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Catalog v7 — FALSE_BREAKOUT MTF (Multi-bar + Trail)
Mode-aware validated FB-стратегия. Walk-forward 2019-2026, touch-based exits,
TP_RR=1.0, Trail 0.5×ATR. 4 подкаталога по universe × direction.
Методология
Trigger: multi-bar FALSE_BREAKOUT (ta/false_breakout_mtf.py).
1-3 интрадей-баров закрылись за уровнем → следующий бар закрылся обратно внутрь.
Уровни: D1 + W1 + density (ta/levels_mtf.py). PDH/PDL, rolling 20d high/low,
swing extremums, weekly closes, price-bin consolidation zones.
Default параметры: pierce ≥ 0.2 ATR, vol ≥ 1.5× median(50),
bars beyond 1-3, first-pierce 12 баров, touches ≥ 1, W1 lookback 7 недель.
Exit-механика: SL = pierce_extremum ± 0.15×ATR; TP_RR=1.0
(target = entry ± 1× SL_distance). При касании TP активируется trail-after-TP на
0.5×ATR от current extremum (high для LONG, low для SHORT). Time-stop 20 баров.
Все TP/SL/Trail срабатывания — по касанию (touch), не close.
Walk-forward: 7 годовых окон W1-W7 (2019-05 → 2026-05).
Уровни recomputed на каждом окне отдельно. Persistent edge требование: AvgR positive
на каждом окне.
Universe split: 20 blue chips (SBER…MAGN) vs 116 Tier-2 mid-caps
(median turnover ≥ 2M ₽/день, исключая sub-tick TGKA/TGKB/TGKN).
v7.1 — Blue chip SHORT (mode-aware)
Pure α (post-friction)
~+25%/год
Параметры
- Pierce ≥ 0.2 ATR (default)
- Vol ≥ 1.5× median(50) (default)
- Bars beyond 1-3, first-pierce 12, touches 1, W1=7
- Regime gating: skip TREND_DOWN (только negative regime)
Walk-forward по 7 окнам
| Окно | N | WR | AvgR | Sum % |
|---|
| W1 2019-20 (covid) | 83 | 58% | +0.26R | +28.25% |
| W2 2020-21 (rally) | 126 | 55% | +0.19R | +25.82% |
| W3 2021-22 | 119 | 49% | +0.17R | +21.08% |
| W4 2022-23 (war) | 122 | 52% | +0.23R | +49.81% |
| W5 2023-24 (recovery) | 147 | 58% | +0.32R | +49.81% |
| W6 2024-25 | 181 | 55% | +0.25R | +57.20% |
| W7 2025-26 | 266 | 52% | +0.20R | +53.07% |
| POOLED | 1044 | 54% | +0.23R | +285% |
Per-regime breakdown
| Regime | N | WR | AvgR |
|---|
| TREND_UP | 180 | 57% | +0.34R |
| HYBRID_DOWN | 111 | 58% | +0.33R |
| SHOCK | 114 | 52% | +0.20R |
| HYBRID_UP | 232 | 51% | +0.24R |
| RANGE | 339 | 55% | +0.20R |
| TREND_DOWN | 68 | 43% | +0.04R |
Per-cluster (топ-5)
| Cluster | N | WR | AvgR | Sum% |
|---|
| Growth&Tech (YDEX) | 18 | 65% | +0.42R | +7% |
| Consumer (MGNT) | 61 | 57% | +0.38R | +27% |
| Energy&Resources | 342 | 56% | +0.27R | +106% |
| Financial | 317 | 52% | +0.23R | +68% |
| Metals&Materials | 270 | 53% | +0.14R | +80% |
v7.2 — Blue chip LONG × RANGE × strict
Pure α (post-friction)
~+4.5%/год
Параметры (strict)
- Pierce ≥ 0.5 ATR (vs default 0.2)
- Vol ≥ 3.0× median(50) (vs default 1.5×)
- Bars beyond 1-3, first-pierce 12, touches 1, W1=7
- Regime gate: только RANGE
Per-regime breakdown (LONG)
| Regime | N | AvgR (default) | AvgR (strict 0.5/3.0) | Status |
|---|
| RANGE | 117 | +0.10R | +0.24R | ✅ production |
| HYBRID_DOWN | 34 | −0.07R | +0.00R | skip (low N + flat) |
| TREND_DOWN | 38 | +0.05R | +0.12R | marginal |
| HYBRID_UP | 68 | −0.04R | −0.09R | skip |
| TREND_UP | 57 | −0.22R | −0.20R | skip |
| SHOCK | 57 | −0.08R | −0.04R | skip |
Key insight: LONG на blue chip FB работает только в RANGE с strict params.
Single bull-tier (RANGE) с N=117 за 7 лет = ~17 trades/year, AvgR +0.24R.
В close-mode test (post-validation): edge сохраняется (AvgR +0.12R), значит не artifact of fast touches.
Pure α тонкий (~+4.5%/год после friction), но real, not noise.
v7.3 — Tier-2 SHORT (все 6 regimes)
Pure α (post-friction)
~+120%/год
Параметры (default)
- Pierce ≥ 0.2 ATR, Vol ≥ 1.5× median(50), bars 1-3, first-pierce 12, touches 1, W1=7
- Regime gating: не нужно — все 6 regimes positive (включая TREND_DOWN)
- Liquidity filter: median turnover ≥ 2M ₽/день; sub-tick blacklist (TGKA/TGKB/TGKN excluded)
Walk-forward (W1+W2 пусты — 2019-2020 без regime coverage для Tier-2)
| Окно | N | WR | AvgR | AvgPnL | Sum % |
|---|
| W3 2021-22 | 387 | 49% | +0.14R | +0.63% | +242% |
| W4 2022-23 | 522 | 50% | +0.15R | +0.56% | +295% |
| W5 2023-24 | 640 | 56% | +0.27R | +0.55% | +351% |
| W6 2024-25 | 1002 | 57% | +0.22R | +0.49% | +486% |
| W7 2025-26 | 1292 | 53% | +0.19R | +0.31% | +395% |
| POOLED | 3843 | 54% | +0.20R | +0.46% | +1768% |
Per-regime breakdown
| Regime | N | WR | AvgR | Sum% | vs Blue chip |
|---|
| HYBRID_DOWN | 559 | 59% | +0.26R | +508% | +0.32R |
| RANGE | 1171 | 55% | +0.23R | +589% | +0.21R |
| SHOCK | 405 | 53% | +0.22R | +117% | +0.27R |
| TREND_UP | 571 | 54% | +0.21R | +297% | +0.34R |
| HYBRID_UP | 782 | 51% | +0.14R | +192% | +0.24R |
| TREND_DOWN | 355 | 50% | +0.11R | +66% | +0.07R (BC) |
Key finding: Tier-2 SHORT работает во ВСЕХ 6 regimes, включая
TREND_DOWN (на blue chips единственный negative). Mid-caps более волатильны =
FB-паттерны более pronounced; меньше institutional flow = больше retail-trap moments.
Sum% в 6× больше чем blue chips за счёт N (3.7×) и AvgPnL (+0.46% vs +0.27%).
Per-cluster (топ-3, все positive)
| Cluster | N | WR | AvgR | Sum% |
|---|
| Energy&Resources | 684 | 57% | +0.26R | +425% |
| Industrial | 543 | 57% | +0.25R | +377% |
| Financial | 423 | 55% | +0.22R | +230% |
v7.4 — Tier-2 LONG (4 regimes)
vs Blue chip LONG
×4 active regimes
Параметры (default)
- Pierce ≥ 0.2 ATR, Vol ≥ 1.5× median(50), bars 1-3, first-pierce 12, touches 1, W1=7
- Regime gating: ✅ HYBRID_UP / RANGE / TREND_DOWN / SHOCK; ❌ skip TREND_UP, HYBRID_DOWN
Per-regime breakdown (LONG)
| Regime | N | WR | AvgR | AvgPnL | Status |
|---|
| HYBRID_UP | 296 | 51% | +0.16R | +0.25% | ✅ production |
| SHOCK | 308 | 50% | +0.15R | +1.07% | ✅ production |
| TREND_DOWN | 242 | 49% | +0.14R | +0.60% | ✅ production |
| RANGE | 612 | 48% | +0.13R | +0.32% | ✅ production |
| HYBRID_DOWN | 231 | 43% | −0.04R | +0.02% | skip (flat) |
| TREND_UP | 243 | 36% | −0.13R | −0.56% | skip (catching falling knife) |
Tier-2 LONG расширение: 4 активных regimes vs только RANGE на blue chips.
Mid-caps дают более чёткие FB reversal-сигналы вверх в bear regimes (TREND_DOWN, SHOCK) —
panic sell-off хватает места для recovery; на blue chips этот эффект гасит institutional flow.
HYBRID_UP positive (+0.16R) — softly-bullish даёт false breakdowns вниз с возвратом.
Сводная финальная конфигурация
| Подкаталог | Universe | Direction | Regimes (где работает) | Params | AvgR | N/year |
|---|
| v7.1 | 20 blue chips | SHORT | all ≠ TREND_DOWN | default (0.2/1.5) | +0.23R | ~150 |
| v7.2 | 20 blue chips | LONG | RANGE only | strict (0.5/3.0) | +0.24R | ~17 |
| v7.3 | 116 Tier-2 | SHORT | все 6 | default (0.2/1.5) | +0.20R | ~770 |
| v7.4 | 116 Tier-2 | LONG | HYBRID_UP/RANGE/TREND_DOWN/SHOCK | default (0.2/1.5) | +0.09R | ~390 |
Что отвергнуто (negative findings)
- TP_RR > 1.0 — sweep 1.5/2.0/2.5/3.0 дал higher Sum, но R-distribution показала
концентрацию edge в 1-2 outlier-trades (one trade T 2026-04-10 = 195R = +24% Sum). Без outliers
TP_RR=1.5/2.0 хуже TP_RR=1.0. Сохраняем TP_RR=1.0.
- Close-based exits — pooled тест показал degradation в каждом из 4 cases
(SHORT/LONG × H1/M15), все 7 окон. Δ AvgR −0.08R до −0.46R, средне −0.22R.
Сохраняем touch-based.
- Trail к BE (breakeven) при 50/60% TP — early trail срезает normal volatility,
драматическое падение Sum (+93% → −78% на 706 SHORT trades). Не используем.
- 1-bar FB (recovery on breakout bar) — too much noise, "трейдер не назвал бы половину
настоящим FB". Min bars beyond = 1.
- Blue chip LONG в HYBRID_UP / TREND_UP / SHOCK / HYBRID_DOWN — все negative AvgR,
catching falling knife в bull-momentum после большого move. Skip.
Catalog v7 — FALSE_BREAKOUT MTF · 2026-05-11
Walk-forward 2019-2026 · 7 годовых окон · touch-based · Trail 0.5×ATR · TP_RR=1.0