Range bars improve a breakout strategy
They lift the backtest by tens of thousands a year, and the lift is a bar-construction effect the time chart makes visible.
- Verdict
- Settled by the data
- Decided by
- Bar-construction artefact
- The number
- +$32k–55k/yr of pure artefact
The hypothesis, as pre-registered
A constant-range bar removes the arbitrary wall-clock boundary from a breakout signal, so the same strategy should perform better on range bars than on time bars.
What the test found
It does perform better, by a very large margin, on both of Sierra Chart's range-bar types. That is the problem.
A range bar closes the moment price travels a fixed distance. A wickless brick therefore cannot contain an adverse excursion larger than the brick — which means a stop placed outside the brick can never be hit inside the bar that formed it. The backtest fills the stop at a price the market may never have offered.
Running the identical signal on time bars, where the adverse excursion inside the bar is preserved, removes the entire improvement. The gap between the two is not edge. It is the difference between a fill you could get and a fill the bar type invented.
Renko bricks fail in exactly the same way and for exactly the same reason.
What would make this work
The strategy would have to reproduce its range-bar result on time bars of comparable average duration, with adverse excursion measured from tick data rather than from the bar.
Every insight ends with this line: the exact condition that would turn the finding into a tradeable edge. That is what makes each entry a next experiment rather than a full stop.
Screened August 22, 2026
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