Research Backtest

TD Sequential backtest

Backtest Setup 9 and Countdown 13 on daily price history. Fills at the next open. Costs are basis points on each side.

Price & signals

Markers are signals. Unless noted, the fill is the next bar’s open.

Strategy Buy & hold In market

Log scale

Strategy Buy & hold

Calendar months in %. Grey months were spent in cash.

Each closed trade in order. Height is the return after costs.

Click a row to zoom the charts to it.

Assumptions

Historical fills only. Signal on the close, fill at the next open. Not a live order.

Costs: Commission 5 bps and slippage 5 bps each side. 0 is off.
Session: Not in force on this run.
Data: Daily OHLCV, split-adjusted. Weekly and monthly bars are built from the daily bars.

Fills, costs, session, and every metric

Signals are evaluated on each bar's close. Orders fill at the next bar's open.
Each entry invests 100% of current equity (fractional units). Commission and slippage are charged in basis points on every entry and exit. The inputs default to 5 bps and 5 bps. 0 turns that leg off.
Indicators are warmed up on the history before the start date; trades only happen inside the selected range.
Stop loss, take profit and max bars are checked on the close and exit at the next open. 0 leaves that rule off.
Buy & hold buys at the close of the first bar with the same costs. An open position on the last bar is marked to market and excluded from trade statistics.

The session rules apply to HSI futures 1m, 5m, 30m, and 1h ATR SuperTrend. Daily, weekly, and monthly runs ignore clock, exit timeframe, after the flip, confirm, flatten, and point cost. 1m, 5m, 30m, and 1h read the stored matrix.
Day session is 09:15–12:00 and 13:00–16:30 Hong Kong time.
Clock state fills at the clock bar’s open, using the direction of the last completed bar. The clock is not used for Any flip.
Any flip fills at the next bar’s open. First flip after the clock ignores earlier flips and fills at the next open.
After the flip: flat exits on the opposite flip and stays out for the day; re-enter takes a later flip back to the original side; reverse takes the new side on the opposite flip.
Flatten exits at that bar’s close. The stored matrix flattens at the session close. Turning flatten off, and Daily agrees, are not in the stored matrix.

Equities: basis points on each side. HSI futures daily, weekly, and monthly: index points for one unit. Basis-point commission is not applied, and point cost is off.
HSI futures 1m, 5m, 30m, and 1h ATR SuperTrend: round-trip points, once per closed trade. Default is 8 on a 1-minute exit and 6 on a 5-minute, 30-minute, or 1-hour exit. 0 is price only. Basis-point commission is not applied.

Daily OHLCV, dividends and splits, refreshed on a schedule. Weekly and monthly bars are built from the daily bars.
Prices are split-adjusted. With dividends on, earlier prices are scaled by (1 − D ÷ previous close).
HSI futures 1m, 5m, 30m, and 1h ATR SuperTrend is a stored result. A combination outside that matrix says not computed. The page does not replay the tape. Factor 2.5 and EMA smoothing 2 are the stored study. The score is index points for one unit.
Index symbols (^GSPC, ^NDX, ^HSI) are not directly tradable and carry no dividends.

CAGR: (final ÷ initial equity)^1/years − 1, years = calendar days ÷ 365.25.
Sharpe: mean(bar return − risk-free) ÷ stdev(bar return) × √(bars per year).
Sortino: Same numerator, downside deviation only.
Max drawdown: Largest fall from a running equity peak. Calmar = CAGR ÷ |max drawdown|.
Win rate: Closed trades with positive P&L after costs ÷ closed trades.
Profit factor: Gross profit ÷ gross loss of closed trades.