BPR Sweep + MSS + IDM — Backtest Report · Crypto

AllForexCrypto Chart & replayTrades CSVSetups CSV
Trades
2,025
408 wins · 1248 losses · 369 timeouts
Win rate
20.1%
break-even at 2.0R TP ≈ 33.3%
Profit factor
0.75
gross win R ÷ gross loss R
Expectancy
-0.158 R
total -320.3 R
Return @ 1.0% risk
-96.5%
compounded, max DD -96.8%
Max drawdown
-329.7 R
longest losing streak 17

Equity curve

Drawdown (R)

Best filter combinations

Searched 4,647 filter combinations (1–3 filters, at least 25 trades). Found on trades up to 2025-12-06 (1,417 in-sample trades), then checked on the 608 trades after that date. Rank = lower bound of the 95% confidence interval of the in-sample win rate, so small lucky samples sink. Trust only rows marked “Held up out-of-sample”.

No combination reached 60% win rate with at least 25 in-sample trades. Showing the strongest combinations by expectancy instead.

#FiltersIn-sample tradesIn-sample win rate95% lowAvg ROut-of-sample tradesOOS win rateOOS avg RVerdict
1Price vs EMA50 = Below EMA50 + Day of week = Thu + Hour block (UTC) = 12-1625
48.0%		30.0%+0.674
25.0%		-0.25Too few out-of-sample trades
2Price vs EMA200 = Below EMA200 + Day of week = Sat + Volatility (ATR14 vs its median) = Medium27
40.7%		24.5%+0.628
12.5%		-0.20Too few out-of-sample trades
3RSI(14) range = 30-50 + Day of week = Thu + Hour block (UTC) = 12-1626
46.2%		28.8%+0.606
16.7%		-0.22Too few out-of-sample trades
4Price vs EMA200 = Below EMA200 + Day of week = Thu + Hour block (UTC) = 12-1626
50.0%		32.1%+0.589
11.1%		-0.52Too few out-of-sample trades
5RSI(14) range = 30-50 + Hour block (UTC) = 08-12 + Stop size = 2-3 ATR40
50.0%		35.2%+0.5413
23.1%		-0.31Failed out-of-sample
6Session (UTC) = London + RSI(14) range = 30-50 + Stop size = 2-3 ATR44
50.0%		35.8%+0.5422
27.3%		-0.18Failed out-of-sample
7Trade vs EMA200 trend = With trend + EMA 20/50/200 stack = Bearish stack + Day of week = Mon44
43.2%		29.7%+0.5014
28.6%		+0.03Failed out-of-sample
8Session (UTC) = London + EMA 20/50/200 stack = Bearish stack + Stop size = 2-3 ATR25
48.0%		30.0%+0.5020
30.0%		-0.10Failed out-of-sample
9Price vs EMA50 = Below EMA50 + EMA 20/50/200 stack = Bearish stack + Hour block (UTC) = 08-1242
45.2%		31.2%+0.4925
16.0%		-0.48Failed out-of-sample
10Price vs EMA200 = Below EMA200 + Hour block (UTC) = 08-12 + Stop size = 2-3 ATR38
47.4%		32.5%+0.4820
15.0%		-0.52Failed out-of-sample
11Session (UTC) = London + Price vs EMA50 = Below EMA50 + Stop size = 2-3 ATR41
46.3%		32.1%+0.4721
19.0%		-0.43Failed out-of-sample
12Price vs EMA50 = Below EMA50 + Hour block (UTC) = 08-12 + Stop size = 2-3 ATR37
45.9%		31.0%+0.4712
8.3%		-0.75Failed out-of-sample
13RSI(14) range = 50-70 + Day of week = Mon + Entry confirmation = Same candle29
34.5%		19.9%+0.4610
10.0%		-0.36Failed out-of-sample
14Session (UTC) = London + Price vs EMA200 = Below EMA200 + Stop size = 2-3 ATR41
46.3%		32.1%+0.4528
21.4%		-0.33Failed out-of-sample
15Direction = SELL + Hour block (UTC) = 00-04 + Entry confirmation = Same candle49
40.8%		28.2%+0.4412
25.0%		+0.24Failed out-of-sample
16EMA 20/50/200 stack = Bearish stack + Day of week = Mon + Entry confirmation = Same candle31
35.5%		21.1%+0.435
20.0%		-0.27Too few out-of-sample trades
17Direction = SELL + Hour block (UTC) = 12-16 + Stop size = 2-3 ATR41
43.9%		29.9%+0.4321
14.3%		-0.46Failed out-of-sample
18Price vs EMA50 = Below EMA50 + Day of week = Thu + Stop size = 2-3 ATR29
44.8%		28.4%+0.426
16.7%		-0.50Too few out-of-sample trades
19RSI(14) range = 30-50 + Day of week = Thu + Stop size = 2-3 ATR27
44.4%		27.6%+0.428
25.0%		-0.25Too few out-of-sample trades
20Session (UTC) = London + Price vs EMA50 = Below EMA50 + EMA 20/50/200 stack = Bearish stack52
42.3%		29.9%+0.4233
18.2%		-0.40Failed out-of-sample
21Price vs EMA50 = Above EMA50 + Day of week = Mon + Entry confirmation = Same candle35
31.4%		18.6%+0.4111
9.1%		-0.41Failed out-of-sample
22Direction = SELL + Entry confirmation = Same candle + Stop size = 2-3 ATR64
45.3%		33.7%+0.4115
6.7%		-0.64Failed out-of-sample
23Price vs EMA200 = Below EMA200 + Day of week = Thu + Stop size = 2-3 ATR31
41.9%		26.4%+0.3910
20.0%		-0.33Failed out-of-sample
24Direction = SELL + EMA 20/50/200 stack = Bearish stack + Day of week = Mon42
40.5%		27.0%+0.3813
23.1%		-0.13Failed out-of-sample
25Direction = SELL + Hour block (UTC) = 08-12 + Stop size = 2-3 ATR38
44.7%		30.1%+0.3822
22.7%		-0.29Failed out-of-sample

Failure patterns

Overall loss rate: 61.6%. Conditions below lose noticeably more often.

Loss anatomy

What happenedLosses%
Stopped out within 3 candles (45 min)
Entry too early / zone not respected — consider waiting for a 2nd confirmation candle.
18915.1%
Never moved +0.2R in profit before stop
Setup was wrong from the start — check which filters these share (table above).
57846.3%
Reached +0.5R before losing
Partial profit at +0.5R–1R would have reduced these losses.
40032.1%
Reached +1R before losing
A move-to-breakeven at +1R would have turned these into 0R trades (upper bound: on M15 we can't see if a winner also dipped back to entry).
15312.3%
  • Winners that dipped to −0.7R or worse before hitting TP: 96 (23.5% of winners)
  • Timeouts (no TP/SL in 100 bars): 369, average +0.30R
  • Average candles held — winners 36.8, losers 24.8

Single conditions with high loss rate

ConditionTradesLoss ratevs avgAvg R
Stop size = 1-2 ATR29072.1%+10.4 pts-0.191
Day of week = Sun30171.4%+9.8 pts-0.275
Stop size = 2-3 ATR63369.5%+7.9 pts-0.184

Two-condition loss clusters

ConditionTradesLoss ratevs avgAvg R
Day of week = Sun + Stop size = 2-3 ATR9081.1%+19.5 pts-0.471
RSI(14) range = 50-70 + Day of week = Sun13777.4%+15.7 pts-0.433
Stop size = 1-2 ATR + Direction = SELL16476.8%+15.2 pts-0.331
Volatility (ATR14 vs its median) = Low + Stop size = 2-3 ATR13576.3%+14.7 pts-0.326
Day of week = Sun + Entry confirmation = Next candle20076.0%+14.4 pts-0.349
Volatility (ATR14 vs its median) = Low + Day of week = Sun14775.5%+13.9 pts-0.339
Trade vs EMA200 trend = With trend + Stop size = 1-2 ATR13475.4%+13.7 pts-0.272
RSI(14) range = 50-70 + Stop size = 1-2 ATR15275.0%+13.4 pts-0.278
Day of week = Sun + Direction = BUY13275.0%+13.4 pts-0.400
Trade vs EMA200 trend = With trend + Day of week = Sun15574.8%+13.2 pts-0.365
Session (UTC) = Asian + Volatility (ATR14 vs its median) = Low12674.6%+13.0 pts-0.434
Session (UTC) = New York + Stop size = 1-2 ATR12673.8%+12.2 pts-0.258
Session (UTC) = London + Day of week = Sun6173.8%+12.1 pts-0.283

Win rate by condition

Bar colour: green = 10+ points above break-even (33.3%), amber = above break-even, red = below.

Session (UTC)

TradesWin rateAvg RTotal RPF
Asian555
18.7%		-0.220-122.30.67
London420
23.6%		-0.094-39.50.85
New York842
18.8%		-0.171-143.80.73
Sydney208
22.6%		-0.071-14.70.88

RSI(14) range

TradesWin rateAvg RTotal RPF
<3028
14.3%		-0.088-2.50.82
30-501001
22.8%		-0.091-90.60.85
50-70957
17.8%		-0.234-224.20.65
>7039
15.4%		-0.078-3.00.85

Price vs EMA50

TradesWin rateAvg RTotal RPF
Above EMA501003
17.6%		-0.229-229.90.65
Below EMA501022
22.6%		-0.088-90.40.86

Price vs EMA200

TradesWin rateAvg RTotal RPF
Above EMA200972
19.0%		-0.182-176.80.72
Below EMA2001053
21.2%		-0.136-143.60.79

Trade vs EMA200 trend

TradesWin rateAvg RTotal RPF
With trend1073
21.5%		-0.131-140.50.79
Against trend952
18.6%		-0.189-179.90.71

EMA 20/50/200 stack

TradesWin rateAvg RTotal RPF
Bullish stack692
18.9%		-0.191-132.10.71
Bearish stack723
22.1%		-0.131-95.10.79
Mixed610
19.2%		-0.153-93.20.75

Day of week

TradesWin rateAvg RTotal RPF
Mon304
23.4%		-0.021-6.40.96
Tue319
19.1%		-0.182-58.10.72
Wed310
19.7%		-0.207-64.20.68
Thu268
20.1%		-0.191-51.30.71
Fri299
18.1%		-0.168-50.20.73
Sat224
20.5%		-0.033-7.30.94
Sun301
20.3%		-0.275-82.90.62

Hour of day (UTC)

TradesWin rateAvg RTotal RPF
00:0087
20.7%		-0.114-9.90.81
01:0095
16.8%		-0.334-31.80.53
02:00103
18.4%		-0.257-26.50.63
03:0087
16.1%		-0.282-24.60.60
04:0058
15.5%		-0.278-16.10.59
05:0067
25.4%		-0.035-2.30.94
06:0058
19.0%		-0.192-11.10.70
07:0085
24.7%		-0.033-2.80.95
08:0082
23.2%		-0.154-12.60.76
09:0078
25.6%		-0.062-4.80.90
10:0093
19.4%		-0.184-17.10.73
11:0082
25.6%		-0.026-2.20.96
12:0091
19.8%		-0.248-22.60.63
13:00142
19.0%		-0.163-23.10.74
14:00136
25.0%		-0.063-8.50.90
15:00121
20.7%		-0.031-3.70.94
16:00107
15.0%		-0.176-18.80.70
17:0070
8.6%		-0.603-42.20.26
18:0058
19.0%		-0.051-2.90.91
19:0053
15.1%		-0.098-5.20.82
20:0064
20.3%		-0.262-16.70.63
21:0062
24.2%		-0.021-1.30.97
22:0083
20.5%		-0.162-13.40.75
23:0063
23.8%		-0.000-0.01.00

Volatility (ATR14 vs its median)

TradesWin rateAvg RTotal RPF
Low413
19.9%		-0.225-92.80.68
Medium946
21.8%		-0.140-132.60.78
High666
18.0%		-0.143-95.00.76

Entry confirmation

TradesWin rateAvg RTotal RPF
Same candle656
19.8%		-0.076-49.60.87
Next candle1369
20.3%		-0.198-270.80.70

Stop size

TradesWin rateAvg RTotal RPF
<1 ATR18
11.1%		-0.667-12.00.25
1-2 ATR290
26.2%		-0.191-55.30.74
2-3 ATR633
24.5%		-0.184-116.20.74
>3 ATR1084
16.1%		-0.126-136.80.78

Direction

TradesWin rateAvg RTotal RPF
BUY1040
19.8%		-0.167-173.60.74
SELL985
20.5%		-0.149-146.80.77

Market

TradesWin rateAvg RTotal RPF
Crypto2025
20.1%		-0.158-320.30.75

Pair

TradesWin rateAvg RTotal RPF
ADA_USDT131
21.4%		-0.037-4.80.94
BCH_USDT132
22.0%		-0.041-5.40.93
LINK_USDT119
25.2%		-0.051-6.00.91
TRX_USDT101
16.8%		-0.130-13.20.79
AVAX_USDT114
22.8%		-0.120-13.70.81
POL_USDT84
19.0%		-0.170-14.30.74
DOT_USDT139
22.3%		-0.116-16.20.81
SOL_USDT144
23.6%		-0.125-18.00.81
BNB_USDT173
21.4%		-0.130-22.40.79
TON_USDT78
14.1%		-0.325-25.40.53
DOGE_USDT146
16.4%		-0.188-27.50.71
LTC_USDT159
18.2%		-0.219-34.80.68
XRP_USDT142
19.7%		-0.271-38.50.61
ETH_USDT176
19.9%		-0.219-38.60.67
BTC_USDT187
17.6%		-0.223-41.60.65

Monthly results

MonthTradesWin rateTotal R
2023-1151
21.6%		-7.2
2023-1265
24.6%		+3.0
2024-0149
20.4%		-6.9
2024-0249
16.3%		-5.4
2024-0345
22.2%		-6.6
2024-0466
22.7%		-15.8
2024-0561
13.1%		-19.7
2024-0643
18.6%		-8.7
2024-0745
15.6%		-14.1
2024-0846
17.4%		-6.5
2024-0945
22.2%		-5.7
2024-1053
18.9%		-7.0
2024-1160
33.3%		+6.6
2024-1259
15.3%		-15.3
2025-0171
22.5%		-9.5
2025-0256
19.6%		-9.9
2025-0345
26.7%		-0.3
2025-0453
15.1%		-15.9
2025-0569
14.5%		-22.3
2025-0653
30.2%		+16.0
2025-0769
20.3%		-16.8
2025-0873
21.9%		-2.2
2025-0966
19.7%		-10.7
2025-1055
20.0%		-12.3
2025-1165
15.4%		-16.2
2025-1246
17.4%		-15.3
2026-0152
9.6%		-22.6
2026-0249
28.6%		+4.8
2026-0356
26.8%		+0.8
2026-0449
18.4%		-12.3
2026-0559
15.3%		-12.5
2026-0657
14.0%		-16.0
2026-0769
13.0%		-24.8
2026-0853
22.6%		-5.8
2026-0970
28.6%		+1.4
2026-1050
24.0%		-7.5
2026-113
0.0%		-1.2

Settings used

Pairs: BTC_USDT, ETH_USDT, BNB_USDT, XRP_USDT, SOL_USDT, ADA_USDT, DOGE_USDT, AVAX_USDT, DOT_USDT, LINK_USDT, LTC_USDT, TRX_USDT, TON_USDT, POL_USDT, BCH_USDT · M15 · 2023-11-05 → 2026-11-02
Indicator: {"leftS": 5, "rightS": 5, "leftM": 2, "rightM": 2, "maxBeyond": 10, "maxWait": 300, "useIDM": false, "idmLeft": 3, "idmRight": 3, "idmVol": 0.0, "idmMaxWait": 500, "obLookback": 50, "fvgExtend": 3}
Rules: TP 2.0R · SL beyond sweep extreme + 0.1×ATR · max 100 bars · overlap off (1 trade per pair) · same-candle TP+SL = loss · forex: spread per pair · crypto: 0.1% Binance fee per side
Distance units: pips for forex, bp (0.01% of price) for crypto