Backtest Results

Job Notes

No notes yet. Click "Edit Notes" to add.

Symbols 8

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

Performance Summary

Total Trades

7

Total P&L

$3.64

Notional: $139825.45

Total Return

0%

Weighted by notional

Win Rate

28.6%

2 W / 5 L

CouldWin Rate

28.6%

2 could / 7 total

Avg P&L

$0.52

Avg Return: 0%

Best Win

$7.97

Largest Loss

$-1.97

Trade Details 7 positions

ID	Symbol	Side	Entry Price	Exit Price	Qty	P&L % (USD)	CouldWin	Stop Loss	Entry Time	Exit Time	Duration
1380892	JMST	Buy	$50.79	$50.78	393	-0.01% ($-1.93)	False	$50.78	05/03/25 20:41	05/03/25 20:44	3m
1381090	GSY	Buy	$50.08	$50.08	399	0% ($-1.00)	False	$50.08	24/02/25 20:00	24/02/25 21:00	1h
1380921	VRIG	Buy	$25.08	$25.09	797	0.04% ($7.97)	True	$25.08	24/02/25 20:45	24/02/25 20:59	14m
1380902	JMST	Buy	$50.80	$50.80	393	0% ($-0.39)	False	$50.80	06/02/25 20:17	06/02/25 20:46	29m
1381113	GSY	Buy	$50.05	$50.06	399	0.01% ($2.39)	True	$50.05	24/01/25 20:46	24/01/25 21:00	14m
1381099	GSY	Buy	$50.04	$50.04	399	-0.01% ($-1.44)	False	$50.03	21/01/25 20:01	21/01/25 20:59	58m
1380920	JMST	Buy	$50.75	$50.74	394	-0.01% ($-1.97)	False	$50.74	13/01/25 20:54	13/01/25 21:00	6m

Strategy DSL Stable Basket - Gap Fade Momentum-010bde + Mut

Job Like

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

PARAMS:
sym="{{sym}}",              // Symbol placeholder for runtime injection
fast_ema=22,                // Fast EMA period for momentum detection
slow_ema=26,                // Slow EMA period for trend direction
vol_period=21,              // Volume lookback period for confirmation
trail_mult=3.0,             // Multiplier for trailing ATR stop
risk_frac=0.02              // Risk fraction for position sizing

STRATEGY "Gap Fade Momentum-010bde + Mut":
TRIGGER:
  // Detect a gap against premarket move using daily open vs previous close
  LAST(OPEN(sym, 1d)) < LAST(CLOSE(sym, 1d), 1)
  AND EMA(CLOSE(sym, 1d), fast_ema) < EMA(CLOSE(sym, 1d), slow_ema)
  AND LAST(VOL(sym, 1d)) > SMA(VOL(sym, 1d), vol_period)
  AND TIME_UTC_IN("20:00", "12:00")  // Trade only last hour of session (UTC equivalent of 5-6 PM ET)
ENTRY: MARKET                 // Market order to capture fade momentum immediately
EXIT: 
  // Exit on reversal signal using EMA cross or end of session
  EMA(CLOSE(sym, 1d), fast_ema) > EMA(CLOSE(sym, 1d), slow_ema)
RISK: TRAIL_ATR(18, trail_mult)  // Trailing ATR stop for dynamic risk management
SIZING: FIXED_FRACTION(risk_frac)  // Fixed fraction sizing based on risk fraction

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

PARAMS:
sym="{{sym}}",              // Symbol placeholder for runtime injection
fast_ema=22,                // Fast EMA period for momentum detection
slow_ema=26,                // Slow EMA period for trend direction
vol_period=21,              // Volume lookback period for confirmation
trail_mult=3.0,             // Multiplier for trailing ATR stop
risk_frac=0.02              // Risk fraction for position sizing

STRATEGY "Gap Fade Momentum-010bde + Mut":
TRIGGER:
  // Detect a gap against premarket move using daily open vs previous close
  LAST(OPEN(sym, 1d)) < LAST(CLOSE(sym, 1d), 1)
  AND EMA(CLOSE(sym, 1d), fast_ema) < EMA(CLOSE(sym, 1d), slow_ema)
  AND LAST(VOL(sym, 1d)) > SMA(VOL(sym, 1d), vol_period)
  AND TIME_UTC_IN("20:00", "12:00")  // Trade only last hour of session (UTC equivalent of 5-6 PM ET)
ENTRY: MARKET                 // Market order to capture fade momentum immediately
EXIT: 
  // Exit on reversal signal using EMA cross or end of session
  EMA(CLOSE(sym, 1d), fast_ema) > EMA(CLOSE(sym, 1d), slow_ema)
RISK: TRAIL_ATR(18, trail_mult)  // Trailing ATR stop for dynamic risk management
SIZING: FIXED_FRACTION(risk_frac)  // Fixed fraction sizing based on risk fraction