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SPY Relative ATR Nonexpansion Research | Algo Factory

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SPY Relative ATR Nonexpansion Research

Proof challenge finished with something to look at.

Results are visible to everyone. Rules are private.

version: 1
market: Stocks, 1 day

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FeasibilityPassed
Walk-forwardPassed
Best settingsOptional
RobustnessPassed
Final checksNeeds review
Paper tradingNot started
LiveLocked

FeasibilityPassed
Walk-forwardPassed
Best settingsOptional
RobustnessPassed
Final checksNeeds review
Paper tradingNot started
LiveLocked

Research summary

Return

+4.5%

Worst drop

−21.0%

Trades

269

MAR ratio

0.22

Research record

Feasibility+70.5% over 5000 bars · worst drop −21.7% · 3124 tradesPassed
Walk-forward10 of 12 rounds profitable out of sample · mean +4.5% per roundPassed
Best settingsNo summary recordedNot run
Robustness5 of 6 scenarios passedPassed
Final checks7 of 8 proof checks passedNeeds review

What it trades

Markets: Stocks
Symbols: SPY
Timeframe: 1 day
Direction: Long only
Costs: 1 bps fees + 4 bps slippage

The rules are private

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