The rules
On 1-minute bars, hold each ETF while its 9-bar EMA is above its 21-bar EMA.
- Universe
- SPY, QQQ and IWM
- Bars
- 1-minute
- Position size
- Equal weight across holders, max 34% each
- On Orbital
- 33% 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 | 6 days | Oct 30, 2023 to Oct 30, 2026 |
| Total return | −98.81% | −0.23% | +88.60% |
| CAGR | −77.18% | — | +23.54% |
| Sharpe | −12.61 | — | 1.22 |
| Discounted Sharpe | −18.18 | — | — |
| Max drawdown | −98.8% | −0.2% | −18.7% |
| Win rate | 17.3% | — | — |
| Profit factor | 1.15 | — | — |
| Trades | 15,809 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
W08 Intraday EMA Scalp 1m · −98.8% vs SPY +88.6%
$2.5k$5k$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 1-minute bars during regular hours. Hold an ETF with 33% of equity while its 9-bar EMA is above its 21-bar EMA. Long only. Backtest the last 3 years with $100,000.
Is it real?
- Strategies tested together
- 5
- Beta to SPY
- 0.45
- Alpha vs SPY
- −159.5% a year
- Costs paid
- $109,926, 989% of the gain before costs
- Data
- 1m decisions on 1-minute bars, 754 sessions
- Fills
- Next open at market, sized at the fill
Read this before you trust it
Each position is 33% of equity; the original allowed 34% while fewer than three were held.
Sources