Scalping system shows zero directional edge across 31 features — is there anything left to test?

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I run an LLM-driven intraday scalper on MT5 (demo). Over 60 closed trades it
lost $212, and commission alone was 40% of that loss. Before asking "how do I
make it profitable", I spent two weeks trying to establish whether it has any
directional edge at all. It does not — and I want a sanity check from people
who have done this longer than me.

What I tested, and how:
- Split every dataset into a design half and a held-out test half by time.
- Built a random-entry null for every test, so any result is compared against
  coin-flip entries with the same trade count and holding time.
- Applied Benjamini-Hochberg correction (q <= 0.10) across the whole grid,
  not per-test p-values.
- Ran a positive control first: volatility clustering. It was detected at
  rho 0.30-0.84 while random controls stayed at or below 0.105 — so the
  tooling can detect a real effect when one exists.

Results:
- 31 non-price features (session, spread, tick volume, time-of-day, regime
  labels, etc.): 0 survivors.
- 13 level-based features (prior day high/low, opening range, round numbers,
  swing points): 0 survivors — hit rate was exactly the random rate.
- 48 target/stop/hold-time combinations: all negative after cost.
- 25 gate/threshold settings: none supported.
- Direction carried no information at any horizon from 5 minutes to 20 days,
  tested across 7-21 years of data depending on the symbol.

What I already fixed along the way: five classifier inputs were pinned to
constants, the cost table was wrong on three pairs, and two features had
look-ahead. All corrected before the final tests.

My questions:
1. At 40% of losses going to commission, is scalping with a ~10-15 pip stop
   structurally dead for a retail account, regardless of signal quality?
2. Is "no feature survives a holdout + null + BH correction" the normal
   outcome for this kind of search, or does it indicate a methodology error?
3. Should I be testing entry signals at all, or is trade management (exits,
   sizing, scaling) where retail edge actually lives?
4. Are there published intraday strategies with out-of-sample evidence that
   you would consider a fair starting point rather than a curve fit?
5. What sample size do you consider the minimum before a live/demo record
   means anything?
6. If you had this result, would you continue, change timeframe, or stop?
 
Mohamed Trading:
At 40% of losses going to commission, is scalping with a ~10-15 pip stop
   structurally dead for a retail account, regardless of signal quality?

I'm inclined to say yes, albeit with a partial caveat. The idea behind proportional commissions is get lower variable spreads, and thereby save on total transaction costs in the end. If your broker-dealer has stacked the deck in a way that hits you with higher total transaction costs, that is self-defeating. Therefore, issue #1 is your specific broker-dealer's fees. I also see that you referenced "tick volume" in your OP. Therefore, you're likely trading with an OTC FX/CFD broker-dealer. While retail OTC broker-dealers are rather notorious for having high commissions and spreads, centralized exchanges/real futures broker-dealers are not. For example with one CME futures broker-dealer, the average spread on 1OZ (nano) gold futures is 25 points (0.25 USD) plus a 1.54 USD commission per round trade (discounts for higher trade volume, and MGC (micro) and GC (full) have proportionally cheaper fees. Additionally, real contract volume is available. Therefore, issue #2 is the market in which you're participating.

In any case, you are still a retail trader having a "retail account"─not a professional trader. Therefore, the aforementioned caveat is the fact that all types of retail trading are not equal.

 
On sample size, a number off a real account rather than a rule of thumb.

I went through 801 closed deals on one account for a report. At its own stop and target the strategy needed an 88.50% win rate to break even and it got 94.13%. That reads like a comfortable margin. In deals it is 45 out of 801, so everything that account ever earned sat inside 45 trades.

Put your 60 against that. The same margin over 60 deals is about three trades, and one standard deviation on 60 coin flips is close to four. So a 60 trade record cannot tell you whether direction carries information, even if it does. That is a separate question from your feature work, which is far better powered.

On the settings, before accepting that none are supported: sort the trade list from each one and hash it. I had four configurations differing by a single input that produced two results, not four, identical byte for byte, the summary lines differing only by rounding. If some of yours collapse the same way, your grid is smaller than you think and the correction was stricter than it needed to be.
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