Built a DI crossover trend system to cover my mean reversion strategy's flat days. First run looked perfect, wider sample killed it.

I run VWAP mean reversion on GC and NQ with an ADX filter that blocks entries above 25. It sits out entire sessions when the market trends, and I wanted something to cover those days instead of leaving them flat.

Built a DI crossover entry, ADX above 25 so it only fires in the regime the reversion strategy refuses, ATR based stops. Ran it on the same data windows as my live strategies.

First run had a rising ADX confirmation filter on. GC 1 trade, 100% win. NQ 3 trades, 100% win. Obviously meaningless at that sample, but it's exactly the kind of result that would have gotten posted as a win by someone not looking closer.

Turned the filter off, sample tripled, and it inverted:

NQ trend: 21 trades, 38.1% win rate, -$194.30 expectancy, -$4,080 total
GC trend: 7 trades, 42.9% win rate, $137.57 expectancy

Reversion on the same window: GC 4 trades 75% win $755.75 expectancy, NQ 15 trades 53.3% win $478 expectancy.

Killed it. The confirmation filter wasn't adding edge, it was shrinking the sample until only lucky outcomes survived.

That's my fourth failed trend attempt on these instruments after an EMA pullback system, SMC break of structure, and opening range breakout. At 5m and 15m weak trends tend to revert and the edge in directional continuation is thin enough that costs eat it. Trend following seems to be a multi week to multi month thing structurally, not an intraday one.

Sample sizes are still small and I know it. Working on getting more data before I draw anything firm from the reversion numbers either.

Anyone here found intraday trend following that actually holds up on futures at these timeframes, or is the regime filter approach the realistic ceiling?