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Signal ensemble · Multi-signal ensemble

US500 · US100 Signal Ensemble · 4H

Multi-signal ensemble on US500, US100 CFDs, evaluated on completed 4H bars and executed at live bid/ask.

Annual return−6.8%Backtest
Max drawdown−10.5%Volatility 7.8%
Sharpe-0.84Trades 193
Since go-live−0.04% Live
Use in my package All strategies
Live equity
06:15 AM06:48 AM07:22 AM07:56 AM08:30 AM+0.085%+0.022%−0.041%
Backtest on real market data
Apr 1May 17Jul 2Aug 17Oct 2+7%+2%−3%
Annual return−6.8%
Max drawdown−10.5%
Sharpe-0.84
Trades193
Winning trades38%
Time in market96%

Backtest on real historical prices from Apr 1, 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
  1. Four independent models vote: SMA 30/150 crossover, 90-bar momentum, Donchian 60/30 breakout and MACD.
  2. Exposure equals the average vote (−100 % to +100 % in 25 % steps), so conviction scales the position.
  3. Trades both directions (long and short).
  4. Position size targets 12% annualised volatility (risk level 3/5), capped at 5:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
JanFebMarAprMayJunJulAugSepOctNovDecΣ
20262.25.2-4.2-2.3-1.6-2.60.2-3.4%