The rules
When the close is above the 50-day SMA, place a buy limit 1% below the close (good for 2 bars). Take profit with a limit 4% above entry; sell at market if the close falls below the 50-day SMA.
- Universe
- SPY, QQQ and IWM
- Bars
- daily
- Position size
- 12% of equity per ETF
- Rebalance
- daily check
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Oct 31, 2016 to Oct 30, 2026 | 2001-2025 | Oct 31, 2016 to Oct 30, 2026 |
| Total return | +26.93% | +56.83% | +316.62% |
| CAGR | +2.41% | +1.82% | +15.35% |
| Sharpe | −0.53 | −0.04 | 0.65 |
| Discounted Sharpe | −1.53 | — | — |
| Max drawdown | −5.7% | −6.8% | −33.7% |
| Win rate | 49.6% | 48.2% | — |
| Profit factor | 1.50 | 1.36 | — |
| Trades | 367 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O04 Limit Trend Pullback · +26.9% vs SPY +316.6%
$10k$20k$40k20172019202120232025SPY
Rebuild it in Orbital
Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.
Orbital Chat cannot set a limit entry yet, so a backtest it proposes buys at the next open. To match this test, run it from Backtesting and choose a limit entry in the Run dialog.
Trade SPY, QQQ and IWM on daily bars. When flat and the close is above the 50-day SMA, place a buy limit 1% below that close, good for 2 days, using 12% of equity. Take profit at 4% above entry, and sell at the next open if the close falls below the 50-day SMA. Long only; uninvested capital stays in cash. Backtest the last 10 years with $100,000.
Is it real?
- Strategies tested together
- 22
- Beta to SPY
- 0.10
- Alpha vs SPY
- −3.0% a year
- Costs paid
- $1,533, 5% of the gain before costs
- Data
- Daily bars, 2,514 sessions
- Fills
- Limit 1% below the signal close, good for 2 bars, filled only through the limit
Read this before you trust it
Orbital fills the buy limit only when the price trades through it, not when it merely touches it.
Sources