BBD strategy validation
Validated on 1-minute candles
Validated Nov 3, 2026 — may not reflect a later revision
- Max drawdown
- −8.0%
- largest fall from a peak, net of costs
- Average per trade
- +6.9 bp
- net of costs
- Profit factor
- 1.23 → 1.64
- in-sample → out-of-sample
- Win rate
- 74% → 78%
- in-sample → out-of-sample
- Trades
- 312
- 231 in-sample · 81 out-of-sample
BBD 1m bidirectional VWAP mean reversion The strategy trades long and short, looking for reversions when prices deviate from the VWAP in intraday sessions. In the training period, it generated regular trades with a solid win rate and a moderate profit factor, accumulating consistent gains. Drawdown was notable during this period. In the out-of-sample period, the strategy's performance improved: the win rate increased, the profit factor strengthened significantly and drawdown was reduced considerably. Individual trades were more profitable on average. The consistency across both windows and the out-of-sample improvement indicate that the approach is viable for the conditions it targets. Verdict: the strategy held up out-of-sample. Exits: take profit 0.5%, stop-loss 1.2%, short side: take profit 0.5% and stop-loss 1.2%; automatic close at the end of the session if still open; at most 2 trades per day. Results are net of a cost of 0.10% per trade. Past results do not guarantee future results.
Results by period
| Metric | In-sampleJan 2024 – May 2025 | Out-of-sampleMay 2025 – Dec 2025 |
|---|---|---|
| Trades | 231 | 81 |
| Win rate | 74% | 78% |
| Profit factor | 1.23 | 1.64 |
| Avg. win | 0.39% | 0.37% |
| Avg. loss | -0.88% | -0.79% |
| Best trade | 0.40% | 0.40% |
| Worst trade | -1.38% | -1.30% |
| Longs | 119 (71%) | 44 (73%) |
| Shorts | 112 (76%) | 37 (84%) |
| Total return | 12.33% | 9.20% |
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Strategy tested
Intraday VWAP mean reversion strategy, bidirectional, up to 2 trades per day and only one position at a time, Monday to Friday. Times in ET, regular session only. Between 11:01 and 14:59: • LONG: the close of the current candle and that of the previous candle are each at least 0.8% below their session VWAP (close <= VWAP x 0.992 on both candles). • SHORT: the close of the current candle and that of the previous candle are each at least 0.8% above their VWAP (close >= VWAP x 1.008 on both candles). Entry at the candle close. Stop 1.2% and target 0.5% from the entry, on both sides. If neither is hit, it closes at the end of the day. It does not re-enter on the same candle in which it just exited. Uses the symbol BBD on the 1-minute timeframe and with a time window from 2024-01-01 to 2025-12-31
What we assumed
- The catalog's session VWAP is used (vwap indicator). It is assumed to reset every session.
- The long side is modeled as the main one and the short side in 'opposite' with mirrored conditions, each with its 1.2% stop and 0.5% target.
- If neither stop nor target is hit, the engine closes the position at the end of the session, so no timeout is added.
- The two-candle condition is expressed with the current close and the previous close (offset 1), each compared with its own VWAP.
- OMITTED: the rule 'does not re-enter on the same candle in which it just exited' cannot be expressed in the validator. Entry is evaluated at the candle close, so in practice it does not usually coincide with the exit candle.
- Stop and target in percentage: 1.2 and 0.5 percentage points from the entry price.
- Requested test range: 2024-01-01 to 2025-12-31.
- Entry window 11:01-14:59 ET (New York time), as stated in the text.
- Up to 2 trades per day, as stated in the text (the first 2 signals of the day).
- It does not re-enter on the same candle in which the previous trade was closed, as stated in the text.
- Tested over the requested range: 2024-01-01 to 2025-05-26 (training) and 2025-05-27 to 2025-12-31 (out-of-sample).
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.