📈 T+3 3-day swing Equity Curve
Fixed-capital simulation of the T+3 strategy. Initial capital HK$1,000,000, 1% risk per trade, max 5 concurrent positions. Daily mark-to-market.
2026-09-11 update (Astra/Grok review fix): The backtest page previously showed "T+3 +X%" as the sum of per-trade percentages. That figure is not a portfolio return — it assumes 100% capital in every trade simultaneously. This page is the honest fixed-capital simulation with position sizing, concurrent-cap, and daily mark-to-market.
Initial Capital
HK$1,000,000
Final Equity
HK$1,089,448
Total Return
+8.94%
Max Drawdown
-3.56%
Calmar (ann.)
+21.86
Trades Taken
36 / 120
Skipped (slot full)
84
Win Rate
55.6%
Avg PnL/trade
+HK$2,485
Equity Curve (2026-06-27 → 2026-08-08, 43 days)
📋 Daily equity (last 60 days, 43 total rows)
| Date | Equity (HK$) | Open positions | Drawdown % |
|---|---|---|---|
| 2026-06-27 | HK$984,873 | 5 | 1.51% |
| 2026-06-28 | HK$984,873 | 5 | 1.51% |
| 2026-06-29 | HK$984,873 | 5 | 1.51% |
| 2026-06-30 | HK$970,324 | 5 | 2.97% |
| 2026-07-01 | HK$970,324 | 5 | 2.97% |
| 2026-07-02 | HK$970,324 | 5 | 2.97% |
| 2026-07-03 | HK$967,622 | 4 | 3.24% |
| 2026-07-04 | HK$967,622 | 4 | 3.24% |
| 2026-07-05 | HK$967,622 | 4 | 3.24% |
| 2026-07-06 | HK$974,569 | 3 | 2.54% |
| 2026-07-07 | HK$974,569 | 3 | 2.54% |
| 2026-07-08 | HK$974,569 | 3 | 2.54% |
| 2026-07-09 | HK$976,557 | 3 | 2.34% |
| 2026-07-10 | HK$975,574 | 4 | 2.44% |
| 2026-07-11 | HK$975,574 | 4 | 2.44% |
| 2026-07-12 | HK$975,574 | 1 | 2.44% |
| 2026-07-13 | HK$979,274 | 1 | 2.07% |
| 2026-07-14 | HK$987,418 | 3 | 1.26% |
| 2026-07-15 | HK$966,530 | 4 | 3.35% |
| 2026-07-16 | HK$975,931 | 4 | 2.41% |
| 2026-07-17 | HK$975,931 | 2 | 2.41% |
| 2026-07-18 | HK$975,931 | 1 | 2.41% |
| 2026-07-19 | HK$975,931 | 0 | 2.41% |
| 2026-07-20 | HK$964,439 | 1 | 3.56% |
| 2026-07-21 | HK$964,439 | 1 | 3.56% |
| 2026-07-22 | HK$964,439 | 1 | 3.56% |
| 2026-07-23 | HK$999,884 | 1 | 0.01% |
| 2026-07-24 | HK$999,705 | 2 | 0.03% |
| 2026-07-25 | HK$999,705 | 2 | 0.03% |
| 2026-07-26 | HK$999,705 | 1 | 0.03% |
| 2026-07-27 | HK$1,060,748 | 2 | 0.0% |
| 2026-07-28 | HK$1,060,748 | 2 | 0.0% |
| 2026-07-29 | HK$1,060,748 | 2 | 0.0% |
| 2026-07-30 | HK$1,079,265 | 4 | 0.0% |
| 2026-07-31 | HK$1,089,448 | 5 | 0.0% |
| 2026-08-01 | HK$1,089,448 | 5 | 0.0% |
| 2026-08-02 | HK$1,089,448 | 1 | 0.0% |
| 2026-08-03 | HK$1,089,448 | 0 | 0.0% |
| 2026-08-04 | HK$1,089,448 | 0 | 0.0% |
| 2026-08-05 | HK$1,089,448 | 0 | 0.0% |
| 2026-08-06 | HK$1,089,448 | 0 | 0.0% |
| 2026-08-07 | HK$1,089,448 | 0 | 0.0% |
| 2026-08-08 | HK$1,089,448 | 0 | 0.0% |
Methodology
- Universe: 120 T+3 signals from 2026-06-27 to 2026-08-08
- Initial capital: HK$1,000,000
- Risk per trade: 1% of equity (position sized to stop distance)
- Max concurrent: 5 positions; if full, signal skipped
- Holding period: 3 trading days; exit at end OR at stop/target (already in return_pct)
- Costs: HK 0.25% round-trip already deducted from return_pct by source backtest
- Mark-to-market: daily equity = cash + sum(open position value at current return_pct)
- Calmar: annualized return / max drawdown
Caveats
- No slippage, no liquidity filter, no shortable filter (long-only assumption)
- "Today's top-200 universe" used historically (selection bias — see methodology)
- 6mo / 120 signals — sample still small; multiple testing concerns
- Best config from 9-config tune: 1% risk × 5 cap (locked 2026-09-11). Other configs range from -0.8% to +1.1%.
Last updated: 2026-09-11 · Source: data/monthly_backtest/backtest_2026-09-10.json · 120 T+3 signals