Ribeiro Capital

I ran an EMA trend + RSI pullback system on $BTC and $ETH and got exactly that. Then I checked how much of it was just selection bias. Here's the data. 👇
📊 Test parameters
• Assets: BTCUSDT and ETHUSDT (tested separately, $1M starting cash each)
• Timeframe: 1H
• Period: 2024 to 2026, one continuous backtest
• Friction: 0.05% commission per trade
• Optimized: 120 parameter combinations tested on 2024 only, winners run over the full history.
• Acceptance rule: Net-positive in every calendar year.
📐 Strategy rules
• Long/Short: Price is on the correct side of a long-term EMA, and RSI crosses back through a pullback/rally level.
• Filter: Volume must be at or above its recent average (entries only happen with participation).
• Risk & Exits: ATR-based hard stop. Half position closed at ATR target, stop moves to break-even, the rest trails. Position size strictly capped based on equity.
⚠️ Reality check
The flattering part: The accepted sets were net-positive in every single year.
• $BTC : +31.78% return, Sharpe 1.48, max drawdown -7.37% (182 trades).
• $ETH : +36.26% return, Sharpe 1.12, max drawdown -9.21% (262 trades).
The part that hurts: That "every year positive" filter was applied to the full history, meaning it relied on hindsight. For a cleaner test, I took every set that was profitable in 2024 and judged it only on the blind 2025-2026
$BTC : 110 sets were profitable in 2024.
• Only 43.6% stayed positive in later years.
• Only 7.2% kept a profit factor of at least 1.3.
• The worst out-of-sample total return was -17.13%.
$ETH : 47 sets were profitable in 2024.
• Only 38.3% stayed positive in later years.
• Exactly 0.00% held a profit factor of at least 1.3.
Rank correlation between 2024 returns and later returns: -0.06 on $BTC , -0.12 on$ETH . A better 2024 told me absolutely nothing about what came next.
🛠 How I handle it
Why does it break? A pullback-recovery entry assumes the trend will resume. When the market chops or the regime shifts, the signal fires and the move simply fades.
Fitting one year gave no edge in picking the next year's winner. So, I don't trust the top optimized row. I rank candidates by their worst year instead of total return, and I strictly enforce the trend and volume filters so a bad stretch stays contained. The chosen sets still carry in-sample bias, and I'd rather admit that than hide it. Backtests are not guarantees, and past results don't promise future ones.
If you value rigor over hype, follow my Binance lead-trader profile and judge the live, risk-managed results yourself. 📊
🔗 Lead Trader Profile
#bitcoin #Ethereum #strategy #Backtesting