← ALL STRATEGIES · overnight_intraday_reversal

Overnight-intraday reversal

RESEARCH STRATEGY
RUNNING

Trades the regular session opposite to the direction of the preceding overnight move.

DEFAULT MARKETSPY
BAR INTERVAL1d
GROSS EXPOSURE1.0x
PAPER CASH$99,530.36
REALIZED P&L$-469.64
PROMOTION AUDIT

No AI qualification submitted

This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.

NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.

How the strategy works

The hypothesis is that overnight imbalances partially reverse once regular-session liquidity arrives. This component test therefore takes the opposite side at the open and exits at the close.

Concrete example

SPY closes at 600 and opens next day at 603, a positive overnight move. The model shorts at 603 and covers at that day's close.

Published research

Liu et al. — Overnight-Intraday Reversal Everywhere

Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.

Exact algorithm

Required data: ohlcv

Where it may work—and where it can fail

EXPECTED BEST CONDITIONS

Sessions where opening gaps reflect temporary imbalance rather than durable news.

IMPORTANT CONTEXT

The source evidence is cross-sectional across assets; this SPY sign test is explicitly a component proxy.

Main risks

“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.

Forward paper transactions

LEDGER START2026-08-16T22:55:47.547512+00:00
PAPER VERSIONv2 · 5e847d209bee
STATUSrunning
STATUS DETAILNo issue
EntrySideEntry priceExitExit priceCapital basisGross notionalOutcomeP&L
2026-09-29 00:00:00+00:00SHORT766.832026-09-29 00:00:00+00:00764.20$10,000.00$10,000.00HIT$+30.30
2026-09-28 00:00:00+00:00LONG768.352026-09-28 00:00:00+00:00765.61$10,000.00$10,000.00MISS$-39.66
2026-09-25 00:00:00+00:00SHORT768.782026-09-25 00:00:00+00:00771.35$10,000.00$10,000.00MISS$-37.43
2026-09-24 00:00:00+00:00LONG764.072026-09-24 00:00:00+00:00767.27$10,000.00$10,000.00HIT$+37.95
2026-09-23 00:00:00+00:00LONG772.792026-09-23 00:00:00+00:00767.81$10,000.00$10,000.00MISS$-68.44
2026-09-22 00:00:00+00:00SHORT774.032026-09-22 00:00:00+00:00773.38$10,000.00$10,000.00HIT$+4.40
2026-09-21 00:00:00+00:00SHORT766.252026-09-21 00:00:00+00:00773.50$10,000.00$10,000.00MISS$-98.60
2026-09-18 00:00:00+00:00LONG761.312026-09-18 00:00:00+00:00761.69$10,000.00$10,000.00HIT$+0.99
2026-09-17 00:00:00+00:00SHORT763.152026-09-17 00:00:00+00:00762.60$10,000.00$10,000.00HIT$+3.21
2026-09-16 00:00:00+00:00SHORT759.502026-09-16 00:00:00+00:00754.05$10,000.00$10,000.00HIT$+67.76
2026-09-15 00:00:00+00:00LONG760.122026-09-15 00:00:00+00:00757.44$10,000.00$10,000.00MISS$-39.22
2026-09-14 00:00:00+00:00LONG759.002026-09-14 00:00:00+00:00760.88$10,000.00$10,000.00HIT$+20.77
2026-09-11 00:00:00+00:00SHORT764.722026-09-11 00:00:00+00:00764.29$10,000.00$10,000.00HIT$+1.62
2026-09-10 00:00:00+00:00LONG758.032026-09-10 00:00:00+00:00757.89$10,000.00$10,000.00MISS$-5.85
2026-09-09 00:00:00+00:00LONG764.082026-09-09 00:00:00+00:00762.40$10,000.00$10,000.00MISS$-25.99
2026-09-08 00:00:00+00:00LONG769.072026-09-08 00:00:00+00:00765.96$10,000.00$10,000.00MISS$-44.44
2026-09-04 00:00:00+00:00LONG772.012026-09-04 00:00:00+00:00770.19$10,000.00$10,000.00MISS$-27.57
2026-09-03 00:00:00+00:00SHORT767.902026-09-03 00:00:00+00:00773.15$10,000.00$10,000.00MISS$-72.37
2026-09-02 00:00:00+00:00SHORT762.452026-09-02 00:00:00+00:00765.20$10,000.00$10,000.00MISS$-40.07
2026-09-01 00:00:00+00:00LONG762.012026-09-01 00:00:00+00:00761.72$10,000.00$10,000.00MISS$-7.81
2026-08-31 00:00:00+00:00LONG767.332026-08-31 00:00:00+00:00767.02$10,000.00$10,000.00MISS$-8.04
2026-08-28 00:00:00+00:00SHORT771.762026-08-28 00:00:00+00:00769.35$10,000.00$10,000.00HIT$+27.23
2026-08-27 00:00:00+00:00SHORT768.502026-08-27 00:00:00+00:00771.10$10,000.00$10,000.00MISS$-37.83
2026-08-26 00:00:00+00:00LONG764.732026-08-26 00:00:00+00:00766.08$10,000.00$10,000.00HIT$+13.65
2026-08-25 00:00:00+00:00SHORT766.162026-08-25 00:00:00+00:00765.91$10,000.00$10,000.00MISS$-0.74
2026-08-24 00:00:00+00:00LONG764.782026-08-24 00:00:00+00:00763.47$10,000.00$10,000.00MISS$-21.13
2026-08-21 00:00:00+00:00SHORT766.052026-08-21 00:00:00+00:00765.72$10,000.00$10,000.00HIT$+0.31
2026-08-20 00:00:00+00:00LONG765.962026-08-20 00:00:00+00:00762.78$10,000.00$10,000.00MISS$-45.52
2026-08-19 00:00:00+00:00SHORT770.362026-08-19 00:00:00+00:00769.10$10,000.00$10,000.00HIT$+12.36
2026-08-18 00:00:00+00:00LONG768.702026-08-18 00:00:00+00:00767.45$10,000.00$10,000.00MISS$-20.26
2026-08-17 00:00:00+00:00LONG776.182026-08-17 00:00:00+00:00772.67$10,000.00$10,000.00MISS$-49.22

Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.

Archived paper versions

Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.

VersionMarketExposureAllocationCostCode hashStartedArchivedFillsStarting cashEnding cashRealized P&LFinal status
legacy-v1unknown · unknownunknownunknownunknownlegacy2026-08-16T16:54:09.212635+00:002026-08-16T22:55:47.547512+00:000$100,000.00$100,000.00$+0.00running
TRADES2,492
AVERAGE TRADE-3.26 bps
STRATEGY 1.0x / BUY & HOLD 1x-59.51% / +315.11%
VS 1x REFERENCE-374.62% · LAGS
DRAWDOWN: STRATEGY / B&H+65.23% / +33.72%
HITS / MISSES1,160 / 1,332
HIT RATE+46.55%
AVG HIT / MISS+0.58% / -0.57%
LONGEST MISS STREAK13

Rolling 70/30 diagnostic

This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.

FINAL 30% TRADES748
STRATEGY / B&H 1x-10.92% / +86.07%
FINAL 30% VS B&H-96.99%
FINAL 30% HIT RATE+47.59%
FINAL 30% DRAWDOWN+21.81%
INDEPENDENT EVIDENCE?No

Candles and execution signals

▲ BUY▼ SELLHover a candle or marker for exact values
779.37753.67727.98702.28676.582026-04-10T00:00:00+00:00 O 681.32 H 682.03 L 678.45 C 679.462026-04-13T00:00:00+00:00 O 677.41 H 686.30 L 676.58 C 686.102026-04-14T00:00:00+00:00 O 687.69 H 694.58 L 687.66 C 694.462026-04-15T00:00:00+00:00 O 695.26 H 700.28 L 694.20 C 699.942026-04-16T00:00:00+00:00 O 701.06 H 702.78 L 698.53 C 701.662026-04-17T00:00:00+00:00 O 706.14 H 712.39 L 705.76 C 710.142026-04-20T00:00:00+00:00 O 708.78 H 709.91 L 706.14 C 708.722026-04-21T00:00:00+00:00 O 710.28 H 711.28 L 702.64 C 704.082026-04-22T00:00:00+00:00 O 709.15 H 711.45 L 708.22 C 711.212026-04-23T00:00:00+00:00 O 709.50 H 712.36 L 702.28 C 708.452026-04-24T00:00:00+00:00 O 710.75 H 714.47 L 709.01 C 713.942026-04-27T00:00:00+00:00 O 713.17 H 715.63 L 712.30 C 715.172026-04-28T00:00:00+00:00 O 711.82 H 712.88 L 709.25 C 711.692026-04-29T00:00:00+00:00 O 711.00 H 712.20 L 708.37 C 711.582026-04-30T00:00:00+00:00 O 714.63 H 719.79 L 710.45 C 718.662026-05-01T00:00:00+00:00 O 721.25 H 724.87 L 720.47 C 720.652026-05-04T00:00:00+00:00 O 720.07 H 722.12 L 714.99 C 718.012026-05-05T00:00:00+00:00 O 721.77 H 725.04 L 721.49 C 723.772026-05-06T00:00:00+00:00 O 728.16 H 734.59 L 727.82 C 733.832026-05-07T00:00:00+00:00 O 735.05 H 736.13 L 729.75 C 731.582026-05-08T00:00:00+00:00 O 734.93 H 738.08 L 734.57 C 737.622026-05-11T00:00:00+00:00 O 736.45 H 740.79 L 736.45 C 739.302026-05-12T00:00:00+00:00 O 736.89 H 738.84 L 731.83 C 738.182026-05-13T00:00:00+00:00 O 738.47 H 743.91 L 735.47 C 742.312026-05-14T00:00:00+00:00 O 743.65 H 749.53 L 743.56 C 748.172026-05-15T00:00:00+00:00 O 741.79 H 743.46 L 737.96 C 739.172026-05-18T00:00:00+00:00 O 739.83 H 741.42 L 733.39 C 738.652026-05-19T00:00:00+00:00 O 734.78 H 737.65 L 731.53 C 733.732026-05-20T00:00:00+00:00 O 735.71 H 741.87 L 733.89 C 741.252026-05-21T00:00:00+00:00 O 738.64 H 744.87 L 737.03 C 742.722026-05-22T00:00:00+00:00 O 746.24 H 748.94 L 744.48 C 745.642026-05-26T00:00:00+00:00 O 750.01 H 752.13 L 748.37 C 750.592026-05-27T00:00:00+00:00 O 750.88 H 751.38 L 748.22 C 750.462026-05-28T00:00:00+00:00 O 750.25 H 755.15 L 749.23 C 754.602026-05-29T00:00:00+00:00 O 755.90 H 758.08 L 754.69 C 756.482026-06-01T00:00:00+00:00 O 755.36 H 760.28 L 754.69 C 758.542026-06-02T00:00:00+00:00 O 757.03 H 760.40 L 756.75 C 759.572026-06-03T00:00:00+00:00 O 758.15 H 758.80 L 753.57 C 754.242026-06-04T00:00:00+00:00 O 752.10 H 758.31 L 751.47 C 757.092026-06-05T00:00:00+00:00 O 752.31 H 752.82 L 735.53 C 737.552026-06-08T00:00:00+00:00 O 743.36 H 745.34 L 738.19 C 739.222026-06-09T00:00:00+00:00 O 743.63 H 746.90 L 722.59 C 737.052026-06-10T00:00:00+00:00 O 733.39 H 738.38 L 725.33 C 725.432026-06-11T00:00:00+00:00 O 728.76 H 740.00 L 724.41 C 737.762026-06-12T00:00:00+00:00 O 740.71 H 744.44 L 735.03 C 741.752026-06-15T00:00:00+00:00 O 751.85 H 756.68 L 751.76 C 754.832026-06-16T00:00:00+00:00 O 754.55 H 755.44 L 749.88 C 750.332026-06-17T00:00:00+00:00 O 751.29 H 752.15 L 739.22 C 740.962026-06-18T00:00:00+00:00 O 747.76 H 748.23 L 743.86 C 746.742026-06-22T00:00:00+00:00 O 747.70 H 750.18 L 743.13 C 744.392026-06-23T00:00:00+00:00 O 733.81 H 739.63 L 732.30 C 733.582026-06-24T00:00:00+00:00 O 735.17 H 739.95 L 730.84 C 733.242026-06-25T00:00:00+00:00 O 738.91 H 739.37 L 729.60 C 734.302026-06-26T00:00:00+00:00 O 728.95 H 736.53 L 716.58 C 728.992026-06-29T00:00:00+00:00 O 736.53 H 741.56 L 732.09 C 741.002026-06-30T00:00:00+00:00 O 741.29 H 748.02 L 740.89 C 746.772026-07-01T00:00:00+00:00 O 745.00 H 749.44 L 742.38 C 745.762026-07-02T00:00:00+00:00 O 747.40 H 751.31 L 740.03 C 744.782026-07-06T00:00:00+00:00 O 748.74 H 752.41 L 747.41 C 751.282026-07-07T00:00:00+00:00 O 750.22 H 750.96 L 745.21 C 747.712026-07-08T00:00:00+00:00 O 743.16 H 746.15 L 739.51 C 745.402026-07-09T00:00:00+00:00 O 747.35 H 751.97 L 745.59 C 751.712026-07-10T00:00:00+00:00 O 752.05 H 755.42 L 748.10 C 754.952026-07-13T00:00:00+00:00 O 752.47 H 753.91 L 748.00 C 749.172026-07-14T00:00:00+00:00 O 750.91 H 753.34 L 748.66 C 751.832026-07-15T00:00:00+00:00 O 754.24 H 755.58 L 750.20 C 754.812026-07-16T00:00:00+00:00 O 752.76 H 754.57 L 747.88 C 750.722026-07-17T00:00:00+00:00 O 742.08 H 747.29 L 740.80 C 743.292026-07-20T00:00:00+00:00 O 747.06 H 748.73 L 741.51 C 742.092026-07-21T00:00:00+00:00 O 746.29 H 749.04 L 744.18 C 748.282026-07-22T00:00:00+00:00 O 746.62 H 750.02 L 746.37 C 747.412026-07-23T00:00:00+00:00 O 739.37 H 742.56 L 735.21 C 738.182026-07-24T00:00:00+00:00 O 738.51 H 743.72 L 737.29 C 738.932026-07-27T00:00:00+00:00 O 744.91 H 745.53 L 735.87 C 739.092026-07-28T00:00:00+00:00 O 739.19 H 742.79 L 735.98 C 740.862026-07-29T00:00:00+00:00 O 739.97 H 742.68 L 729.10 C 729.462026-07-30T00:00:00+00:00 O 736.05 H 742.45 L 734.59 C 741.692026-07-31T00:00:00+00:00 O 744.68 H 748.90 L 737.68 C 747.032026-08-03T00:00:00+00:00 O 749.44 H 758.58 L 748.80 C 757.672026-08-04T00:00:00+00:00 O 760.63 H 773.41 L 760.52 C 771.332026-08-05T00:00:00+00:00 O 775.85 H 776.85 L 769.51 C 769.792026-08-06T00:00:00+00:00 O 770.21 H 771.82 L 767.46 C 768.562026-08-07T00:00:00+00:00 O 771.02 H 773.92 L 769.61 C 773.262026-08-10T00:00:00+00:00 O 772.60 H 775.05 L 771.62 C 773.032026-08-11T00:00:00+00:00 O 774.53 H 774.61 L 769.20 C 770.562026-08-12T00:00:00+00:00 O 774.71 H 774.90 L 771.28 C 772.492026-08-13T00:00:00+00:00 O 774.87 H 779.37 L 774.11 C 777.882026-08-14T00:00:00+00:00 O 778.54 H 778.80 L 775.43 C 776.342026-08-17T00:00:00+00:00 O 776.18 H 776.78 L 772.51 C 772.672026-08-18T00:00:00+00:00 O 768.70 H 769.50 L 766.92 C 767.452026-08-19T00:00:00+00:00 O 770.36 H 772.47 L 768.10 C 769.062026-08-20T00:00:00+00:00 O 765.96 H 768.15 L 762.04 C 762.602026-08-21T00:00:00+00:00 O 766.05 H 767.85 L 764.17 C 765.722026-08-24T00:00:00+00:00 O 764.78 H 765.22 L 762.08 C 763.472026-08-25T00:00:00+00:00 O 766.16 H 766.78 L 763.05 C 765.912026-08-26T00:00:00+00:00 O 764.73 H 767.35 L 763.93 C 766.082026-08-27T00:00:00+00:00 O 768.50 H 772.36 L 767.16 C 771.102026-08-28T00:00:00+00:00 O 771.76 H 775.30 L 768.31 C 769.352026-08-31T00:00:00+00:00 O 767.33 H 768.00 L 764.72 C 767.052026-09-01T00:00:00+00:00 O 762.01 H 764.67 L 759.48 C 761.782026-09-02T00:00:00+00:00 O 762.45 H 766.43 L 761.73 C 765.162026-09-03T00:00:00+00:00 O 767.90 H 774.03 L 767.45 C 773.172026-09-04T00:00:00+00:00 O 772.01 H 772.87 L 769.00 C 770.192026-09-08T00:00:00+00:00 O 769.07 H 769.70 L 765.14 C 765.962026-09-09T00:00:00+00:00 O 764.08 H 764.47 L 760.94 C 762.402026-09-10T00:00:00+00:00 O 758.03 H 760.11 L 756.64 C 757.832026-09-11T00:00:00+00:00 O 764.72 H 766.38 L 763.60 C 764.292026-09-14T00:00:00+00:00 O 759.00 H 763.52 L 757.93 C 760.882026-09-15T00:00:00+00:00 O 760.12 H 760.35 L 756.15 C 757.392026-09-16T00:00:00+00:00 O 759.50 H 761.67 L 749.60 C 754.052026-09-17T00:00:00+00:00 O 763.15 H 763.57 L 759.96 C 762.602026-09-18T00:00:00+00:00 O 761.31 H 762.00 L 757.97 C 761.692026-09-21T00:00:00+00:00 O 766.25 H 774.89 L 766.03 C 773.502026-09-22T00:00:00+00:00 O 774.03 H 775.14 L 772.57 C 773.382026-09-23T00:00:00+00:00 O 772.79 H 773.05 L 766.50 C 767.812026-09-24T00:00:00+00:00 O 764.07 H 768.95 L 763.25 C 767.182026-09-25T00:00:00+00:00 O 768.78 H 772.28 L 766.29 C 771.352026-09-28T00:00:00+00:00 O 768.35 H 769.54 L 763.72 C 765.612026-09-29T00:00:00+00:00 O 766.83 H 766.98 L 762.35 C 764.202026-09-30T00:00:00+00:00 O 766.45 H 769.41 L 766.00 C 766.79ENTRY SELL · 2026-04-10 00:00:00+00:00 · 681.32SELLEXIT BUY · 2026-04-10 00:00:00+00:00 · 679.46BUYENTRY BUY · 2026-04-13 00:00:00+00:00 · 677.41BUYEXIT SELL · 2026-04-13 00:00:00+00:00 · 686.10SELLENTRY SELL · 2026-04-14 00:00:00+00:00 · 687.69SELLEXIT BUY · 2026-04-14 00:00:00+00:00 · 694.46BUYENTRY SELL · 2026-04-15 00:00:00+00:00 · 695.26SELLEXIT BUY · 2026-04-15 00:00:00+00:00 · 699.94BUYENTRY SELL · 2026-04-16 00:00:00+00:00 · 701.06SELLEXIT BUY · 2026-04-16 00:00:00+00:00 · 701.66BUYENTRY SELL · 2026-04-17 00:00:00+00:00 · 706.14SELLEXIT BUY · 2026-04-17 00:00:00+00:00 · 710.14BUYENTRY BUY · 2026-04-20 00:00:00+00:00 · 708.78BUYEXIT SELL · 2026-04-20 00:00:00+00:00 · 708.72SELLENTRY SELL · 2026-04-21 00:00:00+00:00 · 710.28SELLEXIT BUY · 2026-04-21 00:00:00+00:00 · 704.08BUYENTRY SELL · 2026-04-22 00:00:00+00:00 · 709.15SELLEXIT BUY · 2026-04-22 00:00:00+00:00 · 711.21BUYENTRY BUY · 2026-04-23 00:00:00+00:00 · 709.50BUYEXIT SELL · 2026-04-23 00:00:00+00:00 · 708.45SELLENTRY SELL · 2026-04-24 00:00:00+00:00 · 710.75SELLEXIT BUY · 2026-04-24 00:00:00+00:00 · 713.94BUYENTRY BUY · 2026-04-27 00:00:00+00:00 · 713.17BUYEXIT SELL · 2026-04-27 00:00:00+00:00 · 715.17SELLENTRY BUY · 2026-04-28 00:00:00+00:00 · 711.82BUYEXIT SELL · 2026-04-28 00:00:00+00:00 · 711.69SELLENTRY BUY · 2026-04-29 00:00:00+00:00 · 711.00BUYEXIT SELL · 2026-04-29 00:00:00+00:00 · 711.58SELLENTRY SELL · 2026-04-30 00:00:00+00:00 · 714.63SELLEXIT BUY · 2026-04-30 00:00:00+00:00 · 718.66BUYENTRY SELL · 2026-05-01 00:00:00+00:00 · 721.25SELLEXIT BUY · 2026-05-01 00:00:00+00:00 · 720.65BUYENTRY BUY · 2026-05-04 00:00:00+00:00 · 720.07BUYEXIT SELL · 2026-05-04 00:00:00+00:00 · 718.01SELLENTRY SELL · 2026-05-05 00:00:00+00:00 · 721.77SELLEXIT BUY · 2026-05-05 00:00:00+00:00 · 723.77BUYENTRY SELL · 2026-05-06 00:00:00+00:00 · 728.16SELLEXIT BUY · 2026-05-06 00:00:00+00:00 · 733.83BUYENTRY SELL · 2026-05-07 00:00:00+00:00 · 735.05SELLEXIT BUY · 2026-05-07 00:00:00+00:00 · 731.58BUYENTRY SELL · 2026-05-08 00:00:00+00:00 · 734.93SELLEXIT BUY · 2026-05-08 00:00:00+00:00 · 737.62BUYENTRY BUY · 2026-05-11 00:00:00+00:00 · 736.45BUYEXIT SELL · 2026-05-11 00:00:00+00:00 · 739.30SELLENTRY BUY · 2026-05-12 00:00:00+00:00 · 736.89BUYEXIT SELL · 2026-05-12 00:00:00+00:00 · 738.18SELLENTRY SELL · 2026-05-13 00:00:00+00:00 · 738.47SELLEXIT BUY · 2026-05-13 00:00:00+00:00 · 742.31BUYENTRY SELL · 2026-05-14 00:00:00+00:00 · 743.65SELLEXIT BUY · 2026-05-14 00:00:00+00:00 · 748.17BUYENTRY BUY · 2026-05-15 00:00:00+00:00 · 741.79BUYEXIT SELL · 2026-05-15 00:00:00+00:00 · 739.17SELLENTRY SELL · 2026-05-18 00:00:00+00:00 · 739.83SELLEXIT BUY · 2026-05-18 00:00:00+00:00 · 738.65BUYENTRY BUY · 2026-05-19 00:00:00+00:00 · 734.78BUYEXIT SELL · 2026-05-19 00:00:00+00:00 · 733.73SELLENTRY SELL · 2026-05-20 00:00:00+00:00 · 735.71SELLEXIT BUY · 2026-05-20 00:00:00+00:00 · 741.25BUYENTRY BUY · 2026-05-21 00:00:00+00:00 · 738.64BUYEXIT SELL · 2026-05-21 00:00:00+00:00 · 742.72SELLENTRY SELL · 2026-05-22 00:00:00+00:00 · 746.24SELLEXIT BUY · 2026-05-22 00:00:00+00:00 · 745.64BUYENTRY SELL · 2026-05-26 00:00:00+00:00 · 750.01SELLEXIT BUY · 2026-05-26 00:00:00+00:00 · 750.59BUYENTRY SELL · 2026-05-27 00:00:00+00:00 · 750.88SELLEXIT BUY · 2026-05-27 00:00:00+00:00 · 750.46BUYENTRY BUY · 2026-05-28 00:00:00+00:00 · 750.25BUYEXIT SELL · 2026-05-28 00:00:00+00:00 · 754.60SELLENTRY SELL · 2026-05-29 00:00:00+00:00 · 755.90SELLEXIT BUY · 2026-05-29 00:00:00+00:00 · 756.48BUYENTRY BUY · 2026-06-01 00:00:00+00:00 · 755.36BUYEXIT SELL · 2026-06-01 00:00:00+00:00 · 758.54SELLENTRY BUY · 2026-06-02 00:00:00+00:00 · 757.03BUYEXIT SELL · 2026-06-02 00:00:00+00:00 · 759.57SELLENTRY BUY · 2026-06-03 00:00:00+00:00 · 758.15BUYEXIT SELL · 2026-06-03 00:00:00+00:00 · 754.24SELLENTRY BUY · 2026-06-04 00:00:00+00:00 · 752.10BUYEXIT SELL · 2026-06-04 00:00:00+00:00 · 757.09SELLENTRY BUY · 2026-06-05 00:00:00+00:00 · 752.31BUYEXIT SELL · 2026-06-05 00:00:00+00:00 · 737.55SELLENTRY SELL · 2026-06-08 00:00:00+00:00 · 743.36SELLEXIT BUY · 2026-06-08 00:00:00+00:00 · 739.22BUYENTRY SELL · 2026-06-09 00:00:00+00:00 · 743.63SELLEXIT BUY · 2026-06-09 00:00:00+00:00 · 737.05BUYENTRY BUY · 2026-06-10 00:00:00+00:00 · 733.39BUYEXIT SELL · 2026-06-10 00:00:00+00:00 · 725.43SELLENTRY SELL · 2026-06-11 00:00:00+00:00 · 728.76SELLEXIT BUY · 2026-06-11 00:00:00+00:00 · 737.76BUYENTRY SELL · 2026-06-12 00:00:00+00:00 · 740.71SELLEXIT BUY · 2026-06-12 00:00:00+00:00 · 741.75BUYENTRY SELL · 2026-06-15 00:00:00+00:00 · 751.85SELLEXIT BUY · 2026-06-15 00:00:00+00:00 · 754.83BUYENTRY BUY · 2026-06-16 00:00:00+00:00 · 754.55BUYEXIT SELL · 2026-06-16 00:00:00+00:00 · 750.33SELLENTRY SELL · 2026-06-17 00:00:00+00:00 · 751.29SELLEXIT BUY · 2026-06-17 00:00:00+00:00 · 740.96BUYENTRY SELL · 2026-06-18 00:00:00+00:00 · 747.76SELLEXIT BUY · 2026-06-18 00:00:00+00:00 · 746.74BUYENTRY SELL · 2026-06-22 00:00:00+00:00 · 747.70SELLEXIT BUY · 2026-06-22 00:00:00+00:00 · 744.39BUYENTRY BUY · 2026-06-23 00:00:00+00:00 · 733.81BUYEXIT SELL · 2026-06-23 00:00:00+00:00 · 733.58SELLENTRY SELL · 2026-06-24 00:00:00+00:00 · 735.17SELLEXIT BUY · 2026-06-24 00:00:00+00:00 · 733.24BUYENTRY SELL · 2026-06-25 00:00:00+00:00 · 738.91SELLEXIT BUY · 2026-06-25 00:00:00+00:00 · 734.30BUYENTRY BUY · 2026-06-26 00:00:00+00:00 · 728.95BUYEXIT SELL · 2026-06-26 00:00:00+00:00 · 728.99SELLENTRY SELL · 2026-06-29 00:00:00+00:00 · 736.53SELLEXIT BUY · 2026-06-29 00:00:00+00:00 · 741.00BUYENTRY SELL · 2026-06-30 00:00:00+00:00 · 741.29SELLEXIT BUY · 2026-06-30 00:00:00+00:00 · 746.77BUYENTRY BUY · 2026-07-01 00:00:00+00:00 · 745.00BUYEXIT SELL · 2026-07-01 00:00:00+00:00 · 745.76SELLENTRY SELL · 2026-07-02 00:00:00+00:00 · 747.40SELLEXIT BUY · 2026-07-02 00:00:00+00:00 · 744.78BUYENTRY SELL · 2026-07-06 00:00:00+00:00 · 748.74SELLEXIT BUY · 2026-07-06 00:00:00+00:00 · 751.28BUYENTRY BUY · 2026-07-07 00:00:00+00:00 · 750.22BUYEXIT SELL · 2026-07-07 00:00:00+00:00 · 747.71SELLENTRY BUY · 2026-07-08 00:00:00+00:00 · 743.16BUYEXIT SELL · 2026-07-08 00:00:00+00:00 · 745.40SELLENTRY SELL · 2026-07-09 00:00:00+00:00 · 747.35SELLEXIT BUY · 2026-07-09 00:00:00+00:00 · 751.71BUYENTRY SELL · 2026-07-10 00:00:00+00:00 · 752.05SELLEXIT BUY · 2026-07-10 00:00:00+00:00 · 754.95BUYENTRY BUY · 2026-07-13 00:00:00+00:00 · 752.47BUYEXIT SELL · 2026-07-13 00:00:00+00:00 · 749.17SELLENTRY SELL · 2026-07-14 00:00:00+00:00 · 750.91SELLEXIT BUY · 2026-07-14 00:00:00+00:00 · 751.83BUYENTRY SELL · 2026-07-15 00:00:00+00:00 · 754.24SELLEXIT BUY · 2026-07-15 00:00:00+00:00 · 754.81BUYENTRY BUY · 2026-07-16 00:00:00+00:00 · 752.76BUYEXIT SELL · 2026-07-16 00:00:00+00:00 · 750.72SELLENTRY BUY · 2026-07-17 00:00:00+00:00 · 742.08BUYEXIT SELL · 2026-07-17 00:00:00+00:00 · 743.29SELLENTRY SELL · 2026-07-20 00:00:00+00:00 · 747.06SELLEXIT BUY · 2026-07-20 00:00:00+00:00 · 742.09BUYENTRY SELL · 2026-07-21 00:00:00+00:00 · 746.29SELLEXIT BUY · 2026-07-21 00:00:00+00:00 · 748.28BUYENTRY BUY · 2026-07-22 00:00:00+00:00 · 746.62BUYEXIT SELL · 2026-07-22 00:00:00+00:00 · 747.41SELLENTRY BUY · 2026-07-23 00:00:00+00:00 · 739.37BUYEXIT SELL · 2026-07-23 00:00:00+00:00 · 738.18SELLENTRY SELL · 2026-07-24 00:00:00+00:00 · 738.51SELLEXIT BUY · 2026-07-24 00:00:00+00:00 · 738.93BUYENTRY SELL · 2026-07-27 00:00:00+00:00 · 744.91SELLEXIT BUY · 2026-07-27 00:00:00+00:00 · 739.09BUYENTRY SELL · 2026-07-28 00:00:00+00:00 · 739.19SELLEXIT BUY · 2026-07-28 00:00:00+00:00 · 740.86BUYENTRY BUY · 2026-07-29 00:00:00+00:00 · 739.97BUYEXIT SELL · 2026-07-29 00:00:00+00:00 · 729.46SELLENTRY SELL · 2026-07-30 00:00:00+00:00 · 736.05SELLEXIT BUY · 2026-07-30 00:00:00+00:00 · 741.69BUYENTRY SELL · 2026-07-31 00:00:00+00:00 · 744.68SELLEXIT BUY · 2026-07-31 00:00:00+00:00 · 747.03BUYENTRY SELL · 2026-08-03 00:00:00+00:00 · 749.44SELLEXIT BUY · 2026-08-03 00:00:00+00:00 · 757.67BUYENTRY SELL · 2026-08-04 00:00:00+00:00 · 760.63SELLEXIT BUY · 2026-08-04 00:00:00+00:00 · 771.33BUYENTRY SELL · 2026-08-05 00:00:00+00:00 · 775.85SELLEXIT BUY · 2026-08-05 00:00:00+00:00 · 769.79BUYENTRY SELL · 2026-08-06 00:00:00+00:00 · 770.21SELLEXIT BUY · 2026-08-06 00:00:00+00:00 · 768.56BUYENTRY SELL · 2026-08-07 00:00:00+00:00 · 771.02SELLEXIT BUY · 2026-08-07 00:00:00+00:00 · 773.26BUYENTRY BUY · 2026-08-10 00:00:00+00:00 · 772.60BUYEXIT SELL · 2026-08-10 00:00:00+00:00 · 773.03SELLENTRY SELL · 2026-08-11 00:00:00+00:00 · 774.53SELLEXIT BUY · 2026-08-11 00:00:00+00:00 · 770.56BUYENTRY SELL · 2026-08-12 00:00:00+00:00 · 774.71SELLEXIT BUY · 2026-08-12 00:00:00+00:00 · 772.49BUYENTRY SELL · 2026-08-13 00:00:00+00:00 · 774.87SELLEXIT BUY · 2026-08-13 00:00:00+00:00 · 777.88BUYENTRY SELL · 2026-08-14 00:00:00+00:00 · 778.54SELLEXIT BUY · 2026-08-14 00:00:00+00:00 · 776.34BUYENTRY BUY · 2026-08-17 00:00:00+00:00 · 776.18BUYEXIT SELL · 2026-08-17 00:00:00+00:00 · 772.67SELLENTRY BUY · 2026-08-18 00:00:00+00:00 · 768.70BUYEXIT SELL · 2026-08-18 00:00:00+00:00 · 767.45SELLENTRY SELL · 2026-08-19 00:00:00+00:00 · 770.36SELLEXIT BUY · 2026-08-19 00:00:00+00:00 · 769.06BUYENTRY BUY · 2026-08-20 00:00:00+00:00 · 765.96BUYEXIT SELL · 2026-08-20 00:00:00+00:00 · 762.60SELLENTRY SELL · 2026-08-21 00:00:00+00:00 · 766.05SELLEXIT BUY · 2026-08-21 00:00:00+00:00 · 765.72BUYENTRY BUY · 2026-08-24 00:00:00+00:00 · 764.78BUYEXIT SELL · 2026-08-24 00:00:00+00:00 · 763.47SELLENTRY SELL · 2026-08-25 00:00:00+00:00 · 766.16SELLEXIT BUY · 2026-08-25 00:00:00+00:00 · 765.91BUYENTRY BUY · 2026-08-26 00:00:00+00:00 · 764.73BUYEXIT SELL · 2026-08-26 00:00:00+00:00 · 766.08SELLENTRY SELL · 2026-08-27 00:00:00+00:00 · 768.50SELLEXIT BUY · 2026-08-27 00:00:00+00:00 · 771.10BUYENTRY SELL · 2026-08-28 00:00:00+00:00 · 771.76SELLEXIT BUY · 2026-08-28 00:00:00+00:00 · 769.35BUYENTRY BUY · 2026-08-31 00:00:00+00:00 · 767.33BUYEXIT SELL · 2026-08-31 00:00:00+00:00 · 767.05SELLENTRY BUY · 2026-09-01 00:00:00+00:00 · 762.01BUYEXIT SELL · 2026-09-01 00:00:00+00:00 · 761.78SELLENTRY SELL · 2026-09-02 00:00:00+00:00 · 762.45SELLEXIT BUY · 2026-09-02 00:00:00+00:00 · 765.16BUYENTRY SELL · 2026-09-03 00:00:00+00:00 · 767.90SELLEXIT BUY · 2026-09-03 00:00:00+00:00 · 773.17BUYENTRY BUY · 2026-09-04 00:00:00+00:00 · 772.01BUYEXIT SELL · 2026-09-04 00:00:00+00:00 · 770.19SELLENTRY BUY · 2026-09-08 00:00:00+00:00 · 769.07BUYEXIT SELL · 2026-09-08 00:00:00+00:00 · 765.96SELLENTRY BUY · 2026-09-09 00:00:00+00:00 · 764.08BUYEXIT SELL · 2026-09-09 00:00:00+00:00 · 762.40SELLENTRY BUY · 2026-09-10 00:00:00+00:00 · 758.03BUYEXIT SELL · 2026-09-10 00:00:00+00:00 · 757.83SELLENTRY SELL · 2026-09-11 00:00:00+00:00 · 764.72SELLEXIT BUY · 2026-09-11 00:00:00+00:00 · 764.29BUYENTRY BUY · 2026-09-14 00:00:00+00:00 · 759.00BUYEXIT SELL · 2026-09-14 00:00:00+00:00 · 760.88SELLENTRY BUY · 2026-09-15 00:00:00+00:00 · 760.12BUYEXIT SELL · 2026-09-15 00:00:00+00:00 · 757.39SELLENTRY SELL · 2026-09-16 00:00:00+00:00 · 759.50SELLEXIT BUY · 2026-09-16 00:00:00+00:00 · 754.05BUYENTRY SELL · 2026-09-17 00:00:00+00:00 · 763.15SELLEXIT BUY · 2026-09-17 00:00:00+00:00 · 762.60BUYENTRY BUY · 2026-09-18 00:00:00+00:00 · 761.31BUYEXIT SELL · 2026-09-18 00:00:00+00:00 · 761.69SELLENTRY SELL · 2026-09-21 00:00:00+00:00 · 766.25SELLEXIT BUY · 2026-09-21 00:00:00+00:00 · 773.50BUYENTRY SELL · 2026-09-22 00:00:00+00:00 · 774.03SELLEXIT BUY · 2026-09-22 00:00:00+00:00 · 773.38BUYENTRY BUY · 2026-09-23 00:00:00+00:00 · 772.79BUYEXIT SELL · 2026-09-23 00:00:00+00:00 · 767.81SELLENTRY BUY · 2026-09-24 00:00:00+00:00 · 764.07BUYEXIT SELL · 2026-09-24 00:00:00+00:00 · 767.18SELLENTRY SELL · 2026-09-25 00:00:00+00:00 · 768.78SELLEXIT BUY · 2026-09-25 00:00:00+00:00 · 771.35BUYENTRY BUY · 2026-09-28 00:00:00+00:00 · 768.35BUYEXIT SELL · 2026-09-28 00:00:00+00:00 · 765.61SELLENTRY SELL · 2026-09-29 00:00:00+00:00 · 766.83SELLEXIT BUY · 2026-09-29 00:00:00+00:00 · 764.20BUYENTRY SELL · 2026-09-30 00:00:00+00:00 · 766.45SELLEXIT BUY · 2026-09-30 00:00:00+00:00 · 766.79BUY2026-04-102026-09-30

Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.

Historical equity curve

Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.

Backtest specification

STATUS / REPLICATIONcompleted · exact_course_rules
DATAYahoo Finance (delayed/unofficial)
MARKETSPY · 1d
HISTORY2016-09-30T00:00:00+00:00
2026-09-30T00:00:00+00:00
WIN RATE+46.55%
PROFIT FACTOR0.89

The source evidence is cross-sectional across assets; this SPY sign test is explicitly a component proxy.

Historical transactions

Download JSONDownload all transactions as CSV

HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 2,492 transactions.

EntrySideEntry priceExitExit priceOutcomeNet return
2026-09-30 00:00:00+00:00SHORT766.452026-09-30 00:00:00+00:00766.79MISS-0.084%
2026-09-29 00:00:00+00:00SHORT766.832026-09-29 00:00:00+00:00764.20HIT+0.303%
2026-09-28 00:00:00+00:00LONG768.352026-09-28 00:00:00+00:00765.61MISS-0.397%
2026-09-25 00:00:00+00:00SHORT768.782026-09-25 00:00:00+00:00771.35MISS-0.374%
2026-09-24 00:00:00+00:00LONG764.072026-09-24 00:00:00+00:00767.18HIT+0.367%
2026-09-23 00:00:00+00:00LONG772.792026-09-23 00:00:00+00:00767.81MISS-0.684%
2026-09-22 00:00:00+00:00SHORT774.032026-09-22 00:00:00+00:00773.38HIT+0.044%
2026-09-21 00:00:00+00:00SHORT766.252026-09-21 00:00:00+00:00773.50MISS-0.986%
2026-09-18 00:00:00+00:00LONG761.312026-09-18 00:00:00+00:00761.69HIT+0.010%
2026-09-17 00:00:00+00:00SHORT763.152026-09-17 00:00:00+00:00762.60HIT+0.032%
2026-09-16 00:00:00+00:00SHORT759.502026-09-16 00:00:00+00:00754.05HIT+0.678%
2026-09-15 00:00:00+00:00LONG760.122026-09-15 00:00:00+00:00757.39MISS-0.399%
2026-09-14 00:00:00+00:00LONG759.002026-09-14 00:00:00+00:00760.88HIT+0.208%
2026-09-11 00:00:00+00:00SHORT764.722026-09-11 00:00:00+00:00764.29HIT+0.016%
2026-09-10 00:00:00+00:00LONG758.032026-09-10 00:00:00+00:00757.83MISS-0.066%
2026-09-09 00:00:00+00:00LONG764.082026-09-09 00:00:00+00:00762.40MISS-0.260%
2026-09-08 00:00:00+00:00LONG769.072026-09-08 00:00:00+00:00765.96MISS-0.444%
2026-09-04 00:00:00+00:00LONG772.012026-09-04 00:00:00+00:00770.19MISS-0.276%
2026-09-03 00:00:00+00:00SHORT767.902026-09-03 00:00:00+00:00773.17MISS-0.726%
2026-09-02 00:00:00+00:00SHORT762.452026-09-02 00:00:00+00:00765.16MISS-0.395%
2026-09-01 00:00:00+00:00LONG762.012026-09-01 00:00:00+00:00761.78MISS-0.070%
2026-08-31 00:00:00+00:00LONG767.332026-08-31 00:00:00+00:00767.05MISS-0.076%
2026-08-28 00:00:00+00:00SHORT771.762026-08-28 00:00:00+00:00769.35HIT+0.272%
2026-08-27 00:00:00+00:00SHORT768.502026-08-27 00:00:00+00:00771.10MISS-0.378%
2026-08-26 00:00:00+00:00LONG764.732026-08-26 00:00:00+00:00766.08HIT+0.137%
2026-08-25 00:00:00+00:00SHORT766.162026-08-25 00:00:00+00:00765.91MISS-0.007%
2026-08-24 00:00:00+00:00LONG764.782026-08-24 00:00:00+00:00763.47MISS-0.211%
2026-08-21 00:00:00+00:00SHORT766.052026-08-21 00:00:00+00:00765.72HIT+0.003%
2026-08-20 00:00:00+00:00LONG765.962026-08-20 00:00:00+00:00762.60MISS-0.479%
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