Every claim here traces back to a backtest you can reproduce
The chandelier exit hangs your stop below the highest price seen since entry, lifting it as price rises and never lowering it. That one-way rule is not a stylistic preference β it is the only mechanism keeping your losses bounded.
Win rate is the most misread number on a results panel. What actually determines whether a strategy is usable is expectancy, sample size, drawdown depth and the benchmark comparison. Fail any one of those and no win rate can save it.
None of these three throws an error. All three make the result look better. They share one property β the mistake lives in the data or the process, while the output is still a smooth, rising curve.
Trend following is not free alpha. It is a trade in distribution shape β many small losses exchanged for a few large gains and a shallower drawdown. Understanding both sides of that trade matters far more than memorising the entry rules.
We compared single-exchange daily bars against consolidated daily bars, day by day, on the same set of US symbols. Single-venue volume is only 23%β34% of consolidated volume and drifts across quarters; closing prices diverge by up to 3.5%β7.1%. That gap is wider than most strategies' stop distance.
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