It's easy to add trading strategies. It's hard — and more valuable — to delete them. One of the cleaner-looking setups we tested, pullback-to-VWAP, didn't make it into TradeScaner's live engine. Here's the reasoning, because how a tool decides what to ship tells you more than the list of what it shipped.
The setup
Pullback-to-VWAP is a popular intraday idea: a stock trends up, dips back to its volume-weighted average price, and you buy the bounce. On in-sample data it looked solid — clean entries, reasonable win rate.
Where it failed
Under walk-forward, out-of-sample testing — tuning on the past, then measuring on data the rules had never seen — its expectancy went negative. The in-sample performance was largely curve-fit: the rules had learned the noise of the test period, not a durable edge. Across regimes, it didn't hold.
Why we cut it anyway
A scanner's value isn't the number of setups it lists; it's the quality of what it surfaces. Shipping a setup with negative out-of-sample expectancy would pad the list and cost users money. We'd rather show fewer, proven setups — gap-up momentum, opening-range breakout, and short opening-range breakdown all earned their place by surviving the same test pullback-to-VWAP failed.
The principle
Be suspicious of any tool that only ever adds features and never removes them. Honest validation produces deletions. That discipline — keeping only what survives out-of-sample, regime-split testing — is the whole point.