Backtest Results

Test ID: EGT-20251104
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Job Notes

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Symbols 8

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

Performance Summary

Total Trades

23

Total P&L

$139.50

Notional: $193791.52
Total Return

0.07%

Weighted by notional
Win Rate

52.2%

12 W / 11 L
CouldWin Rate

52.2%

12 could / 23 total
Avg P&L

$6.07

Avg Return: 0.07%
Best Win

$181.79

Largest Loss

$-93.99

Trade Details 23 positions
ID Symbol Side Entry Price Exit Price Qty P&L % (USD) CouldWin Stop Loss Entry Time Exit Time Duration
1296753 BGY Buy $5.74 $5.72 1480 -0.35% ($-29.60) False $0.00 10/10/25 19:18 10/10/25 20:00 42m
1296754 RYI Buy $22.88 $22.85 371 -0.13% ($-11.13) False $0.00 09/10/25 19:34 09/10/25 20:00 26m
1296749 BGY Buy $5.77 $5.78 1474 0.26% ($22.11) True $0.00 16/09/25 19:31 16/09/25 20:00 29m
1296748 BRR Buy $10.14 $10.19 838 0.44% ($37.71) True $0.00 16/09/25 18:10 16/09/25 20:00 1.8h
1296759 GPI Buy $488.08 $488.17 17 0.02% ($1.62) True $0.00 11/09/25 19:58 11/09/25 19:59 1m
1296758 GPI Buy $484.50 $483.10 17 -0.29% ($-23.80) False $0.00 11/09/25 18:48 11/09/25 18:52 4m
1296757 GPI Buy $485.15 $484.35 17 -0.16% ($-13.60) False $0.00 11/09/25 18:43 11/09/25 18:44 1m
1296755 BGY Buy $5.69 $5.70 1495 0.26% ($22.43) True $5.67 20/08/25 19:37 20/08/25 20:00 23m
1296751 BGY Buy $5.69 $5.68 1493 -0.18% ($-14.93) False $5.68 20/08/25 17:48 20/08/25 18:12 24m
1296752 BGY Buy $5.75 $5.74 1478 -0.17% ($-14.78) False $5.73 18/08/25 19:40 18/08/25 20:00 20m
1296756 TAIL Buy $11.86 $11.91 716 0.43% ($36.44) True $0.00 08/08/25 17:45 08/08/25 20:00 2.3h
1296762 GPI Buy $449.63 $451.56 18 0.43% ($34.83) True $444.35 15/07/25 18:52 15/07/25 20:00 1.1h
1296761 BALI Buy $29.24 $29.27 290 0.1% ($8.44) True $0.00 13/06/25 18:32 13/06/25 20:00 1.5h
1296766 GPI Buy $402.64 $403.63 21 0.25% ($20.79) True $0.00 30/04/25 19:50 30/04/25 20:00 10m
1296763 RYI Buy $22.89 $23.38 371 2.14% ($181.79) True $22.69 30/04/25 17:54 30/04/25 20:00 2.1h
1296765 BGY Buy $5.70 $5.68 1491 -0.35% ($-29.82) False $5.69 25/03/25 19:24 25/03/25 19:26 2m
1296768 BGY Buy $5.58 $5.59 1522 0.16% ($13.39) True $5.55 04/03/25 19:23 04/03/25 21:00 1.6h
1296771 RYI Buy $21.20 $21.36 400 0.75% ($64.00) True $21.02 03/02/25 17:36 03/02/25 21:00 3.4h
1296770 RYI Buy $21.30 $21.15 399 -0.7% ($-59.85) False $21.16 03/02/25 17:23 03/02/25 17:35 12m
1296774 LQDT Buy $35.13 $34.74 241 -1.11% ($-93.99) False $34.77 31/01/25 19:40 31/01/25 19:59 19m
1296772 BGY Buy $5.48 $5.47 1551 -0.18% ($-15.51) False $0.00 29/01/25 17:12 29/01/25 21:00 3.8h
1296773 GPI Buy $450.40 $449.55 18 -0.19% ($-15.30) False $0.00 23/01/25 17:23 23/01/25 21:00 3.6h
1296767 BALI Buy $30.19 $30.25 281 0.22% ($18.27) True $0.00 02/01/25 17:36 02/01/25 20:59 3.4h
Strategy DSL LowVolume Basket - xxx big test-8e0664 + 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=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=1           // Threshold for volume expansion
lookback=36...-2,

STRATEGY "xxx big test-8e0664 + Mut":
TRIGGER:
// Detect range expansion from inside day on daily timeframe
LAST(HIGH(sym, 1d)) > HIGHEST(HIGH(sym, 1d), day_range_period, 6)
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)