Analyzed strategiesLeer en español

SPY strategy validation

Validated on 5-minute candles

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

Max drawdown

▼ −14.7%

largest fall from a peak, net of costs

Average per trade

▼ −8.6 bp

net of costs

Profit factor

0.34 → 0.34

in-sample → out-of-sample

Win rate

38% → 33%

in-sample → out-of-sample

Trades

169

130 in-sample · 39 out-of-sample

VWAP Bounce with Rejection (Long) This strategy goes long on SPY during the regular session, looking for entries between 10:15 and 15:30 ET on 5‑minute candles when the price touches the VWAP from above with a rejection candle that has a long lower wick and high volume. During the training period, the strategy generated trades with consistency, but produced significant net losses. The performance remained similar in the out‑of‑sample period: trades continued to execute with comparable frequency, but the negative results persisted. The win rate was low in both periods, and the profit factor close to 0.34 in both windows indicates that losses far outweighed gains. The verdict is rejected because the strategy does not generate profitability in either training or out‑of‑sample. Verdict: rejected, not profitable in training or out‑of‑sample. Exits: take profit 0.225%, stop‑loss 0.15%, strategy exit condition; automatic close at the end of the session if still open; maximum one trade per day. Net results include a 0.10% per trade cost. Past results do not guarantee future results.