The rules
On hourly bars, hold each ETF while its 10-bar SMA is above its 30-bar SMA.
- Universe
- SPY, QQQ and IWM
- Bars
- hourly
- 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 | 9 weeks | Oct 30, 2023 to Oct 30, 2026 |
| Total return | +8.36% | +1.50% | +88.60% |
| CAGR | +2.71% | — | +23.54% |
| Sharpe | −0.15 | — | 1.22 |
| Discounted Sharpe | −5.71 | — | — |
| Max drawdown | −12.6% | −3.5% | −18.7% |
| Win rate | 37.9% | — | — |
| Profit factor | 1.23 | — | — |
| Trades | 309 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
W09 Intraday SMA Trend 1h · +8.4% 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 hourly bars during regular hours. Hold an ETF with 25% of equity while its 10-bar SMA is above its 30-bar SMA. Long only. Backtest the last 3 years with $100,000.
Is it real?
- Strategies tested together
- 5
- Beta to SPY
- 0.36
- Alpha vs SPY
- −7.7% a year
- Costs paid
- $8,502, 50% of the gain before costs
- Data
- 1h decisions on 1-minute bars, 754 sessions
- Fills
- Next open at market, sized at the fill
Sources