Research
Long-form notes on how systematic strategies work, where they fail, and how to read their backtests.
We Backtested 72 Strategies. After Adjusting for Luck, None Clearly Beat the Odds.
104 strategy-and-market combinations look statistically convincing on their own. Once you account for the fact that we tested hundreds of them at the same time, the number drops to zero. Here is what that means for reading any leaderboard, including ours.
Read articleWe Tried to Backtest 1,063 Free MT5 Expert Advisors. Here Is What Survived.
Free MetaTrader 5 EAs from the MQL5 CodeBase, converted automatically and tested on four markets for one year. More than half could not be converted at all. Of the 1,123 results we trust, about half made money — but on currencies the typical EA ended flat, only 30 EAs were profitable on all four markets, and one in five gold runs wiped out the account.
Read articleWhich Trading Strategies Survived 2022? 62 Backtests Through Three Sell-offs
In the 2022 bear market SPY fell 24.5% from peak to trough. Every one of the 62 strategies we run on SPY lost less, and ten of them made money. Mean reversion held up best, momentum worst. Here is what the COVID crash and the late-2018 sell-off add to the picture.
Read articleWhy Martingale and Grid EAs Blow Up: What 1,515 Free MT5 Expert Advisors and Their Losing Streaks Show
Martingale and grid EAs make up 5% of the free MT5 Expert Advisors we review, but more than half of the ones we rate "dangerous". The reason is arithmetic: losing streaks of six to eight trades are normal — and that is exactly where doubling the position runs out of money.
Read articleDo Moving-Average Strategies Still Work on Bitcoin? Nine Systems, Five Years
Over the last five years buy-and-hold bitcoin returned 7.2% a year with a 77% drawdown. Five of nine moving-average-style systems beat that return, and every one of them cut the worst drawdown. Over the full history the picture flips: almost nothing beats simply holding.
Read articleDoes Turtle Trading Still Work? Ten Markets, 2021–2026
Two breakout systems, ten markets, five years. Neither beat buy-and-hold on most markets, but the slower Donchian version had a smaller drawdown on nine of ten, and both made money on commodities in the 2022 bear market when stocks fell 25%.
Read articleDoes an RSI Filter Make MACD Better? A Ten-Market Test
Adding an RSI filter to a MACD crossover cut the maximum drawdown on nine of ten markets and reduced trading by 10–30%. It improved the Sharpe ratio on only five, and gave up return on the strongest trends — silver, bitcoin and ether.
Read articleTwo Strategies, the Same 10% Drawdown, Very Different Pain: How to Read Drawdown, the Ulcer Index and Rolling Sharpe
Maximum drawdown tells you how deep the worst fall was, not how long you spent underwater or how often it happened. Two strategies on the S&P 500 with almost identical 10% drawdowns show why the Ulcer index and drawdown duration are worth a look — and why a single Sharpe ratio can mislead as much as a single drawdown.
Read articleKeltner Breakout or Bollinger Reversion? Ten Markets Split Down the Middle
Two volatility-band strategies that do opposite things: one buys when price breaks out of a Keltner Channel, the other buys when price falls to the lower Bollinger Band. Over the last five years each had the better Sharpe ratio on exactly five of ten markets — and the split follows a clear pattern: breakouts won where prices trended, reversion won where they went back and forth.
Read articleDonchian Channel and Turtle Breakout: Trading the 20/10 Rule
The Turtle system uses Donchian breakouts and risk based sizing to capture sustained trends. This research note explains the logic, market fit, and failure modes.
Read articleSupertrend and ATR Trailing Stop: Volatility Adjusted Trend Control
Supertrend uses ATR based bands to define trend flips and stops. This research note explains the signal mechanics, regime fit, and the risks of whipsaw.
Read articleIchimoku Cloud Strategy: Regime, Momentum, and Support in One System
Ichimoku combines trend, momentum, and support into a single framework. This research note breaks down the components, signals, and common traps.
Read articleRSI Mean Reversion Strategy: Buying Weakness Inside Ranges
RSI mean reversion looks for short term exhaustion and then fades the move. This research note covers the signal logic, market fit, and risk traps.
Read articleEMA Crossover Strategy: Reading Trend With Two Clocks
An in depth look at why exponential moving average crossovers persist, how to interpret their backtests, and when trend signals fail.
Read articleParabolic SAR Strategy: A Trend Exit Engine
Parabolic SAR uses a trailing stop that accelerates with trend strength. This article explains why it works, when it fails, and how to read its backtests.
Read articleVolatility Breakout Strategy: Trading Expansion Without Overreach
Volatility breakouts focus on price moves that escape a recent range. This guide explains the logic, the regimes where it works, and the traps to avoid.
Read articleHow QuantArenas Ranks Strategies
A full methodology essay on why the Arena Score blends multiple metrics, how stability is measured, and how to read results without overfitting.
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