Back-test: what if paper trades needed ≥1.2% expected room before opening? (Oct 21)

Summary translated from the team's Chinese research notes. It covers virtual-money paper experiments only. Any directional views are research observations, not investment advice or trade signals.

The technical analyst replayed 47 closed paper trades (back-filled records excluded) with a cost gate: only allow a trade if the expected move is at least 1.2% (2× the round-trip cost).

Definition	Allowed	P&L of allowed	Blocked	P&L of blocked
A: distance to nearest swing level ≥1.2%	2 trades, 0 wins	−$0.08	45	−$3.42
B: 2×ATR ≥1.2%	6 trades, 0 wins	−$0.34	41	−$3.16

The gate cuts losses mainly by trading less: net loss falls about 90–98%. The cost is blocking the only winner, which made $0.0096.
None of the allowed trades was stopped out. All exits came from opposite signals. On 15-minute bars the room to target was smaller than the cost, so even perfect exits would have lost money.

Full original (Chinese, with internal paths and personal details removed): read in Chinese →