# TR-RSI-Supertrend — Results (vectorbtpro)

Video claim: ~100 manual trades at fixed 1.5R, win rate ~45%.
Measurement (base, pooled): 1,387 trades, 556 TP / 829 SL, win rate 40.14%.

## Measurement

- Period: Dukascopy H1 Bid, 2017-01-02 to 2026-06-26 (59,132 / 59,131 bars).
- Split (predeclared): IS = exit before 2024-01-01, OOS = exit on/after it.
- Engine: vectorbtpro 2024.11.12 Portfolio.from_signals, closed-bar signals,
  next-bar entry at open, one position per symbol, stop-first on ambiguous bars.
- Base: RSI(14) cross above 70 / below 30 with Supertrend(10, 3.0)
  direction, SL at the line, 1.5R.

| Scope | Trades | TP | SL | END | Win rate | IS (n/rate) | OOS (n/rate) |
| EURUSD | 695 | 271 | 423 | 1 | 39.05% | 520 / 40.2% | 174 / 35.6% |
| EURJPY | 692 | 285 | 406 | 1 | 41.24% | 505 / 42.2% | 186 / 38.7% |
| POOLED | 1,387 | 556 | 829 | 2 | 40.14% | 1,025 / 41.2% | 360 / 37.2% |

## Costs (fixed assumptions, bid-only data)

- Spread EURUSD 1.0 pip / EURJPY 1.2 pip, half-spread adverse on every fill.
- Commission $7/lot round trip ($0.07 at 0.01 lot); EURJPY converted to
  price at a fixed USDJPY 140 (simplification, recorded in summary.csv).
- Pooled base: breakeven win rate with costs 41.05%, effective R 1.44,
  R-denominated max drawdown 60.9R (trade-sequence units, no profit claim).

## Variants (one dimension each, both symbols)

- rsi7 (RSI period 7): pooled 1,970 trades, 38.77%.
- hold (RSI level >70 / <30, no cross): pooled 1,548 trades, 39.72%.
- st72 Supertrend(7, 2.0): pooled 1,832 trades, 41.02%.
- Range across variants: 38.8-41.0%, all below the claimed ~45%.

## Limits

- H1 bid bars: intrabar paths unknown; a bar touching both TP and SL exits
  at SL (0 pooled base trades affected); fills are modeled, not observed.
- Spread, commission and USDJPY are fixed assumptions, not measured costs.
- No exact video replication is claimed (its parameters/stops unstated).
- Audit trail: results/summary.csv + results/trades.csv (no raw bars).
- Engine receipt: test.py requires vectorbtpro on py -3.11 and replays every
  ledger trade in the engine at exact fills (same-bar trades as single-trade
  receipts); see vbt_reconciled in summary.csv.