Phase C: Structural Stop-Loss Backtest Results
Run date: 2026-04-13
Period: 2016-01-01 to 2025-06-30 (OOS from 2024-01-01)
Universe: v5.1 optimized filter
Patterns: bullish_engulfing, outside_reversal, 2b_reversal, 3bar_flush_reclaim
Matrix: 4 patterns x 6 SL x 7 TP = 168 configs
Test Matrix Summary
- Total configs tested: 168
- Configs with trades: 168
- Total trades across all configs: 100128
- Avg trades per config: 596.0
- Configs with n>=30: 168
Top 20 Configs (by Expectancy x sqrt(N))
| Rank | Config | Pattern | SL | TP | N | Exp(R) | WR | PF | Sharpe | MaxDD(R) | Bars |
|---|
| 1 | 3bar_flush_reclaim_SL-3_TP-6 | 3bar_flush_reclaim | SL-3 | TP-6 | 714 | 3.013 | 3.2% | 4.11 | 0.54 | -89.00 | 8 |
| 2 | bullish_engulfing_SL-3_TP-6 | bullish_engulfing | SL-3 | TP-6 | 517 | 3.453 | 3.5% | 4.58 | 0.54 | -103.00 | 8 |
| 3 | bullish_engulfing_SL-3_TP-5 | bullish_engulfing | SL-3 | TP-5 | 517 | 2.862 | 9.3% | 4.16 | 1.16 | -46.16 | 4 |
| 4 | 3bar_flush_reclaim_SL-3_TP-5 | 3bar_flush_reclaim | SL-3 | TP-5 | 714 | 1.772 | 9.5% | 2.96 | 1.10 | -55.08 | 3 |
| 5 | bullish_engulfing_SL-3_TP-4 | bullish_engulfing | SL-3 | TP-4 | 517 | 2.079 | 24.8% | 3.76 | 1.52 | -23.66 | 3 |
| 6 | 3bar_flush_reclaim_SL-3_TP-7 | 3bar_flush_reclaim | SL-3 | TP-7 | 714 | 1.649 | 14.7% | 2.93 | 2.86 | -32.91 | 2 |
| 7 | 3bar_flush_reclaim_SL-3_TP-4 | 3bar_flush_reclaim | SL-3 | TP-4 | 714 | 1.520 | 23.8% | 3.00 | 2.04 | -26.75 | 3 |
| 8 | bullish_engulfing_SL-4_TP-6 | bullish_engulfing | SL-4 | TP-6 | 517 | 1.746 | 4.5% | 2.83 | 0.46 | -69.44 | 11 |
| 9 | 3bar_flush_reclaim_SL-3_TP-3 | 3bar_flush_reclaim | SL-3 | TP-3 | 714 | 1.426 | 19.6% | 2.77 | 3.53 | -27.34 | 1 |
| 10 | 3bar_flush_reclaim_SL-3_TP-2 | 3bar_flush_reclaim | SL-3 | TP-2 | 714 | 1.413 | 22.8% | 2.83 | 3.79 | -22.25 | 1 |
| 11 | 3bar_flush_reclaim_SL-3_TP-1 | 3bar_flush_reclaim | SL-3 | TP-1 | 714 | 1.377 | 23.8% | 2.81 | 3.78 | -22.25 | 1 |
| 12 | 2b_reversal_SL-3_TP-6 | 2b_reversal | SL-3 | TP-6 | 791 | 1.304 | 1.8% | 2.33 | 0.42 | -234.49 | 6 |
| 13 | 2b_reversal_SL-3_TP-1 | 2b_reversal | SL-3 | TP-1 | 791 | 1.281 | 24.9% | 2.71 | 3.60 | -21.54 | 1 |
| 14 | 3bar_flush_reclaim_SL-4_TP-6 | 3bar_flush_reclaim | SL-4 | TP-6 | 714 | 1.339 | 3.9% | 2.40 | 0.41 | -107.28 | 10 |
| 15 | 2b_reversal_SL-3_TP-2 | 2b_reversal | SL-3 | TP-2 | 791 | 1.252 | 22.6% | 2.62 | 3.39 | -20.27 | 1 |
| 16 | bullish_engulfing_SL-3_TP-1 | bullish_engulfing | SL-3 | TP-1 | 517 | 1.529 | 24.8% | 3.03 | 2.39 | -20.71 | 1 |
| 17 | bullish_engulfing_SL-3_TP-2 | bullish_engulfing | SL-3 | TP-2 | 517 | 1.509 | 22.4% | 2.95 | 2.29 | -20.71 | 1 |
| 18 | 2b_reversal_SL-3_TP-3 | 2b_reversal | SL-3 | TP-3 | 791 | 1.210 | 18.1% | 2.48 | 2.96 | -28.61 | 1 |
| 19 | 2b_reversal_SL-3_TP-7 | 2b_reversal | SL-3 | TP-7 | 791 | 1.197 | 12.6% | 2.37 | 2.33 | -53.00 | 2 |
| 20 | 2b_reversal_SL-3_TP-4 | 2b_reversal | SL-3 | TP-4 | 791 | 1.177 | 24.9% | 2.57 | 1.79 | -33.57 | 2 |
Best Config Per Pattern
bullish_engulfing
- Best config: bullish_engulfing_SL-3_TP-6
- SL: SL-3 (fixed_1pct)
- TP: TP-6 (structure_break)
- Trades: 517 (IS: 357, OOS: 160)
- Expectancy: 3.453R (IS: 2.547, OOS: 5.473)
- Win rate: 3.5%
- Profit factor: 4.58
- Sharpe: 0.54
- Max DD: -103.00R
outside_reversal
- Best config: outside_reversal_SL-3_TP-6
- SL: SL-3 (fixed_1pct)
- TP: TP-6 (structure_break)
- Trades: 362 (IS: 247, OOS: 115)
- Expectancy: 1.253R (IS: 0.537, OOS: 2.789)
- Win rate: 2.5%
- Profit factor: 2.29
- Sharpe: 0.46
- Max DD: -132.27R
2b_reversal
- Best config: 2b_reversal_SL-3_TP-6
- SL: SL-3 (fixed_1pct)
- TP: TP-6 (structure_break)
- Trades: 791 (IS: 570, OOS: 221)
- Expectancy: 1.304R (IS: 1.596, OOS: 0.553)
- Win rate: 1.8%
- Profit factor: 2.33
- Sharpe: 0.42
- Max DD: -234.49R
3bar_flush_reclaim
- Best config: 3bar_flush_reclaim_SL-3_TP-6
- SL: SL-3 (fixed_1pct)
- TP: TP-6 (structure_break)
- Trades: 714 (IS: 502, OOS: 212)
- Expectancy: 3.013R (IS: 3.379, OOS: 2.145)
- Win rate: 3.2%
- Profit factor: 4.11
- Sharpe: 0.54
- Max DD: -89.00R
Stop-Loss Variant Comparison (averaged across patterns & TPs)
| SL | Name | Avg Exp(R) | Avg WR | Avg PF | Avg MaxDD(R) | Total Trades |
|---|
| SL-1 | pattern_low_intraday | 0.280 | 20.7% | 1.36 | -54.42 | 16688 |
| SL-2 | close_based | 0.264 | 25.9% | 1.25 | -83.02 | 16688 |
| SL-3 | fixed_1pct | 1.499 | 16.1% | 2.78 | -48.22 | 16688 |
| SL-4 | fixed_2pct | 0.557 | 15.7% | 1.66 | -53.50 | 16688 |
| SL-5 | atr_buffer | 0.153 | 23.2% | 1.21 | -41.59 | 16688 |
| SL-6 | swing_low_20bar | 0.276 | 22.8% | 1.38 | -49.06 | 16688 |
Exit Variant Comparison (averaged across patterns & SLs)
| TP | Name | Avg Exp(R) | Avg WR | Avg PF | Avg MaxDD(R) | Total Trades |
|---|
| TP-1 | 2R_fixed | 0.404 | 28.8% | 1.53 | -34.91 | 14304 |
| TP-2 | 3R_fixed | 0.410 | 23.9% | 1.52 | -39.02 | 14304 |
| TP-3 | 5R_fixed | 0.432 | 19.0% | 1.52 | -45.24 | 14304 |
| TP-4 | partial_runner | 0.478 | 28.8% | 1.63 | -39.42 | 14304 |
| TP-5 | trailing_only | 0.558 | 21.5% | 1.66 | -56.97 | 14304 |
| TP-6 | structure_break | 0.692 | 8.6% | 1.74 | -115.74 | 14304 |
| TP-7 | wide_10R | 0.560 | 14.5% | 1.63 | -53.48 | 14304 |
Key Risk-Management Lessons
- Best stop-loss variant: SL-3 (fixed_1pct) with avg expectancy 1.499R
- Worst stop-loss variant: SL-5 (atr_buffer) with avg expectancy 0.153R
- Best exit variant: TP-6 (structure_break) with avg expectancy 0.692R
- Tight fixed stops (SL-3/4) avg WR: 15.9%, Structural stops (SL-1/5/6) avg WR: 22.2%
- Tight fixed stops avg exp: 1.028R, Structural stops avg exp: 0.236R
- IS/OOS consistency: Correlation of IS vs OOS expectancy: 0.61 (n=168 configs with sufficient trades)
Hypothesis Check
H: Reversal entries with structural stops produce PF >= 1.8, Exp >= 0.5R, lower max DD.
- Configs with PF >= 1.8: 41 / 168
- Configs with Exp >= 0.5R: 58 / 168
- Configs meeting both: 41 / 168
- Best meeting both: 3bar_flush_reclaim_SL-3_TP-6