Entry Rung Test

Entry Rung Test: Do the 5- and 4-Minute Gates Earn Their Keep?

Short disclaimer: This is a historical simulation report on Kalshi crypto markets. It is research, not advice, and it does not promise or imply future results. Past simulated performance is not predictive.

Intro / thesis

The baseline strategy for this KXBTC15M setup enters in stages as an expiring contract runs out of time. It starts looking at 5 minutes to expiry (requiring spot at least $75 away from the strike, and the 15-minute EMA pointing the same direction), then adds a 4-minute gate ($45 away), a 2-minute gate ($30), a 1-minute gate ($22.5), a 30-second gate ($15), and finally a 25-second gate with no distance requirement at all. The first qualifying entry wins and the position runs from there.

That structure raises an obvious question: are the two earliest rungs — the 5-minute and 4-minute gates — actually adding value, or are they just taking on more time decay and more noise for entries that the later, tighter gates would have captured anyway? A second question sits next to it: the EMA-vs-strike condition is currently only a sign check (is the 15-minute EMA above or below the strike?) while the spot-vs-strike condition is a size check (how many dollars away?). Does it matter if we make the EMA condition match the spot condition in magnitude?

This batch tested three variants against the baseline. Each variant is a complete standalone strategy with all other rules held fixed. All three ran over a 30-day window on Kalshi KXBTC15M, sizing 5 contracts, with the same stop-loss, spot-cross exit, and take-profit behavior.

Variant and strategy explanation

All three candidates share the same engine. Every 10 seconds the strategy evaluates rules top to bottom and the first match fires. The exit and risk rules are identical across every variant: a stop if the held side's bid falls to 0.35 or below; an exit if spot crosses the strike against the position; and a take-profit if the held side's bid reaches 0.995 while between 15 minutes and 2 minutes to expiry. Entries buy 5 contracts at 0.90–0.99 on the held side, with a spread cap of 0.02 (0.03 on the final no-distance rung) and an immediate-or-cancel execution.

The three variants:

Variant 1 — "No level 5." Removes the 5-minute rung entirely. The first possible entry is now the 4-minute gate: spot at least $45 from strike, EMA on the correct side, 5-minute change and 1-minute velocity agreeing in direction, ask between 0.90 and 0.99, spread at or under 0.02. Levels 6 through 10 are unchanged.

Variant 2 — "No level 5 or 6." Removes both the 5-minute and 4-minute rungs. The first possible entry is the 2-minute gate at $30, and levels 8 through 10 are unchanged.

Variant 3 — "EMA matched to spot." Keeps all rungs, but instead of requiring only that the 15-minute EMA be on the correct side of the strike, it requires the EMA-vs-strike distance to meet the same dollar threshold as the spot-vs-strike condition on each of levels 5 through 9. So level 5 now demands EMA at least $75 away, level 6 at least $45, level 7 at least $30, level 8 at least $22.5, level 9 at least $15. Level 10 has no distance condition and is unchanged.

Every successful variant is saved as a runnable Turbine strategy, so any of these can be re-run or inspected directly.

Top results

Ranked by ROI over the 30-day window:

No level 5 is the standout. Dropping the earliest rung cut trade count only slightly (436 vs. 459 for the matched-EMA variant, and vs. the EMA-matched run at 459), but it produced the highest PnL, the highest ROI, the highest win rate, and the best Sharpe in the batch. That pattern is consistent with the 5-minute entries being lower-quality: at 5 minutes out, the strike-distance requirement is the loosest in absolute terms relative to remaining time, so those entries are the most exposed to the underlying moving back through the strike before the trade resolves.

EMA matched to spot is a solid second. Requiring the EMA to be genuinely far from the strike, not just barely on the correct side, raised the trade count to 459 and produced a respectable 254.2% ROI — better than the baseline-style "no 5 or 6" variant on every headline metric, but not as good as simply removing level 5. Notably it also carried the largest max drawdown in the batch (-15.83), so its edge came with more equity swing.

Bottom results

The third variant, "No level 5 or 6," ranked last:

Removing both early rungs more than halved the trade count to 200 and cut PnL to $4.86. Win rate stayed essentially flat at 93.9%, so the shorter, later-only entry profile didn't improve per-trade quality; it just took far fewer trades, and each of those trades was worth less on average. Drawdown was the mildest in the batch (-9.08), which fits a strategy that's simply doing less. But on a PnL and ROI basis, the 2-minute-first profile is clearly the weakest of the three.

One thing worth flagging honestly: the win rates across all three variants sit in a very tight band (93.8%–94.4%) while PnL spans from $4.86 to $16.03 — a roughly 3x range. A win-rate difference that small cannot account for a PnL spread that large on its own. Whatever is driving the PnL gap between these variants is not fully explained by the win-rate column, and I'm not going to invent a mechanism to close that gap. The discrepancy is unresolved with the data in this batch.

Conclusion

Within this 30-day simulation, the 5-minute entry rung appears to be the weakest link. Removing it produced the best result in the batch on ROI, PnL, win rate, and Sharpe. Removing both early rungs was the worst outcome — so the 4-minute rung is doing real work, while the 5-minute rung is not. Matching the EMA condition to the spot distance gate was a modest improvement over the later-only profile but did not beat simply dropping level 5, and it came with the largest drawdown.

The practical read: if you were going to change one thing, dropping the 5-minute rung is the single change that helped most here. Tightening the EMA gate to match spot is a defensible secondary adjustment, but it costs drawdown and doesn't dominate. Removing the 4-minute rung as well is a step backwards on returns.

Two caveats that matter. First, this was an explicit three-variant batch, not a sweep — no permutation testing or out-of-sample window was run, so these rankings are single-period observations, not evidence of statistical robustness. A different 30-day window, a different risk budget, or a different position limit could easily reshuffle the order. Second, all three variants share the same exits, which are doing a lot of the work; the comparisons here describe entry-timing behavior only, and that behavior could look very different under other exit rules. The winning variant is saved as a runnable Turbine strategy, but "saved and runnable" is not the same as "validated."

Long disclaimer: This document is research output from a historical simulation. It is not financial, investment, or trading advice, and it is not an offer or solicitation to buy or sell any security, contract, or derivative. All results shown are simulated and derived from a 30-day historical window on Kalshi KXBTC15M using the specific rule sets described. Simulated results are not live results. They do not account for the full set of frictions a live account would face, including but not limited to order queue position, partial fills, latency, adverse selection, exchange downtime, rule changes, fee changes, and the difference between observed quotes and achievable executions. Kalshi prediction markets involve substantial risk, including the risk of total loss of any position. Crypto-related contracts can be volatile and may behave very differently in future periods than they did in the window studied. Past performance — real or simulated — is not indicative of future results. No representation is made that any variant described would be profitable in live trading or that the rankings observed here would persist on any other dataset, time window, or risk budget. This batch compared exactly three variants; it did not perform a parameter sweep, out-of-sample validation, walk-forward analysis, or statistical significance testing, and readers should not treat its winner as robust. The author and publisher disclaim any liability for decisions made on the basis of this material. Do your own research and consult a licensed professional before trading.

About this Kalshi strategy backtest

What question does Entry Rung Test investigate?

Test whether the level 5 and level 6 early entry rungs (the 5-minute and 4-minute strike-distance gates) help or hurt, and whether tightening the EMA-vs-strike condition to match the spot-vs-strike distance gate size changes results. Three variants against the current baseline, all other rules fixed.

Read the analysis alongside the individual variant results. Check which entry, exit, price-band or risk settings changed, which settings stayed fixed, and whether the report documents enough historical coverage to support its comparison. A different parameter value defines a different simulation; it does not establish a new source of live trading returns.

How many strategy variants are included?

This report lists 3 completed and 0 failed strategy variants. Failed comparisons do not count as successful tests with zero profit. Review trade counts and drawdown alongside net P&L, win rate and Sharpe, and read any coverage or execution caveats in the analysis. A result based on very few trades needs particular care, even when its return looks high.

Does a profitable Kalshi backtest predict live performance?

These are historical simulations. Live results can differ because of liquidity, fees, slippage, latency, market resolution, outages and data quality. Selecting the best result after comparing many variants can also overstate how reliably it will perform on new data. Compare nearby settings, inspect losing variants and test on a separate period before considering a live run. The report is research, not a promise of profit or investment advice.

How can I inspect or test a strategy from this report?

Use an available Open strategy link to inspect that variant. Review its rules, market, date window, fill assumptions, fees and trade history before changing parameters or rerunning it. Confirm which data and execution assumptions the selected market actually supports; a replay does not establish that every historical order could have filled live. For the workflow, read the Kalshi and prediction market backtesting guide. The Kalshi backtesting software page explains the product's supported testing workflow.