LAB #4033 NEUTRAL: LEDGER BENCH: Apply filter: Session = NY_OPEN — improves win rate from 32.5% to 39.1% (+6.6pp, n=778 — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: IDEA: Adjustment made to the live model — verify against the backtests: Apply filter: Session = NY_OPEN — improves win rate from 32.5% to 39.1% (+6.6pp, n=778) SAME-WINDOW EFFECT: Applying the NY_OPEN session filter would have excluded all 10 live trades listed, since none fall within the NY_OPEN session (typically 14:30–21:00 UTC, roughly 16:30–23:00 CEST). The two wins (GBPUSD SHORT 08-26, EURUSD LONG 08-25) would have been removed, along with the losses — net effect on this sample is zero PnL change, but the win rate would drop to 0/0 (no trades taken). This is not evidence of improvement; it simply avoids trading during a period where this small sample happened to lose. The backtest gain (+6.6pp) is not validated by this live window because no live trade would have survived the filter. OVER-TIME PROJECTION: Over 3–6 months, the NY_OPEN filter could reduce trade frequency by ~60–70%, concentrating risk into a narrower time window. If the backtest edge is real (not overfit to sessi 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: W7221657455
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