Four specific entries/exits derived from the scalping research program, each backtested across the 183-symbol Bybit perp universe (ATR≥0.5% filter, 600 days of 5m bars) — net of Bybit taker fees + slippage (~0.14% round trip).
The overextension-fade family is the edge; continuation is not. E8 (VWAP-deviation fade) nets +91,893R (PF 1.355) and E4 (IVA break-in fade) nets +93,840R (PF 3.508, 96.8% win rate) after taker fees + slippage, with P(loss)=0.0 from resampling.
E5 (CVD-divergence fade) loses −14,873R (PF 0.775) and E3 (IVA confirmed breakout) loses −31,816R (PF 0.749) net of costs — the continuation family fails the taker-cost test, consistent with the research finding that fades are the edge on this universe.
All four share the same scalping skeleton: 5m bars, session-anchored reference levels, 1×ATR stop, TP at 2R or a value level, 60-minute time stop.
| ID | Strategy | Type | Entry | Exit |
|---|---|---|---|---|
| E8 | VWAP-Deviation Fade | fade (reversion) | 5m close > 2× ATR from session VWAP | stop 1× ATR, TP 2R (or VWAP), 60-min time stop |
| E4 | IVA Break-In Fade | fade (failed expansion) | close beyond 30m IVA then back inside ≤12 bars | stop 1× ATR, TP IVA POC, 60-min time stop |
| E5 | CVD-Divergence Fade | fade (divergence) | new session extreme without CVD confirmation | stop 1× ATR, TP 2R, 60-min time stop |
| E3 | IVA Confirmed Breakout | continuation | close beyond IVA + volZ≥2 + acceptance | stop behind IVA, TP next node/2× ATR, 2h runner |
| Strategy | Trades | Win% | Net Total R | Net PF | P(loss) |
|---|---|---|---|---|---|
| E8 VWAP-Fade | 535,002 | 53.7% | +91,893R | 1.355 | 0.0 |
| E4 IVA-BreakIn | 556,401 | 96.8% | +93,840R | 3.508 | 0.0 |
| E5 CVD-Divergence | 109,236 | 43.3% | −14,873R | 0.775 | 1.0 |
| E3 IVA-Breakout | 265,931 | 44.1% | −31,816R | 0.749 | 0.991 |
183 Bybit perps with ATR≥0.5%, 600 days of 5m bars, UTC days. Screened-first design from the scalping-research pipeline.
Bybit taker fee + slippage ≈ 0.14% round trip applied to every trade. Gross-vs-net pages show the full cost impact.
Overview (KPIs, exit mix, net equity curve), regime breakdown by ATR, entry-filter testing (Spearman ρ, p, train/test, held-up verdict), costs, and a Monte Carlo net-R resampling with P(loss).
t>3, walk-forward OOS, net-of-cost — the research program's hard gates before a strategy earns “survives” status.
cd /home/jose/workspace/scalping-research
python3 backtest/strategy_engine.py --store scalping-data/store_wide --out-dir scalping-data \
--screened-list scalping-data/screened_list.txt
python3 backtest/build_strategy_analysis.py --store scalping-data/store_wide --out-dir scalping-data
python3 backtest/compute_costs.py && python3 backtest/compute_filters.py
python3 backtest/compute_regime.py && python3 backtest/compute_montecarlo.py
python3 backtest/build_strategy_site.py