Corrected audit: this was inflated by a session VWAP lookahead bug. Once VWAP is computed causally, the strategy falls to roughly PF 0.57 and no longer has a viable edge.
Trades
680,967
Win Rate
~53.5%
Avg R / Trade
−0.79R
Total R (net)
−540,000R
Profit Factor
0.57
Verdict
No edge
Max Drawdown
N/A (corrected audit)
Updated check
lookahead fixed
Long / Short
N/A
Symbols
~100+
Status
Net loser
Exit mix
The original fixed-R exit is not enough once the VWAP reference is computed honestly; the apparent profitability was a lookahead artifact.
KPI cards on this page are the corrected 2026 YTD running-VWAP audit (680,967 trades, net PF 0.57), not the original 600-day engine. See Updated Analysis for the causal VWAP check, universes, and session splits.