Backtest Results
Test ID: f12af520ee7cNo notes yet. Click "Edit Notes" to add.
AAPL, MSFT, NVDA, AMZN, META, GOOGL, GOOG, TSLA, AMD, INTC, AVGO, ORCL, ADBE, CRM, IBM, CSCO, QCOM, TXN, MU, AMAT, LRCX, KLAC, ASML, ANET, CDNS, SNPS, INTU, WDAY, SAP, SHOP, NOW, SNOW, DDOG, NET, CRWD, PANW, ZS, OKTA, ESTC, DT, JPM, BAC, WFC, C, GS, MS, BLK, AXP, V, MA, BK, STT, NTRS, TROW, AMP, PNC, USB, COF, CFG, KEY, JNJ, LLY, UNH, ABBV, MRK, PFE, ABT, MDT, BMY, GILD, REGN, VRTX, ISRG, EW, BSX, SYK, ZBH, DXCM, IDXX, ALGN, TMO, DHR, BDX, BAX, RMD, STE, ILMN, BIIB, INCY, EXAS, CRSP, XOM, CVX, COP, SLB, EOG, OXY, MPC, PSX, VLO, KO, PEP, PG, CL, KMB, MDLZ, MO, PM, EL, HSY, DIS, CMCSA, NKE, SBUX, MCD, HD, LOW, TGT, COST, WMT, TJX, ROST, BURL, BBY, RL, LULU, DECK, CROX, BA, CAT, DE, MMM, GE, RTX, LMT, NOC, GD, TXT, F, GM, TM, HMC, STLA, RIVN, LCID, PCAR, CMI, UPS, FDX, JBHT, ODFL, XPO, CHRW, EXPD, DAL, UAL, AAL, LUV, JBLU, RCL, CCL, NCLH, EXPE, BKNG, ABNB, UBER, DASH, LYFT, ROKU, SPOT, SNAP, PINS, TTD, MGNI, APP, IAS, PYPL, AFRM, COIN, HOOD, SOFI, UPST, PLTR, GPN, FIS, FICO, ADP, BR, TRV, ALL, PGR, HIG, WRB, AIG, PRU, MET, UNM, KHC, STZ, TAP, MKC, CPB, HRL, DOW, DD, CE, LYB, PPG, SHW, EMR, ETN, PH, ROK, XYL, IEX, FAST, GWW, URI, VMC, MLM, NUE, STLD, RS, AA, ALB, FCX, NEM, VALE, TECK, MP, MOS, CF, NTR, LEN, DHI, PHM, TOL, NVR, AVB, EQR, ESS, MAA, UDR, PLD, PSA, EXR, DLR, O, SPG, VTR, WELL, ARE, BXP, KR, ACI, WM, CLX, CAG, TSN, SJM, CHD, KDP, ZION, MTB, HBAN, RF, CMA, FHN, EWBC, DOCS, TDOC, HIMS, ALHC, OMCL, ETSY, EBAY, CHWY, W, BROS, DNUT, SHAK, CMG, YUM, DPZ, BLMN, TWLO, AKAM, FFIV, FSLY, VEEV, CDW, NTAP, PAYX, CTSH, EPAM, IT, RNG, AOS, POOL, LEG, SEE, PKG, IP, SON, CCK, HUBB, AME, IR, GNRC, SWK, TT, CSL, EMN, BBWI, ULTA, KSS, M, ANF, URBN, PVH, LEVI, NRG, CEG, EXC, ED, EIX, PEG, AEP, PCG, XEL, APA, HAL, BKR, NOV, SM, MTDR
Performance Summary
Total Trades
13
Total P&L
$-187.31
Notional: $258821.31Total Return
-0.07%
Weighted by notionalWin Rate
53.8%
7 W / 6 LCouldWin Rate
53.8%
7 could / 13 totalAvg P&L
$-14.41
Avg Return: -0.07%Best Win
$198.51
Largest Loss
$-352.07
| ID | Symbol | Side | Entry Price | Exit Price | Qty | P&L % (USD) | CouldWin | Stop Loss | Entry Time | Exit Time | Duration |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 6196359 | SNPS | Buy | $423.71 | $424.55 | 47 | 0.2% ($39.48) | True | $422.39 | 11/09/25 14:52 | 11/09/25 15:17 | 25m |
| 6196375 | ORCL | Buy | $337.88 | $341.24 | 59 | 1% ($198.51) | True | $338.15 | 10/09/25 14:53 | 10/09/25 15:06 | 13m |
| 6196371 | ORCL | Buy | $337.10 | $335.92 | 59 | -0.35% ($-69.62) | False | $336.39 | 10/09/25 14:08 | 10/09/25 14:16 | 8m |
| 6196367 | ORCL | Buy | $331.63 | $332.97 | 60 | 0.4% ($79.99) | True | $325.02 | 10/09/25 13:55 | 10/09/25 13:56 | 1m |
| 6197316 | LULU | Buy | $172.97 | $172.62 | 115 | -0.2% ($-40.12) | False | $172.79 | 05/09/25 13:57 | 05/09/25 14:11 | 14m |
| 6196528 | SNOW | Buy | $238.59 | $238.09 | 83 | -0.21% ($-41.92) | False | $234.68 | 28/08/25 14:23 | 28/08/25 14:32 | 9m |
| 6196527 | SNOW | Buy | $238.77 | $239.66 | 83 | 0.37% ($73.80) | True | $235.88 | 28/08/25 14:20 | 28/08/25 14:22 | 2m |
| 6197191 | TGT | Buy | $97.69 | $97.73 | 204 | 0.04% ($7.14) | True | $97.01 | 20/08/25 14:50 | 20/08/25 14:51 | 1m |
| 6197009 | EXAS | Buy | $41.74 | $41.00 | 479 | -1.76% ($-352.07) | False | $41.02 | 07/08/25 14:54 | 07/08/25 14:58 | 4m |
| 6197238 | NKE | Buy | $72.18 | $72.40 | 277 | 0.3% ($60.91) | True | $71.98 | 27/06/25 14:55 | 27/06/25 14:58 | 3m |
| 6196806 | NTRS | Buy | $122.26 | $121.63 | 163 | -0.52% ($-102.69) | False | $120.99 | 23/06/25 14:13 | 23/06/25 14:33 | 20m |
| 6196805 | NTRS | Buy | $122.41 | $122.46 | 163 | 0.04% ($8.15) | True | $121.15 | 23/06/25 14:11 | 23/06/25 14:12 | 1m |
| 6196408 | ORCL | Buy | $200.79 | $200.30 | 99 | -0.25% ($-48.88) | False | $199.32 | 12/06/25 14:47 | 12/06/25 15:04 | 17m |
CONTEXT:
UNIVERSE: SP500
BASE_TZ: America/New_York
CAPITAL: 1_000_000
PARAMS:
sym="{{sym}}",
fast_ema=11, // Fast EMA period for short-term trend
slow_ema=30, // Slow EMA period for longer-term trend
vol_period=21, // Period for volume pace calculation
atr_period=15, // Period for ATR calculation
atr_mult=3, // Multiplier for ATR-based trailing stop
risk_frac=0.02, // Risk fraction for position sizing
min_price=4, // Minimum price filter
adr_threshold=0.02, // Minimum ADR threshold (1%)
avg_vol_threshold=1000000, // Minimum average volume
sector_ema_fast=10, // Fast EMA for sector ETF trend
sector_ema_slow=26 // Slow EMA for sector ETF trend
STRATEGY "Unstable Basket - Stellar Revert Drift-00e7d1 + Mut-6cb7bd + Mut":
TRIGGER:
// Price and volume filters for large-cap, liquid stocks
LAST(CLOSE(sym, 1m)) > min_price
AND ATR(sym, 1d, 9) / LAST(CLOSE(sym, 1d)) > adr_threshold
AND SMA(VOL(sym, 1d), vol_period) > avg_vol_threshold
// Time window: first 174 minutes of session (assuming 10:23-11:00 NY time, adjust to UTC)
AND TIME_UTC_IN("13:37", "15:00")
// Volume pace exhaustion signal on 1m
AND VOL_PACE(sym, 1d, vol_period) > 3
// Short-term reversal signal: price below fast EMA but above slow EMA (mean reversion zone)
AND LAST(CLOSE(sym, 1m)) < EMA(CLOSE(sym, 1m), fast_ema)
AND LAST(CLOSE(sym, 1m)) > EMA(CLOSE(sym, 1m), slow_ema)
// Higher timeframe confirmation (5m trend alignment)
AND EMA(CLOSE(sym, 5m), fast_ema) > EMA(CLOSE(sym, 5m), slow_ema)
ENTRY: MARKET // Market entry for immediacy on short-term reversal signal
EXIT:
LAST(CLOSE(sym,1m)) < LOWER(DONCHIAN(HIGH(sym,1m), LOW(sym,1m), 10)) OR (TIME_UTC_IN(19,21) OR CROSSOVER(CLOSE(sym,1m), EMA(CLOSE(sym,1m),17)))
RISK: TRAIL_ATR(atr_period, atr_mult) // Trailing stop based on ATR for dynamic risk control
SIZING: FIXED_FRACTION(risk_frac) // Fixed fraction sizing for consistent risk exposure