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AAPL strategy validation

Validated on 5-minute candles

Validated Oct 27, 2026 — may not reflect a later revision

Max drawdown

▼ −42.5%

largest fall from a peak, net of costs

Average per trade

▼ −8.9 bp

net of costs

Profit factor

0.77 → 0.72

in-sample → out-of-sample

Win rate

37% → 35%

in-sample → out-of-sample

Trades

473

358 in-sample · 115 out-of-sample

The opening range operates long and short, looking for breaks of the first 15‑minute session range with VWAP confirmation. In the training period, the strategy generated trades regularly but showed consistent losses, with a low hit rate. The out‑of‑sample period behaved similarly: it continued losing money with a comparable hit rate, although the maximum drawdown was lower. The strategy failed to generate a positive edge in either period, indicating that the breakout approach with VWAP filter was not profitable under the tested conditions. Verdict: rejected, 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 after a 0.10% per‑trade cost. Past results do not guarantee future results.