SPY strategy validation

Validated on 5-minute candles

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

Max drawdown

▼ −35.1%

largest fall from a peak, net of costs

Average per trade

▼ −7.0 bp

net of costs

Profit factor

0.70 → 0.53

in-sample → out-of-sample

Win rate

46% → 43%

in-sample → out-of-sample

Trades

502

374 in-sample · 128 out-of-sample

ORB 15 min with volume (5m) This strategy operates long and short on SPY on 5‑minute candles. It looks for breakouts of the opening range (09:30–09:45 ET) with volume above the average of the previous 10 candles, entering between 09:45 and 15:30 ET. During the training period, the strategy generated trades regularly but accumulated consistent losses. The behaviour remained the same in the out‑of‑sample period: it continued trading with a similar frequency, but the losses deepened. The consistency between the two periods suggests that the approach does not capture a profitable pattern under the conditions it was designed for. The rejection verdict indicates that the strategy does not generate profits in either period. Verdict: rejected, was not profitable in training or out‑of‑sample. Exits: take profit at a price level, stop‑loss at a price level, close at 15:45 ET, short side: take profit at a price level and stop‑loss at a price level; automatic close at session end if still open; at most one trade per day. Net results with a 0.10% per‑trade cost. Past results do not guarantee future results.