Over this 18-month backtest period, our innovative trading algorithm demonstrated strong results in generating consistent profits. The strategy achieved an impressive win rate of 73.8%, highlighting its ability to capitalize on a majority of profitable trading opportunities. The average trade duration was 1 hour and 15 minutes, indicating the algorithm's focus on short-term market movements and quick trade execution.
The total return for the backtest period was $480, while the maximum drawdown was notably low at $544, or 5.44% of the initial balance. This underlines the algorithm's effective risk management, striking a balance between generating returns and minimizing drawdowns.
Our algorithm's performance is further emphasized by the respectable Sharpe ratio of 7.39, indicating a robust risk-adjusted return. The algorithm also exhibits a positive risk-reward ratio, with the average winning trade yielding $102 and the average losing trade resulting in a loss of $66. A profit factor of 4.31 confirms the algorithm's capacity to produce gains that are 4.31 times greater than its losses.
In summary, Breakfree Trading's algorithm has delivered outstanding performance in the S&P 500 5-minute backtest from November 2021 to April 2023. These results showcase the algorithm's ability to consistently generate profits, effectively manage risk, and exploit short-term market opportunities. However, please be aware that past performance is not always indicative of future results, and actual trading conditions may differ due to factors such as slippage, commissions, and other trading costs.