SD1H4H — S&P 500 (US 500) Multi-TF Structure Backtest Original Model

Dukascopy 1-minute BID data, Jan 2022 → present · S&P 500 (US 500) (USA500IDXUSD)
← All Markets Overview Strategy A Strategy B Trade Viewer Regime Analysis Entry Filters Trading Costs Monte Carlo Variant Model →
Both strategies mandatorily require the 1H close to be aligned with the EMA(50) on 1H (above for longs, below for shorts) — this filter is always on. Wick-confirmation (V1.3) and event-driven bias are both enabled, matching the indicator's defaults. Each trade is tagged BOS when the 1H break agrees with the 4H bias (WithHTF continuation), or CHoCH when it fires against the 4H bias (CounterHTF reversal) — both are valid entries per the strategy rules.

Strategy A

Entries fire on a 1H BOS/CHoCH aligned with 4H bias (WithHTF_BOS + CounterHTF_CHOCH), filtered by EMA(50) on 1H. Stop is placed behind the last opposite 1H candle (V1.2 rule, max 30-bar lookback). Exit is a runner: closes on stop-hit or on an opposing 1H BOS/CHoCH.

Trades
1197
Win Rate
31.83%
Avg R / Trade
+0.04
Total R
+53.40
Profit Factor
1.084
Max Drawdown
-51.77R
Avg Win / Avg Loss
+1.81 / -0.78
Long / Short
687 / 510
Stop / Opp-Break Exits
508 / 689
Std Dev (R) / Sharpe-like
1.97 / 0.02
Max Win / Loss Streak
8 / 14

By Signal Type

BOS WithHTF continuation
Trades
782
Win Rate
29.28%
Avg R
+0.06
Total R
+46.56
Profit Factor
1.107
Max Drawdown
-39.85R
CHoCH CounterHTF reversal
Trades
415
Win Rate
36.63%
Avg R
+0.02
Total R
+6.84
Profit Factor
1.034
Max Drawdown
-36.12R
Cumulative R by signal typeAccount balance by signal type

Strategy B

Identical entry logic and stop rule to Strategy A. The only difference is the exit: the position is held until stop-hit, or until a newly-closed 4H bar prints an opposing BOS/CHoCH — a slower, higher-timeframe trailing exit instead of reacting to 1H structure.

Trades
804
Win Rate
25.25%
Avg R / Trade
-0.01
Total R
-4.26
Profit Factor
0.992
Max Drawdown
-54.00R
Avg Win / Avg Loss
+2.74 / -0.93
Long / Short
448 / 356
Stop / Opp-Break Exits
527 / 277
Std Dev (R) / Sharpe-like
2.23 / -0.00
Max Win / Loss Streak
3 / 18

By Signal Type

BOS WithHTF continuation
Trades
486
Win Rate
24.49%
Avg R
+0.06
Total R
+28.90
Profit Factor
1.085
Max Drawdown
-43.95R
CHoCH CounterHTF reversal
Trades
318
Win Rate
26.42%
Avg R
-0.10
Total R
-33.16
Profit Factor
0.848
Max Drawdown
-57.69R
Cumulative R by signal typeAccount balance by signal type

Equity Curves (Cumulative R)

Equity curve comparison

Account Balance ($1,000 start, 1% risk/trade, compounding)

Risk is 1% of the CURRENT balance on every trade, so wins and losses compound — this is a very different picture from the flat-R curves above, which assume constant risk per trade.

Account balance comparison

Data range: 2022-01-02 00:00:00 → 2026-08-21 23:00:00  ·  34,560 1H bars  ·  8,640 4H bars