Backtest Results

Job Notes

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Symbols 8

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

Performance Summary

Total Trades

3

Total P&L

$53.77

Notional: $43143.81

Total Return

0.12%

Weighted by notional

Win Rate

66.7%

2 W / 1 L

CouldWin Rate

66.7%

2 could / 3 total

Avg P&L

$17.92

Avg Return: 0.12%

Best Win

$52.47

Largest Loss

$-18.65

Trade Details 3 positions

ID	Symbol	Side	Entry Price	Exit Price	Qty	P&L % (USD)	CouldWin	Stop Loss	Entry Time	Exit Time	Duration
1291166	USDX	Buy	$25.69	$25.66	560	-0.13% ($-18.65)	False	$0.00	09/07/25 19:19	09/07/25 19:40	21m
1291173	USDX	Buy	$25.59	$25.63	562	0.14% ($19.95)	True	$0.00	10/04/25 14:51	10/04/25 19:54	5.1h
1291194	BALI	Buy	$30.14	$30.25	477	0.36% ($52.47)	True	$0.00	02/01/25 19:20	02/01/25 20:59	1.7h

Strategy DSL LowVolume Basket - Unstable Basket - Horizon Alpha | EXIT Opt: price<ema8 | EXIT Opt: price<ema55 | EXIT Opt: price<bb-lower-20-2 | EXIT Opt: donch-mid-30-cd4dc4 + Mut-997c88 + Mut

Job Like

CONTEXT:
UNIVERSE: SP500
BASE_TZ: America/New_York
CAPITAL: 1_000_000

PARAMS:
sym="{{sym}}",              // Symbol for runtime injection
hour_fast=3,                // Fast period for hourly volatility
hour_slow=20,               // Slow period for hourly volatility
day_range_period=8,         // Period for daily range analysis
atr_period=14,              // ATR period for risk management
atr_mult=7,               // ATR multiplier for stop loss
risk_frac=0.0144,             // Risk fraction per trade
vol_threshold=1.2           // Threshold for volume expansion
lookback=14...-1,

STRATEGY "Unstable Basket - Horizon Alpha  | EXIT Opt: price<ema8 | EXIT Opt: price<ema55 | EXIT Opt: price<bb-lower-20-2 | EXIT Opt: donch-mid-30-cd4dc4 + Mut-997c88 + Mut":
TRIGGER:
// Detect range expansion from inside day on daily timeframe
LAST(HIGH(sym, 1d)) > HIGHEST(HIGH(sym, 1d), day_range_period, 1)
AND LAST(LOW(sym, 1d)) < LOWEST(LOW(sym, 1d), day_range_period, 1)
// Confirm microstructure imbalance on hourly with volume surge
AND LAST(VOL(sym, 1h)) > LAST(VOL(sym, 1h), 1) * vol_threshold
// Restrict trading to specific UTC window for signal relevance
AND TIME_UTC_IN("14:00", "20:00")
ENTRY: MARKET
EXIT:
CROSSUNDER(CLOSE(sym,1d), MID(DONCHIAN(HIGH(sym,1d), LOW(sym,1d), 30)))
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 for runtime injection
hour_fast=3,                // Fast period for hourly volatility
hour_slow=20,               // Slow period for hourly volatility
day_range_period=8,         // Period for daily range analysis
atr_period=14,              // ATR period for risk management
atr_mult=7,               // ATR multiplier for stop loss
risk_frac=0.0144,             // Risk fraction per trade
vol_threshold=1.2           // Threshold for volume expansion
lookback=14...-1,

STRATEGY "Unstable Basket - Horizon Alpha  | EXIT Opt: price<ema8 | EXIT Opt: price<ema55 | EXIT Opt: price<bb-lower-20-2 | EXIT Opt: donch-mid-30-cd4dc4 + Mut-997c88 + Mut":
TRIGGER:
// Detect range expansion from inside day on daily timeframe
LAST(HIGH(sym, 1d)) > HIGHEST(HIGH(sym, 1d), day_range_period, 1)
AND LAST(LOW(sym, 1d)) < LOWEST(LOW(sym, 1d), day_range_period, 1)
// Confirm microstructure imbalance on hourly with volume surge
AND LAST(VOL(sym, 1h)) > LAST(VOL(sym, 1h), 1) * vol_threshold
// Restrict trading to specific UTC window for signal relevance
AND TIME_UTC_IN("14:00", "20:00")
ENTRY: MARKET
EXIT:
CROSSUNDER(CLOSE(sym,1d), MID(DONCHIAN(HIGH(sym,1d), LOW(sym,1d), 30)))
RISK: ATR_STOP(atr_mult)
SIZING: FIXED_FRACTION(risk_frac)