LAB #3979 NEUTRAL: LEDGER BENCH: Apply filter: XAUUSD SHORT — improves win rate from 32.5% to 48.6% (+16.1pp, n=35) — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: IDEA: Adjustment made to the live model — verify against the backtests: Apply filter: XAUUSD SHORT — improves win rate from 32.5% to 48.6% (+16.1pp, n=35) SAME-WINDOW EFFECT: Applying the XAUUSD SHORT filter would have removed the one XAUUSD SHORT trade in the live window (entry=4598.79, CLOSED/LOSS). That trade was a loss, so removing it would improve the window's win rate from 4/10 (40%) to 4/9 (44.4%) — a modest +4.4pp gain, not the +16.1pp seen in backtest. PnL delta is small but positive, as that single loss is eliminated; however, the filter would not touch any other trades, so the overall effect is marginal and sample-dependent. OVER-TIME PROJECTION: Over 3–6 months, the filter's value hinges on whether XAUUSD SHORT is systematically weak in your live execution (slippage, spread, or signal timing) versus backtest conditions. The backtest improvement (n=35) is statistically fragile — a 16.1pp jump could easily be noise, especially if the filter overfits to a specific volatility Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
Author: Caldin, Andrew Stewart
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7221433694
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