BTST Stats

BTST Statistical Edge Analyzer — VCR · Volume · SMA · RSI Filtered

This indicator isn’t a trading signal generator.
It’s a research framework designed to answer a simple but valuable question:

“Does Buy-Today-Sell-Tomorrow (BTST) have statistical edge under specific market conditions?”

Most traders assume BTST works because they feel markets gap.
This script measures whether that belief holds true — and under what filters.

🔍 What the Indicator Does

For each bar, the script simulates a BTST trade:

Entry: previous bar’s close

Exit: current bar’s open

Result: Open(next day) − Close(previous day)

But a BTST trade is only counted if the entry bar satisfies the filter logic.

🎯 Entry Filters You Can Tune

A trade is included only if ALL activated conditions are satisfied:

Filter Rule
VCR Filter Candle volatility ratio must exceed threshold: `(High−Low) /
Volume Filter Volume must be greater than n × AverageVolume
SMA Trend Filter (Optional) Close must be above a user-selected SMA length
RSI Condition (Optional) RSI must be between a user-defined min/max band

This allows testing BTST under different volatility, trend, and momentum conditions.

📊 What the Table Shows

For all qualifying trades inside the chosen lookback window, the indicator displays:

Metric Meaning
Profitable Trades Count of BTST trades with positive overnight return
Losing Trades Count of negative overnight returns
Avg Profit Average upside gain on winner trades
Avg Loss Average downside loss on losing trades
Avg Net per Trade Overall expectancy across all trades
Avg High After Entry Average maximum price movement above entry (potential upside)
Avg Low After Entry Average price movement against the entry (risk exposure)
Winner-Only High/Low Stats How far good trades move and how much heat they take
Loser-Only High/Low Stats How bad trades behave, including early fake-outs

Together, these reveal:

Opportunity potential

Risk exposure

Whether trades behave cleanly or chaotically

Whether exits are leaving money on the table

🧠 Why This Matters

BTST edges change drastically across:

Market regimes

Trend direction

Volatility clusters

Earnings cycles

Volume surges

This tool helps identify when BTST should be traded — and when it should be avoided entirely.

Rather than guessing, traders can:

Validate if their BTST assumptions hold,

Apply filters until the expectancy improves,

Rank symbols and conditions where the system performs best.

🚫 Not a Buy/Sell Indicator

This script does not place arrows, signals, alerts, or entries.
It exists for analysis and system development, not live execution.

Use it to:

Build ideas

Validate hypotheses

Compare symbols

Optimize BTST frameworks

Decide if BTST belongs in your playbook — or in the trash

🔧 Who This Is For

✔ System traders
✔ Quant-minded traders
✔ Options/Index traders who rely on gaps
✔ Swing traders testing overnight holds
✔ Developers building automated BTST logic

Final Thought

BTST isn’t magic — it’s just a behavior pattern.
Some markets reward it.
Some punish it.
Some reward it only under the right volatility and volume conditions.

This tool tells you which is which.