BTC 4h VNTP Rank-90 — Structural Exits

T0Unranked

bybit·BTCUSDT·4h (crypto)Published 2026-08-24(auto — free plan policy)v1

Verdict — deterministic, from the numbers

2026-08-24 21:52 UTC

REJECT

REJECT: out-of-sample segment is not profitable (net -2.29 over 39 trades after a 139-bar embargo); permutation p=0.1648 over 1000 shuffles (threshold 0.05); does not beat matched random entries (p=0.3035 over 200 runs); Deflated Sharpe 0.832 below 0.95 at N=1 trials; 139% of net P&L sits in the 5 largest trades (cap 50%).

Hard failures

oos
permutation_p
beats_random

Trade count: 156
OOS PF ratio: 0.71
Permutation p: 0.165
Deflated Sharpe: 0.83
Exceeds random: no
Cost-stress PF: 1.15
Concentration: 138.9%

Backtest metrics

2026-08-24 21:52 UTC

Net return: +0.42%
Profit factor: 1.23
Sharpe (ann.): 0.38
Max drawdown: 0.33%
Trades: 156
Win rate: 41.7%
Expectancy / trade: +0.27
Exposure: 15.0%
Avg holding: 13 bars

Equity curve

2020-03-25 → 2026-08-24

Downsampled to at most 2,000 points; the full trade-level series is recomputed on demand from the content-addressed run.

Price — our candles, never venue-direct

bybit · BTCUSDT · 4h

Loading candles…

Final bars from our ingested history; the forming bar streams from the ingest worker. Never venue-direct.

Cost breakdown — every line shown was modeled, none waived

Line item	Amount
Fees	14.12
Slippage	0.09
Spread	0.00
Funding	10.95
Tick residual	0.00

Funding: 7,030 settlements priced from the stored rate tape, 2020-03-25 → 2026-08-24 UTC.
Overnight swap: not modelled on this run (includeSwap off) — no swap line is shown.

StratSpec — the JSON is the export

spec_hash 8542eb77…bdd6

{
  "defs": {
    "go_long": {
      "macro": "vntp",
      "params": {
        "atrLen": 14,
        "output": "entry",
        "minRank": 90,
        "rankLen": 200,
        "slopeLen": 50
      }
    }
  },
  "lane": "crypto",
  "entry": {
    "ref": "go_long"
  },
  "venue": "bybit",
  "limits": {
    "maxCost": 20000,
    "maxDepth": 32,
    "maxNodes": 256,
    "maxWindow": 1000,
    "maxHtfBars": 20000,
    "maxBaseBars": 200000
  },
  "sizing": {
    "mode": "fixed_fraction",
    "value": 0.01
  },
  "symbol": "BTCUSDT",
  "costModel": {
    "feeBps": 5.5,
    "includeSwap": false,
    "spreadSource": "fixed_bps",
    "slippageTicks": 1,
    "includeFunding": true
  },
  "irVersion": "ir-1.1.0",
  "timeframe": "4h",
  "specVersion": 1,
  "exitCondition": null,
  "structuralExit": {
    "stop": {
      "atrLen": 14,
      "atrMult": 2
    },
    "trail": {
      "atrMult": 2.5
    },
    "target": null,
    "timeStop": {
      "maxBars": 30
    }
  },
  "lastBarOpenTime": 1787587200000,
  "macroLibVersion": "macros-1.0.1",
  "anchorBarOpenTime": 1585123200000
}

Provenance — reproduce this run

Window (always shown): 2020-03-25 → 2026-08-24
Run key: 37e466503254…b4d315
Candle set: 99099b403c96…0cc42c
Engine: vt-engine-0.1.5+node24.12.0
Exec model: exec-1.3.0
Cost model: 9ca1e5ed85aa…739699

Tier history

Current: T0Unranked

The full award/revoke event history is available to signed-in users.

Versions — immutable, append-only

v	Spec hash	Created
1	`8542eb771623…7fbdd6`	2026-08-24