Original research from our own data: what we tested, what we measured, and what we refused to ship.
A Weinstein Stage-2 trend sleeve backtested at 616% total return, Sharpe 1.16, profit factor 3.30 and a deflated Sharpe of 0.9997. Every number is real. We shelved it, and the three reasons are more useful than the headline.
Our Wyckoff signal tracker backtests at profit factor 1.37 across 95,319 trades and returns 0.96 live. The obvious conclusion is that the backtest overstated by 43%. We checked, and the two numbers are not measuring the same thing.
Wave counting is irreducibly subjective: the ZigZag threshold determines the count, multiple valid counts coexist, and labels are provisional until hindsight. So our engine never emits one count. It emits ranked candidates with the price that breaks each one.
We extracted 201 Gann rules from trading books. None ever reached twenty trades and 116 were skipped as unevaluable. Gann angles need an arbitrary scaling constant, which makes them unfalsifiable. We shipped only the Square-of-9 price ladder, and only as confluence.
Wyckoff, Elliott Wave, Gann, Fibonacci, Ichimoku, RSI and MACD. We turned 1,275 book rules from these frameworks into machine-evaluable form and backtested them. Thirteen ever accumulated twenty trades. Gann produced none at all.
We extracted 358 Smart Money Concepts rules and 153 Dow Theory rules from trading books. Two ever reached twenty trades. Meanwhile the deterministic engines built from the same methods raise our buy list from +4.66% to +5.87%. Both facts are real.
If a trade has a fixed target, stop and time limit, the usual 1/(1+RR) baseline is not the right null. We measured it directly: for our equity setups the true random-entry rate is 27.9%, not 33.3%, and the error grows with barrier width.
We extracted 21,191 mechanical rules from 656 trading books and backtested every one. After correcting for the number of trials, none showed a statistically significant edge. Here is the method, the result, and what it changed.
Across 11,615 resolved futures signals we win 64.9% of the time and average -0.0208 R per trade. Here is the arithmetic that makes those two facts compatible, and why a published win rate tells you almost nothing on its own.
Sixty positions of real money over two months. The closed trades show 91.8% wins and +3.63%. Including the eleven still open, the honest figure is +2.71% and 85%. Here is why we publish the second number, and what Wyckoff actually contributes.