Volatility · Volatility-band breakout
US500 Volatility Breakout 20·2σ · 1D
Volatility-band breakout on US500 CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−29.3%Backtest
Max drawdown−10.3%Volatility 7.1%
Sharpe-4.82Trades 4
Since go-live—awaiting first trade
Backtest on real market data
Annual return−29.3%
Max drawdown−10.3%
Sharpe-4.82
Trades4
Winning trades0%
Time in market33%
Backtest on real historical prices from Jun 10, 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 + 2σ), 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 5:1 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 | -3.4 | -1.4 | -3.2 | -2.6 | 0.0 | -10.3% |