Backtest Results

Job Notes

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Symbols 8

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

Performance Summary

Total Trades

6

Total P&L

$8.44

Notional: $119538.90

Total Return

0.01%

Weighted by notional

Win Rate

83.3%

5 W / 1 L

CouldWin Rate

83.3%

5 could / 6 total

Avg P&L

$1.41

Avg Return: 0.01%

Best Win

$6.71

Largest Loss

$-0.90

Trade Details 6 positions

ID	Symbol	Side	Entry Price	Exit Price	Qty	P&L % (USD)	CouldWin	Stop Loss	Entry Time	Exit Time	Duration
1346418	BOXX	Buy	$113.86	$113.86	175	0% ($0.88)	True	$0.00	30/09/25 17:03	30/09/25 20:00	3h
1346429	BOXX	Buy	$113.37	$113.37	176	0% ($0.88)	True	$0.00	22/08/25 18:00	22/08/25 20:00	2h
1346410	BOXX	Buy	$112.06	$112.07	178	0% ($0.36)	True	$0.00	13/05/25 17:00	13/05/25 19:00	2h
1346340	BOXX	Buy	$111.29	$111.33	179	0.03% ($6.71)	True	$0.00	14/03/25 19:01	14/03/25 20:00	59m
1346452	BOXX	Buy	$111.12	$111.12	179	0% ($0.52)	True	$0.00	28/02/25 19:00	28/02/25 21:00	2h
1346454	BOXX	Buy	$110.58	$110.57	180	0% ($-0.90)	False	$0.00	17/01/25 19:01	17/01/25 21:00	2h

Strategy DSL Stable Basket - Omega Impulse Wave-56a70f + Mut

Job Like

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

PARAMS:
sym="{{sym}}",
fast_ema=17,          # Fast EMA period for trend confirmation
slow_ema=26,          # Slow EMA period for trend confirmation
vwap_period=36,       # Period for Anchored VWAP calculation
atr_period=27,        # ATR period for risk management
atr_mult=2.5,         # ATR multiplier for stop loss
risk_frac=0.02,       # Risk fraction per trade
reward_mult=3.0,      # Reward multiplier for target
breakeven_rr=1      # Risk-reward ratio for breakeven stop

STRATEGY "Omega Impulse Wave-56a70f + Mut":
TRIGGER:
  # Check for inside day (yesterday's range is within the day before)
  LAST(HIGH(sym, 1d), 1) < LAST(HIGH(sym, 1d), 3)
  AND LAST(LOW(sym, 1d), 1) > LAST(LOW(sym, 1d), 3)
  # Opening range breakout condition
  AND LAST(CLOSE(sym, 1d)) > LAST(HIGH(sym, 1d), 6)
  # Anchored VWAP breakout condition
  AND LAST(CLOSE(sym, 1d)) > SMA(CLOSE(sym, 1d), vwap_period)
  # Higher timeframe trend confirmation (1h)
  AND EMA(CLOSE(sym, 1h), fast_ema) > EMA(CLOSE(sym, 1h), slow_ema)
ENTRY: MARKET         # Market entry to capture momentum immediately after breakout
EXIT:
  # Exit on reversal of trend on higher timeframe
  EMA(CLOSE(sym, 1h), fast_ema) < EMA(CLOSE(sym, 1h), slow_ema)
RISK: ATR_STOP(atr_mult) AND BREAKEVEN_AFTER(breakeven_rr) AND TARGET_MULT_RISK(reward_mult)
SIZING: FIXED_FRACTION(risk_frac)

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

PARAMS:
sym="{{sym}}",
fast_ema=17,          # Fast EMA period for trend confirmation
slow_ema=26,          # Slow EMA period for trend confirmation
vwap_period=36,       # Period for Anchored VWAP calculation
atr_period=27,        # ATR period for risk management
atr_mult=2.5,         # ATR multiplier for stop loss
risk_frac=0.02,       # Risk fraction per trade
reward_mult=3.0,      # Reward multiplier for target
breakeven_rr=1      # Risk-reward ratio for breakeven stop

STRATEGY "Omega Impulse Wave-56a70f + Mut":
TRIGGER:
  # Check for inside day (yesterday's range is within the day before)
  LAST(HIGH(sym, 1d), 1) < LAST(HIGH(sym, 1d), 3)
  AND LAST(LOW(sym, 1d), 1) > LAST(LOW(sym, 1d), 3)
  # Opening range breakout condition
  AND LAST(CLOSE(sym, 1d)) > LAST(HIGH(sym, 1d), 6)
  # Anchored VWAP breakout condition
  AND LAST(CLOSE(sym, 1d)) > SMA(CLOSE(sym, 1d), vwap_period)
  # Higher timeframe trend confirmation (1h)
  AND EMA(CLOSE(sym, 1h), fast_ema) > EMA(CLOSE(sym, 1h), slow_ema)
ENTRY: MARKET         # Market entry to capture momentum immediately after breakout
EXIT:
  # Exit on reversal of trend on higher timeframe
  EMA(CLOSE(sym, 1h), fast_ema) < EMA(CLOSE(sym, 1h), slow_ema)
RISK: ATR_STOP(atr_mult) AND BREAKEVEN_AFTER(breakeven_rr) AND TARGET_MULT_RISK(reward_mult)
SIZING: FIXED_FRACTION(risk_frac)