Liquidity Sweep + Break of Structure — Disproof verdict

The "smart money" model — price sweeps liquidity below a swing low, then breaks structure to the upside, and you enter the reversal with a 2:1 or better target. Sold as trading the way institutions do.

Verdict: dead — grade F, 0 of 2 markets survived, tested on BTCUSDT from 2023-05-16 to 2026-08-30.

At zero cost: +15.1%
With real costs (15bps + 2bps slippage): +5.6%
Out-of-sample: -9.7%
Buy and hold over the same window: +190.9% (the strategy is 185.3 points behind buy and hold)

Rules tested

strategy "Liquidity Sweep + Break of Structure"  (long)
indicators:
  ph = pivot_high(5,5)
  swept = sweep_low(5,5)

entry: when close crosses above ph and swept <= 30
bracket: tp=3·ATR, sl=1.5·ATR
# fills next open · fees+slippage on · 70/30 OOS · deflated-Sharpe gate

How this was reconstructed

Break of structure encoded as a close crossing above the last confirmed swing high, gated on a swing low having formed within the previous 30 bars (the liquidity sweep). Exits via a 3:1.5 ATR bracket — the 2R target the model prescribes. Pivots are confirmation-lagged by 5 bars, so no future information enters the signal.