Liquidity sweep: 5 Backtests
Data last updated
0 of 5 strategies finished ahead of the benchmark on the raw number, and 0 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on crypto, ETFs. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Equal-lows / equal-highs sweep on daily ETFs: fade the wick through a stacked pool that closes back inside receipt Source: c1031/tjr | ETFs | −7.4 pts/yr | 600 trades | 1.000 | 1.000 | On-site receipt |
| Previous-month high/low sweep: first daily close back inside after a wick through last month's extreme, target last month's midpoint (ETF 1d) receipt Source: c1031/tjr | ETFs | −7.4 pts/yr | 917 trades | 1.000 | 1.000 | On-site receipt |
| Previous-week high/low sweep confirmed by an hourly BOS, target the prior daily extreme (crypto 1h) receipt Source: c1031/tjr | crypto | −84.8 pts/yr | 199 trades | 1.000 | 1.000 | On-site receipt |
| Sweep of a 48-hour extreme with an open-interest flush: fade the stop run once leveraged positions have been liquidated (crypto 1h) receipt Source: c1031/tjr | crypto | −94.9 pts/yr | 2,683 trades | 1.000 | 1.000 | On-site receipt |
| Equal-highs / equal-lows liquidity sweep: fade a wick through a stacked pool that closes back inside (crypto 1h) receipt Source: c1031/tjr | crypto | −103.6 pts/yr | 5,334 trades | 1.000 | 1.000 | On-site receipt |
- Equal-lows / equal-highs sweep on daily ETFs: fade the wick through a stacked pool that closes back inside
ETFs · −7.4 pts/yr · 600 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/tjr
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Previous-month high/low sweep: first daily close back inside after a wick through last month's extreme, target last month's midpoint (ETF 1d)
ETFs · −7.4 pts/yr · 917 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/tjr
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Previous-week high/low sweep confirmed by an hourly BOS, target the prior daily extreme (crypto 1h)
crypto · −84.8 pts/yr · 199 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/tjr
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Sweep of a 48-hour extreme with an open-interest flush: fade the stop run once leveraged positions have been liquidated (crypto 1h)
crypto · −94.9 pts/yr · 2,683 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/tjr
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Equal-highs / equal-lows liquidity sweep: fade a wick through a stacked pool that closes back inside (crypto 1h)
crypto · −103.6 pts/yr · 5,334 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/tjr
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.