Backtest Results

Test ID: EGT-20251105
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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

$378.00

Notional: $177461.80
Total Return

0.21%

Weighted by notional
Win Rate

66.7%

14 W / 7 L
CouldWin Rate

66.7%

14 could / 21 total
Avg P&L

$18.00

Avg Return: 0.22%
Best Win

$197.30

Largest Loss

$-117.12

Trade Details 21 positions
ID Symbol Side Entry Price Exit Price Qty P&L % (USD) CouldWin Stop Loss Entry Time Exit Time Duration
1299062 BGY Buy $5.75 $5.72 1478 -0.52% ($-44.34) False $5.70 10/10/25 16:19 10/10/25 20:00 3.7h
1299068 RYI Buy $23.17 $22.85 366 -1.38% ($-117.12) False $0.00 09/10/25 15:45 09/10/25 20:00 4.3h
1299063 BRR Buy $10.14 $10.19 838 0.44% ($37.71) True $0.00 16/09/25 17:23 16/09/25 20:00 2.6h
1299061 BGY Buy $5.76 $5.78 1475 0.35% ($29.50) True $0.00 16/09/25 19:26 16/09/25 20:00 34m
1299067 GPI Buy $485.15 $488.25 17 0.64% ($52.70) True $0.00 11/09/25 18:43 11/09/25 20:00 1.3h
1299060 BGY Buy $5.69 $5.70 1493 0.18% ($14.93) True $0.00 20/08/25 16:47 20/08/25 20:00 3.2h
1299066 BALI Buy $30.96 $30.95 274 -0.03% ($-2.74) False $0.00 15/08/25 14:16 15/08/25 20:00 5.7h
1299064 TAIL Buy $11.86 $11.91 716 0.46% ($39.38) True $0.00 08/08/25 17:40 08/08/25 20:00 2.3h
1299101 BALI Buy $30.43 $30.51 279 0.26% ($22.29) True $0.00 31/07/25 19:52 31/07/25 20:00 8m
1299097 GPI Buy $449.63 $451.56 18 0.43% ($34.83) True $439.07 15/07/25 18:52 15/07/25 20:00 1.1h
1299078 LQDT Buy $24.15 $24.22 351 0.29% ($24.57) True $0.00 03/07/25 13:30 03/07/25 17:00 3.5h
1299104 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
1299114 RYI Buy $23.02 $23.38 369 1.56% ($132.84) True $22.59 30/04/25 18:32 30/04/25 20:00 1.5h
1299110 GPI Buy $394.24 $403.63 21 2.38% ($197.30) True $0.00 30/04/25 13:48 30/04/25 20:00 6.2h
1299112 BGY Buy $5.70 $5.73 1491 0.53% ($44.73) True $5.67 25/03/25 19:24 25/03/25 20:00 36m
1299115 BGY Buy $5.60 $5.59 1519 -0.09% ($-7.60) False $5.53 04/03/25 18:59 04/03/25 21:00 2h
1299119 RYI Buy $21.61 $21.36 393 -1.16% ($-98.25) False $0.00 03/02/25 14:30 03/02/25 21:00 6.5h
1299192 LQDT Buy $34.93 $34.65 243 -0.8% ($-68.04) False $34.07 31/01/25 19:46 31/01/25 21:00 1.2h
1299117 BGY Buy $5.48 $5.47 1552 -0.09% ($-7.76) False $5.43 29/01/25 16:42 29/01/25 21:00 4.3h
1299116 GPI Buy $447.00 $449.55 19 0.57% ($48.45) True $0.00 23/01/25 16:13 23/01/25 21:00 4.8h
1299118 BALI Buy $30.12 $30.25 282 0.43% ($36.18) True $0.00 02/01/25 17:46 02/01/25 20:59 3.2h
Strategy DSL LowVolume Basket - LowVolume Basket - Unstable Basket - xxx big test-8e0664 + Mut-751083 + Mut-b5cdc0 + 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=49,               // Slow period for hourly volatility
day_range_period=5,         // Period for daily range analysis
atr_period=36,              // ATR period for risk management
atr_mult=12,               // ATR multiplier for stop loss
risk_frac=0.0085,             // Risk fraction per trade
vol_threshold=1           // Threshold for volume expansion
lookback=42...-2,

STRATEGY "LowVolume Basket - Unstable Basket - xxx big test-8e0664 + Mut-751083 + Mut-b5cdc0 + 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), 2) * vol_threshold
// Restrict trading to specific UTC window for signal relevance
AND TIME_UTC_IN("21:00", "20:00")
ENTRY: MARKET
EXIT:
CROSSOVER(CLOSE(sym,1d), MID(DONCHIAN(HIGH(sym,1d), LOW(sym,1d), 14)))
RISK: ATR_STOP(atr_mult)
SIZING: FIXED_FRACTION(risk_frac)