ES Weak Close Dip Buy (B12_01)
Buys the dip after a big, heavy-volume day that closed near its low, if the market is still weak late in the morning, then holds to the close.
Last validated: 2026-10-16 (baseline; weekly cadence starts after launch) · Validation status: Pass — Passes the bar in both years.
1 full-size ES contract. Test window 2024-09-23 to 2026-09-23 (2 years). Slippage 4 ticks per order, $2.50 commission per contract per side ($5 round trip); $100k account. 4-tick slippage per side = NQ $20, ES $50, GC $40 before commission.
Plain-English rules
- Market
- S&P 500 E-mini (ES)
- Timeframe
- 1h — 5m/15m/30m give the same signal
- Direction
- Long only, max 1 trade/day
- Style
- Mean reversion
- Frequency
- about 21 trades a year; holds to the close once it fires
- In stacks
- ES Stack, All-Instrument Stack
- Setup (from the prior regular session): close in the bottom 45% of its range, range at least 0.80× the 14-day ATR, volume at least 1.15× its 20-day average, daily ATR at least 35 points.
- Decision bar: the first bar closing at or after 11:00 ET. If no trade was taken, a second look at the first bar closing at or after 13:00 ET. Buy at that bar's close if price is still below the prior close or today's open.
- Exit: protective stop at 1.0× daily ATR below entry (clamped to 25–110 ES points), no profit target, otherwise held to the 16:00 ET close. 39 of 42 trades ended at the close, 3 at the stop. Average hold about 4.5 hours.
Summary of the rules. The full parameter-level rules document is delivered to subscribers (documents only — no code).
Equity curve & drawdown
Year-by-year
| Period | Net | PF | Trades |
|---|---|---|---|
| Year 1 (exits to 2025-08-31) | $28,080 | 2.48 | 24 |
| Year 2 (from 2025-09-01) | $17,872.50 | 8.75 | 18 |
39% of the 2-year profit came in year 2.
Recent form
Last 3 months: 6 trades, PF 7.4, +$4,982. 2 trades after the window added $1,365.
Robustness
Robustness checks not run. All timeframes from 5m to 1h pass, but 5m–30m are the same signal.
Other timeframes
| Timeframe | Net | PF | Win % | Trades | Max DD | Result |
|---|---|---|---|---|---|---|
| 5m / 15m / 30m | +$42,395 | 3.11 | 56.1% | 41 | $5,327.50 | same signal (clock-keyed entry) — not independent confirmation |
Flags for this strategy
- Low trade count (42 trades, ~21 a year).
- Long-only dip buying: exposed to a regime where weak closes keep falling.
- Test window was a strongly rising ES market.
- Other ES dip-buy variants (B14_01 etc.) overlap 90–100% of entry days — alternates, not extra diversification.
- Part of the ES one-engine family: six ES strategies fire at the same two decision bars (about 08:00 and 10:00 PT), hold to the close and trade at most once a day. Stacking all six is worse than B12_01 alone (+$30,410 vs +$45,952).