The rules
Buy-stop 0.2% above the prior 20-day high close, with a limit 0.4% above the stop so it never chases (good for 5 bars). Exit at market after 12 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 | +23.36% | +56.21% | +316.62% |
| CAGR | +2.12% | +1.80% | +15.35% |
| Sharpe | −0.77 | −0.05 | 0.65 |
| Discounted Sharpe | −1.77 | — | — |
| Max drawdown | −3.2% | −6.4% | −33.7% |
| Win rate | 67.9% | 63.0% | — |
| Profit factor | 1.91 | 1.63 | — |
| Trades | 280 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O07 Stop Limit Breakout · +23.4% 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 a daily close is more than 0.2% above the highest close of the prior 20 days, place a buy limit 0.4% above that close, good for 5 days, using 10% of equity. Sell at the open 12 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
- 0.08
- Alpha vs SPY
- −3.0% a year
- Costs paid
- $1,548, 6% of the gain before costs
- Data
- Daily bars, 2,514 sessions
- Fills
- Limit 0.4% above the signal close, good for 5 bars, filled only through the limit
Read this before you trust it
Orbital has no stop-limit orders. The entry waits for a daily close more than 0.2% above the prior 20-day high, then buys with a limit 0.4% above that close that stays open for 5 days.
Sources