Backtest Results

Test ID: AGT-20251019
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Job Notes

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Symbols 8

LQDT, BRR, BGY, BALI, RYI, GPI, TAIL, USDX

Performance Summary

Total Trades

21

Total P&L

$95.72

Notional: $419604.66
Total Return

0.02%

Weighted by notional
Win Rate

42.9%

9 W / 12 L
CouldWin Rate

42.9%

9 could / 21 total
Avg P&L

$4.56

Avg Return: 0.02%
Best Win

$189.97

Largest Loss

$-119.68

Trade Details 21 positions
ID Symbol Side Entry Price Exit Price Qty P&L % (USD) CouldWin Stop Loss Entry Time Exit Time Duration
1140166 BGY Buy $5.70 $5.71 3511 0.26% ($52.67) True $5.67 05/03/25 20:59 05/03/25 21:00 1m
1140165 BGY Buy $5.69 $5.68 3514 -0.18% ($-35.14) False $5.68 05/03/25 20:51 05/03/25 20:53 2m
1140164 BGY Buy $5.70 $5.68 3511 -0.26% ($-52.67) False $5.68 05/03/25 20:40 05/03/25 20:49 9m
1140162 BGY Buy $5.69 $5.69 3514 -0.09% ($-17.57) False $5.69 05/03/25 20:25 05/03/25 20:26 1m
1140161 BGY Buy $5.69 $5.69 3513 -0.05% ($-10.89) False $5.68 05/03/25 20:00 05/03/25 20:18 18m
1140163 BGY Buy $5.60 $5.59 3574 -0.09% ($-17.87) False $5.58 04/03/25 20:53 04/03/25 21:00 7m
1140145 TAIL Buy $11.58 $11.69 1727 0.95% ($189.97) True $0.00 04/03/25 20:38 04/03/25 20:59 21m
1140160 BGY Buy $5.58 $5.59 3584 0.18% ($36.20) True $5.57 04/03/25 20:06 04/03/25 20:39 33m
1140146 GPI Buy $441.39 $443.67 45 0.52% ($102.60) True $0.00 04/03/25 20:00 04/03/25 20:35 35m
1140158 BGY Buy $5.76 $5.79 3472 0.52% ($104.16) True $5.74 03/03/25 20:50 03/03/25 21:00 10m
1140157 BGY Buy $5.73 $5.72 3490 -0.17% ($-34.90) False $5.71 03/03/25 20:34 03/03/25 20:37 3m
1140179 LQDT Buy $33.89 $33.76 590 -0.37% ($-73.75) False $33.75 10/02/25 20:43 10/02/25 20:58 15m
1140168 BGY Buy $5.41 $5.43 3696 0.37% ($73.92) True $5.39 03/02/25 20:40 03/02/25 21:00 20m
1140173 BGY Buy $5.52 $5.53 3623 0.18% ($36.23) True $5.50 31/01/25 20:59 31/01/25 21:00 1m
1140172 BGY Buy $5.53 $5.52 3616 -0.27% ($-54.24) False $5.52 31/01/25 20:53 31/01/25 20:53 0m
1140171 BGY Buy $5.52 $5.51 3626 -0.09% ($-18.13) False $5.51 31/01/25 20:33 31/01/25 20:43 10m
1136454 USDX Buy $25.60 $25.60 781 0% ($0.08) True $0.00 30/01/25 20:50 30/01/25 20:52 2m
1136433 USDX Buy $25.60 $25.59 781 -0.04% ($-7.26) False $0.00 30/01/25 20:42 30/01/25 20:44 2m
1140174 BGY Buy $5.53 $5.53 3619 0.09% ($18.10) True $5.51 30/01/25 20:20 30/01/25 20:40 20m
1140149 GPI Buy $450.34 $447.62 44 -0.6% ($-119.68) False $448.52 29/01/25 20:10 29/01/25 20:10 0m
1140178 BGY Buy $5.26 $5.24 3805 -0.38% ($-76.10) False $5.24 13/01/25 20:52 13/01/25 20:52 0m
Strategy DSL LowVolume Basket - Gap Fade Momentum
Job Like 
CONTEXT:
UNIVERSE: SP500
BASE_TZ: America/New_York
CAPITAL: 1_000_000

PARAMS:
sym="{{sym}}",  // Symbol placeholder for runtime injection
fast_ema=8,      // Fast EMA period for momentum detection
slow_ema=21,     // Slow EMA period for trend direction
vol_pace_min=1.5, // Minimum volume pace ratio vs average for confirmation
atr_period=14,   // ATR period for risk calculation
atr_mult=2.5,    // ATR multiplier for stop loss
risk_frac=0.02,  // Risk fraction for position sizing
price_min=5.0,   // Minimum price filter to avoid penny stocks
htf_ema_period=50 // Higher timeframe EMA period for trend filter

STRATEGY "Gap Fade Momentum":
TRIGGER:
  // Ensure trading only in the last hour of the session (UTC time)
  TIME_UTC_IN("20:00", "21:00")
  AND LAST(CLOSE(sym, 1m)) > price_min
  AND EMA(CLOSE(sym, 1m), fast_ema) > EMA(CLOSE(sym, 1m), slow_ema)
  AND EMA(CLOSE(sym, 5m), htf_ema_period) > EMA(CLOSE(sym, 5m), htf_ema_period, 1)
  AND VOL_PACE(sym, 1m, 10) > vol_pace_min
ENTRY: MARKET
EXIT:
  // Exit on reversal signal using EMA crossunder
  EMA(CLOSE(sym, 1m), fast_ema) < EMA(CLOSE(sym, 1m), slow_ema)
RISK: ATR_STOP(atr_mult)
SIZING: FIXED_FRACTION(risk_frac)