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SPY Capped Monthly Inverse-Variance Research | Algo Factory

Didn't pass

SPY Capped Monthly Inverse-Variance Research

Walk-forward did not pass.

Results are visible to everyone. Rules are private.

version: 2
market: Stocks, 1 day

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FeasibilityPassed
Walk-forwardDidn't pass
Best settingsOptional
RobustnessNot started
Final checksNot started
Paper tradingNot started
LiveLocked

FeasibilityPassed
Walk-forwardDidn't pass
Best settingsOptional
RobustnessNot started
Final checksNot started
Paper tradingNot started
LiveLocked

Research summary

Return

+1.8%

Worst drop

−9.4%

Trades

12

MAR ratio

0.19

Research record

Feasibility+2.3% over 5000 bars · worst drop −5.0% · 9 tradesPassed
Walk-forward5 of 12 rounds profitable out of sample · mean +1.8% per roundDidn't pass
Best settingsNo summary recordedNot run
RobustnessNo summary recordedNot run
Final checksNo summary recordedNot run

What it trades

Markets: Stocks
Symbols: SPY
Timeframe: 1 day
Direction: Long only
Costs: 1 bps fees + 9 bps slippage

The rules are private

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