STLA strategy validation
Validated on 1-minute candles
Validated Oct 29, 2026 — may not reflect a later revision
- Max drawdown
- −6.7%
- largest fall from a peak, net of costs
- Average per trade
- +39.0 bp
- net of costs
- Profit factor
- 2.39 → 1.92
- in-sample → out-of-sample
- Win rate
- 47% → 52%
- in-sample → out-of-sample
- Trades
- 72
- 49 in-sample · 23 out-of-sample
The STLA 1m gap-up long ORB goes long on STLA during the regular US session. The strategy looks for upside breakouts of the opening range on days with a positive gap, requiring momentum confirmation (RSI > 55) and high volume. In the training period it showed solid performance, with a significant gain and a robust profit factor, although with a moderate win rate and a notable drawdown. The out-of-sample period confirmed the consistency of the approach: the win rate improved slightly, but the gain was smaller and the drawdown was lower. The strategy trades regularly when the gap and breakout conditions are met, maintaining consistent behavior across both periods. Verdict: the strategy held up out of sample. Exits: take profit at a price level, stop-loss at a price level; automatic close at the end of the session if still open; at most one trade per day. Results are net of a 0.10% cost per trade. Past results do not guarantee future results.
Results by period
| Metric | In-sampleJan 2025 – Sep 2025 | Out-of-sampleSep 2025 – Dec 2025 |
|---|---|---|
| Trades | 49 | 23 |
| Win rate | 47% | 52% |
| Profit factor | 2.39 | 1.92 |
| Avg. win | 1.62% | 1.12% |
| Avg. loss | -0.60% | -0.64% |
| Best trade | 6.17% | 2.15% |
| Worst trade | -1.24% | -1.17% |
| Longs | 49 (47%) | 23 (52%) |
| Shorts | 0 | 0 |
| Total return | 21.62% | 6.47% |
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Strategy tested
Intraday strategy, long only, at most one trade per day, Monday to Friday. Times in ET, regular session only. Opening range: the high and low of the candles from 09:30 to 09:44 (first 15 minutes). Width = high - low. Day conditions: • today's open is at least 0.3% above the previous session's close; • the opening range has a minimum width of approximately 0.1% (high x 0.9995 >= low x 1.0005). Entry: from 09:45 until the end of the day, buy at the close of the first candle that simultaneously meets: • it closes above the opening range high; • it closes above the session VWAP; • RSI(14) greater than 55, calculated only with today's candles; • its volume is greater than 1.3 times the average volume per candle of the opening range (candles from 09:30 to 09:44). Stop: entry price minus 1 times the opening range width. Target: entry price plus 3 times the width. If neither is hit, it closes at the end of the day. It must be validated using the symbol STLA on the 1-minute timeframe and over the period from 2025-01-01 to 2025-12-31.
What we assumed
- Opening range 09:30-09:44 modeled with the time window [09:30,09:45), which covers exactly the 1m candles from 09:30 to 09:44; it only exists from 09:45, which is why the entry window starts at that time.
- Entry window: from 09:45 to 16:00 ET, Monday to Friday, as the idea requires ('until the end of the day'). The engine closes the position at the end of the session if neither stop nor target is hit, so no timeout is added.
- APPROXIMATE: RSI(14) is calculated with the continuous candle history, not only today's candles; the validator does not allow resetting the indicator each session. With 1m candles the difference is small after 09:45.
- Previous session close = close of the candle immediately before the 09:30 candle (offset 1 of the close read at the 09:30 candle via the time window [09:30,09:31)), that is, the last close of the previous session. This form is used because the previous session with 1m candles exceeds the 499-candle history limit.
- Today's open = open of the 09:30 candle; gap condition: open >= previous close x 1.003.
- Minimum range width implemented literally as high x 0.9995 >= low x 1.0005.
- Average volume per candle of the opening range = average volume over the 09:30-09:45 window; the entry candle must exceed 1.3 times that average.
- Stop = entry close - range width (level); target = 3 times the risk (risk multiple 3), equivalent to entry + 3 x width because the stop is at 1 x width.
- The one-trade-per-day restriction is met automatically by the engine; no condition is added.
- Session VWAP taken from the engine's standard vwap indicator.
- Tested over the requested range: 2025-01-01 to 2025-09-13 (training) and 2025-09-14 to 2025-12-31 (out of sample).
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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.