#43 — Daily range regime (PDH/PDL)

Hypothesis — what it tests

Does yesterday's high/low define a tradeable regime at M5 — with price gravitating back to the daily midpoint inside the range, and continuing after a genuine break outside it?

Description

The idea was to use the prior calendar day's high and low (PDH/PDL) as a regime switch: when price sits inside yesterday's range, fade back toward the range midpoint (PDH+PDL)/2; when price closes outside it, follow the breakout with a trailing stop. A Numba-JIT M5 backtest swept 128 configurations per pair (4 minimum-distance filters x 4 mean-reversion exits x 4 breakout trails x 2 session filters) on GBP_JPY, USD_JPY, EUR_JPY and GBP_USD under the project's full backtest-live consistency SOP. Zero of 128 configs passed walk-forward on any pair; the best in-sample result was still -15 pips/day. Diagnosis: FX at M5 scale is momentum-driven, so price above the daily midpoint tends to stay above it (mean-reversion fails), while closes beyond PDH/PDL are dominated by false breakouts (breakout fails). The PDH/PDL signal was judged to have zero predictive value at M5; H4/D1 was noted as possibly different but untested.

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