Strategy Verdict

Tag: ATR Trailing

  • Range Filter Buy/Sell Strategy Backtest: the Viral 5-Minute Filter That Loses -100%

    Range Filter Buy/Sell Strategy Backtest: the Viral 5-Minute Filter That Loses -100%

    The “Range Filter Buy and Sell 5min” is one of the most forked, most screen-recorded indicators on TradingView. A single smooth line that turns green and prints “BUY”, turns red and prints “SELL” — and a thousand videos titled “this 5-minute strategy prints money.” Under the hood it is simply another ATR-style trailing filter, a close cousin of two strategies we’ve already buried: UT Bot and Triple SuperTrend. We ran guikroth’s version through the full 7-Gate Protocol. Same family, same verdict: reject.

    Gate 00 — Fidelity

    We reproduced guikroth’s public Pine exactly: an EMA of the absolute bar-to-bar price change, smoothed again and multiplied by the range multiplier (defaults: sampling period 100, multiplier 3.0). The filter trails price and flips color; you go long above it, short below. Nothing exotic — and nothing to get wrong.

    The Exact Rules

    • Signal: price closes above the (rising) range filter → long; closes below the (falling) filter → short. Stop-and-reverse (always in the market)
    • Settings: sampling period 100, multiplier 3.0 (the shared default)
    • Execution: on the bar close, no look-ahead; costs 0.06%/side; data Binance spot Jul 2024–Jul 2026, BTC/ETH/SOL/BNB/XRP, 5m–1D; benchmark buy & hold
    Range Filter 5min verdict reject, minus 100 on 5 minute, zero of five out of sample positive

    It’s a “5-minute” filter that returns −100% on 5 minutes

    Range Filter net return by timeframe, minus 100 percent on 5 minute the timeframe it is named after

    The indicator is literally named for the 5-minute chart. On the 5-minute chart it takes 6,465 trades and returns −100% — the account is gone. 15m: −91%. 4h: −37%. It loses to buy & hold on all five timeframes, and the “best” one (daily +11%) still trails simply holding. The trailing-filter family self-destructs on the fast charts it’s marketed on, exactly like UT Bot and SuperTrend before it.

    Range Filter on BTC 4H, ATR style trailing filter, buy above sell below with color change

    Gate 04 — Out-of-Sample (the tell)

    Range Filter out of sample, every in-sample winner collapses, zero of five positive out of sample

    This is the cleanest kill we’ve filmed. Split each coin 18 months in / 6 months out. In-sample, a couple of coins look brilliant — SOL +104%, ETH +50%. Out-of-sample, every single one turns negative (SOL −22%, ETH −34%, BNB −4%): 0 of 5 positive out-of-sample. When your winners exist only in the half of the data you fit to, you didn’t find an edge — you found the past.

    Gate 06 — Five Coins & Gate 02 — Friction

    Range Filter five coins 4H only one of five positive

    On 4H only 1 of 5 coins is profitable (SOL, the same coin that then dies out-of-sample). And the friction test shows there was never a gross edge to erode:

    Range Filter 4H negative even at zero fees, no gross edge

    −23% on BTC 4H at zero fees. The parameter sweep is just as bleak: only 1 of 16 period/multiplier combinations is positive.

    The Verdict: REJECT

    • Gate 0 — Indicator fidelity — pass (faithful reproduction of guikroth’s public Range Filter, period 100 / multiplier 3)
    • Gate 1 — Sanity — pass (signal on the closed bar, no look-ahead)
    • Gate 2 — Friction — fail (negative even at zero fees on 4H; 5m → −100%)
    • Gate 3 — Yearly consistency — fail (no consistently positive year)
    • Gate 4 — Out-of-sample — fail hard (0 of 5 coins positive out-of-sample — SOL +104% in-sample → −22% out)
    • Gate 5 — Robustness — fail (only 1 of 16 period × multiplier cells positive)
    • Gate 6 — Multi-market — fail (1 of 5 coins positive on 4H)
    • Gate 7 — vs Buy & Hold — fail (behind on every timeframe)

    Range Filter is the third ATR-style trailing indicator we’ve tested, and the third to fail the same way. UT Bot, Triple SuperTrend, and now Range Filter all promise “5-minute” signals and all return roughly −100% on the 5-minute chart once you pay fees. The lesson isn’t about any one indicator — it’s that a smoothed trailing stop is not a strategy, and repackaging it with new colours and a new name doesn’t change the maths. Range Filter also fails the one test the others occasionally survived: out-of-sample, it’s 0 for 5.

    FAQ

    Isn’t this different from UT Bot?
    Cosmetically. The smoothing differs (EMA-of-absolute-change vs ATR), but both are trailing filters that flip long/short on a crossing. They share the same failure mode: constant flipping on fast charts, fees bigger than the edge.

    The in-sample SOL result was +104% though.
    And it went to −22% out-of-sample. That’s the entire point of an out-of-sample test: in-sample numbers are the strategy describing the data it was fit on. Only the out-of-sample number is a prediction, and here it’s negative on all five coins.

    Can I replicate this?
    Yes — guikroth’s public Range Filter (period 100, mult 3), Binance data, 0.06%/side.

    See also the rest of the trailing-filter family: UT Bot, Triple SuperTrend; and our one conditional pass among trend systems, Ichimoku cloud breakout.

    Disclaimer: educational research, not financial advice. Past performance does not guarantee future results. Never trade money you cannot afford to lose.