Backtest Results

Job Notes

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Symbols 8

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

Performance Summary

Total Trades

2

Total P&L

$171.45

Notional: $39970.43

Total Return

0.43%

Weighted by notional

Win Rate

100%

2 W / 0 L

CouldWin Rate

100%

2 could / 2 total

Avg P&L

$85.73

Avg Return: 0.43%

Best Win

$100.73

Largest Loss

$70.72

Trade Details 2 positions

ID	Symbol	Side	Entry Price	Exit Price	Qty	P&L % (USD)	CouldWin	Stop Loss	Entry Time	Exit Time	Duration
1269150	TAIL	Buy	$11.31	$11.35	1768	0.35% ($70.72)	True	$0.00	25/02/25 20:15	25/02/25 21:00	45m
1269147	BALI	Buy	$30.64	$30.79	652	0.5% ($100.73)	True	$0.00	06/02/25 20:14	06/02/25 20:59	45m

Strategy DSL LowVolume Basket - Cipher Alpha Spark-f035af-a8e643

Job Like

CONTEXT:
UNIVERSE: SP500
BASE_TZ: America/New_York
CAPITAL: 1_000_000

PARAMS:
sym="{{sym}}",  // Symbol placeholder for runtime injection
high_period=3,    // Lookback period for higher highs
atr_period=14,    // ATR period for volatility measure
atr_mult=2.5,     // Multiplier for ATR stop
risk_frac=0.02,   // Risk fraction for position sizing
vol_threshold=1.2 // Threshold for ATR expansion after contraction

STRATEGY "Cipher Alpha Spark-f035af-a8e643":
TRIGGER:
// Check for 3+ consecutive higher highs
LAST(HIGH(sym, 1d)) > LAST(HIGH(sym, 1d), 1)
AND LAST(HIGH(sym, 1d), 1) > LAST(HIGH(sym, 1d), 2)
AND LAST(HIGH(sym, 1d), 2) > LAST(HIGH(sym, 1d), 3)
// Check for ATR expansion after contraction
AND ATR(sym, 1d, atr_period) > (vol_threshold * ATR(sym, 1d, atr_period, 1))
// Gate signals to a specific UTC window (e.g., late US session)
AND TIME_UTC_IN("20:00", "22:00")
ENTRY: MARKET
EXIT:
// Exit if price drops below the lowest low of the last 'high_period' bars
LAST(LOW(sym, 1d)) < LOWEST(LOW(sym, 1d), high_period)
RISK: ATR_STOP(atr_mult)
SIZING: FIXED_FRACTION(risk_frac)

CONTEXT:
UNIVERSE: SP500
BASE_TZ: America/New_York
CAPITAL: 1_000_000

PARAMS:
sym="{{sym}}",  // Symbol placeholder for runtime injection
high_period=3,    // Lookback period for higher highs
atr_period=14,    // ATR period for volatility measure
atr_mult=2.5,     // Multiplier for ATR stop
risk_frac=0.02,   // Risk fraction for position sizing
vol_threshold=1.2 // Threshold for ATR expansion after contraction

STRATEGY "Cipher Alpha Spark-f035af-a8e643":
TRIGGER:
// Check for 3+ consecutive higher highs
LAST(HIGH(sym, 1d)) > LAST(HIGH(sym, 1d), 1)
AND LAST(HIGH(sym, 1d), 1) > LAST(HIGH(sym, 1d), 2)
AND LAST(HIGH(sym, 1d), 2) > LAST(HIGH(sym, 1d), 3)
// Check for ATR expansion after contraction
AND ATR(sym, 1d, atr_period) > (vol_threshold * ATR(sym, 1d, atr_period, 1))
// Gate signals to a specific UTC window (e.g., late US session)
AND TIME_UTC_IN("20:00", "22:00")
ENTRY: MARKET
EXIT:
// Exit if price drops below the lowest low of the last 'high_period' bars
LAST(LOW(sym, 1d)) < LOWEST(LOW(sym, 1d), high_period)
RISK: ATR_STOP(atr_mult)
SIZING: FIXED_FRACTION(risk_frac)