The rules
Every fifth bar while flat, place two competing buys: a limit 2% below the close and a stop 2% above it (good for 5 bars); whichever fills cancels the other. Exit at market after 10 bars.
- Universe
- SPY, QQQ and IWM
- Bars
- daily
- Position size
- 10% of equity per ETF
- Rebalance
- every 5 bars
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 | +21.58% | +45.53% | +316.62% |
| CAGR | +1.97% | +1.51% | +15.35% |
| Sharpe | −0.58 | −0.08 | 0.65 |
| Discounted Sharpe | −1.58 | — | — |
| Max drawdown | −6.9% | −13.2% | −33.7% |
| Win rate | 62.5% | 58.0% | — |
| Profit factor | 1.49 | 1.27 | — |
| Trades | 352 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O14 OCO Dip Or Breakout · +21.6% 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. Every fifth trading day while flat, note that day's close. If a close in the next 5 days is 2% below it or 2% above it, buy with 10% of equity at the next open. 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
- 0.18
- Alpha vs SPY
- −4.3% a year
- Costs paid
- $3,795, 15% 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 OCO or stop orders. Every fifth day while flat it notes the close; if a close in the next 5 days is 2% below or 2% above it, it buys at the next open.
Sources