je-suis-tm London Breakout — Frozen Absolute-Price Rules on XRP

Hypothesis

Faithful signal-rule port of London Breakout by je-suis-tm, Apache-2.0, at commit 611b73f2c3f577ac5b28aaa19ac8c43d3236c7a5. Adapt GBP/USD to XRPUSDT.BINANCE using completed 1-MINUTE close prices instead of sampled FX midpoint prices. Preserve risky_stop=0.01 and open_minutes=30 exactly: the executable thresholds are absolute quote-price differences, not percentages or basis points. Preserve the source's fixed UTC−05:00 clock throughout the year, without London or New York daylight-saving adjustments. Entries and exits execute as market orders at the observed bar close. Preserve branch order, including the absence of protective exits during the reference hour and opening entry window. The linked Heikin-Ashi statistics file was unavailable and contributes no rules. This tests the source's executable breakout rules on a different market; it does not reproduce GBP/USD economics or establish the author's claimed FX mechanism.

The submitted source binds this experiment to an exact-rule reproduction, so diversity quotas do not justify replacing its mechanism. XRP allows economically interpretable absolute quote-price thresholds while avoiding another BTC experiment and preserving long-short exposure. BINANCE is over-represented, but its multi-year minute data permits the required schedule without Hyperliquid's short-history limitation. Corpus concentration was supplied as an empty object, so no XRP-specific concentration claim is made. No preliminary performance study was run.

negative_expectancy: decline optimization of the frozen absolute-price London Breakout port on XRP minute bars. A substantial executed sample loses materially after commissions, modeled impact and credited funding, including before reported liquidation. No verified implementation repair or permitted tuning path supports iteration. This rejects this XRP adaptation, not je-suis-tm's original GBP/USD strategy or session breakouts generally. Review post-liquidation trading and position-metric inconsistencies separately; their causes have not been verified.

Implementation

Frozen absolute-price London Breakout port on XRP minute closes: collect 02:00–02:59 observations, set levels at 03:00, enter breakouts at 03:01–03:29, and flatten from 12:00 on the fixed UTC−05:00 clock. Preserve source branch precedence and close-observed ±0.005 USDT exits outside the reference hour and opening window.

Corrects the QA clock mismatch by applying UTC−05:00 directly to the completed close timestamp, removing the one-minute subtraction. All other code and fixed research parameters are preserved. The price-dependent absolute exit distance and sandbox costs require full-history economic review; they do not justify changing this frozen reproduction.

Verification Results

Sandbox mean net trade return was -0.4009% across 12 closed positions. Full-history review should assess the price-dependent percentage value of the fixed 0.005 USDT exit distance against commissions and impact; these smoke-test losses do not establish a correctness failure.

Backtest Review

Sharpe

-1.54

Total return

-100.00%

Max drawdown

100.00%

Trades

1784

Win rate

37.3%

Profit factor

0.47

Trade records show all 1,784 entries in the prescribed 08:00 UTC hour, with balanced long/short participation and capital-relative sizing.

Net average trade return is -0.402% versus the BINANCE review floor of +0.15%; PF is 0.466 and Sharpe is -1.537. QA's economic concern is borne out.

Losses precede liquidation: 1,397 trades entered before 2025-04-14 net approximately -99,942 USDT. Every reported calendar year loses.

The report contains 387 entries after reported liquidation, requiring accounting review. The 201% average position metric also conflicts with peak entry leverage of 25%; neither inconsistency explains away the independently observed earlier losses.

Sampled buy-and-hold returns +542.23% with approximately 82.42% drawdown; the strategy reports -100% return and 100% drawdown. No parameters are registered as tunable.

Iteration History

Apply the fixed UTC−5 offset directly to self._bar_ts(bar), without subtracting self._bar_interval_ns(bar.bar_type). Collect closes timestamped 02:00–02:59, establish levels at 03:00, permit opening entries at 03:01–03:29, and start closing-hour flattening at 12:00.

The clock subtracts one minute from the completed bar's close timestamp before applying UTC−5. This shifts every specified branch by one minute: the 03:00 close is treated as reference-hour data, thresholds are set at the 03:01 close, entries run at 03:02–03:30 closes, and scheduled flattening starts at the 12:01 close. The pinned source evaluates the timestamp of the observed price directly (source lines 104, 116, 130 and 176); it does not subtract an interval. The hypothesis substitutes completed close observations and does not disclose a shifted schedule.

Outcome Summary

This frozen XRP adaptation showed negative expectancy, without establishing a verdict on the original GBP/USD strategy or session breakouts generally.

Backtest review issued an abandon verdict because substantial losses existed before reported liquidation and no verified implementation repair or permitted tuning path supported iteration. Optimization and subsequent analyst and risk reviews were not reached.

Port je-suis-tm’s London Breakout rules to XRPUSDT one-minute closes while preserving absolute-price thresholds, the 30-minute entry window, and the fixed UTC−05:00 clock.

The backtest reported 1,784 closed trades, -100% return, Sharpe -1.537, and 100% maximum drawdown with liquidation. Average net trade return was -0.402% and profit factor was 0.466; the review also flagged post-liquidation entries and inconsistent position metrics.

Analysis

London Breakout backtest