SPY strategy validation
Validated on 5-minute candles
Validated Oct 28, 2026 — may not reflect a later revision
- Max drawdown
- −50.6%
- largest fall from a peak, net of costs
- Average per trade
- −12.7 bp
- net of costs
- Profit factor
- 0.16 → 0.18
- in-sample → out-of-sample
- Win rate
- 16% → 20%
- in-sample → out-of-sample
- Trades
- 399
- 305 in-sample · 94 out-of-sample
Explanation of the backtest result First Pullback after momentum (long) operates long on SPY with 5‑minute candles, seeking bullish continuations after a pullback to the moving averages. During the training period, the strategy generated trades with a low win rate and a very small profit factor, accumulating significant losses. The out‑of‑sample behaviour remained consistent: although the win rate improved slightly and the profit factor increased, losses persisted. The strategy failed to generate a positive edge in either period. Verdict: rejected, it was 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 session end if still open; maximum one trade per day. Net results with a cost of 0.10% per trade. Past results do not guarantee future results.
Results by period
| Metric | In-sampleJan 2024 – Jun 2025 | Out-of-sampleJul 2025 – Dec 2025 |
|---|---|---|
| Trades | 305 | 94 |
| Win rate | 16% | 20% |
| Profit factor | 0.16 | 0.18 |
| Avg. win | 0.15% | 0.11% |
| Avg. loss | -0.19% | -0.16% |
| Best trade | 0.75% | 0.41% |
| Worst trade | -2.84% | -0.53% |
| Longs | 305 (16%) | 94 (20%) |
| Shorts | 0 | 0 |
| Total return | -40.75% | -9.85% |
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Strategy tested
First Pullback after momentum - Timeframe: 5 minutes - Entry: 1. Strong initial momentum (range candle ≥ 1.5× ATR(14)). 2. Then pullback touching EMA 9 or EMA 20. 3. Continuation candle in the direction of the momentum. - Stop Loss: below the minimum (or maximum) of the pullback. - Exit: 2R or crossover of the EMA 9 against the trend.
What we assumed
- Momentum: bullish candle (close > open) with range (high - low) ≥ 1.5 × ATR(14), occurring in one of the last 10 candles (by default, since the idea does not give a window).
- Pullback: in one of the last 5 candles the low touched the EMA 9 or the EMA 20 (low ≤ EMA). APPROXIMATE: it is not required that the touch occurs after the momentum candle nor that it is the 'first' pullback; only that both occur in those windows.
- Continuation candle (current candle): bullish (close > open) and closes above the EMA 9. The idea does not specify the pattern, this definition was chosen.
- Stop loss: level = minimum of the last candle that touched the EMA 9/20 in the last 5 candles (the minimum of the pullback, APPROXIMATE to the last touch candle, not the minimum of the entire segment).
- Target 2R: take profit as a 2× risk multiple calculated from the stop level.
- Exit by 'crossover of EMA 9 against': a bearish crossover (the close crosses below the EMA 9) was used because the idea literally mentions a crossover.
- Entry time window not indicated: Monday to Friday 10:00‑15:30 ET, to allow room for candles after the opening; the end‑of‑session close is handled by the engine.
- The engine takes at most one trade per day (the first signal), so only the first pullback of the day is considered.
- 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.