Backtest Results

Job Notes

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Symbols 8

BOXX, BSCP, GSY, BSCQ, SUB, VRIG, JMST, VBIL

Performance Summary

Total Trades

9

Total P&L

$2.86

Notional: $76297.84

Total Return

0%

Weighted by notional

Win Rate

66.7%

6 W / 3 L

CouldWin Rate

66.7%

6 could / 9 total

Avg P&L

$0.32

Avg Return: 0%

Best Win

$2.06

Largest Loss

$-2.67

Trade Details 9 positions

ID	Symbol	Side	Entry Price	Exit Price	Qty	P&L % (USD)	CouldWin	Stop Loss	Entry Time	Exit Time	Duration
1294267	BSCP	Buy	$20.68	$20.69	411	0.02% ($2.06)	True	$20.65	29/09/25 19:49	29/09/25 19:59	10m
1294268	VRIG	Buy	$25.13	$25.13	338	0.02% ($1.69)	True	$0.00	09/09/25 19:53	09/09/25 20:00	7m
1294275	GSY	Buy	$50.21	$50.22	169	0.01% ($0.85)	True	$50.18	02/09/25 19:57	02/09/25 19:58	1m
1294273	GSY	Buy	$50.21	$50.22	169	0.01% ($1.01)	True	$50.18	02/09/25 19:52	02/09/25 19:53	1m
1294271	GSY	Buy	$50.22	$50.22	169	0.01% ($0.59)	True	$50.18	02/09/25 19:46	02/09/25 19:47	1m
1294270	GSY	Buy	$50.22	$50.21	169	-0.01% ($-0.83)	False	$50.18	02/09/25 19:44	02/09/25 19:45	1m
1294278	BOXX	Buy	$111.52	$111.53	76	0.01% ($0.92)	True	$111.48	07/04/25 18:53	07/04/25 20:00	1.1h
1294279	GSY	Buy	$50.14	$50.12	169	-0.03% ($-2.67)	False	$50.11	02/04/25 18:49	02/04/25 20:00	1.2h
1294282	BOXX	Buy	$110.71	$110.70	76	-0.01% ($-0.76)	False	$110.68	29/01/25 18:58	29/01/25 21:00	2h

Strategy DSL Stable Basket - LowVolume Basket - HighVolume Basket - HighVolume Basket - Unstable Basket - Unstable 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 +

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=17,               // Slow period for hourly volatility
day_range_period=5,         // Period for daily range analysis
atr_period=39,              // ATR period for risk management
atr_mult=6,               // ATR multiplier for stop loss
risk_frac=0.0085,             // Risk fraction per trade
vol_threshold=2           // Threshold for volume expansion
lookback=21...-1,

STRATEGY "LowVolume Basket - HighVolume Basket - HighVolume Basket - Unstable Basket - Unstable 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 + Mu-964ab2 + 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), 3) * vol_threshold
// Restrict trading to specific UTC window for signal relevance
AND TIME_UTC_IN("17:00", "20:00")
ENTRY: MARKET
EXIT:
CROSSOVER(CLOSE(sym,1d), MID(DONCHIAN(HIGH(sym,1d), LOW(sym,1d), 12)))
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=17,               // Slow period for hourly volatility
day_range_period=5,         // Period for daily range analysis
atr_period=39,              // ATR period for risk management
atr_mult=6,               // ATR multiplier for stop loss
risk_frac=0.0085,             // Risk fraction per trade
vol_threshold=2           // Threshold for volume expansion
lookback=21...-1,

STRATEGY "LowVolume Basket - HighVolume Basket - HighVolume Basket - Unstable Basket - Unstable 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 + Mu-964ab2 + 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), 3) * vol_threshold
// Restrict trading to specific UTC window for signal relevance
AND TIME_UTC_IN("17:00", "20:00")
ENTRY: MARKET
EXIT:
CROSSOVER(CLOSE(sym,1d), MID(DONCHIAN(HIGH(sym,1d), LOW(sym,1d), 12)))
RISK: ATR_STOP(atr_mult)
SIZING: FIXED_FRACTION(risk_frac)