The rules
On 15-minute bars, enter when RSI(14) is below 35 and stay in until RSI(14) is above 55.
- Universe
- SPY, QQQ and IWM
- Bars
- 15-minute
- Position size
- Equal weight across holders, max 25% each
- On Orbital
- 25% of equity per ETF
- Rebalance
- on signal change
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Oct 30, 2023 to Oct 30, 2026 | 3 weeks | Oct 30, 2023 to Oct 30, 2026 |
| Total return | +6.87% | +2.64% | +88.60% |
| CAGR | +2.24% | — | +23.54% |
| Sharpe | −0.26 | — | 1.22 |
| Discounted Sharpe | −5.82 | — | — |
| Max drawdown | −15.5% | −1.1% | −18.7% |
| Win rate | 63.1% | — | — |
| Profit factor | 1.50 | — | — |
| Trades | 650 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
W07 Intraday RSI 15m · +6.9% 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 15-minute bars during regular hours. Buy an ETF with 25% of equity when RSI(14) closes below 35, and sell it when RSI(14) closes above 55. Long only. Backtest the last 3 years with $100,000.
Is it real?
- Strategies tested together
- 5
- Beta to SPY
- 0.32
- Alpha vs SPY
- −7.5% a year
- Costs paid
- $16,508, 71% of the gain before costs
- Data
- 15m decisions on 1-minute bars, 754 sessions
- Fills
- Next open at market, sized at the fill
Sources