← ALL STRATEGIES · vaultbreak_base

VaultBreak expanding range

COURSE STRATEGY
RUNNING

Long NQ expansion above a volatility boundary with VWAP confirmation.

DEFAULT MARKETNQ=F
BAR INTERVAL5m
GROSS EXPOSURE1.0x
PAPER CASH$99,913.73
REALIZED P&L$-86.27
PROMOTION AUDIT

No AI qualification submitted

This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.

NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.

How the strategy works

VaultBreak creates a volatility-adjusted upside boundary from the session open. A trade is allowed only when price expands far enough above that boundary and remains above VWAP, combining range expansion with intraday trend confirmation.

Concrete example

With an NQ session open of 20,000 and an expanding average daily range of 200 points, the boundary is 20,120. A long can trigger after 09:45 ET above both 20,120 and VWAP; its course target is 50 points and stop is 100 points.

Exact algorithm

Required data: ohlcv

Where it may work—and where it can fail

EXPECTED BEST CONDITIONS

Strong upside expansion days where price accepts above VWAP.

IMPORTANT CONTEXT

Continuous Yahoo futures can contain roll artefacts and only 60 days of 5-minute history.

Main risks

“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.

Forward paper transactions

LEDGER START2026-08-16T22:55:33.890862+00:00
PAPER VERSIONv2 · 7dcd7ba79dd4
STATUSrunning
STATUS DETAILNo issue
EntrySideEntry priceExitExit priceCapital basisGross notionalOutcomeP&L
2026-09-29 14:25:00+00:00LONG30,693.422026-09-29 15:15:00+00:0030,593.42$10,000.00$10,000.00MISS$-36.58
2026-09-21 13:55:00+00:00LONG30,407.752026-09-21 14:15:00+00:0030,457.75$10,000.00$10,000.00HIT$+12.44
2026-09-03 18:10:00+00:00LONG29,574.252026-09-03 19:50:00+00:0029,526.00$10,000.00$10,000.00MISS$-20.31
2026-09-21 14:20:00+00:00LONG30,469.002026-09-21 14:25:00+00:0030,519.00$10,000.00$10,000.00HIT$+12.41
2026-09-21 14:00:00+00:00LONG30,416.502026-09-21 14:15:00+00:0030,466.50$10,000.00$10,000.00HIT$+12.44
2026-09-21 13:45:00+00:00LONG30,358.642026-09-21 13:55:00+00:0030,408.64$10,000.00$10,000.00HIT$+12.47
2026-09-17 14:25:00+00:00LONG29,741.002026-09-17 19:50:00+00:0029,791.00$10,000.00$10,000.00HIT$+12.81
2026-09-03 18:05:00+00:00LONG29,574.752026-09-03 19:50:00+00:0029,526.00$10,000.00$10,000.00MISS$-20.48
2026-09-14 16:20:00+00:00LONG29,514.252026-09-14 16:45:00+00:0029,564.25$10,000.00$10,000.00HIT$+12.94
2026-09-14 15:35:00+00:00LONG29,455.752026-09-14 16:15:00+00:0029,505.75$10,000.00$10,000.00HIT$+12.97
2026-09-14 15:30:00+00:00LONG29,292.902026-09-14 15:30:00+00:0029,192.90$10,000.00$10,000.00MISS$-38.14
2026-09-03 18:20:00+00:00LONG29,571.502026-09-03 19:50:00+00:0029,526.00$10,000.00$10,000.00MISS$-19.39
2026-09-11 15:10:00+00:00LONG29,421.002026-09-11 15:25:00+00:0029,471.00$10,000.00$10,000.00HIT$+12.99
2026-09-11 15:00:00+00:00LONG29,370.752026-09-11 15:05:00+00:0029,420.75$10,000.00$10,000.00HIT$+13.02
2026-09-11 13:45:00+00:00LONG29,434.002026-09-11 14:45:00+00:0029,334.00$10,000.00$10,000.00MISS$-37.97
2026-09-03 15:25:00+00:00LONG29,539.272026-09-03 19:50:00+00:0029,526.00$10,000.00$10,000.00MISS$-8.49
2026-09-03 15:30:00+00:00LONG29,539.742026-09-03 19:50:00+00:0029,526.00$10,000.00$10,000.00MISS$-8.65
2026-09-03 17:50:00+00:00LONG29,545.972026-09-03 19:50:00+00:0029,526.00$10,000.00$10,000.00MISS$-10.76

Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.

Archived paper versions

Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.

VersionMarketExposureAllocationCostCode hashStartedArchivedFillsStarting cashEnding cashRealized P&LFinal status
legacy-v1unknown · unknownunknownunknownunknownlegacy2026-08-16T16:54:09.212635+00:002026-08-16T22:55:33.890862+00:000$100,000.00$100,000.00$+0.00running
TRADES24
AVERAGE TRADE-1.02 bps
STRATEGY 1.0x / BUY & HOLD 1x-0.25% / +5.51%
VS 1x REFERENCE-5.76% · LAGS
DRAWDOWN: STRATEGY / B&H+0.82% / +7.12%
HITS / MISSES17 / 7
HIT RATE+70.83%
AVG HIT / MISS+0.13% / -0.35%
LONGEST MISS STREAK2

Rolling 70/30 diagnostic

This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.

FINAL 30% TRADES8
STRATEGY / B&H 1x+0.03% / +4.61%
FINAL 30% VS B&H-4.59%
FINAL 30% HIT RATE+75.00%
FINAL 30% DRAWDOWN+0.73%
INDEPENDENT EVIDENCE?No

Candles and execution signals

▲ BUY▼ SELLHover a candle or marker for exact values
30906.0030807.5630709.1230610.6930512.252026-09-30T08:35:00+00:00 O 30668.25 H 30670.50 L 30655.25 C 30658.252026-09-30T08:40:00+00:00 O 30658.75 H 30662.25 L 30636.25 C 30639.252026-09-30T08:45:00+00:00 O 30637.50 H 30656.50 L 30635.50 C 30655.252026-09-30T08:50:00+00:00 O 30653.00 H 30656.25 L 30633.50 C 30633.752026-09-30T08:55:00+00:00 O 30634.75 H 30639.25 L 30620.00 C 30621.002026-09-30T09:00:00+00:00 O 30620.25 H 30626.50 L 30611.25 C 30626.252026-09-30T09:05:00+00:00 O 30625.25 H 30626.00 L 30588.25 C 30595.502026-09-30T09:10:00+00:00 O 30594.50 H 30631.50 L 30592.25 C 30631.002026-09-30T09:15:00+00:00 O 30630.75 H 30634.75 L 30618.00 C 30625.002026-09-30T09:20:00+00:00 O 30626.00 H 30627.00 L 30611.75 C 30616.002026-09-30T09:25:00+00:00 O 30617.25 H 30622.00 L 30608.50 C 30617.002026-09-30T09:30:00+00:00 O 30615.75 H 30641.50 L 30615.75 C 30630.002026-09-30T09:35:00+00:00 O 30628.50 H 30630.25 L 30607.00 C 30611.252026-09-30T09:40:00+00:00 O 30612.25 H 30614.25 L 30593.75 C 30605.002026-09-30T09:45:00+00:00 O 30605.25 H 30613.25 L 30604.00 C 30611.002026-09-30T09:50:00+00:00 O 30609.50 H 30613.25 L 30605.25 C 30609.252026-09-30T09:55:00+00:00 O 30609.25 H 30617.25 L 30606.75 C 30614.252026-09-30T10:00:00+00:00 O 30614.25 H 30614.25 L 30596.25 C 30597.252026-09-30T10:05:00+00:00 O 30598.25 H 30605.50 L 30594.00 C 30600.752026-09-30T10:10:00+00:00 O 30600.50 H 30601.50 L 30581.00 C 30581.502026-09-30T10:15:00+00:00 O 30581.25 H 30600.75 L 30572.00 C 30591.002026-09-30T10:20:00+00:00 O 30587.00 H 30601.00 L 30582.75 C 30596.252026-09-30T10:25:00+00:00 O 30598.25 H 30605.00 L 30588.50 C 30590.002026-09-30T10:30:00+00:00 O 30589.75 H 30595.00 L 30582.00 C 30586.002026-09-30T10:35:00+00:00 O 30589.50 H 30596.50 L 30578.00 C 30593.252026-09-30T10:40:00+00:00 O 30591.75 H 30600.50 L 30586.00 C 30591.752026-09-30T10:45:00+00:00 O 30591.25 H 30593.75 L 30585.00 C 30589.502026-09-30T10:50:00+00:00 O 30588.00 H 30600.25 L 30587.75 C 30596.252026-09-30T10:55:00+00:00 O 30595.75 H 30607.25 L 30589.25 C 30590.252026-09-30T11:00:00+00:00 O 30590.25 H 30590.25 L 30564.00 C 30567.502026-09-30T11:05:00+00:00 O 30567.50 H 30575.75 L 30548.00 C 30552.752026-09-30T11:10:00+00:00 O 30552.75 H 30553.75 L 30525.00 C 30538.002026-09-30T11:15:00+00:00 O 30539.00 H 30539.00 L 30513.75 C 30513.752026-09-30T11:20:00+00:00 O 30513.75 H 30569.75 L 30512.25 C 30568.502026-09-30T11:25:00+00:00 O 30568.50 H 30586.50 L 30567.75 C 30576.002026-09-30T11:30:00+00:00 O 30575.50 H 30601.00 L 30568.50 C 30598.502026-09-30T11:35:00+00:00 O 30600.00 H 30606.00 L 30591.25 C 30600.002026-09-30T11:40:00+00:00 O 30600.75 H 30602.50 L 30582.75 C 30592.752026-09-30T11:45:00+00:00 O 30591.75 H 30599.00 L 30554.75 C 30560.002026-09-30T11:50:00+00:00 O 30559.25 H 30571.75 L 30550.00 C 30567.752026-09-30T11:55:00+00:00 O 30567.00 H 30595.00 L 30564.25 C 30590.252026-09-30T12:00:00+00:00 O 30589.00 H 30600.00 L 30559.00 C 30573.502026-09-30T12:05:00+00:00 O 30573.25 H 30574.50 L 30553.75 C 30557.502026-09-30T12:10:00+00:00 O 30557.50 H 30578.50 L 30554.50 C 30577.002026-09-30T12:15:00+00:00 O 30574.00 H 30578.00 L 30535.50 C 30550.002026-09-30T12:20:00+00:00 O 30551.25 H 30590.00 L 30545.50 C 30588.502026-09-30T12:25:00+00:00 O 30589.00 H 30623.00 L 30580.75 C 30623.002026-09-30T12:30:00+00:00 O 30623.25 H 30779.50 L 30607.50 C 30741.252026-09-30T12:35:00+00:00 O 30740.00 H 30751.25 L 30681.50 C 30699.752026-09-30T12:40:00+00:00 O 30699.50 H 30737.25 L 30699.25 C 30718.752026-09-30T12:45:00+00:00 O 30718.50 H 30732.50 L 30672.75 C 30694.752026-09-30T12:50:00+00:00 O 30695.75 H 30740.75 L 30684.75 C 30736.002026-09-30T12:55:00+00:00 O 30735.50 H 30743.75 L 30709.75 C 30714.252026-09-30T13:00:00+00:00 O 30715.00 H 30750.00 L 30712.00 C 30749.502026-09-30T13:05:00+00:00 O 30750.25 H 30767.50 L 30737.50 C 30748.502026-09-30T13:10:00+00:00 O 30747.50 H 30761.00 L 30734.00 C 30738.752026-09-30T13:15:00+00:00 O 30739.25 H 30746.25 L 30706.50 C 30707.752026-09-30T13:20:00+00:00 O 30707.50 H 30712.25 L 30688.00 C 30705.502026-09-30T13:25:00+00:00 O 30705.50 H 30733.50 L 30693.00 C 30699.252026-09-30T13:30:00+00:00 O 30699.50 H 30809.75 L 30683.00 C 30766.752026-09-30T13:35:00+00:00 O 30767.50 H 30771.00 L 30717.50 C 30764.752026-09-30T13:40:00+00:00 O 30765.25 H 30785.75 L 30719.00 C 30767.752026-09-30T13:45:00+00:00 O 30768.25 H 30785.00 L 30717.75 C 30770.752026-09-30T13:50:00+00:00 O 30770.50 H 30784.25 L 30730.00 C 30778.752026-09-30T13:55:00+00:00 O 30778.50 H 30843.75 L 30778.00 C 30841.002026-09-30T14:00:00+00:00 O 30841.25 H 30874.50 L 30835.50 C 30863.252026-09-30T14:05:00+00:00 O 30863.75 H 30894.75 L 30845.00 C 30852.502026-09-30T14:10:00+00:00 O 30853.00 H 30856.00 L 30804.75 C 30830.502026-09-30T14:15:00+00:00 O 30831.00 H 30853.75 L 30810.25 C 30850.502026-09-30T14:20:00+00:00 O 30850.50 H 30866.75 L 30828.50 C 30831.252026-09-30T14:25:00+00:00 O 30830.75 H 30842.00 L 30802.00 C 30827.252026-09-30T14:30:00+00:00 O 30827.50 H 30845.50 L 30783.00 C 30792.502026-09-30T14:35:00+00:00 O 30793.00 H 30820.25 L 30780.25 C 30804.502026-09-30T14:40:00+00:00 O 30804.75 H 30834.25 L 30782.00 C 30797.002026-09-30T14:45:00+00:00 O 30797.50 H 30854.00 L 30792.50 C 30851.502026-09-30T14:50:00+00:00 O 30851.50 H 30881.25 L 30836.00 C 30866.252026-09-30T14:55:00+00:00 O 30866.75 H 30882.50 L 30842.00 C 30843.502026-09-30T15:00:00+00:00 O 30843.75 H 30847.75 L 30813.75 C 30839.002026-09-30T15:05:00+00:00 O 30838.75 H 30852.25 L 30813.25 C 30850.252026-09-30T15:10:00+00:00 O 30850.25 H 30854.00 L 30815.50 C 30827.752026-09-30T15:15:00+00:00 O 30827.25 H 30857.50 L 30825.50 C 30835.752026-09-30T15:20:00+00:00 O 30835.75 H 30840.00 L 30806.00 C 30821.752026-09-30T15:25:00+00:00 O 30822.25 H 30856.00 L 30814.25 C 30856.002026-09-30T15:30:00+00:00 O 30855.75 H 30877.75 L 30852.25 C 30859.502026-09-30T15:35:00+00:00 O 30860.00 H 30872.25 L 30843.00 C 30865.502026-09-30T15:40:00+00:00 O 30866.75 H 30874.25 L 30825.25 C 30833.752026-09-30T15:45:00+00:00 O 30832.25 H 30902.50 L 30826.50 C 30900.502026-09-30T15:50:00+00:00 O 30900.50 H 30906.00 L 30855.00 C 30855.752026-09-30T15:55:00+00:00 O 30855.75 H 30880.00 L 30846.25 C 30879.252026-09-30T16:00:00+00:00 O 30878.75 H 30889.00 L 30866.00 C 30883.002026-09-30T16:05:00+00:00 O 30883.25 H 30887.25 L 30874.25 C 30884.502026-09-30T16:10:00+00:00 O 30883.50 H 30896.75 L 30870.50 C 30890.252026-09-30T16:15:00+00:00 O 30890.75 H 30893.00 L 30850.00 C 30867.002026-09-30T16:20:00+00:00 O 30866.50 H 30873.25 L 30857.50 C 30863.252026-09-30T16:25:00+00:00 O 30862.50 H 30866.75 L 30845.25 C 30846.502026-09-30T16:30:00+00:00 O 30846.75 H 30851.75 L 30825.25 C 30834.252026-09-30T16:35:00+00:00 O 30833.75 H 30843.50 L 30819.75 C 30836.252026-09-30T16:40:00+00:00 O 30836.25 H 30866.50 L 30832.75 C 30861.502026-09-30T16:45:00+00:00 O 30861.25 H 30861.25 L 30834.00 C 30839.502026-09-30T16:50:00+00:00 O 30839.75 H 30851.75 L 30837.75 C 30843.252026-09-30T16:55:00+00:00 O 30843.75 H 30863.00 L 30837.75 C 30861.252026-09-30T17:00:00+00:00 O 30860.75 H 30871.00 L 30857.25 C 30860.252026-09-30T17:05:00+00:00 O 30859.75 H 30870.25 L 30857.50 C 30861.752026-09-30T17:10:00+00:00 O 30862.50 H 30864.75 L 30831.50 C 30835.502026-09-30T17:15:00+00:00 O 30835.00 H 30835.50 L 30790.50 C 30791.002026-09-30T17:20:00+00:00 O 30791.00 H 30809.75 L 30783.50 C 30800.252026-09-30T17:25:00+00:00 O 30799.75 H 30800.25 L 30760.50 C 30788.752026-09-30T17:30:00+00:00 O 30789.00 H 30813.50 L 30788.25 C 30801.752026-09-30T17:35:00+00:00 O 30802.25 H 30824.50 L 30798.00 C 30823.502026-09-30T17:40:00+00:00 O 30824.00 H 30837.50 L 30817.50 C 30826.252026-09-30T17:45:00+00:00 O 30826.50 H 30857.00 L 30816.00 C 30856.752026-09-30T17:50:00+00:00 O 30856.50 H 30863.75 L 30847.00 C 30855.752026-09-30T17:55:00+00:00 O 30855.00 H 30860.25 L 30847.00 C 30856.502026-09-30T18:00:00+00:00 O 30856.50 H 30856.75 L 30828.75 C 30843.002026-09-30T18:05:00+00:00 O 30842.75 H 30847.00 L 30819.25 C 30843.502026-09-30T18:10:00+00:00 O 30843.50 H 30864.75 L 30838.50 C 30857.002026-09-30T18:15:00+00:00 O 30857.00 H 30859.25 L 30830.50 C 30833.752026-09-30T18:20:00+00:00 O 30834.75 H 30839.25 L 30816.00 C 30818.752026-09-30T18:25:00+00:00 O 30819.00 H 30836.75 L 30807.75 C 30832.502026-09-30T18:30:00+00:00 O 30832.00 H 30837.50 L 30825.25 C 30831.00ENTRY BUY · 2026-09-30 15:50:00+00:00 · 30905.09BUYEXIT SELL · 2026-09-30 17:15:00+00:00 · 30805.09SELL2026-09-302026-09-30

Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.

Historical equity curve

Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.

Backtest specification

STATUS / REPLICATIONcompleted · exact_course_rules
DATAYahoo Finance (delayed/unofficial)
MARKETNQ=F · 5m
HISTORY2026-07-22T04:05:00+00:00
2026-09-30T18:30:00+00:00
WIN RATE+70.83%
PROFIT FACTOR0.90

Continuous Yahoo futures can contain roll artefacts and only 60 days of 5-minute history.

Historical transactions

Download JSONDownload all transactions as CSV

HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 24 transactions.

EntrySideEntry priceExitExit priceOutcomeNet return
2026-09-30 15:50:00+00:00LONG30,905.092026-09-30 17:15:00+00:0030,805.09MISS-0.364%
2026-09-29 14:25:00+00:00LONG30,694.342026-09-29 15:10:00+00:0030,594.34MISS-0.366%
2026-09-21 14:20:00+00:00LONG30,469.002026-09-21 14:25:00+00:0030,519.00HIT+0.124%
2026-09-21 13:55:00+00:00LONG30,407.752026-09-21 14:15:00+00:0030,457.75HIT+0.124%
2026-09-21 13:45:00+00:00LONG30,348.782026-09-21 13:50:00+00:0030,398.78HIT+0.125%
2026-09-17 14:25:00+00:00LONG29,732.182026-09-17 19:50:00+00:0029,782.18HIT+0.128%
2026-09-14 16:20:00+00:00LONG29,514.252026-09-14 16:45:00+00:0029,564.25HIT+0.129%
2026-09-14 15:35:00+00:00LONG29,455.752026-09-14 16:15:00+00:0029,505.75HIT+0.130%
2026-09-14 15:30:00+00:00LONG29,279.782026-09-14 15:30:00+00:0029,179.78MISS-0.382%
2026-09-11 15:10:00+00:00LONG29,421.002026-09-11 15:25:00+00:0029,471.00HIT+0.130%
2026-09-11 15:00:00+00:00LONG29,370.752026-09-11 15:05:00+00:0029,420.75HIT+0.130%
2026-09-11 13:45:00+00:00LONG29,434.002026-09-11 14:45:00+00:0029,334.00MISS-0.380%
2026-09-03 18:05:00+00:00LONG29,574.752026-09-03 19:50:00+00:0029,526.00MISS-0.205%
2026-09-03 15:25:00+00:00LONG29,519.252026-09-03 18:00:00+00:0029,569.25HIT+0.129%
2026-08-13 17:00:00+00:00LONG30,219.092026-08-13 19:05:00+00:0030,269.09HIT+0.125%
2026-08-13 14:25:00+00:00LONG30,219.092026-08-13 15:50:00+00:0030,119.09MISS-0.371%
2026-08-04 14:10:00+00:00LONG29,518.502026-08-04 14:25:00+00:0029,568.50HIT+0.129%
2026-08-04 13:50:00+00:00LONG29,460.002026-08-04 14:05:00+00:0029,510.00HIT+0.130%
2026-08-04 13:45:00+00:00LONG29,410.752026-08-04 13:45:00+00:0029,460.75HIT+0.130%
2026-07-30 13:55:00+00:00LONG28,103.002026-07-30 13:55:00+00:0028,153.00HIT+0.138%
2026-07-30 13:50:00+00:00LONG28,064.752026-07-30 13:50:00+00:0028,114.75HIT+0.138%
2026-07-30 13:45:00+00:00LONG27,976.752026-07-30 13:45:00+00:0028,026.75HIT+0.139%
2026-07-29 18:55:00+00:00LONG28,086.002026-07-29 19:00:00+00:0027,986.00MISS-0.396%
2026-07-29 18:45:00+00:00LONG28,026.082026-07-29 18:50:00+00:0028,076.08HIT+0.138%