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The exit decides more than the signal
A sweep of entry triggers surfaced something worth its own study: results vary more across exit rules than across signals. Here the entry is held fixed and the exit is swept — 24 rules over 4 entries and 10 markets, daily bars, long only, 0.15% costs per side.
Every exit gets its own null: entry on a random day with the same exit and the same trade count, 80 seeds. A shared null would be useless — a wide stop and a tight stop ride a rising market differently, and comparing against someone else's null would compare exits with each other, not with chance.
The one-line takeaway
Between the best and the worst exit rule lies 2.23 of profit factor on identical entries. That is more than the gap between any two signals we have measured. The exit that ships as the default in the third-party tool ranked 22 of 24.
Exit ranking
| exit | meas. | trades | profit factor | edge over null | win % | median trade % | beat p95 |
|---|---|---|---|---|---|---|---|
| time 90 bars | 40 | 2066 | 4.48 | 2.13 | 55.5 | 6.57 | 14/40 |
| time 40 bars | 40 | 2066 | 3.69 | 1.83 | 53.7 | 2.48 | 17/40 |
| time 10 bars | 40 | 2066 | 3.03 | 1.60 | 55.4 | 1.44 | 21/40 |
| channel exit 10d | 40 | 2066 | 3.38 | 1.56 | 41.8 | -3.95 | 11/40 |
| time 20 bars | 40 | 2066 | 3.05 | 1.45 | 53.0 | 1.65 | 15/40 |
| quantile 20/q10 | 40 | 2066 | 3.29 | 1.44 | 43.5 | -4.18 | 8/40 |
| trailing 12 atr | 40 | 2066 | 3.33 | 1.15 | 56.5 | 6.98 | 8/40 |
| fib trail 0.618 | 40 | 2066 | 2.44 | 1.12 | 37.3 | -3.31 | 0/40 |
| gann hilo 3 | 40 | 2066 | 2.22 | 1.10 | 38.8 | -2.25 | 7/40 |
| chandelier 22/3 | 40 | 2066 | 2.36 | 1.00 | 40.8 | -3.58 | 2/40 |
| fvg trail | 40 | 2066 | 2.66 | 0.97 | 48.2 | -0.67 | 9/40 |
| trailing 8 atr | 40 | 2066 | 2.79 | 0.93 | 53.8 | 5.39 | 9/40 |
| safezone 2.5 | 40 | 2066 | 2.25 | 0.91 | 41.2 | -2.48 | 10/40 |
| stop 3 atr + breakeven at +4 | 40 | 2066 | 3.92 | 0.86 | 17.1 | -0.30 | 8/40 |
| halftrend 2 | 40 | 2066 | 1.72 | 0.80 | 35.5 | -1.69 | 7/40 |
| supertrend 10/3 | 40 | 2066 | 2.08 | 0.55 | 40.8 | -5.04 | 9/40 |
| chande kroll 10/1/9 | 40 | 2066 | 1.14 | 0.53 | 32.4 | -1.91 | 3/40 |
| stop 2 atr, take 6 | 40 | 2066 | 1.63 | 0.47 | 35.3 | -10.34 | 9/40 |
| stop 2 atr, take 4 | 40 | 2066 | 1.38 | 0.42 | 42.5 | -8.25 | 10/40 |
| stop 3 atr + breakeven at +2 | 40 | 2066 | 4.46 | 0.35 | 6.9 | -0.30 | 2/40 |
| stop 3 atr, take 9 | 40 | 2066 | 1.85 | 0.34 | 39.5 | -13.12 | 10/40 |
| their default 1/2/3 atr | 40 | 2066 | 1.38 | 0.21 | 55.3 | 4.35 | 6/40 |
| trailing 5 atr | 40 | 2066 | 1.57 | 0.20 | 44.1 | -3.63 | 4/40 |
| trailing 3 atr | 40 | 2066 | 1.05 | -0.10 | 40.8 | -3.45 | 0/40 |
Exit versus entry
Donchian 20d → 10-bar time exit, no overlaps
The tables above compare rules with each other, and their absolute numbers are inflated by overlapping trades. Here the same rule is computed as an account: one position per symbol, equal 1/10 sleeves with no rebalancing and no leverage, entry at the next bar's open, daily mark-to-market. Every run closes with a battery of 130 mechanical checks (overlaps, look-ahead, PnL re-derived from prices, bar boundaries, monthly sums converging) — 0 failed — plus eleven cross-checks from the other end and nine trades re-derived by hand against the store queried by date.
The caveat outranks the tiles: the result is concentrated
The random-entry null run by the same engine gives a median of 193% and a p95 of 852%. The full portfolio beats p95 (1382%), but the best sleeve — DOGEUSDT at +8058% — carries it: without it 641% remains at a 1.25 sharpe, and that is BELOW the null's p95. Window halves: +460% and +165% — both positive. The 2020–2026 window rose; it contains no bear market of comparable length. Before any promotion — a re-run on the store's full universe, not ten surviving majors.
By sleeve
| symbol | total % | trades | win % | drawdown % | in market % | 1st half | 2nd half |
|---|---|---|---|---|---|---|---|
| DOGE | 8057.7 | 34 | 61.8 | -53.9 | 17.4 | 1506.7 | 407.7 |
| XRP | 1862.6 | 37 | 48.6 | -60.8 | 19.0 | 603.7 | 178.9 |
| SOL | 1312.9 | 49 | 63.3 | -81.8 | 25.2 | 340.6 | 220.7 |
| BNB | 1160.0 | 49 | 57.1 | -39.8 | 25.0 | 923.9 | 23.1 |
| AVAX | 882.0 | 43 | 48.8 | -74.8 | 22.0 | 678.3 | 26.2 |
| ADA | 288.8 | 42 | 52.4 | -70.5 | 21.3 | 151.7 | 54.5 |
| ETH | 161.3 | 55 | 56.4 | -61.1 | 28.2 | 308.9 | -36.1 |
| BTC | 108.4 | 56 | 53.6 | -57.7 | 28.7 | 54.8 | 34.6 |
| LINK | 9.5 | 51 | 43.1 | -65.3 | 26.1 | -34.0 | 65.8 |
| LTC | -20.2 | 47 | 44.7 | -76.9 | 24.1 | 60.9 | -50.4 |
What repeats across markets
The sum over all measurements misleads: a rule can win one market and lose nine. The real test is how many of 10 markets cleared the 95th percentile of their own null. An honest null expects half a market.
| entry | exit | trades | profit factor | edge over null | markets above p95 |
|---|---|---|---|---|---|
| donchian 20d | time 10 bars | 888 | 2.85 | 1.52 | 7/10 |
| donchian 100d | time 40 bars | 369 | 5.39 | 3.23 | 6/10 |
| donchian 100d | time 10 bars | 369 | 4.27 | 2.79 | 6/10 |
| donchian 100d | time 20 bars | 369 | 4.52 | 2.79 | 5/10 |
| donchian 20d | time 90 bars | 888 | 5.04 | 2.33 | 5/10 |
| donchian 20d | time 20 bars | 888 | 3.45 | 2.08 | 5/10 |
| donchian 20d | time 40 bars | 888 | 3.20 | 1.39 | 5/10 |
| donchian 100d | time 90 bars | 369 | 5.44 | 3.25 | 4/10 |
| structure break | time 10 bars | 279 | 3.98 | 2.58 | 4/10 |
| zone formed | time 10 bars | 530 | 2.50 | 1.17 | 4/10 |
| donchian 100d | stop 3 atr, take 9 | 369 | 2.58 | 0.85 | 4/10 |
| donchian 20d | stop 2 atr, take 4 | 888 | 1.31 | 0.28 | 4/10 |
| donchian 100d | stop 2 atr, take 4 | 369 | 1.43 | 0.12 | 4/10 |
| donchian 100d | channel exit 10d | 369 | 4.58 | 3.04 | 3/10 |
The entry carries information — unless a stop cuts it off
Seven markets out of ten for one rule is not a coincidence: at 5% probability per market that happens about once in a hundred million. And all seven top rows are time exits, with no stop at all. Stop-based rules rank lower, and the tightest trail (3 ATR) won not a single market with any entry.
The reading: a breakout signal genuinely places the entry better than a random day, but a tight stop cuts the trade before the edge can show. Holding for a fixed time proved more honest than guessing the exit level.
The library's stop-line batch did not change this. Nine rules — Elder's SafeZone, Chandelier, Chande Kroll, Gann HiLo, Halftrend, trails off Fibonacci, FVG and quantile levels, the classic channel exit — joined the same stand. The best of them (10-day channel exit) cleared p95 on three markets of ten; time exits hold seven. All nine have a negative or near-zero median trade — a stop line by construction sells after a pullback, and that costs more than the curve suggests.
What these numbers do NOT say
Trades overlap. At a 90-bar hold, new entries arrive on top of old ones and trades stop being independent: profit factor is inflated in every long-hold row. The null runs on the same overlaps, so the COMPARISON is honest — the absolute numbers are not.
There is no portfolio here. One position at a time, equal weight, no cap on total risk. A real strategy still has to fit in capital: a 90-bar time exit holds the market almost constantly, and that is a different conversation.
The 2019–2026 window rises. The null accounts for that: a random entry gets the same hold length and the same drift. But a rule that beat the coin on the way up owes nothing on the way down, and the window has no halves here yet.
How it was measured
- entry
- Donchian channel breakout at 100 and 20 days plus two structure events; entry at the next bar's open
- exit
- 24 rules: fixed levels, trailing from 3 to 12 ATR, breakeven after a move in profit, time exits
- costs
- 0.15% per side, both sides
- null
- random entry, 80 seeds, same trade count, same exit; compared against p50 and p95
- what is absent
- a portfolio. One position at a time, equal weight: the question is about the exit, not about capital. Numbers compare with each other and do not replace published strategy results