📈 T+5 5-day swing Equity Curve
Fixed-capital simulation of the T+5 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+5 +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$1,079,134
Total Return
+7.91%
Max Drawdown
-3.31%
Calmar (ann.)
+19.81
Trades Taken
24 / 121
Skipped (slot full)
97
Win Rate
58.3%
Avg PnL/trade
+HK$3,297
Equity Curve (2026-06-27 → 2026-08-10, 45 days)
📋 Daily equity (last 60 days, 45 total rows)
| Date | Equity (HK$) | Open positions | Drawdown % |
|---|---|---|---|
| 2026-06-27 | HK$978,053 | 5 | 2.19% |
| 2026-06-28 | HK$978,053 | 5 | 2.19% |
| 2026-06-29 | HK$978,053 | 5 | 2.19% |
| 2026-06-30 | HK$978,053 | 5 | 2.19% |
| 2026-07-01 | HK$978,053 | 5 | 2.19% |
| 2026-07-02 | HK$981,294 | 5 | 1.87% |
| 2026-07-03 | HK$981,294 | 5 | 1.87% |
| 2026-07-04 | HK$981,294 | 5 | 1.87% |
| 2026-07-05 | HK$981,294 | 5 | 1.87% |
| 2026-07-06 | HK$981,294 | 5 | 1.87% |
| 2026-07-07 | HK$978,282 | 2 | 2.17% |
| 2026-07-08 | HK$978,282 | 2 | 2.17% |
| 2026-07-09 | HK$972,189 | 4 | 2.78% |
| 2026-07-10 | HK$972,189 | 4 | 2.78% |
| 2026-07-11 | HK$972,189 | 4 | 2.78% |
| 2026-07-12 | HK$972,189 | 2 | 2.78% |
| 2026-07-13 | HK$973,802 | 3 | 2.62% |
| 2026-07-14 | HK$987,677 | 3 | 1.23% |
| 2026-07-15 | HK$966,861 | 4 | 3.31% |
| 2026-07-16 | HK$973,009 | 5 | 2.7% |
| 2026-07-17 | HK$973,009 | 5 | 2.7% |
| 2026-07-18 | HK$973,009 | 4 | 2.7% |
| 2026-07-19 | HK$973,009 | 2 | 2.7% |
| 2026-07-20 | HK$973,009 | 1 | 2.7% |
| 2026-07-21 | HK$1,014,728 | 2 | 0.0% |
| 2026-07-22 | HK$1,014,728 | 2 | 0.0% |
| 2026-07-23 | HK$1,014,728 | 2 | 0.0% |
| 2026-07-24 | HK$1,014,728 | 2 | 0.0% |
| 2026-07-25 | HK$1,014,728 | 2 | 0.0% |
| 2026-07-26 | HK$1,014,728 | 0 | 0.0% |
| 2026-07-27 | HK$1,081,153 | 2 | 0.0% |
| 2026-07-28 | HK$1,081,153 | 2 | 0.0% |
| 2026-07-29 | HK$1,081,153 | 2 | 0.0% |
| 2026-07-30 | HK$1,079,134 | 3 | 0.19% |
| 2026-07-31 | HK$1,079,134 | 3 | 0.19% |
| 2026-08-01 | HK$1,079,134 | 1 | 0.19% |
| 2026-08-02 | HK$1,079,134 | 1 | 0.19% |
| 2026-08-03 | HK$1,079,134 | 1 | 0.19% |
| 2026-08-04 | HK$1,079,134 | 0 | 0.19% |
| 2026-08-05 | HK$1,079,134 | 0 | 0.19% |
| 2026-08-06 | HK$1,079,134 | 0 | 0.19% |
| 2026-08-07 | HK$1,079,134 | 0 | 0.19% |
| 2026-08-08 | HK$1,079,134 | 0 | 0.19% |
| 2026-08-09 | HK$1,079,134 | 0 | 0.19% |
| 2026-08-10 | HK$1,079,134 | 0 | 0.19% |
Methodology
- Universe: 121 T+5 signals from 2026-06-27 to 2026-08-10
- 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: 5 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 / 121 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 · 121 T+5 signals