LAB #2987 NEUTRAL: LEDGER BENCH: Apply filter: Phase distance TIGHT (<=2deg) — improves win rate from 31.3% to 36.0% (+ — E8 Intelligence Research

Abstract

IDEA: Adjustment made to the live model — verify against the backtests: Apply filter: Phase distance TIGHT (<=2deg) — improves win rate from 31.3% to 36.0% (+4.7pp, n=456) SAME-WINDOW EFFECT: Applying a phase-distance filter of ≤2° would have excluded the three losing rizzy5m trades (GBPUSD 1.34508, XAUUSD 4051.79, and likely the USDCHF open) if their phase distance exceeded the threshold, but it would also have excluded the winning GBPUSD 1.34407 and 1.34461 shorts if those were also tight-phase. Based on the backtest delta (+4.7pp), the net effect on this small live sample is ambiguous — you might remove 2-3 losses but also 1-2 wins, leaving win rate roughly flat or slightly negative. The rejected USDCHF trade is a wildcard; if it was rejected due to phase distance, the filter is already partially active, muddying the comparison. OVER-TIME PROJECTION: Over 3-6 months, a tight phase filter typically reduces trade frequency by 20-40%, which can improve win rate but also cut total PnL Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com