-12: -0.9 R over 30 trades2025-01: -7.0 R over 42 trades2025-02: +1.1 R over 23 trades2025-03: -15.3 R over 29 trades2025-04: +1.5 R over 35 trades2025-042025-05: +5.6 R over 30 trades2025-06: +13.7 R over 30 trades2025-07: -5.1 R over 34 trades2025-08: -4.0 R over 33 trades2025-09: +8.6 R over 35 trades2025-10: +5.1 R over 46 trades2025-102025-11: +2.3 R over 24 trades2025-12: -4.7 R over 30 trades2026-01: +5.2 R over 40 trades2026-02: +2.5 R over 30 trades2026-03: +4.6 R over 28 trades2026-04: +5.6 R over 43 trades2026-042026-05: +7.0 R over 22 trades2026-06: -3.1 R over 31 trades2026-07: -6.6 R over 37 trades2026-08: -13.6 R over 34 trades2026-09: +13.3 R over 38 trades+23 R-15 R

What vwap_distance measures

Close vs 50-bar VWAP (ATR) (atr), on M5 bars. Close minus the tick-volume-weighted average of the typical price over 50 bars, in ATR multiples.

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.