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SPY strategy validation

Validated on 5-minute candles

Validated Oct 28, 2026 — may not reflect a later revision

Max drawdown

▼ −26.2%

largest fall from a peak, net of costs

Average per trade

▼ −10.9 bp

net of costs

Profit factor

0.54 → 0.42

in-sample → out-of-sample

Win rate

41% → 33%

in-sample → out-of-sample

Trades

241

174 in-sample · 67 out-of-sample

ORB 15‑min with 5‑min volume operates long and short. The strategy seeks breakout of the opening range with high volume on SPY during the regular session. In the training period it generated trades regularly but with a low win rate and consistent losses. The out‑of‑sample period behaved similarly, but losses intensified and the win rate deteriorated further. The consistency between both periods shows that the approach does not capture a profitable pattern under the conditions it was designed for. The verdict is rejected because the strategy produces net losses in both periods. Verdict: rejected, it was not profitable in training or out‑of‑sample. Exits: take profit at a price level, stop‑loss at a price level, short side: take profit at a price level and stop‑loss at a price level; automatic close at the end of the session if still open; at most one trade per day. Net results with a 0.10% per‑trade cost. Past results do not guarantee future results.