← Research Keystone Analytics

Camarilla T2 Dip-Buy: Deep Verification

Independent backtest • 685 trading days • 2023-06-06 to 2026-02-20 • ES=F continuous front-month

// Strategy Definition ENTRY = Downside T2 = open - 0.29 × prior_day_range TARGET = Upside T1 = open + 0.16 × prior_day_range STOP = Downside T3 = open - 0.475 × prior_day_range // Risk:Reward Ratio (theoretical) Risk = K2 - K3 = 0.29 - 0.475 = -0.185 × range Reward = K1 + K2 = 0.16 + 0.29 = 0.450 × range R:R = -2.43 : 1
685
Total Days
422
Fills (61.6%)
47.6%
Win Rate
+3595
Total PnL (pts)
+8.52
Avg PnL/Trade
2.52
Profit Factor
149
Max Drawdown
5.20
Sharpe-like

Formula vs PirateTraders Targets (Overlapping Period)

51 common trading days compared

+232
Formula PnL
+590
Pirate PnL
76%
Outcome Agreement
0.486
PnL Correlation

High agreement = formula is a faithful proxy for the actual service targets. The extended backtest using formula-derived levels is representative.

PirateTraders Period vs Extended Period

48.9%
Pirate Period WR
47.6%
Extended WR
+9.59
Pirate Avg PnL
+8.52
Extended Avg PnL

Detailed Statistics

Win/Loss Breakdown

Clean Wins97
Ambiguous Wins104
Clean Losses94
Ambiguous Losses109
Held to Close18
No Fill263

PnL Distribution

Average Win+28.7 pts
Average Loss-11.6 pts
Best Trade+204.5 pts
Worst Trade-119.9 pts
Median PnL+8.10 pts
Std Dev PnL26.03 pts
Win:Loss Ratio2.48
Max Consec Wins7
Max Consec Losses7

Equity Curve

Monthly Win Rate

Monthly PnL

Statistical Significance

Win Rate Test (Binomial)

H0: Win rate = 50% (no better than random)

Observed Win Rate47.6%
N Trades422
p-value0.3550
Wilson 95% CI[42.9%, 52.4%]
Significant?NO

PnL Test (t-test)

H0: Average PnL = 0 (no edge)

Mean PnL+8.52
Std Dev26.03
t-statistic6.724
p-value0.0000
Significant?YES

Bootstrap Confidence Interval on Total PnL

10,000 bootstrap resamples

Mean Total PnL+3598.2
95% CI[+2563.2, +4666.3]
Probability PnL > 0100.0%

Monte Carlo Simulation

10,000 randomized trade sequences, each with 422 trades resampled with replacement

100.0%
Paths Profitable
+2725
5th Percentile
+3592
Median
+4494
95th Percentile
228
95th pctile DD

Terminal Equity Distribution

5th percentile+2725.2
25th percentile+3235.4
Median (50th)+3591.7
75th percentile+3954.2
95th percentile+4494.3
Average+3598.2

Drawdown Risk

Median Max DD142 pts
75th pctile DD170 pts
95th pctile DD228 pts
99th pctile DD289 pts
P(DD > 100 pts)85.4%
P(DD > 200 pts)10.8%
P(DD > 500 pts)0.0%

Monte Carlo Equity Paths (50 samples)

Slippage Sensitivity

How does performance degrade with real-world execution costs?

Breakeven slippage: 8.5 pts (adequate)

ES mini tick = 0.25 pts ($12.50). Typical market order slippage: 0.25-1.0 pts. Limit orders may get 0 slippage but risk non-fill.

Total PnL vs Slippage

Win Rate vs Slippage

Slippage Detail

Slippage (pts)Win RateAvg PnLTotal PnLProfit Factor
047.6%+8.52+35952.52
147.6%+7.52+31732.24
247.6%+6.52+27511.99
347.6%+5.52+23291.78
547.6%+3.52+14851.44
847.6%+0.52+2191.05
1047.6%-1.48-6250.86

Regime Analysis

Does the edge persist across different market conditions?

By VIX Regime

Low: VIX < 14.7, Mid: 14.7-17.2, High: > 17.2

+7.2
Low VIX (133)
+9.0
Mid VIX (127)
+9.3
High VIX (159)

By Day of Week

+11.2
Mon (63)
+9.3
Tue (105)
+11.5
Wed (84)
+4.1
Thu (89)
+7.2
Fri (81)

By Prior Day Range

Narrow: < 42.8 pts, Normal: 42.8-65.8 pts, Wide: > 65.8 pts

+5.2
Narrow (139)
+6.1
Normal (142)
+14.2
Wide (141)

Monthly Breakdown

MonthTradesWin RateAvg PnLTotal PnL
2023-061258.3%+7.2+86
2023-07616.7%-0.8-5
2023-081747.1%+5.0+85
2023-091741.2%+3.5+59
2023-101631.2%+0.6+10
2023-11966.7%+7.0+63
2023-121050.0%+5.0+50
2024-011566.7%+10.0+150
2024-021145.5%+5.9+65
2024-031241.7%+5.6+67
2024-041643.8%+4.8+76
2024-051163.6%+6.4+70
2024-061258.3%+7.9+95
2024-071145.5%+6.7+74
2024-081154.5%+9.8+108
2024-091376.9%+14.3+186
2024-101643.8%+3.1+49
2024-111369.2%+16.3+212
2024-121637.5%+3.2+52
2025-011361.5%+16.1+209
2025-021450.0%+10.9+152
2025-031435.7%+5.2+72
2025-041361.5%+42.1+547
2025-051154.5%+8.9+98
2025-06966.7%+15.2+137
2025-071546.7%+5.2+78
2025-081546.7%+3.1+47
2025-091250.0%+3.7+44
2025-101145.5%+10.3+113
2025-111241.7%+7.2+86
2025-121553.3%+4.0+59
2026-011361.5%+10.2+133
2026-021172.7%+24.2+266

Baseline Comparison

Is the strategy better than doing nothing, random, or the opposite?

+3595
T2 Dip-Buy
+2603
Buy & Hold
-6802
Long Open→Close
+2812
Random 50/50
+2573
Mirror Short
StrategyTotal PnL (pts)Avg PnL/TradeNotes
T2 Dip-Buy+3595+8.52422 trades
Buy & Hold ES+26032023-06-06 to 2026-02-20
Long Open→Close-6802-16.12Same fill days only
Random 50/50+2812+6.66Same R:R, coin flip
Mirror Short+2573+5.72Short at Up T2, target Dn T1

Walk-Forward Analysis

Rolling 60-day train / 20-day test windows. Tests temporal stability.

31
Windows
96.8%
Profitable Windows
+107
Avg Window PnL
109
Std Dev Window PnL

Walk-Forward: PnL by Window

Window Details

Test StartTest EndTradesWin RatePnL
2023-08-282023-09-251546.7%+47
2023-09-262023-10-231637.5%+61
2023-10-242023-11-20955.6%+40
2023-11-212023-12-181050.0%+50
2023-12-192024-01-181450.0%+115
2024-01-192024-02-15955.6%+88
2024-02-162024-03-151540.0%+82
2024-03-182024-04-151323.1%+2
2024-04-162024-05-13966.7%+110
2024-05-142024-06-111457.1%+102
2024-06-122024-07-111040.0%+65
2024-07-122024-08-081233.3%+21
2024-08-092024-09-061060.0%+134
2024-09-092024-10-041369.2%+191
2024-10-072024-11-011338.5%+44
2024-11-042024-12-021471.4%+233
2024-12-032024-12-311533.3%+31
2025-01-022025-01-301258.3%+220
2025-01-312025-02-281546.7%+141
2025-03-032025-03-281323.1%+7
2025-03-312025-04-281361.5%+578
2025-04-292025-05-27944.4%+49
2025-05-282025-06-251266.7%+220
2025-06-262025-07-231154.5%+85
2025-07-242025-08-201225.0%-23
2025-08-212025-09-181346.2%+79
2025-09-192025-10-161241.7%+42
2025-10-172025-11-131250.0%+140
2025-11-142025-12-121346.2%+106
2025-12-152026-01-131353.8%+120
2026-01-142026-02-111353.8%+122

Verdict

✅ Strategy shows a positive edge

Win Rate47.6% (CI: 42.9-52.4%)
Avg PnL+8.52 pts/trade (p=0.0000)
Profit Factor2.52
Total PnL (95% CI)+2563 to +4666 pts
Max Drawdown149 pts (95th MC: 228)
Breakeven SlippageBreakeven slippage: 8.5 pts (adequate)
Walk-Forward Win96.8% of windows profitable
Monte Carlo100.0% of random paths profitable

Limitations & Caveats

  • OHLC ambiguity: 213 trades where both target and stop hit same day. We used close direction as tiebreaker. Intraday tick data would resolve this.
  • No intraday execution: Limit orders at T2 assumed to fill if day_low ≤ T2. Real execution depends on order queue, liquidity, and timing.
  • Continuous contract: ES=F from yfinance has rollover gaps. 13 trades near rollover dates flagged.
  • No commission costs: PnL is gross. ES round-turn commission typically ~$4-5 per contract.
  • Survivorship bias: We're testing a strategy we already know "looks good" from earlier analysis. This is confirmation-seeking, not discovery.
  • Formula approximation: Extended backtest uses Camarilla formula (K1=0.16, K2=0.29, K3=0.475), not actual PirateTraders targets. R² = 0.96 between formula and actual.

Full Trade Log

422 filled trades shown. * = ambiguous (both target and stop hit). ⚠ = near rollover. ☠ = PirateTraders actual target. ⚙ = Camarilla formula.

DateOpenHighLowCloseEntry (T2)Target (T1)Stop (T3)ResultPnLR:RSrc
2023-06-06 4280429542684290 4270 4285 4264 WIN +14.7 2.4
2023-06-07 4292430542694274 4285 4296 4280 LOSS* -4.9 -1.0
2023-06-08 4273430242634298 4263 4279 4256 WIN +16.0 2.4
2023-06-09 4298432642844305 4286 4304 4279 WIN +17.9 2.4
2023-06-14 4372439543404374 4360 4379 4352 WIN* +18.9 2.4
2023-06-15 4379444143504426 4363 4388 4353 WIN* +24.8 2.4
2023-06-20 4458446244104435 4447 4464 4440 LOSS -7.0 -1.0
2023-06-21 4430443844044409 4415 4438 4406 LOSS* -9.5 -1.0
2023-06-22 4410442743934424 4400 4416 4393 WIN* +15.8 2.4
2023-06-23 4426442643824389 4416 4431 4410 LOSS -6.3 -1.0
2023-06-26 4390440343684370 4377 4397 4369 LOSS* -8.3 -1.0
2023-06-29 4424443844104436 4415 4429 4409 WIN +13.9 2.4
2023-07-05 4492449444664484 4488 4494 4485 LOSS -2.7 -1.0
2023-07-06 4482448444204447 4474 4486 4469 LOSS -5.1 -1.0
2023-07-10 4438444844114444 4425 4445 4416 WIN* +20.0 2.4
2023-07-20 4593459445574566 4585 4598 4580 LOSS -5.0 -1.0
2023-07-26 4605461145744595 4596 4610 4591 LOSS* -5.5 -1.0
2023-07-27 4595463445544564 4584 4601 4577 LOSS* -6.8 -1.0
2023-08-01 4618462245914601 4611 4622 4606 LOSS* -4.4 -1.0
2023-08-02 4580459445284537 4571 4585 4565 LOSS* -5.7 -1.0
2023-08-03 4534454845064522 4515 4545 4503 WIN +29.6 2.4
2023-08-04 4524456144944498 4511 4530 4504 LOSS* -7.7 -1.0
2023-08-08 4540454144824518 4528 4546 4520 LOSS -7.6 -1.0
2023-08-09 4516453644784486 4499 4526 4488 LOSS* -10.9 -1.0
2023-08-10 4493454544744486 4476 4502 4466 WIN +26.1 2.4
2023-08-11 4488449644594481 4467 4499 4454 HELD +13.7 1.0
2023-08-14 4485450844654506 4474 4491 4467 WIN* +16.8 2.4
2023-08-15 4506451844474454 4493 4513 4485 LOSS* -7.9 -1.0
2023-08-16 4453446744174420 4433 4465 4420 LOSS* -13.1 -1.0
2023-08-17 4420443743784384 4406 4428 4397 LOSS* -9.3 -1.0
2023-08-18 4379439643504383 4362 4389 4351 WIN* +26.6 2.4
2023-08-22 4410444043944399 4396 4418 4387 WIN +21.9 2.4
2023-08-24 4470448643784386 4448 4483 4434 LOSS* -14.2 -1.0
2023-08-29 4444451044344507 4434 4450 4427 WIN +15.8 2.4
2023-08-31 4527454145134516 4517 4532 4511 WIN +15.5 2.4
2023-09-01 4517454845074522 4508 4521 4503 WIN +12.8 2.4
2023-09-05 4521453144994502 4510 4528 4502 LOSS* -7.5 -1.0
2023-09-06 4500450444474472 4491 4505 4485 LOSS -5.9 -1.0
2023-09-07 4470447244344456 4453 4479 4442 LOSS -10.5 -1.0
2023-09-08 4458447844434462 4447 4464 4440 WIN +16.9 2.4
2023-09-12 4488449144594465 4478 4493 4472 LOSS -6.3 -1.0
2023-09-13 4464448144474469 4455 4470 4449 WIN* +14.5 2.4
2023-09-15 4508451844804492 4496 4515 4488 LOSS* -7.9 -1.0
2023-09-18 4500451444874502 4489 4506 4482 WIN +17.0 2.4
2023-09-19 4503451044624490 4495 4508 4490 LOSS* -5.1 -1.0
2023-09-20 4491450844434447 4478 4499 4469 LOSS* -8.7 -1.0
2023-09-21 4445444743664372 4426 4455 4414 LOSS -12.0 -1.0
2023-09-25 4365438443384379 4353 4372 4345 WIN* +18.8 2.4
2023-09-26 4382438243064315 4369 4389 4360 LOSS -8.4 -1.0
2023-09-27 4320433642774314 4298 4332 4284 WIN* +34.4 2.4
2023-09-28 4323435643014338 4306 4333 4295 WIN +26.8 2.4
2023-09-29 4342437143114326 4326 4351 4316 LOSS* -10.1 -1.0
2023-10-02 4349435642964324 4332 4359 4320 LOSS -11.2 -1.0
2023-10-03 4326433642514265 4309 4336 4298 LOSS* -11.1 -1.0
2023-10-04 4263430442364298 4238 4276 4223 WIN +38.0 2.4
2023-10-05 4292430242584291 4272 4302 4259 LOSS -12.7 -1.0
2023-10-06 4288435842424342 4275 4294 4267 WIN* +19.8 2.4
2023-10-12 4418443043564380 4405 4425 4398 LOSS* -7.9 -1.0
2023-10-13 4381440843414357 4359 4393 4345 LOSS* -13.9 -1.0
2023-10-17 4406442343664402 4389 4416 4378 WIN* +26.9 2.4
2023-10-18 4398439943314342 4381 4407 4371 LOSS -10.6 -1.0
2023-10-19 4346436642934303 4327 4358 4314 LOSS* -12.7 -1.0
2023-10-20 4295430442444248 4274 4307 4260 LOSS -13.6 -1.0
2023-10-23 4256428142134242 4239 4266 4227 WIN* +27.3 2.4
2023-10-25 4270427442044210 4255 4277 4246 LOSS -9.0 -1.0
2023-10-26 4202420541464156 4182 4213 4169 LOSS -12.9 -1.0
2023-10-27 4167418541224138 4150 4176 4139 LOSS* -10.9 -1.0
2023-10-31 4184421541674212 4169 4193 4159 WIN +24.3 2.4
2023-11-07 4380440343664396 4373 4384 4368 WIN* +11.4 2.4
2023-11-08 4398440843754400 4387 4404 4380 WIN* +16.8 2.4
2023-11-09 4393441343584362 4384 4398 4378 LOSS* -6.1 -1.0
2023-11-16 4514453045024523 4505 4519 4500 WIN +13.7 2.4
2023-11-17 4528454045134528 4520 4532 4515 WIN* +12.5 2.4
2023-11-21 4562456745374551 4547 4570 4538 LOSS -9.4 -1.0
2023-11-27 4568457045524561 4565 4570 4563 LOSS -2.2 -1.0
2023-11-28 4562457745474563 4556 4564 4553 WIN* +8.1 2.4
2023-11-30 4562458045454577 4550 4569 4542 WIN +18.7 2.4
2023-12-04 4603460445544576 4590 4610 4582 LOSS -8.4 -1.0
2023-12-05 4573458645564575 4558 4581 4549 WIN +22.9 2.4
2023-12-06 4573459845524556 4565 4578 4559 LOSS* -5.5 -1.0
2023-12-08 4586461445624608 4573 4594 4564 WIN* +21.3 2.4
2023-12-12 4625465046104646 4617 4629 4612 WIN* +12.5 2.4
2023-12-15 4716473646944694 4703 4723 4695 LOSS* -8.3 -1.0
2023-12-20 4818483147434750 4809 4824 4802 LOSS* -6.2 -1.0
2023-12-27 4828483648164834 4818 4833 4812 WIN +15.4 2.4
2023-12-28 4834484248284832 4829 4838 4825 WIN +9.0 2.4
2023-12-29 4835484147974820 4831 4837 4828 LOSS* -2.5 -1.0
2024-01-02 4818482847664787 4805 4825 4797 LOSS* -8.2 -1.0
2024-01-03 4791479147414746 4773 4801 4761 LOSS -11.6 -1.0
2024-01-04 4750476647274730 4736 4758 4726 WIN +22.4 2.4
2024-01-05 4733476047024735 4721 4739 4714 WIN* +17.8 2.4
2024-01-08 4736480347154801 4719 4745 4708 WIN +26.2 2.4
2024-01-09 4798480447684793 4772 4812 4756 HELD +20.5 1.3
2024-01-11 4820483847734816 4808 4827 4800 WIN* +19.1 2.4
2024-01-12 4811483647924816 4792 4822 4780 WIN +29.4 2.4
2024-01-16 4812482347804798 4799 4819 4791 LOSS* -8.3 -1.0
2024-01-17 4800480147464771 4787 4807 4779 LOSS -8.1 -1.0
2024-01-23 4882490248744895 4874 4886 4870 WIN +11.6 2.4
2024-01-24 4900493348894898 4892 4905 4887 WIN +12.5 2.4
2024-01-26 4919493448984916 4910 4925 4904 WIN* +15.0 2.4
2024-01-30 4950495749334951 4934 4959 4924 HELD +16.5 1.6
2024-01-31 4930493848664870 4923 4934 4919 LOSS* -4.5 -1.0
2024-02-02 4953499849264980 4926 4967 4909 WIN +41.1 2.4
2024-02-05 4976498149384962 4955 4988 4942 LOSS -13.3 -1.0
2024-02-12 5042506650325041 5032 5048 5026 WIN +16.0 2.4
2024-02-13 5034504049364971 5024 5040 5017 LOSS* -6.5 -1.0
2024-02-16 5050505950135020 5038 5056 5030 LOSS* -7.5 -1.0
2024-02-20 5016503049684992 5003 5024 4994 LOSS* -8.6 -1.0
2024-02-21 4990502049594996 4972 5000 4961 WIN* +27.6 2.4
2024-02-26 5095510850765080 5086 5100 5080 LOSS* -5.8 -1.0
2024-02-27 5078509350675090 5068 5083 5062 WIN +14.3 2.4
2024-02-28 5091509150635081 5083 5095 5078 LOSS -4.8 -1.0
2024-02-29 5072511450605104 5064 5076 5059 WIN +12.6 2.4
2024-03-05 5134513650635086 5126 5138 5122 LOSS -4.8 -1.0
2024-03-07 5114517050865162 5100 5122 5090 WIN* +22.8 2.4
2024-03-08 5159519351225129 5135 5173 5119 WIN +37.8 2.4
2024-03-11 5132513350955123 5112 5144 5099 LOSS -13.2 -1.0
2024-03-12 5129518351135177 5118 5135 5111 WIN +17.3 2.4
2024-03-13 ⚠ 5176518451535168 5156 5187 5143 HELD +12.4 0.9
2024-03-14 ⚠ 5172519051245154 5163 5176 5157 LOSS* -5.7 -1.0
2024-03-15 ⚠ 5152516751025102 5133 5163 5121 LOSS* -12.1 -1.0
2024-03-19 5215524551865242 5198 5225 5188 WIN* +26.3 2.4
2024-03-22 5307531252885293 5298 5311 5293 LOSS* -5.4 -1.0
2024-03-25 5290529552725278 5284 5294 5279 LOSS* -4.4 -1.0
2024-03-26 5281530052635265 5274 5284 5270 LOSS* -4.2 -1.0
2024-04-01 5314533452825295 5308 5317 5305 LOSS* -3.7 -1.0
2024-04-02 5294529652355260 5280 5303 5270 LOSS -9.5 -1.0
2024-04-03 5262528152445266 5245 5272 5234 WIN +27.4 2.4
2024-04-04 5271530851925197 5260 5277 5254 LOSS* -6.7 -1.0
2024-04-08 5263526952365253 5240 5276 5225 HELD +13.5 0.9
2024-04-09 5258527452085260 5248 5263 5242 WIN* +14.7 2.4
2024-04-10 5264528551765208 5245 5275 5233 LOSS* -12.2 -1.0
2024-04-12 5244524951505168 5220 5257 5204 LOSS -15.5 -1.0
2024-04-15 5166521350945104 5138 5182 5120 LOSS* -18.3 -1.0
2024-04-17 5096512050475062 5083 5103 5075 LOSS* -8.2 -1.0
2024-04-18 5063509550385049 5042 5075 5028 WIN +33.1 2.4
2024-04-19 5047505849645004 5031 5056 5020 LOSS* -10.5 -1.0
2024-04-24 5115512950725108 5093 5127 5079 WIN* +34.1 2.4
2024-04-25 5070513350225082 5054 5079 5043 WIN* +25.4 2.4
2024-04-29 5140515451195147 5128 5147 5120 WIN* +18.9 2.4
2024-04-30 5148514850515067 5138 5154 5132 LOSS -6.6 -1.0
2024-05-08 5212521851895213 5205 5216 5200 WIN* +11.0 2.4
2024-05-09 5209524551955239 5201 5214 5195 WIN* +13.2 2.4
2024-05-14 5242527452175270 5233 5247 5227 WIN* +13.8 2.4
2024-05-17 5318532953065327 5308 5324 5302 WIN +15.1 2.4
2024-05-21 5332534853225345 5325 5336 5320 WIN +11.0 2.4
2024-05-22 5344534953075328 5336 5348 5332 LOSS* -4.6 -1.0
2024-05-23 5339536852745285 5327 5346 5319 LOSS* -7.9 -1.0
2024-05-28 5322533952975325 5309 5329 5301 WIN* +19.6 2.4
2024-05-29 5324532452685284 5312 5330 5304 LOSS -7.8 -1.0
2024-05-30 5270527752385253 5254 5279 5244 LOSS -10.3 -1.0
2024-05-31 5250530752065296 5239 5257 5232 WIN* +17.4 2.4
2024-06-03 5300531352475297 5270 5316 5251 LOSS -18.8 -1.0
2024-06-04 5300531252625304 5281 5311 5269 WIN* +29.9 2.4
2024-06-06 5368537353455364 5349 5378 5336 HELD +15.3 1.3
2024-06-07 5362538653295356 5354 5366 5349 WIN* +12.6 2.4
2024-06-11 5370538653345384 5359 5376 5352 WIN* +16.9 2.4
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