ES ATR-Scaled Drop Dip Buy (B8_02)
Buys after a big down day, where 'big' is measured in ATR units so it adapts to calm and volatile periods.
Last validated: 2026-10-16 (baseline; weekly cadence starts after launch) · Validation status: Watch — Profit front-loaded into year 1; last 6 months slightly negative.
1 full-size ES contract ($50 per point). 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.
≈ Some headline figures here are "about" values from the ladder row (rounded to ~$100); the win rate is from the saved trade list; not recorded in the ladder row.
Plain-English rules
- Market
- S&P 500 E-mini (ES)
- Timeframe
- 1h — 5m/15m/30m also pass (same signal)
- Direction
- Long only, max 1 trade/day
- Style
- Mean reversion
- Frequency
- about 43 trades a year; held to the close
- In stacks
- —
- Setup: the prior session's close-to-close fall was at least 0.40× the 14-day daily ATR; daily ATR at least 35 points.
- Shared ES dip-buy engine: long only, at most 1 trade a day, regular session only (half-days skipped). A 'setup' is judged from the prior regular session. Decision bar: the first bar closing at or after 11:00 ET (08:00 PT); if nothing traded, a second look at the first bar closing at or after 13:00 ET (10:00 PT). It buys at that bar's close only if price is still weak (below the prior close or below today's open), then holds to the 16:00 ET close.
- Exit: protective stop 1.0× daily ATR below entry (clamped to 25–110 ES points), no profit target, otherwise flat at the 16:00 ET close. Of 85 trades in the list: 78 ended at the flatten, 5 at the stop, 2 outside-session flatten. 72 entered at the morning bar, 13 at the afternoon bar.
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) | $42,858 | 3.49 | 36 |
| Year 2 (from 2025-09-01) | $12,705 | 1.45 | 49 |
23% of the 2-year profit came in year 2. Year split computed from the clipped saved trade list (85 trades, +$55,562, PF 2.23, win 54.1%, closed-trade DD $8,382); it differs slightly from the headline run. Year 1 = exits to 2025-08-31, year 2 = from 2025-09-01.
Recent form
Last 3 months (list): 15 trades, PF 0.73, −$2,112.50. Last 6 months: 22 trades, PF 0.87, −$2,072.50. 2 trades after the window added $890.
Robustness
Robustness checks not run. 5m/15m/30m/1h all pass, but they are the same clock-keyed signal.
Other timeframes
| Timeframe | Net | PF | Win % | Trades | Max DD | Result |
|---|---|---|---|---|---|---|
| 5m | ≈+$52.3k | 2.19 | — | 82 | ≈$8.5k | passes |
| 15m | ≈+$52.3k | — | — | — | — | passes |
| 30m | ≈+$52.1k | — | — | — | ≈$8.6k | passes |
Flags for this strategy
- Profit is front-loaded: year 1 +$42,858 (PF 3.49) vs year 2 +$12,705 (PF 1.45).
- Last 3 and 6 months are negative.
- The 0.40× ATR threshold was picked on this same window (script header: 'treat as a hypothesis').
- Headline figures are 'about' values from the ladder row (net ≈$55.7k, DD ≈$9.1k); the ladder shows 86 trades vs 85 in the list.
- Overlap with ES B12_01: 36% of its days are B12_01 days; 74% of B12_01's days are its days.
- Part of the ES one-engine family: all ES strategies enter at the same two decision bars (about 08:00 and 10:00 PT), hold to the close and trade at most once a day, so only one of them can be in a trade on any day.