ES Ten-Day Depth Pullback (B8_04)
Only buys real pullbacks: the prior close sits well below its recent 10-day high, after a weak, wide day.
Last validated: 2026-10-16 (baseline; weekly cadence starts after launch) · Validation status: Pass — Most even year split in the ES group (both years PF > 2.1).
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 29 trades a year; held to the close
- In stacks
- —
- Setup: prior close at least 1.0× daily ATR below the highest close of the last 10 sessions; prior-day IBS below 0.50; prior-day range at least 0.80× 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 58 trades in the list: 51 ended at the flatten, 6 at the stop, 1 outside-session flatten. 48 entered at the morning bar, 10 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) | $29,285 | 2.24 | 28 |
| Year 2 (from 2025-09-01) | $18,525 | 2.14 | 30 |
39% of the 2-year profit came in year 2. Year split computed from the clipped saved trade list (58 trades, +$47,810, PF 2.20, win 53.4%, closed-trade DD $9,610); 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): 5 trades, PF 1.63, +$1,512.50. Last 6 months: 10 trades, PF 1.54, +$5,387.50. 2 trades after the window added $1,365.
Robustness
Robustness checks not run. 5m–1h all pass but are the same clock-keyed signal.
Other timeframes
| Timeframe | Net | PF | Win % | Trades | Max DD | Result |
|---|---|---|---|---|---|---|
| 30m | ≈+$45.7k | 2.14 | — | 57 | ≈$9.9k | passes |
| 5m | ≈+$45.3k | — | — | — | — | passes |
| 15m | ≈+$45.7k | — | — | — | — | passes |
Flags for this strategy
- Overlaps ES B12_01 heavily: 64% of its days are B12_01 days and 88% of B12_01's days are its days — nearly a superset, so it adds little as a stack member.
- Thresholds were picked on this same window (script header).
- Headline figures are 'about' values from the ladder row (net ≈$47.8k, DD ≈$10.4k).
- 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.