← ALL STRATEGIES · vaultbreak_rolling

VaultBreak rolling range

COURSE STRATEGY
RUNNING

VaultBreak using a bounded 252-session average range.

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

This uses the same VaultBreak entries and exits, but the volatility boundary remembers only the latest 252 sessions. Old regimes eventually fall out of the calculation, allowing the threshold to adapt.

Concrete example

If the rolling 252-session average range is 180 points and NQ opens at 20,000, the boundary is 20,108. A valid long still needs price above that level and above VWAP.

Exact algorithm

Required data: ohlcv

Where it may work—and where it can fail

EXPECTED BEST CONDITIONS

Markets whose current annual volatility regime is more informative than their full history.

IMPORTANT CONTEXT

The 60-day feed cannot yet distinguish a 252-session state from the expanding variant.

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 START2026-08-16T22:55:37.100082+00:00
PAPER VERSIONv2 · 8eb389d576e8
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+00:002026-08-16T22:55:37.100082+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

The 60-day feed cannot yet distinguish a 252-session state from the expanding variant.

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%