Volatility · Volatility-band breakout
AMZN Volatility Breakout 20·1.5σ · 1D
Volatility-band breakout on AMZN CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−15.2%Backtest
Max drawdown−9.3%Volatility 11.1%
Sharpe-1.43Trades 6
Since go-live—market closed
Backtest on real market data
Annual return−15.2%
Max drawdown−9.3%
Sharpe-1.43
Trades6
Winning trades33%
Time in market72%
Backtest on real historical prices from May 6, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Alpaca)
Methodology
- Long when price closes above the upper volatility band (20-bar mean + 1.5σ), short below the lower band.
- Exit when price falls back to the moving average.
- Trades both directions (long and short).
- Position size targets 12% annualised volatility (risk level 3/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -1.8 | 2.9 | -5.3 | -1.9 | -0.3 | -0.1 | -6.5% |