Backtest Results

Parent Job: Unstable Basket - AI Strategy - Overnight Gap Momentum-048718 + Mut

Job Notes

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Symbols 68

AAPL, MSFT, AMZN, GOOGL, META, NVDA, TSLA, NFLX, AMD, INTC, ORCL, CRM, PYPL, SHOP, IBM, CSCO, QCOM, AVGO, BA, LMT, NOC, RTX, CAT, DE, HON, MMM, GE, F, GM, TM, HMC, RIVN, LCID, BABA, JD, PDD, BIDU, TCEHY, KO, PEP, MCD, SBUX, YUM, WMT, COST, TGT, HD, LOW, PG, JNJ, MRK, PFE, ABBV, LLY, UNH, CVS, TMO, DHR, XOM, CVX, BP, SHEL, COP, ENB, SLB, NEE, DUOL, PLTR

Performance Summary

Total Trades

6

Total P&L

$-483.39

Notional: $187384.44

Total Return

-0.26%

Weighted by notional

Win Rate

16.7%

1 W / 5 L

CouldWin Rate

50%

3 could / 6 total

Avg P&L

$-80.56

Avg Return: -0.26%

Best Win

$1588.21

Largest Loss

$-593.43

Trade Details 6 positions

ID	Symbol	Side	Entry Price	Exit Price	Qty	P&L % (USD)	CouldWin	Stop Loss	Entry Time	Exit Time	Duration
5616898	AMD	Buy	$207.11	$203.18	151	-1.9% ($-593.43)	True	$204.13	06/10/25 14:13	06/10/25 19:55	5.7h
5616905	INTC	Buy	$31.40	$30.84	996	-1.8% ($-561.94)	True	$30.84	18/09/25 13:50	18/09/25 13:53	3m
5616907	ORCL	Buy	$335.70	$331.65	93	-1.21% ($-376.90)	False	$332.00	10/09/25 14:19	10/09/25 17:48	3.5h
5616906	ORCL	Buy	$337.10	$333.46	92	-1.08% ($-334.88)	False	$333.95	10/09/25 14:08	10/09/25 14:18	10m
5616973	BABA	Buy	$133.19	$132.32	235	-0.65% ($-204.45)	False	$132.34	29/08/25 14:24	29/08/25 15:28	1.1h
5616979	LCID	Buy	$2.96	$3.11	10574	5.07% ($1588.21)	True	$2.83	17/07/25 13:58	17/07/25 20:00	6h

Strategy DSL [v251225-1856] Unstable Basket | 100 |- 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