SPY · Armed breakout (Trend Pulse v12) 1h chart Alpaca paper SPY
A trough of the weekly cycle below 50 (or of the 3-day cycle below 45) arms the system for 120 (72) hours. While the weekly cycle rises, a close above the 24-hour high on a bar with range >= 0.75 ATR and the 4h cycle below 80 opens a long. Shorts mirror this and additionally require price below the daily SMA200. Exit on a 2.5 x daily-ATR chandelier from the best price, or when the weekly cycle turns. Position risks 4% of equity, capped at 1x.
Data: alpaca_stock SPY (America/New_York), 18788 chart bars since 2016-01-04 14:30 · live since 2026-09-06 09:26 (0.0 days) · sleeve capital 10,000 · commission per side 0.05%
Position
flat
last close 770.23
Pending at next open
none
last bar 2026-09-04 19:30
Forward equity
10,000
+0.00% · 0 closed
Forward vs backtest expectation
–
needs closed forward trades
Paper account
0
0 round trips · slip entry – / exit – bps
Statistics
| Metric | Backtest | Forward (simulated) | Paper account |
|---|---|---|---|
| Window | 2016-06-06 13:30 → 2026-09-04 19:30 (10.25 y) | 2026-09-06 09:26 → 2026-09-04 19:30 (0.0 d) | 0 round trips |
| Closed trades (long / short) | 69 (56 / 13) | 0 ( / ) | 0 |
| Trades per year | 6.7 | – | |
| Win rate | 49.3% | –% | |
| Profit factor (ex best trade) | 1.75 (1.60) | – (–) | |
| Long PF / short PF | 1.68 / 1.99 | – / – | |
| Expectancy per trade (% of equity) | +0.57% | – | |
| Average win / loss | +2.7% / -1.5% | – / – | |
| Payoff ratio | 1.81 | – | |
| Best / worst trade | +8.2% / -4.7% | – / – | |
| Longest losing streak | 5 | ||
| Median / mean hold (hours) | 413 / 492 | – / – | |
| Exit reasons | stop 56 signal 13 | ||
| Net return | +43.8% | – | 0 |
| Asset change over the window | +264.8% | – | |
| CAGR | +3.6% | – | |
| Max drawdown (mark-to-market) | 14.2% | –% | |
| Current drawdown | 2.2% | –% | |
| Sharpe / Sortino (daily, annualised) | 0.56 / 0.51 | – / – | |
| Calmar | 0.25 | – |
Backtest equity (log)
Forward equity, marked to market each bar
Current indicator state (closed higher-timeframe values at 2026-09-04 19:30)
- 24h low
- 759.48
- 24h high
- 774.03
- 3D cycle
- 22.35
- 4h cycle
- 58.61
- daily ATR
- 6.38
- hold long
- yes
- armed long
- no
- hold short
- no
- armed short
- yes
- daily SMA200
- 711.59
- weekly cycle
- 78.85
- parameters
- arm_tf=1W arm2_on=True arm2_tf=3D arm_lvl=50 brk_imp=0.75 ent_cap=80 hold_tf=1W arm2_lvl=45 leverage=1.0 risk_pct=4.0 arm_hours=120 brk_hours=24 short_sma=True allow_long=True arm2_hours=72 chand_mult=2.5 allow_short=True
Backtest monthly returns (%)
| Year | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | -1.5 | -0.1 | 0.4 | 0.0 | 0.0 | 0.0 | 1.3 | 0.2 | |||||
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | -0.5 | 0.1 | -0.4 | -0.3 | 1.0 | 1.4 | -1.0 | -0.5 | -0.1 |
| 2018 | 0.9 | 0.0 | 0.0 | -0.8 | 1.5 | 1.1 | -0.5 | 1.1 | -1.1 | 0.0 | 0.0 | 4.4 | 6.7 |
| 2019 | 2.8 | 2.6 | -1.0 | 1.3 | -1.4 | 0.0 | 1.2 | 0.0 | -2.4 | -0.2 | 3.7 | -0.4 | 6.3 |
| 2020 | 0.0 | -4.7 | 8.2 | 1.1 | -0.2 | 1.0 | 0.2 | 6.6 | 0.3 | 0.0 | 0.1 | 0.0 | 12.5 |
| 2021 | 0.0 | -2.7 | 0.0 | 0.6 | -1.1 | -1.7 | -2.9 | 0.3 | 0.0 | 2.8 | 1.2 | 0.0 | -3.7 |
| 2022 | -1.8 | 0.0 | -0.1 | -0.1 | -3.9 | 0.0 | 5.2 | 0.7 | 8.6 | -8.9 | 3.5 | -0.9 | 1.3 |
| 2023 | -0.8 | -0.9 | -0.5 | -1.4 | -2.4 | 2.2 | 0.0 | 0.0 | -1.5 | -3.1 | 3.9 | 4.2 | -0.6 |
| 2024 | -1.9 | 2.1 | -1.0 | 0.0 | -0.4 | 2.6 | -0.4 | 0.0 | 4.1 | 1.4 | 0.0 | 0.0 | 6.6 |
| 2025 | 0.2 | -3.0 | -2.4 | 7.6 | 3.2 | 0.7 | 1.0 | -0.9 | -1.5 | 0.0 | 0.0 | -1.0 | 3.5 |
| 2026 | -0.1 | 0.0 | 0.0 | 0.9 | 5.3 | -1.7 | 0.0 | 1.6 | -0.7 | 5.2 |
Capture of the asset's ten largest months (backtest) · system avg +3.2%, positive in 8/10
| Month | 2018-12 | 2020-03 | 2020-04 | 2020-11 | 2022-04 | 2022-06 | 2022-07 | 2022-09 | 2023-11 | 2026-04 |
|---|---|---|---|---|---|---|---|---|---|---|
| Asset | -9% | -13% | +13% | +11% | -9% | -9% | +9% | -10% | +9% | +10% |
| System | +4.4% | +8.2% | +1.1% | +0.1% | -0.1% | +0.0% | +5.2% | +8.6% | +3.9% | +0.9% |
Forward trades (append-only ledger, 0 rows)
| Entry | Exit | Side | Entry px | Exit px | Exposure | Trade % | Equity % | Reason | Adds | Sleeve equity | Status |
|---|---|---|---|---|---|---|---|---|---|---|---|
| no forward trades yet | |||||||||||
Paper account round trips (Alpaca fills vs the simulated trade they mirror)
| Entry fill | Exit fill | Side | Qty | Entry px (sim) | Exit px (sim) | Slip entry / exit bps | P&L | Return (sim) | Exit |
|---|---|---|---|---|---|---|---|---|---|
| no completed paper round trips yet | |||||||||
Orders (0)
| Submitted | Kind | Side | Qty | Type | Stop | Status | Filled | Fill px | Signal bar | Note |
|---|
Backtest trades (last 69)
| Entry | Exit | Side | Entry px | Exit px | Exposure | Trade % | Equity % | Reason | Adds |
|---|---|---|---|---|---|---|---|---|---|
| 2026-08-03 14:30 | 2026-09-01 13:30 | long | 754.50 | 762.03 | 100% | +0.90% | +0.90% | stop | 0 |
| 2026-04-23 15:30 | 2026-06-05 16:30 | long | 711.99 | 744.13 | 100% | +4.41% | +4.41% | stop | 0 |
| 2025-12-10 20:30 | 2026-01-20 14:30 | long | 688.11 | 681.49 | 100% | -1.06% | -1.06% | stop | 0 |
| 2025-09-18 14:30 | 2025-09-25 17:30 | long | 664.38 | 654.89 | 100% | -1.53% | -1.53% | stop | 0 |
| 2025-07-10 15:30 | 2025-08-01 13:30 | long | 625.52 | 626.30 | 100% | +0.02% | +0.02% | stop | 0 |
| 2025-04-23 14:30 | 2025-06-23 14:30 | long | 543.82 | 597.55 | 51% | +9.78% | +4.96% | signal | 0 |
| 2025-03-28 14:30 | 2025-04-08 13:30 | short | 559.57 | 521.87 | 100% | +6.64% | +6.64% | stop | 0 |
| 2025-03-10 14:30 | 2025-03-24 14:30 | short | 565.53 | 573.60 | 98% | -1.53% | -1.50% | stop | 0 |
| 2025-03-07 16:30 | 2025-03-07 18:30 | short | 567.67 | 572.66 | 100% | -0.98% | -0.98% | signal | 0 |
| 2025-02-07 14:30 | 2025-02-24 14:30 | long | 606.89 | 598.52 | 100% | -1.48% | -1.48% | stop | 0 |
| 2025-01-21 15:30 | 2025-02-03 14:30 | long | 600.33 | 592.67 | 100% | -1.38% | -1.38% | stop | 0 |
| 2024-09-11 18:30 | 2024-10-28 14:30 | long | 551.00 | 582.40 | 100% | +5.60% | +5.60% | signal | 0 |
| 2024-07-08 14:30 | 2024-07-18 14:30 | long | 555.49 | 553.88 | 100% | -0.39% | -0.39% | stop | 0 |
| 2024-06-05 14:30 | 2024-07-01 14:30 | long | 530.28 | 544.32 | 100% | +2.55% | +2.55% | signal | 0 |
| 2024-05-14 19:30 | 2024-05-30 19:30 | long | 523.44 | 521.97 | 100% | -0.38% | -0.38% | stop | 0 |
| 2024-03-04 20:30 | 2024-03-11 14:30 | long | 513.53 | 508.99 | 100% | -0.98% | -0.98% | signal | 0 |
| 2024-01-22 15:30 | 2024-02-13 14:30 | long | 484.38 | 493.52 | 100% | +1.79% | +1.79% | stop | 0 |
| 2023-11-10 18:30 | 2024-01-04 19:30 | long | 439.00 | 468.08 | 100% | +6.52% | +6.52% | stop | 0 |
| 2023-10-17 16:30 | 2023-10-20 13:30 | long | 438.08 | 424.79 | 100% | -3.13% | -3.13% | stop | 0 |
| 2023-09-14 15:30 | 2023-09-18 14:30 | long | 449.50 | 443.37 | 100% | -1.46% | -1.46% | signal | 0 |
| 2023-06-02 14:30 | 2023-06-20 14:30 | long | 425.51 | 435.30 | 100% | +2.20% | +2.20% | signal | 0 |
| 2023-04-28 14:30 | 2023-05-04 13:30 | long | 414.69 | 406.20 | 100% | -2.15% | -2.15% | stop | 0 |
| 2023-04-03 14:30 | 2023-04-26 17:30 | long | 411.20 | 404.83 | 100% | -1.65% | -1.65% | stop | 0 |
| 2023-03-09 20:30 | 2023-03-16 15:30 | short | 391.47 | 393.02 | 100% | -0.50% | -0.50% | signal | 0 |
| 2023-01-23 16:30 | 2023-02-21 14:30 | long | 400.89 | 403.04 | 100% | +0.44% | +0.44% | stop | 0 |
| 2022-12-15 15:30 | 2023-01-09 14:30 | short | 391.14 | 391.62 | 90% | -0.22% | -0.20% | stop | 0 |
| 2022-11-10 15:30 | 2022-12-06 17:30 | long | 389.76 | 392.99 | 77% | +0.73% | +0.56% | stop | 0 |
| 2022-10-13 14:30 | 2022-10-18 13:30 | short | 351.97 | 375.13 | 69% | -6.68% | -4.63% | stop | 0 |
| 2022-09-13 19:30 | 2022-10-04 15:30 | short | 394.19 | 377.54 | 92% | +4.13% | +3.81% | stop | 0 |
| 2022-07-06 14:30 | 2022-08-22 13:30 | long | 382.17 | 416.44 | 67% | +8.86% | +5.96% | stop | 0 |
| 2022-05-09 14:30 | 2022-05-26 16:30 | short | 402.45 | 406.56 | 64% | -1.12% | -0.72% | stop | 0 |
| 2022-04-22 14:30 | 2022-05-04 19:30 | short | 432.93 | 427.34 | 94% | +1.19% | +1.12% | stop | 0 |
| 2022-04-18 16:30 | 2022-04-21 14:30 | short | 435.92 | 448.72 | 96% | -3.04% | -2.91% | signal | 0 |
| 2022-03-25 14:30 | 2022-04-06 17:30 | long | 451.85 | 443.80 | 84% | -1.88% | -1.58% | stop | 0 |
| 2021-12-27 15:30 | 2022-01-06 14:30 | long | 474.66 | 466.49 | 100% | -1.82% | -1.82% | stop | 0 |
| 2021-10-18 15:30 | 2021-11-23 15:30 | long | 446.47 | 464.87 | 100% | +4.02% | +4.02% | stop | 0 |
| 2021-07-26 15:30 | 2021-08-18 19:30 | long | 440.43 | 439.83 | 100% | -0.24% | -0.24% | stop | 0 |
| 2021-07-12 14:30 | 2021-07-19 13:30 | long | 436.46 | 426.19 | 100% | -2.45% | -2.45% | stop | 0 |
| 2021-06-10 14:30 | 2021-06-18 13:30 | long | 423.76 | 417.08 | 100% | -1.68% | -1.68% | stop | 0 |
| 2021-04-15 14:30 | 2021-05-11 13:30 | long | 414.56 | 412.94 | 100% | -0.49% | -0.49% | stop | 0 |
| 2021-02-16 14:30 | 2021-02-23 14:30 | long | 393.97 | 383.63 | 100% | -2.72% | -2.72% | stop | 0 |
| 2020-11-16 15:30 | 2020-12-21 14:30 | long | 361.51 | 362.14 | 89% | +0.07% | +0.06% | stop | 0 |
| 2020-07-21 14:30 | 2020-09-03 14:30 | long | 325.77 | 350.47 | 94% | +7.48% | +7.02% | stop | 0 |
| 2020-05-18 15:30 | 2020-06-11 14:30 | long | 295.25 | 309.00 | 62% | +4.56% | +2.82% | stop | 0 |
| 2020-04-20 13:30 | 2020-05-14 13:30 | long | 282.61 | 276.29 | 40% | -2.34% | -0.93% | stop | 0 |
| 2020-03-06 15:30 | 2020-03-25 17:30 | short | 296.40 | 255.36 | 60% | +13.75% | +8.24% | stop | 0 |
| 2020-02-19 16:30 | 2020-02-24 14:30 | long | 338.78 | 323.14 | 100% | -4.71% | -4.71% | stop | 0 |
| 2019-12-06 15:30 | 2019-12-16 15:30 | long | 314.66 | 319.93 | 100% | +1.57% | +1.57% | signal | 0 |
| 2019-10-28 14:30 | 2019-12-03 14:30 | long | 303.60 | 308.65 | 100% | +1.56% | +1.56% | stop | 0 |
| 2019-09-19 14:30 | 2019-09-24 16:30 | long | 302.22 | 295.26 | 100% | -2.40% | -2.40% | stop | 0 |
| 2019-06-18 14:30 | 2019-07-31 18:30 | long | 292.85 | 296.84 | 100% | +1.26% | +1.26% | stop | 0 |
| 2019-04-12 14:30 | 2019-05-02 15:30 | long | 290.15 | 289.89 | 100% | -0.19% | -0.19% | stop | 0 |
| 2019-01-15 17:30 | 2019-03-07 14:30 | long | 260.41 | 275.35 | 79% | +5.63% | +4.46% | stop | 0 |
| 2018-12-10 15:30 | 2018-12-27 20:30 | short | 262.35 | 247.61 | 80% | +5.52% | +4.44% | stop | 0 |
| 2018-08-21 14:30 | 2018-09-06 16:30 | long | 286.68 | 287.03 | 100% | +0.02% | +0.02% | stop | 0 |
| 2018-07-24 14:30 | 2018-08-15 13:30 | long | 282.41 | 281.11 | 100% | -0.56% | -0.56% | stop | 0 |
| 2018-05-04 18:30 | 2018-06-19 13:30 | long | 266.60 | 273.87 | 100% | +2.62% | +2.62% | stop | 0 |
| 2018-04-02 16:30 | 2018-04-03 15:30 | short | 257.27 | 259.21 | 89% | -0.85% | -0.76% | signal | 0 |
| 2018-01-22 15:30 | 2018-01-30 14:30 | long | 281.30 | 281.97 | 100% | +0.14% | +0.14% | stop | 0 |
| 2018-01-11 17:30 | 2018-01-16 19:30 | long | 275.37 | 276.22 | 100% | +0.21% | +0.21% | stop | 0 |
| 2017-12-29 15:30 | 2018-01-02 15:30 | long | 267.96 | 268.41 | 100% | +0.07% | +0.07% | signal | 0 |
| 2017-11-06 15:30 | 2017-11-09 17:30 | long | 258.66 | 256.40 | 100% | -0.97% | -0.97% | stop | 0 |
| 2017-09-11 14:30 | 2017-10-25 14:30 | long | 248.67 | 254.96 | 100% | +2.43% | +2.43% | stop | 0 |
| 2017-07-25 14:30 | 2017-08-10 13:30 | long | 247.50 | 246.01 | 100% | -0.70% | -0.70% | stop | 0 |
| 2017-05-23 14:30 | 2017-06-16 13:30 | long | 239.86 | 241.83 | 100% | +0.72% | +0.72% | stop | 0 |
| 2017-05-08 13:30 | 2017-05-17 14:30 | long | 239.76 | 237.41 | 100% | -1.08% | -1.08% | stop | 0 |
| 2016-12-07 14:30 | 2016-12-28 17:30 | long | 221.52 | 224.72 | 100% | +1.34% | +1.34% | stop | 0 |
| 2016-07-20 15:30 | 2016-08-29 14:30 | long | 217.34 | 218.12 | 100% | +0.26% | +0.26% | signal | 0 |
| 2016-06-06 14:30 | 2016-06-13 19:30 | long | 211.15 | 208.37 | 100% | -1.42% | -1.42% | stop | 0 |