docs(experiments): the hourly turtle over five years -- 4,871 trades, 0 of 19 positive at the fee paid (#823)

[eaitbrahim]

Refs #823 (closed with its result). Records the run with its complete per-trade dataset and the fee-to-risk arithmetic behind it.

Files

• docs/experiments/2026-09-26-hourly-turtle-5year-backtest.md: the record.
• …-5year-backtest.py: the driver. It uses the same code path as keel simulate's edge pass (report.edge_table, simulate.load_sim_candles, per-product slippage), reads the database read-only, and replays the exact window of the original run.
• …-5year-backtest.jsonl: all 4,871 trades, each with its R at the 1.20%, 0.60% and 0% fee levels, plus per-product and pooled summaries. It's 1.5 MB, the largest file in docs/experiments/. The README says bulk sweep output isn't committed; this is the run's recorded output rather than a sweep, and it was asked for as the complete dataset. Happy to drop it to summaries only if you'd rather not carry the size.
• docs/experiments/README.md: the index entry.

Findings

• The driver reproduces the Experiment: 5-year backtest of the hourly Turtle for a per-asset sample (N > 100), at the fees actually paid #823 run exactly: N = 4,871, −1.178 R at 1.20% and −0.696 R at 0.60%. It asserts that the trade set is identical across fee levels.
• 0 of 19 products are positive at 1.20% or 0.60%. At a measured 0% fee, only BTC, ETH and SOL are, the three products with 5–11 bp slippage. Pooled at 0% it's −0.215 R.
• Mechanism: the 2×ATR hourly stop sits a median 2.75% from entry, so a 2.40% round trip costs about 0.87 R per trade, matching the measured 0%→1.20% difference. The daily stop sits a median 11.6% away, so the same round trip costs about 0.21 R there.
• Relationship to earlier records: consistent with 2026-08-11. It reconciles 2026-08-12's "profitable at zero fee" (priced at a flat 5 bp) with per-product slippage.

Honesty notes

• Not pre-registered: it records a run already made.
• Corrects an earlier figure. My Experiment: 5-year backtest of the hourly Turtle for a per-asset sample (N > 100), at the fees actually paid #823 comment's zero-fee number (about −0.2 R) was extrapolated; the record replaces it with the measured −0.215 R.
• States what it doesn't show. Daily strategies have no demonstrated edge either. "Regime-filtered daily strategies" is a hypothesis this record motivates, not one it tests. Weekly DCA is accumulation, not an edge claim.
• Records the decommissioning of the hourly paper account (2026-09-26): both launchd jobs unloaded, 19 rules disabled, one paper BCH position frozen.

Verification

• Full suite: 6769 passed, 3 skipped.
• tests/test_experiment_cost_pointers.py passes: the record points at the per-product restatement.
• ruff is clean on the driver.

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