The first version of this study timed entries from a Renko bar's open stamp and aligned prices on the wrong column. Both are fixed at source. The headline barely moved — the two errors were cancelling — but the evidence underneath rearranged, and one earlier “cleanest result” did not survive.
Add a breakeven stop at +30 points. It is the one management rule whose advantage survives a session-level significance test: points over taking every signal and waiting for the reversal, with an interval that excludes zero.
Adding a 150-point target and a 250-point disaster stop on top reaches points and cuts maximum drawdown from to . That combination is what I would run — but be clear that its edge over the baseline is not statistically separable, and the target on its own is now worth nothing measurable.
Two faults were found by asking a simple question: is the timestamp in the signal export the bar's open or its close? It was the open. On Flex Renko a brick takes a median of 12 seconds and sometimes half an hour to complete, so the stamp is not when the signal existed.
Breakeven at +30 is still the one proven addition
Worth points against the baseline with the interval clear of zero. This has now survived a sample increase, a doubling of costs, and a rebuild of the entry timing.
It still wins on magnitude rather than frequency — better on sessions, worse on .
The 150-point target is not worth anything
The previous version called this the cleanest evidence in the study: significant, positive in all ten quarters, better on 229 sessions against 171. On honest entry timing it is worth points with an interval straddling zero in both directions. It was an artifact of entries that only filled after price had already moved their way.
Tight stops destroy the edge — now more clearly
25 points costs , 50 points , and the 100-point stop is now significantly negative too. Three stop widths, all significant, all in the same direction. This is the most robust result in the study and it answers the 100-tick disaster-stop question definitively.
The full composite is defensible, not proven
Breakeven plus target plus disaster stop returns more than the baseline, but the interval grazes zero. Its real argument is drawdown, not return: the worst peak-to-trough falls by roughly a third.
The edge is not market drift
NQ rose points over the sample, so the long book has a tailwind. The short book still made into that headwind, and both sides are positive in all three years.
The raw signal loses money
Held to the opposite signal, the average permit returns points. The tradeable book returns . Everything between those two numbers is the position rule.
Sierra stamps every bar with its open time. On a time-based chart that is harmless, because a five-minute bar closes five minutes later and everyone knows it. On Flex Renko the bar ends when price has travelled a fixed distance, so the gap between the stamp and the signal is whatever the market decided to do — a couple of seconds in fast trade, half an hour in a quiet Asian session.
The old pipeline looked for an entry from the stamp onward. A quarter of those entries landed before the bar could have finished. Worse, the entry level came from back-adjusted chart prices whose offset had been fitted against the wrong column, leaving it about six points too favourable — so a trade only filled once price had already moved six points the right way. That is a continuation filter: it quietly selected winners and discarded signals that failed to follow through.
Both are now fixed in the study itself. M2 exports a BarCloseTime column, entries are taken at that instant at the price actually trading then, and the chart's price scale is no longer anywhere in the profit-and-loss path.
Portfolio level throughout: one position at a time, new signals ignored while a position is open, flat at the CME daily close (17:00 New York, daylight-saving aware), trades allowed to run a full session. Four ticks round trip charged on every exit.
A catastrophic stop at 100 ticks — 25 points — was the specific request. It costs about seven thousand points. So does every stop tight enough to fire often.
This is the largest effect in the study and it is not an exit rule.
Held to the opposite signal, the average M2 permit returns points. Taken one at a time under the live position rule, the same stream returns . The entire difference is which signals get skipped.
M2 emits long runs of same-direction permits between flips — median , mean , and the longest run in the sample is permits without a single opposite signal. Every permit in a run ends at the same eventual reversal, so the deeper a permit sits, the more of the final adverse move it absorbs.
No stop tighter than roughly 150 points — 25, 50 and 100 are all significantly negative. Do not treat the 150-point target as a source of return; it is drawdown management. Do not let the system hold over the weekend, and do not add re-entry positions without re-testing section four.
The win rate is . The average win is points and the average loss . That distribution is hard to sit through, and no backtest measures whether a person will.
One instrument, one brick size. MNQ on Flex Renko 30, nothing else tested.
Entry logic is untouched. This study takes M2's signal stream as given. Section four says the larger opportunity is upstream: the deep re-entries the position rule currently discards are a signal-quality problem, not an exit problem.
Costs are modelled, not observed. Four ticks round trip is an assumption; fills are taken from 1-second bars, which cannot see queue position or a fast market. The recommendation survives six ticks.