# TR-Supertrend — Results (vectorbtpro)

Video claim: ~100 manual trades at fixed 1.5R, win rate ~46%.
Measurement (base, pooled): 984 trades, 394 TP / 590 SL, win rate 40.04%.

## 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: Supertrend(10, 3.0, median) flip + EMA200 filter, SL at the line, 1.5R.

| Scope | Trades | TP | SL | END | Win rate | IS (n/rate) | OOS (n/rate) |
| EURUSD | 506 | 205 | 301 | 0 | 40.51% | 360 / 40.8% | 146 / 39.7% |
| EURJPY | 478 | 189 | 289 | 0 | 39.54% | 345 / 42.9% | 133 / 30.8% |
| POOLED | 984 | 394 | 590 | 0 | 40.04% | 705 / 41.8% | 279 / 35.5% |

## 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 41.10%, effective R 1.43,
  R-denominated max drawdown 44.9R (trade-sequence units, no profit claim).

## Variants (one dimension each, both symbols)

- st72 Supertrend(7, 2.0): pooled 1,821 trades, 39.20%.
- stopbuf (SL +0.25 ATR beyond line): pooled 909 trades, 40.37%.
- wideskip (skip risk > 4.0 ATR, 208 skipped): pooled 938 trades, 40.62%.
- Range across variants: 39.2-40.6%, all below the claimed ~46%.

## Limits

- H1 bid bars: intrabar paths unknown; a bar touching both TP and SL exits
  at SL (1 pooled base trade affected); fills are modeled, not observed.
- Spread, commission and USDJPY are fixed assumptions, not measured costs.
- No exact video replication is claimed (its timeframe/parameters 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.