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Gerritsen; Elie Bouri; Ehsan Ramezanifar; David Roubaud","date":"2020","url":"https://doi.org/10.1016/j.frl.2019.08.011"},"research_context":{"classification":"OUT_OF_SAMPLE_VALIDATION","research_question":"Do the published Gerritsen et al. 50-, 150-, and 200-day trading-range-breakout parameterizations retain evidence of excess return versus identically costed buy-and-hold when re-evaluated out of sample on Binance Spot BTCUSDT over [2019-01-01, 2026-01-01) under frozen Strategy Lab conventions?","substitutions":[{"type":"SAMPLE_PERIOD_CHANGED","detail":"The source price history ends on 2018-12-31; this out-of-sample evaluation uses [2019-01-01, 2026-01-01)."},{"type":"SOURCE_DATASET_CHANGED","detail":"The source study uses Mt Gox Bitcoin price history and, from 2013-04-28, CoinMarketCap; Strategy Lab uses checksum-verified Binance Public Data Spot daily archives."},{"type":"MARKET_PROXY_CHANGED","detail":"The source study evaluates a Bitcoin price series; Strategy Lab evaluates Binance Spot BTCUSDT, using USDT-quoted BTC as the supported market proxy."},{"type":"EXECUTION_CONVENTION_STRATEGY_LAB_DEFINED","detail":"The source defines daily buy/sell/hold signals from trading-range breakouts and its long-only strategy is long only on buy-signal days. Strategy Lab maps the published channel parameters to its supported stateful close_channel rule, starts FLAT, retains LONG inside the channel including equality, and executes signal changes at the next daily open."},{"type":"ACCOUNTING_CONVENTION_STRATEGY_LAB_DEFINED","detail":"The source long-only strategy invests outside-Bitcoin capital at the risk-free rate; Strategy Lab long_flat accounting leaves FLAT capital unchanged and performs terminal liquidation under fractional_all_in_terminal_liquidation_v1."},{"type":"COST_MODEL_STRATEGY_LAB_DEFINED","detail":"The source study does not define Strategy Lab's frozen per-side cost schedule; Strategy Lab applies 15 bps primary cost with 20 and 25 bps diagnostic costs to both strategy and benchmark."},{"type":"STATISTICAL_TEST_STRATEGY_LAB_DEFINED","detail":"The source evaluates Sharpe ratios using bootstrap inference. 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