V0 — HSTECH ORB + HSI Gap Continuation
Spread-Aware OHLC Backtest
2023-07-01 → 2026-05-16
699 trading days
Generated 2026-05-17 18:45
Pricing model: Entry at ask (open + per-ETF half-spread);
all exits (SL / TP / trail / EOD) at bid (level − per-ETF half-spread).
Commission 0.08% RT applied separately.
Spread data from live Futu order-book sampling (2026-05-17).
Intrabar SL/TP detection: uses bar high/low — SL checked first (conservative).
SL reversal: enters opposite ETF after SL before 14:30, holds to EOD.
Total P&L (HKD)
+494,968
404 trades incl. SL-rev
Win Rate
79.2%
320W / 84L
Profit Factor
4.51
Gross W / Gross L
Max Drawdown
-12,547
-3.1% of HKD 400K cap
Sharpe (ann.)
8.27
√252 scaled
Expectancy
+1,225
HKD per trade
Equity curve
Cumulative P&L — HKD (running from 2023-07-01)
Monthly P&L
| Month | n | WR |
P&L | Cumul |
| 2023-07 |
14 |
78.6% |
+21,530 |
+21,530 |
| 2023-08 |
19 |
73.7% |
+6,017 |
+27,547 |
| 2023-09 |
16 |
81.2% |
+26,922 |
+54,469 |
| 2023-10 |
17 |
47.1% |
+7,875 |
+62,345 |
| 2023-11 |
18 |
77.8% |
+25,586 |
+87,931 |
| 2023-12 |
12 |
91.7% |
+10,775 |
+98,706 |
| 2024-01 |
16 |
75.0% |
+10,591 |
+109,298 |
| 2024-02 |
5 |
40.0% |
-3,656 |
+105,641 |
| 2024-03 |
7 |
100.0% |
+8,410 |
+114,051 |
| 2024-04 |
15 |
93.3% |
+30,438 |
+144,489 |
| 2024-05 |
15 |
80.0% |
+19,031 |
+163,519 |
| 2024-06 |
15 |
73.3% |
+16,881 |
+180,401 |
| 2024-07 |
12 |
83.3% |
+18,308 |
+198,709 |
| 2024-08 |
19 |
68.4% |
+13,787 |
+212,496 |
| 2024-09 |
12 |
91.7% |
+15,033 |
+227,529 |
| 2024-10 |
2 |
100.0% |
+9,950 |
+237,479 |
| 2024-11 |
10 |
80.0% |
+28,902 |
+266,381 |
| 2024-12 |
10 |
50.0% |
-2,172 |
+264,210 |
| 2025-01 |
13 |
84.6% |
+21,567 |
+285,776 |
| 2025-02 |
11 |
100.0% |
+20,384 |
+306,160 |
| 2025-03 |
7 |
85.7% |
+7,590 |
+313,750 |
| 2025-05 |
6 |
100.0% |
+10,169 |
+323,919 |
| 2025-06 |
11 |
81.8% |
+10,596 |
+334,515 |
| 2025-07 |
11 |
81.8% |
+9,928 |
+344,444 |
| 2025-08 |
13 |
84.6% |
+15,985 |
+360,429 |
| 2025-09 |
12 |
75.0% |
+15,931 |
+376,360 |
| 2025-10 |
7 |
71.4% |
+2,972 |
+379,331 |
| 2025-11 |
11 |
90.9% |
+19,669 |
+399,000 |
| 2025-12 |
8 |
100.0% |
+19,446 |
+418,446 |
| 2026-01 |
14 |
85.7% |
+19,143 |
+437,589 |
| 2026-02 |
15 |
66.7% |
+21,470 |
+459,060 |
| 2026-03 |
17 |
94.1% |
+32,008 |
+491,068 |
| 2026-04 |
10 |
60.0% |
-15 |
+491,053 |
| 2026-05 |
4 |
75.0% |
+3,915 |
+494,968 |
Exit Reason Breakdown
| Exit | n | WR | P&L |
| trail |
182 |
100.0% |
+374,480 |
| EOD |
131 |
63.4% |
+170,261 |
| BE |
55 |
100.0% |
+24,268 |
| SL |
36 |
0.0% |
-74,041 |
Strategy breakdown
| Strategy | n | WR | PF |
P&L | Max DD | Sharpe |
| HSTECH |
118 |
79.7% |
5.94 |
+203,560 |
-5,445 |
10.91 |
| HSI |
252 |
82.1% |
5.08 |
+265,260 |
-5,098 |
9.39 |
| SL_REV |
34 |
55.9% |
1.75 |
+26,148 |
-22,985 |
2.79 |
Spread cost attribution
| ETF | Trades | Half-spread |
Full spread RT | Est. total cost |
| HK.07226 |
60 |
0.0258% |
0.0517% |
-9,157 |
| HK.07552 |
74 |
0.0609% |
0.1217% |
-37,737 |
| HK.07200 |
138 |
0.0425% |
0.0849% |
-28,792 |
| HK.07500 |
132 |
0.0590% |
0.1179% |
-43,688 |
Walk-forward OOS results (anchored, 2025–2026)
| OOS Window | Best Mult | n |
WR | PF | P&L |
| 2025-07-01→2025-09-30 |
2.50 |
36 |
80.6% |
6.46 |
+78,065 ✅ |
| 2025-10-01→2025-12-31 |
2.50 |
26 |
88.5% |
11.22 |
+78,688 ✅ |
| 2026-01-01→2026-03-31 |
2.50 |
46 |
82.6% |
6.76 |
+148,196 ✅ |
| 2026-04-01→2026-04-30 |
2.50 |
10 |
60.0% |
1.00 |
-38 ❌ |
| Aggregated OOS |
|
118 |
81.4% |
6.27 |
+304,911 |
Monte Carlo — 5,000 bootstrapped sequences
| Percentile | Final P&L |
Return % | Max DD |
| P5 |
+416,881 |
104.2% |
-7,083 |
| P25 |
+463,192 |
115.8% |
-8,960 |
| P50 |
+494,154 |
123.5% |
-10,591 |
| P75 |
+525,444 |
131.4% |
-12,416 |
| P95 |
+572,625 |
143.2% |
-16,813 |
Probability of loss
0.00%
Prob Max DD > 5% cap
1.5%
Recent trades (last 30)
| Date | Strategy | Dir | ETF | Regime |
Scale | Entry | P&L |
Exit | Dur |
| 2026-03-02 |
HSI |
short |
07500 |
agree |
2.0 |
1.725 |
+5,051 |
trail |
65m |
| 2026-03-04 |
HSTECH |
short |
07552 |
agree |
2.0 |
1.855 |
+1,218 |
trail |
120m |
| 2026-03-04 |
HSI |
short |
07500 |
agree |
2.0 |
1.835 |
+3,398 |
trail |
5m |
| 2026-03-05 |
HSI |
long |
07200 |
solo |
1.0 |
5.742 |
+708 |
trail |
105m |
| 2026-03-06 |
HSTECH |
long |
07226 |
solo |
1.0 |
3.871 |
+3,929 |
trail |
185m |
| 2026-03-10 |
HSI |
long |
07200 |
solo |
1.0 |
5.812 |
+1,880 |
EOD |
375m |
| 2026-03-11 |
HSI |
long |
07200 |
solo |
1.0 |
5.948 |
+129 |
BE |
95m |
| 2026-03-12 |
HSI |
short |
07500 |
solo |
1.0 |
1.781 |
+838 |
trail |
300m |
| 2026-03-19 |
HSI |
short |
07500 |
solo |
1.0 |
1.811 |
+133 |
EOD |
375m |
| 2026-03-20 |
HSI |
short |
07500 |
solo |
1.0 |
1.819 |
+132 |
BE |
65m |
| 2026-03-23 |
HSI |
short |
07500 |
solo |
1.0 |
1.913 |
+4,750 |
trail |
360m |
| 2026-03-24 |
HSI |
long |
07200 |
solo |
1.0 |
5.382 |
+3,142 |
EOD |
375m |
| 2026-03-25 |
HSI |
long |
07200 |
solo |
1.0 |
5.602 |
+306 |
BE |
30m |
| 2026-03-26 |
HSTECH |
short |
07552 |
solo |
1.0 |
1.783 |
+4,917 |
EOD |
320m |
| 2026-03-30 |
HSI |
short |
07500 |
solo |
1.0 |
1.943 |
-2,047 |
EOD |
375m |
| 2026-03-31 |
HSTECH |
short |
07552 |
solo |
1.0 |
1.895 |
+1,729 |
trail |
190m |
| 2026-04-13 |
HSI |
short |
07500 |
solo |
1.0 |
1.751 |
+382 |
EOD |
375m |
| 2026-04-14 |
HSI |
long |
07200 |
solo |
1.0 |
5.877 |
-335 |
EOD |
375m |
| 2026-04-15 |
HSI |
long |
07200 |
solo |
1.0 |
5.993 |
-1,408 |
EOD |
375m |
| 2026-04-16 |
HSI |
long |
07200 |
solo |
1.0 |
5.983 |
+189 |
BE |
25m |
| 2026-04-17 |
HSI |
short |
07500 |
solo |
1.0 |
1.679 |
+953 |
EOD |
375m |
| 2026-04-22 |
HSI |
short |
07500 |
solo |
1.0 |
1.669 |
+958 |
EOD |
375m |
| 2026-04-24 |
HSI |
short |
07500 |
solo |
1.0 |
1.733 |
+186 |
trail |
70m |
| 2026-04-29 |
HSI |
long |
07200 |
solo |
1.0 |
5.807 |
+1,391 |
trail |
60m |
| 2026-04-30 |
SL_REV |
long |
07226 |
solo |
1.0 |
3.801 |
-684 |
EOD |
110m |
| 2026-04-30 |
HSTECH |
short |
07552 |
solo |
1.0 |
1.715 |
-1,646 |
SL |
215m |
| 2026-05-04 |
HSI |
long |
07200 |
solo |
1.0 |
5.963 |
+1,046 |
trail |
55m |
| 2026-05-05 |
HSI |
short |
07500 |
solo |
1.0 |
1.707 |
+1,364 |
trail |
35m |
| 2026-05-07 |
HSI |
long |
07200 |
solo |
1.0 |
6.123 |
+1,945 |
EOD |
375m |
| 2026-05-08 |
HSI |
short |
07500 |
solo |
1.0 |
1.649 |
-440 |
EOD |
375m |
Generated by tick_backtest_report.py · 2026-05-17 18:45 ·
Data: Futu OpenD 5m OHLC · Costs: per-ETF bid/ask + 0.08% commission RT