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

$1350.97

Notional: $93882.12

Total Return

1.44%

Weighted by notional

Win Rate

33.3%

1 W / 2 L

CouldWin Rate

33.3%

1 could / 3 total

Avg P&L

$450.32

Avg Return: 1.44%

Best Win

$1678.60

Largest Loss

$-187.52

Trade Details 3 positions

ID	Symbol	Side	Entry Price	Exit Price	Qty	P&L % (USD)	CouldWin	Stop Loss	Entry Time	Exit Time	Duration
1330277	TAIL	Buy	$13.05	$13.75	2398	5.36% ($1678.60)	True	$12.79	07/04/25 14:18	07/04/25 20:00	5.7h
1330278	TAIL	Buy	$13.35	$13.27	2344	-0.6% ($-187.52)	False	$13.28	04/04/25 14:44	04/04/25 15:03	19m
1330276	TAIL	Buy	$13.38	$13.32	2339	-0.45% ($-140.11)	False	$13.33	04/04/25 14:37	04/04/25 14:43	6m

Strategy DSL LowVolume Basket - AI Strategy - Overnight Gap Momentum-048718 + Mut

Job Like

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

PARAMS:
sym="{{sym}}", 
fast_ema=10,           // Fast EMA period for momentum
slow_ema=26,           // Slow EMA period for trend direction
vol_pace_threshold=3,// Volume pace must exceed 2.5x avg
atr_period=26,         // ATR period for risk calculation
atr_mult=2.0,          // ATR multiplier for stop loss
risk_frac=0.0313,        // Risk fraction per trade
gap_threshold=1    // Gap threshold of 2% (2 as multiplier)

STRATEGY "AI Strategy - Overnight Gap Momentum-048718 + Mut":
TRIGGER:
  // Check for overnight gap > 1%
  LAST(OPEN(sym, 1d)) / LAST(CLOSE(sym, 1d), 4) > gap_threshold
  AND
  // Higher timeframe trend confirmation (1d EMA alignment)
  EMA(CLOSE(sym, 1d), fast_ema) > EMA(CLOSE(sym, 1d), slow_ema)
  AND
  // Volume pace confirmation (must exceed threshold)
  VOL_PACE(sym, 1d, 10) > vol_pace_threshold
  AND
  // Restrict to first 90 minutes of session (UTC time for US market open 9:30 AM ET)
  TIME_UTC_IN("10:30", "15:00")
ENTRY: MARKET          // Market entry to capture immediate momentum post-gap
EXIT: 
  // Exit on reversal signal using EMA crossunder
  EMA(CLOSE(sym, 1d), fast_ema) < EMA(CLOSE(sym, 1d), slow_ema)
RISK: ATR_STOP(atr_mult) // Risk management using ATR-based stop
SIZING: FIXED_FRACTION(risk_frac) // Fixed fraction sizing for consistent risk

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

PARAMS:
sym="{{sym}}", 
fast_ema=10,           // Fast EMA period for momentum
slow_ema=26,           // Slow EMA period for trend direction
vol_pace_threshold=3,// Volume pace must exceed 2.5x avg
atr_period=26,         // ATR period for risk calculation
atr_mult=2.0,          // ATR multiplier for stop loss
risk_frac=0.0313,        // Risk fraction per trade
gap_threshold=1    // Gap threshold of 2% (2 as multiplier)

STRATEGY "AI Strategy - Overnight Gap Momentum-048718 + Mut":
TRIGGER:
  // Check for overnight gap > 1%
  LAST(OPEN(sym, 1d)) / LAST(CLOSE(sym, 1d), 4) > gap_threshold
  AND
  // Higher timeframe trend confirmation (1d EMA alignment)
  EMA(CLOSE(sym, 1d), fast_ema) > EMA(CLOSE(sym, 1d), slow_ema)
  AND
  // Volume pace confirmation (must exceed threshold)
  VOL_PACE(sym, 1d, 10) > vol_pace_threshold
  AND
  // Restrict to first 90 minutes of session (UTC time for US market open 9:30 AM ET)
  TIME_UTC_IN("10:30", "15:00")
ENTRY: MARKET          // Market entry to capture immediate momentum post-gap
EXIT: 
  // Exit on reversal signal using EMA crossunder
  EMA(CLOSE(sym, 1d), fast_ema) < EMA(CLOSE(sym, 1d), slow_ema)
RISK: ATR_STOP(atr_mult) // Risk management using ATR-based stop
SIZING: FIXED_FRACTION(risk_frac) // Fixed fraction sizing for consistent risk