SPY strategy validation

Validated on 5-minute candles

Validated Oct 27, 2026 — may not reflect a later revision

Max drawdown

▼ −5.2%

largest fall from a peak, net of costs

Average per trade

▼ −9.7 bp

net of costs

Profit factor

0.10 → 0.09

in-sample → out-of-sample

Win rate

7% → 18%

in-sample → out-of-sample

Trades

53

42 in-sample · 11 out-of-sample

VWAP Bounce with Rejection Candle The strategy goes long on SPY with 5‑minute candles, looking for bullish bounces off the VWAP during the regular session. During the training period, the strategy produced consistent losses with a very low profit factor. Only a small fraction of trades were winning, and the average losses far exceeded the gains. The drawdown reflected the accumulated deterioration. In the out‑of‑sample period, the performance was similar: the win rate improved slightly, but losses continued to dominate. The profit factor remained very low, indicating that the system does not generate a positive edge. Verdict: rejected. The strategy loses money in both periods. There is no evidence of profitability or consistency across windows. 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 the end of the session if still open; maximum one trade per day. Net results with a 0.10% cost per trade. Past results do not guarantee future results.