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Gated

SPY Account-Drawdown Liquidation Research

Robustness did not pass.

Results are visible to everyone. Rules are private.

version: 1
market: Stocks, 1 day

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FeasibilityPassed
Walk-forwardPassed
Best settingsOptional
RobustnessGated
Final checksNot started
Paper tradingNot started
LiveLocked

FeasibilityPassed
Walk-forwardPassed
Best settingsOptional
RobustnessGated
Final checksNot started
Paper tradingNot started
LiveLocked

Research summary

Return

+7.0%

Worst drop

−14.1%

Trades

12

MAR ratio

0.49

Research record

Feasibility−4.0% over 5000 bars · worst drop −10.7% · 419 tradesPassed
Walk-forward8 of 12 rounds profitable out of sample · mean +7.0% per roundPassed
Best settingsNo summary recordedNot run
Robustness4 of 6 scenarios passedGated
Final checksNo summary recordedNot run

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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SPY Account-Drawdown Liquidation Research | Algo Factory