The rules
Place a buy-stop 0.2% above the highest close of the prior 20 days (good for 5 bars). Exit at market after 10 bars.
- Universe
- SPY, QQQ and IWM
- Bars
- daily
- Position size
- 10% 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 | +24.10% | +41.44% | +316.62% |
| CAGR | +2.18% | +1.40% | +15.35% |
| Sharpe | −0.83 | −0.19 | 0.65 |
| Discounted Sharpe | −1.83 | — | — |
| Max drawdown | −3.0% | −10.5% | −33.7% |
| Win rate | 63.9% | 61.9% | — |
| Profit factor | 2.00 | 1.45 | — |
| Trades | 316 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O05 Stop Breakout Entry · +24.1% 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.
Trade SPY, QQQ and IWM on daily bars. When flat, buy with 10% of equity at the next open after a daily close more than 0.2% above the highest close of the prior 20 days. Sell at the open 10 trading days after entry. 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
- 0.07
- Alpha vs SPY
- −2.8% a year
- Costs paid
- $3,492, 13% of the gain before costs
- Data
- Daily bars, 2,514 sessions
- Fills
- Next open at market, sized at the fill
Read this before you trust it
Orbital has no buy-stop orders, so the entry waits for a daily close more than 0.2% above the prior 20-day high and fills at the next open, instead of filling the moment the price reaches the level.
Sources