A side-by-side read of three independent strategy studies run over the past two weeks — a 7-year Supertrend+RSI swing system on copper, and MCX Crude Oil / Gold Mini intraday systems tested this week. Same discipline throughout: train/test split, cost-adjusted, and every result graded on the out-of-sample slice, not the fit.
Continuous 30-minute series stitched across eight MCX contract rolls, tested with a 1.5×ATR stop, 16-bar max hold, forced flat at session close, and 2 bps/leg costs on a 60/40 train/test split. Bollinger Squeeze is the standout: it is the only strategy whose out-of-sample profit factor (2.20) matches its full-sample number (2.19), with the tightest full-sample drawdown per lot of the five systems tested.
| Strategy | Trades (full) | Win % (full) | PF (full) | Net / lot (full) | Max DD / lot | PF (test) | Net / lot (test) |
|---|---|---|---|---|---|---|---|
| Bollinger Squeeze | 69 | 49.3% | 2.19 | ₹311,497 | ₹−45,013 | 2.20 | ₹111,425 |
| Darvas + Supertrend (MTF) | 48 | 39.6% | 1.56 | ₹138,573 | ₹−72,696 | 2.21 | ₹76,228 |
| Darvas Breakout | 82 | 46.3% | 1.69 | ₹261,505 | ₹−61,705 | 1.50 | ₹72,386 |
| Darvas + Supertrend | 82 | 45.1% | 1.68 | ₹257,709 | ₹−61,705 | 1.42 | ₹61,089 |
| Supertrend Flip | 132 | 40.9% | 1.06 | ₹40,554 | ₹−150,766 | 1.86 | ₹140,737 |
Same engine, same cost and stop assumptions as crude. The result set is far less forgiving: four of five strategies lose money out-of-sample. Supertrend Flip is the exception and the only one worth carrying forward — test profit factor actually improves to 2.04 from a full-sample 1.30, meaning its edge concentrated in the more recent half of the data rather than decaying.
| Strategy | Trades (full) | Win % (full) | PF (full) | Net / lot (full) | Max DD / lot | PF (test) | Net / lot (test) |
|---|---|---|---|---|---|---|---|
| Supertrend Flip | 122 | 45.9% | 1.30 | ₹95,286 | ₹−69,051 | 2.04 | ₹102,576 |
| Darvas + Supertrend (MTF) | 48 | 33.3% | 1.11 | ₹20,234 | ₹−71,607 | 1.06 | ₹4,012 |
| Bollinger Squeeze | 70 | 45.7% | 1.06 | ₹11,640 | ₹−60,626 | 0.80 | ₹−17,525 |
| Darvas + Supertrend | 102 | 33.3% | 0.96 | ₹−13,519 | ₹−109,609 | 0.80 | ₹−34,874 |
| Darvas Breakout | 102 | 33.3% | 0.93 | ₹−26,362 | ₹−114,135 | 0.80 | ₹−34,874 |
The core copper study: three swing strategies backtested on 7 years of daily COMEX HG=F bars, $100k notional, 1 contract = 25,000 lbs, slippage not modelled. Supertrend(10,3) + RSI<68 filter is the winner — it matches pure Supertrend on return while cutting max drawdown by nearly 2 points, by refusing entries into overbought extensions exactly like today's.
| Strategy | Trades | Win % | Total Return | Sharpe | Max DD | Profit Factor |
|---|---|---|---|---|---|---|
| Supertrend(10,3) + RSI<68 filter | 104 | 23.1% | +35.7% | 0.33 | −29.1% | 1.29× |
| Supertrend(10,3) only | 110 | 23.6% | +34.7% | — | −30.9% | — |
| Darvas Box + Supertrend | 36 | 38.9% | +14.0% | — | −26.7% | — |
At the 8 Sep publish, COMEX closed at an all-time high of $6.849 with RSI 70.3 — the filter explicitly blocked a fresh entry and called for a pullback to $6.60–6.70 (MCX ₹1,360–1,380) with a $6.45 (₹1,330) hard stop. That call played out: the September MCX contract bottomed at ₹1,350.30, never touched the ₹1,330 stop, and rebounded to ₹1,395.50 by 17 Sep evening. COMEX itself dipped to $6.33 on 14 Sep — briefly invalidating the COMEX-only version of the trade — before recovering to $6.647 with RSI 59.2 by 17 Sep, still below its own Supertrend line, so the mechanical system has not re-triggered a fresh entry.
A follow-on study this week tried to sharpen the swing system by layering VWAP / Volume Profile / VCP filters on the same MCX daily setup, walk-forward split into a 2019–2023 train window, a 2023–2025 test window, and an Apr 2025–Sep 2026 holdout — the true out-of-sample slice charted below. Every filtered combination still came back under-sampled on the holdout (4–7 trades in ~17 months), so treat the ranking as a lead, not a signal; what the chart does show clearly is that the unfiltered baseline system round-tripped its holdout gains back to a loss, while the VWAP variant held onto a positive edge and VCP-gated entries sat out and drifted flat-to-down on look-ahead-free equity.
The one filter result that cleared both a live walk-forward test and a 2002–2018 historical backcast on its own (not layered onto the combination sweep) was 252-day time-series momentum: +27.4% return / PF 1.31 on the 17-year backcast (58.8% of years positive), and +6.26% / PF 1.21 on its own live out-of-sample window — a slower, trend-confirming cousin of the Supertrend system above rather than a replacement for it.