Rule Collider

Backtests · US100 · x_sp500_trend · long

Does x_sp500_trend above 0 work on US100? 2023 to 2026 backtest

US100 long when [SP500] EMA20 above EMA50 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 2.5 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
p10, p25x_sp500_trend > 0-330.3 R / 3451-136.1 R / 1470-2.21,162-55.5 R / 441Active, 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

x_sp500_trend > 0 (p10, p25)

Honesty panelActive, net negative

Traded 1470 times out of sample, net negative beyond chance (-136.1 R, -0.093 R per trade, t = -2.2); still active in the last quarter (-55.5 R over 441 trades).

In sample
2023-09-30 to 2025-11-05
-330.3 R
3451 trades · 33% wins
-0.096 R per trade · t = -3.5, beyond chance
about 1,108 trades to confirm this mean (-0.096 R per trade) at t = -2 · shown: 3451
spread 0.100 R per trade
Out of sample
2025-11-05 to 2026-09-30
-136.1 R
1470 trades · 32% wins
-0.093 R per trade · t = -2.2, beyond chance
about 1,162 trades to confirm this mean (-0.093 R per trade) at t = -2 · shown: 1470
spread 0.056 R per trade
Last quarter
last 91 days of the window
-55.5 R
441 trades · 30% wins
-0.126 R per trade · t = -1.7, within chance
about 606 trades to confirm this mean (-0.126 R per trade) at t = -2 · shown: 441
spread 0.049 R per trade
Costs. Spread 0.087 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 -152.6 R (-0.104 R per trade over 1470 trades).

Entry: stop order 2 pips past the signal close, cancelled after 4 bars; 4,979 signals placed, 4,921 filled, 58 expired; trigger state, an entry on every bar the conditions hold while flat.

Exit: stop 2 ATR (mean 389.1 pips, 2.00 ATR); target 2.5 R; exits 66% at the stop, 28% at the target, 6% at the day end.

Filters: signals on every weekday; no entries 22:00 to 01:00 broker time (7,353 bars); max spread 30 pips (0 bars over it); M1 confirmation 25 pips (2,118 signals rejected).

Monthly R, x_sp500_trend > 0 on US100One bar per month: the R earned that month; the held-out months in the full colour.2023-10: -22.0 R over 124 trades2023-102023-11: +14.3 R over 144 trades2023-12: -1.7 R over 135 trades2024-01: -16.9 R over 150 trades2024-02: -36.2 R over 145 trades2024-03: +4.2 R over 89 trades2024-04: -25.6 R over 132 trades2024-042024-05: -50.9 R over 157 trades2024-06: -9.3 R over 145 trades2024-07: -15.7 R over 169 trades2024-08: +6.3 R over 150 trades2024-09: -36.5 R over 163 trades2024-10: -12.1 R over 120 trades2024-102024-11: -12.8 R over 137 trades2024-12: -7.5 R over 126 trades2025-01: -14.5 R over 148 trades2025-02: -22.3 R over 132 trades2025-03: -30.2 R over 96 trades2025-04: -2.7 R over 127 trades2025-042025-05: -3.7 R over 114 trades2025-06: +27.7 R over 152 trades2025-07: -17.7 R over 139 trades2025-08: -36.2 R over 138 trades2025-09: -7.6 R over 149 trades2025-10: +5.6 R over 160 trades2025-102025-11: -25.9 R over 109 trades2025-12: -31.8 R over 141 trades2026-01: -11.4 R over 149 trades2026-02: -22.9 R over 125 trades2026-03: -8.2 R over 111 trades2026-04: +18.5 R over 151 trades2026-042026-05: +25.0 R over 85 trades2026-06: -30.3 R over 168 trades2026-07: -56.3 R over 169 trades2026-08: -7.4 R over 127 trades2026-09: +8.3 R over 145 trades+28 R-56 R

What x_sp500_trend measures

[SP500] EMA20 above EMA50 (flag), on M5 bars. 1 when the [SP500] 20-bar exponential average is above its 50-bar average, else 0.

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.