SPY strategy validation
Validated on 5-minute candles
Validated Oct 28, 2026 — may not reflect a later revision
- Max drawdown
- −0.3%
- largest fall from a peak, net of costs
- Average per trade
- −27.1 bp
- net of costs
- Profit factor
- 0.00 → —
- in-sample → out-of-sample
- Win rate
- 0% → —
- in-sample → out-of-sample
- Trades
- 1
- 1 in-sample · 0 out-of-sample
The "Post-Impulse Consolidation Breakout" strategy trades long and short on SPY. In the training period it generated a single trade that was losing, accumulating a small loss. In the out‑of‑sample period no trades were generated, which prevents validating whether the behavior was consistent across both windows. With so few total trades and none in the out‑of‑sample window, it is impossible to evaluate the reliability of the strategy. The verdict is inconclusive: more trade data in both periods are required to determine whether the logic has a real edge or if the results are merely random. Verdict: inconclusive. In the out‑of‑sample window the entry conditions were never met simultaneously, so there are no trades or metrics. 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. To generate more trades: test a basket of symbols (the same rule on multiple assets at once), a longer date range or a more volatile symbol where the signal appears more often (in indices like SPY extreme signals are almost never seen). Past results do not guarantee future results.
Results by period
| Metric | In-sampleJan 2024 – Jun 2025 | Out-of-sampleJul 2025 – Dec 2025 |
|---|---|---|
| Trades | 1 | 0 |
| Win rate | 0% | — |
| Profit factor | 0.00 | — |
| Avg. win | — | — |
| Avg. loss | -0.27% | — |
| Best trade | -0.27% | — |
| Worst trade | -0.27% | — |
| Longs | 0 | 0 |
| Shorts | 1 (0%) | 0 |
| Total return | -0.27% | 0.00% |
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Strategy tested
12. Post‑Impulse Consolidation Breakout - Timeframe: 5 minutes - Entry: After a strong impulse (≥ 1.5 ATR), the price forms a consolidation of 4 to 8 candles. Enter the breakout of that consolidation in the direction of the impulse, with volume above average. - Stop Loss: Opposite extreme of the consolidation. - Exit: 1.5R to 2.5R.
What we assumed
- APPROXIMATE: the 4 to 8 candle consolidation was fixed at 6 candles (midpoint), because the validator does not allow variable duration. These are the 6 candles immediately preceding the breakout candle.
- APPROXIMATE: the 'strong impulse' was defined as a close‑to‑close advance of at least 1.5 ATR(14) in the 3 candles preceding the consolidation (close 7 candles ago minus close 10 candles ago). The idea does not precisely specify its duration.
- APPROXIMATE: the consolidation is required as a range (max - min of the 6 candles) no greater than 1 ATR(14). The idea does not provide a threshold.
- Breakout: uses the state operator (close > max of the consolidation, or close < min in the short case) and not a cross. It is compared against the 6 previous candles with offset(1) to exclude the current candle.
- Volume above average: current volume > 20‑candle volume average (default period).
- Both sides are modeled: long after a bullish impulse and short after a bearish impulse (mirror) in 'opposite'. The engine takes at most one trade per day, the first signal of either side.
- Stop loss: exact level of the opposite extreme of the consolidation (min of the 6 candles for longs, max for shorts), set at the entry candle.
- Exit 1.5R to 2.5R: the validator allows only one target, so 2R (midpoint of the range) was used. No other targets or partial exits are modeled.
- Unspecified hour window: 09:30‑15:30 ET, Monday to Friday was used. Indicators and look‑back windows use prior session candles, without delaying the start.
- Position close at end of session: the engine applies this automatically.
- The text does not name the asset: it was tested on SPY.
More analyzed strategies
See allPast performance is not indicative of future results. Any past result shown here reflects historical data and does not guarantee similar outcomes going forward.
This content is provided for informational and educational purposes only and does not constitute investment advice, a recommendation, or an offer to buy or sell any security. Consult a qualified financial advisor before making investment decisions.
Backtested and simulated results are hypothetical and do not represent actual trading. Simulated performance has inherent limitations and may differ significantly from live results due to market conditions, slippage, and other factors.