Two tests at the VWAP band, on the trader's hours
FailedES am 9 · ES pm 9 · Gold am 9 · Gold pm 9 /100VWAP from 18:00 with its 2-sigma bands, on 5-minute bars. The first bar of the session that touches the lower band is the primary test. A later bar with its low within 15 points of the primary test's low, on volume under each of the prior two bars, is the secondary test. If the next bar closes back toward VWAP, past the signal candle's high by a tick or more, on volume over 1.1 times the signal candle's, buy at the next bar's open. Stop a tick past the lowest low of the two tests; skip it if the stop is bigger than the distance to VWAP. Target 2R; stop to breakeven when VWAP trades. Shorts the mirror at the upper band. Two sessions a day, the tests and the trigger inside them, 9:30 to 11:25 with the close at 11:30 and 20:00 to 21:55 with the close at 22:00. At the session close a losing trade is flat, and a winning one has its stop moved to the entry and rides with no clock until the target or that stop. One trade a session, every weekday.
The same reader's rule as TR-26-0008, run again on the hours he trades and with his own rule for the session close, both given by him after the first page went up; one rule, two markets, two sessions, four records. The Wyckoff reading it sits inside is his and is not in the test.
Real, or luck?
ES, morning. Not real, or not worth its costs. 498 trades over 18.6 years. Net after costs: -$15,279. On the 15 years it never saw: -$9,772, and 3,649 of 5,000 coin flips did as well or better; 3 of those 15 years made money.
ES, evening. Not real, or not worth its costs. 686 trades over 18.6 years. Net after costs: -$24,481. On the 15 years it never saw: -$18,830, and 3,232 of 5,000 coin flips did as well or better; 0 of those 15 years made money.
Gold, morning. Not real, or not worth its costs. 884 trades over 18.5 years. Net after costs: -$24,063. On the 15 years it never saw: -$21,207, and 2,668 of 5,000 coin flips did as well or better; 5 of those 15 years made money.
Gold, evening. Not real, or not worth its costs. 666 trades over 18.5 years. Net after costs: -$9,440. On the 15 years it never saw: -$13,021, and 1,370 of 5,000 coin flips did as well or better; 3 of those 15 years made money.
Where the money was
From the four records, not from memory.
| exit | trades | net |
| the stop | 210 | -$48,344 |
| the 2R target | 96 | $42,784 |
| a loser, flat at the session close | 90 | -$7,990 |
| a winner held past the close, stopped at entry | 64 | -$1,094 |
| breakeven after VWAP traded | 38 | -$635 |
Win rate 19.3% (96 of 498 closed above zero after costs); -$30.68 a trade. Longest wait for a new equity high: 222 months, median year -$1,088.30.
| exit | trades | net |
| the stop | 298 | -$37,789 |
| the 2R target | 85 | $22,906 |
| a loser, flat at the session close | 130 | -$6,708 |
| a winner held past the close, stopped at entry | 83 | -$1,386 |
| breakeven after VWAP traded | 90 | -$1,503 |
Win rate 12.4% (85 of 686 closed above zero after costs); -$35.69 a trade. Longest wait for a new equity high: 224 months, median year -$1,138.30.
| exit | trades | net |
| the stop | 353 | -$106,143 |
| the 2R target | 160 | $108,408 |
| a loser, flat at the session close | 173 | -$23,507 |
| a winner held past the close, stopped at entry | 146 | -$2,083 |
| breakeven after VWAP traded | 52 | -$738 |
Win rate 18.1% (160 of 884 closed above zero after costs); -$27.22 a trade. Longest wait for a new equity high: 221 months, median year -$1,072.80.
| exit | trades | net |
| the stop | 298 | -$43,093 |
| the 2R target | 120 | $41,984 |
| a loser, flat at the session close | 94 | -$6,035 |
| a winner held past the close, stopped at entry | 81 | -$1,260 |
| breakeven after VWAP traded | 73 | -$1,037 |
Win rate 18.2% (121 of 666 closed above zero after costs); -$14.17 a trade. Longest wait for a new equity high: 213 months, median year -$755.40.
The stop took 40% to 45% of the trades and the 2R target 12% to 19%; the session close turned the rest into small losses, a loser flattened at the close or a winner held past it and stopped at its entry (each of those costs the slippage and the commission and nothing more).
The years from 2023 on, the seen era on every page here, against the years before: ES, morning -$67.16 a trade from 2023 on (82 trades) against -$23.49 before (416 trades); ES, evening -$34.46 a trade from 2023 on (164 trades) against -$36.07 before (522 trades); Gold, morning -$15.27 a trade from 2023 on (187 trades) against -$30.43 before (697 trades); Gold, evening $28.42 a trade from 2023 on (126 trades) against -$24.11 before (540 trades). The one plus sign on this page is Gold, evening's seen era, $3,581 on 126 trades, and that is the era the verdict does not use: the fifteen years before it decide, and there it lost $13,021.
Can you live on it?
Passing and being able to hold it are different things. These numbers are the difference.
ES, morning. Longest wait for a new high: 222 months, ending 2026-07. Worst twelve months: -$3,709, ending 2025-06. A typical year: -$1,088. One contract needs about $20,492 of room to get through its worst stretch (that stretch, with the record's own safety margin).
ES, evening. Longest wait for a new high: 224 months, ending 2026-08. Worst twelve months: -$4,564, ending 2026-04. A typical year: -$1,138. One contract needs about $25,959 of room to get through its worst stretch (that stretch, with the record's own safety margin).
Gold, morning. Longest wait for a new high: 221 months, ending 2026-08. Worst twelve months: -$9,107, ending 2025-04. A typical year: -$1,073. One contract needs about $36,134 of room to get through its worst stretch (that stretch, with the record's own safety margin).
Gold, evening. Longest wait for a new high: 213 months, ending 2026-08. Worst twelve months: -$2,586, ending 2022-05. A typical year: -$755. One contract needs about $15,084 of room to get through its worst stretch (that stretch, with the record's own safety margin).
What it costs
Every trade above already paid one tick each way plus commission.
ES, morning. With costs doubled: -$26,692. Tripled: -$40,092. It stops making money at 0.0 ticks a side.
ES, evening. With costs doubled: -$41,444. Tripled: -$60,256. It stops making money at 0.0 ticks a side.
Gold, morning. With costs doubled: -$40,833. Tripled: -$59,903. It stops making money at 0.0 ticks a side.
Gold, evening. With costs doubled: -$22,288. Tripled: -$35,529. It stops making money at 0.0 ticks a side.
Two sessions, two runs
What four separate records can and cannot say.
The trader's hours are two sessions a day, and the engine ran each as its own test on each market: four records, each holding one position at a time and knowing nothing of the other's. A winner from the evening session still riding at 9:30 does not stop the morning session's trade from firing, and two rides can overlap on the books. A person trading both sessions would see that; these four records cannot.
The trader trades the micros, MES and MGC. The engine ran the full-size contracts, ES at $50 a point and gold at $100 a point, which trade at the same prices, so 15 points is 15 points; every dollar on this page is the full-size contract's, and the micro's is a tenth of it (MES $5 a point, MGC $10).
The gold file had 960 one-minute lines the loader set aside (zero or negative volume), reported and never repaired; its history starts 2008-01-28. The ES file had none.
If you trade this by eye
Against 5,000 coin flips the written rule is a coin on all four (ES, morning 3,649 of 5,000; ES, evening 3,232 of 5,000; Gold, morning 2,668 of 5,000; Gold, evening 1,370 of 5,000 matched or beat it on the unseen years); whatever you do on top of the written steps is where any edge is, and your fills are how to find out which part.
This is the VWAP-band version of the setup on its own, on the trader's own hours and with his session-close rule. The Wyckoff half, the Phase C structure and the higher-timeframe wall, is read by eye and was not in the test.
That is what the record says about the rule as written. It is not what next year says.
The score, in six parts
ES am 9 · ES pm 9 · Gold am 9 · Gold pm 9 of 100. Each part is a question; the number is how well each record answered it.
ES am 5 · ES pm 5 · Gold am 5 · Gold pm 5
ES am 0 · ES pm 0 · Gold am 0 · Gold pm 0
ES, morning, the record's own line: Sharpe retention 0.0 (per-trade) -> 0; absolute OOS -> 0
ES, evening, the record's own line: Sharpe retention 0.0 (per-trade) -> 0; absolute OOS -> 0
Gold, morning, the record's own line: Sharpe retention 0.0 (per-trade) -> 0; absolute OOS -> 0
Gold, evening, the record's own line: Sharpe retention -2.38 (per-trade) -> 0; absolute OOS -> 0
ES am 0 · ES pm 0 · Gold am 0 · Gold pm 0
ES, morning, the record's own line: windows profitable 0.2 -> 0; efficiency 1.2 -> 0; window concentration -> 0
ES, evening, the record's own line: windows profitable 0.0 -> 0; efficiency 0.77 -> 0; window concentration -> 0
Gold, morning, the record's own line: windows profitable 0.33 -> 0; efficiency 0.79 -> 0; window concentration -> 0
Gold, evening, the record's own line: windows profitable 0.2 -> 0; efficiency 0.52 -> 0; window concentration -> 0
ES am 4 · ES pm 4 · Gold am 4 · Gold pm 4
ES, morning, the record's own line: null p 0.7298 (5000 seeds) -> 0; DD95/BT 1.34 -> 4; top trade None -> 0
ES, evening, the record's own line: null p 0.6464 (5000 seeds) -> 0; DD95/BT 1.0 -> 4; top trade None -> 0
Gold, morning, the record's own line: null p 0.5336 (5000 seeds) -> 0; DD95/BT 1.13 -> 4; top trade None -> 0
Gold, evening, the record's own line: null p 0.274 (5000 seeds) -> 0; DD95/BT 0.87 -> 4; top trade None -> 0
ES am 0 · ES pm 0 · Gold am 0 · Gold pm 0
ES, morning, the record's own line: retention@1x 0.0 -> 0; PF@2x 0.58 -> 0
ES, evening, the record's own line: retention@1x 0.0 -> 0; PF@2x 0.3 -> 0
Gold, morning, the record's own line: retention@1x 0.0 -> 0; PF@2x 0.7 -> 0
Gold, evening, the record's own line: retention@1x -2.855 -> 0; PF@2x 0.61 -> 0
ES am 0 · ES pm 0 · Gold am 0 · Gold pm 0
ES, morning, the record's own line: plateau 0.0 -> 0; parsimony 8 -> 0; sign flip True -> 0
ES, evening, the record's own line: plateau 0.0 -> 0; parsimony 8 -> 0; sign flip True -> 0
Gold, morning, the record's own line: plateau 0.0 -> 0; parsimony 8 -> 0; sign flip True -> 0
Gold, evening, the record's own line: plateau 0.0 -> 0; parsimony 8 -> 0; sign flip True -> 0
The code
The code is withheld until every gate is cleared; the ones it missed are marked.
- ✗ it passed
- ✗ fewer than 1 in 20 coin flips matched it on the years it never saw
- ✗ the money on those years is clearly more than zero
- ✗ it still makes money with at least four ticks of cost a side
- ✗ no single trade is more than a quarter of the money
How it was scored: Scored under Protocol v1.1 on FirstRate 1-min unadjusted via Thinridge engine. Intake testimony: NOT received (rule tested as locked). Contamination map sworn: no (seen era as declared or by archive date). Human review of reconciliation residue: NO.