The rules
On 30-minute bars, buy-stop 0.1% above the prior 12-bar high (good for 3 bars). Exit at market after 8 bars.
- Universe
- SPY, QQQ and IWM
- Bars
- 30-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 | 8 weeks | Oct 30, 2023 to Oct 30, 2026 |
| Total return | −10.34% | −13.95% | +88.60% |
| CAGR | −3.57% | — | +23.54% |
| Sharpe | −1.82 | — | 1.22 |
| Discounted Sharpe | −7.39 | — | — |
| Max drawdown | −15.2% | −14.8% | −18.7% |
| Win rate | 47.4% | — | — |
| Profit factor | 1.14 | — | — |
| Trades | 895 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O16 Intraday Stop Breakout 30m · −10.3% 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 30-minute bars during regular hours. When flat, buy with 20% of equity after a 30-minute close more than 0.1% above the highest high of the prior 12 bars. Sell 8 bars after entry. Long only. Backtest the last 3 years with $100,000.
Is it real?
- Strategies tested together
- 5
- Beta to SPY
- 0.15
- Alpha vs SPY
- −10.5% a year
- Costs paid
- $16,955, 256% of the gain before costs
- Data
- 30m decisions on 1-minute bars, 754 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 30-minute close more than 0.1% above the prior 12-bar high and fills at the next minute's open.
Sources