Research
Multi-scale pullback — exists yes, net tradability no
On EURUSD TIMB, short vs long trend conflict exists and predicts OOS — but net EV collapses after costs.
In brief. When the short trend (DC 5p) diverges from the long one (DC 15p), the market enters a measurable “pullback” state. In 2023, ~79% of episodes resolve as Resume (R), stable disc/dev. The causal score predicts R vs F OOS (ΔLL up to +137). Net tradability fails: EV −0.22 pip on dev under 0.2 spread.
Why I ran this study
The most visual price-action motif: a background trend with a shorter counter-move. Before trading anything, I asked whether this is a process (R/F states with competing risks) or labelled noise.
The gates 0→4 framework enforces: existence → detection → predictability → tradability — without tuning upstream gates on PnL.
Definition (summary)
An episode starts when (long DC 15p vs short DC 5p), with minimal conflict of 3 bars. Outcomes:
| Outcome | Symbol | Meaning |
|---|---|---|
| Resume | R | Short realigns with long |
| Fail | F | Long structure breaks |
| Censor | C | Series end / split |
R and F are structure states, not PnL.
Key results
| Gate | Verdict | Reading |
|---|---|---|
| 0–1 | PASS | Circular-shift null rejected; stable hazards |
| 2 | PASS | Causal score separates R/F, especially intra-episode |
| 3 | PASS | OOS ΔLL +32 (onset) to +143 (age 8) vs vol context |
| 4 | WEAK | Net EV disc +0.14 → dev −0.22 pip |
Score quintiles (dev): Q1 → 73.7% Resume, Q5 → 83.5% — the score calibrates outcome, not optimal entry timing.
Takeaways
| Question | Answer |
|---|---|
| Does the pullback exist? | Yes — beats null, stable R rate |
| Can we predict outcome OOS? | Yes — significant ΔLL |
| Trade it as-is? | No — unfavourable MFE/MAE asymmetry |
Strong state predictability does not imply an executable edge.
Recommended use: regime feature / filter in a downstream stack (HMM, Tr8dr permission) — not a standalone signal.
Links
-
Regimes & HMM
- eurusd-lab series: compression → expansion, Tr8dr labels, stoch events
- Full protocol:
docs/research/01_multi_scale_countertrend.md.
Research note — Aug 2026. EURUSD · TIMB · disc/dev split 2023.