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

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 ← Original 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
92
Win Rate
16.3%
Avg R / Trade
-0.20
Total R
-18.84
Profit Factor
0.737
Max Drawdown
-28.01R
Avg Win / Avg Loss
+3.51 / -0.93
Long / Short
55 / 37
Stop / Opp-Break Exits
67 / 25
Std Dev (R) / Sharpe-like
2.24 / -0.09
Max Win / Loss Streak
2 / 16

By Signal Type

BOS WithHTF continuation
Trades
47
Win Rate
14.89%
Avg R
-0.04
Total R
-1.92
Profit Factor
0.949
Max Drawdown
-13.01R
CHoCH CounterHTF reversal
Trades
45
Win Rate
17.78%
Avg R
-0.38
Total R
-16.92
Profit Factor
0.496
Max Drawdown
-24.12R
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
58
Win Rate
8.62%
Avg R / Trade
-0.07
Total R
-4.24
Profit Factor
0.918
Max Drawdown
-27.00R
Avg Win / Avg Loss
+9.54 / -0.98
Long / Short
36 / 22
Stop / Opp-Break Exits
51 / 7
Std Dev (R) / Sharpe-like
3.78 / -0.02
Max Win / Loss Streak
2 / 28

By Signal Type

BOS WithHTF continuation
Trades
31
Win Rate
6.45%
Avg R
-0.16
Total R
-5.02
Profit Factor
0.821
Max Drawdown
-16.00R
CHoCH CounterHTF reversal
Trades
27
Win Rate
11.11%
Avg R
+0.03
Total R
+0.78
Profit Factor
1.032
Max Drawdown
-12.00R
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