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SPY strategy validation

Validated on 5-minute candles

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

Max drawdown

▼ −16.8%

largest fall from a peak, net of costs

Average per trade

▼ −9.3 bp

net of costs

Profit factor

0.50 → 0.14

in-sample → out-of-sample

Win rate

28% → 19%

in-sample → out-of-sample

Trades

180

144 in-sample · 36 out-of-sample

Backtest analysis: EMA 9/20 Cross + VWAP (Long) The strategy trades long on SPY with 5‑minute candles, entering when EMA(9) crosses above EMA(20), the price is above VWAP, and volume rises compared to the previous candle. Trades are executed between 10:25 and 15:30 ET, with a maximum of one trade per day. In the training period, the strategy generated many trades but showed consistent losses, with a very low profit factor. Performance deteriorated significantly out of sample: win rate fell, losses deepened, and the profit factor dropped dramatically. Although the maximum drawdown was lower out of sample, this simply reflects less capital exposed, not an improvement in the underlying logic. The strategy does not demonstrate an operating advantage in either period. Results indicate that entry conditions do not generate consistently profitable trades. Verdict: rejected, not profitable in training or out of sample. Exits: take profit at a price level, stop‑loss at a price level, strategy exit condition; automatic close at the end of the session if still open; at most one trade per day. Net results assume a 0.10% cost per trade. Past results do not guarantee future results.