Hypotheses
Turtle Soup Plus-One (Raschke/Connors, via FMZ 发明者量化-小小梦) on 10 Liquid US ETFs, Daily, Long-Short: Fade a Failed 20-Session Donchian Break When Price Re-Crosses the Old Extreme the Next Session. PRE-STUDY FAILED, low priority, submitted for falsification only
Turtle Soup restated from first principles on US ETFs, the asset class it was written for, with honest gap fills. The pre-study is in the file. On OKX crypto perps the setup scores at or below drift. On the ETFs, with…
Hypothesis
Turtle Soup restated from first principles on US ETFs, the asset class it was written for, with honest gap fills. The pre-study is in the file. On OKX crypto perps the setup scores at or below drift. On the ETFs, with a realistic fill, per-trade means are about 0 (t of 0.6 or less), and the edge decays to about 0 after 2016. The full spec is written to workspace/outbox/research_lead/hypothesis_0bc51c25a4.json.
Analysis
龟汤交易法则
Backtest and paper results are hypothetical. Trading involves risk of loss.