Qpqc Dual Thrust

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

n/a

not a factor universe

Gate 2

Placebo ≥ P95

not run

Gate 3

Cost-aware net

RF +1.10

positive, not certified

Failedfailed refutation

Worst 12-month leg (RF)-1.00

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Did not clear our screen — no tradeable net edge survived modelled costs.

Dual Thrust is an intraday range-breakout rule: it builds a price range from recent highs and lows and trades a breakout above or below that range within the session. It is a long-standing, widely published technical system.

What we found

Tested as an intraday breakout on the E-mini S&P 500, the rule does not clear our screen gate. After realistic modelled costs its risk-adjusted return is thin (RF 1.1, below the screen threshold) and its worst year is a losing one (worst-year RF -1.0). This is a well-known technical rule with no persistent post-cost edge, so it is neither a standalone system nor a diversifying factor-leg.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

Data: the futures contract (E-mini S&P 500, ES), intraday. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Dual Thrust intraday breakout (QuantConnect / Michael Chalek)
Find the source (Google Scholar) ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.