The rules
On 5-minute bars, buy when RSI(14) is below 30 with a +0.6% take-profit and a -0.4% stop.
- Universe
- SPY, QQQ and IWM
- Bars
- 5-minute
- Position size
- 20% of equity per ETF
- Rebalance
- every bar
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Oct 30, 2023 to Oct 30, 2026 | 4 weeks | Oct 30, 2023 to Oct 30, 2026 |
| Total return | −21.87% | +1.12% | +88.60% |
| CAGR | −7.90% | — | +23.54% |
| Sharpe | −2.40 | — | 1.22 |
| Discounted Sharpe | −7.96 | — | — |
| Max drawdown | −24.3% | −1.3% | −18.7% |
| Win rate | 37.8% | — | — |
| Profit factor | 1.12 | — | — |
| Trades | 2,394 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O15 Intraday Bracket Reversion 5m · −21.9% vs SPY +88.6%
$10k20242026SPY
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 5-minute bars during regular hours. If flat and RSI(14) is below 30, buy with 20% of equity. Take profit at +0.6% from entry and stop out at -0.4%. Long only. Backtest the last 3 years with $100,000.
Is it real?
- Strategies tested together
- 5
- Beta to SPY
- 0.21
- Alpha vs SPY
- −16.1% a year
- Costs paid
- $34,563, 272% of the gain before costs
- Data
- 5m decisions on 1-minute bars, 754 sessions
- Fills
- Next open at market, sized at the fill
Sources