Breadth | median dist <5d high + RSI2
Breadth | median dist <5d high + RSI2 - a breadth_continuous_pullback concept routed into the paid catalog by lifetime ROR (non-HoF, ROR 10-25%). Lifetime ROR 24.2%, Sharpe 1.14, MaxDD -31.6% across the backtest window. Plain-text source code included.
Results are hypothetical and based on a historical backtest. Past performance does not guarantee future results. See risk disclosure for full details.
The backtest, in full.
Year-by-year, month-by-month.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | MaxDD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1994 | 0.0 | 1.6 | -8.1 | 1.6 | -8.8 | -2.4 | -0.9 | 1.4 | 6.4 | 5.7 | 6.4 | 5.4 | 10.0% | -20.9% |
| 1995 | 4.3 | 0.1 | 3.8 | 4.2 | 8.4 | 6.3 | 8.1 | 5.2 | 7.2 | -0.1 | -1.1 | -3.5 | 42.7% | -12.6% |
| 1996 | 2.9 | 2.6 | 3.0 | -2.2 | 9.5 | 6.8 | 2.1 | -0.5 | 5.3 | -1.1 | 2.8 | 11.3 | 58.6% | -12.6% |
| 1997 | 8.0 | 4.1 | -1.1 | 5.3 | 5.8 | 6.4 | 8.3 | 2.8 | 11.7 | -7.9 | 4.0 | 1.2 | 59.8% | -15.4% |
| 1998 | 7.7 | 5.2 | 5.4 | 10.3 | 4.8 | 10.6 | -1.8 | -14.6 | 8.7 | 2.1 | 10.1 | 14.3 | 56.8% | -31.6% |
| 1999 | 17.9 | 9.6 | 9.7 | -1.2 | 5.4 | 8.3 | 1.2 | 14.2 | 8.1 | 15.4 | 3.3 | 4.7 | 134.3% | -12.2% |
| 2000 | 3.9 | 23.4 | 5.4 | 3.5 | 6.3 | 2.6 | 16.6 | 13.6 | 17.3 | 7.6 | 2.5 | 17.2 | 167.4% | -25.7% |
| 2001 | 5.6 | 7.3 | -7.0 | 4.4 | 6.4 | 7.2 | 9.1 | 2.6 | -6.8 | 1.0 | 7.1 | 3.7 | 39.4% | -11.7% |
| 2002 | -0.5 | -5.7 | 4.0 | -1.1 | 2.1 | -6.6 | 1.9 | 3.5 | 0.7 | 7.0 | 1.1 | -4.4 | -0.2% | -16.7% |
| 2003 | 9.2 | 3.3 | -1.7 | 10.1 | 6.1 | 9.2 | -4.1 | 3.3 | -4.2 | 8.8 | 2.5 | 1.3 | 50.2% | -7.8% |
| 2004 | -3.4 | 1.2 | -0.3 | -2.5 | 2.5 | -4.6 | -3.8 | -2.9 | 1.9 | 3.8 | 3.3 | 4.6 | 2.2% | -15.7% |
| 2005 | 5.2 | 7.6 | -1.8 | -0.6 | 4.4 | -1.7 | 0.8 | -3.8 | -0.2 | 1.2 | 1.7 | -2.1 | 11.9% | -10.1% |
| 2006 | 4.8 | 1.4 | 3.4 | 3.2 | -3.5 | -0.9 | 2.0 | 4.2 | 1.6 | 4.7 | 3.4 | 6.8 | 40.0% | -12.2% |
| 2007 | 4.9 | -2.0 | -1.0 | 2.9 | 0.3 | -0.4 | 4.5 | 5.3 | 4.8 | 0.3 | -3.6 | 3.5 | 20.9% | -9.6% |
| 2008 | -2.7 | 7.0 | -1.0 | 2.1 | 5.4 | 1.4 | 6.2 | 0.1 | -9.4 | -6.1 | 3.1 | 0.0 | -1.9% | -22.6% |
| 2009 | -1.1 | 2.4 | -0.0 | 4.5 | 0.2 | -0.0 | 1.9 | 4.0 | 2.3 | -3.0 | -0.2 | 4.8 | 18.6% | -11.2% |
| 2010 | -4.1 | 6.3 | 1.6 | 2.6 | -1.2 | -2.0 | 6.0 | -3.8 | 4.5 | 3.4 | -0.2 | 1.9 | 20.1% | -6.9% |
| 2011 | 0.4 | 1.0 | 0.0 | 0.1 | 5.4 | -5.8 | -2.8 | 0.5 | -6.3 | -2.2 | 3.6 | 0.3 | -11.5% | -20.1% |
| 2012 | 1.1 | 2.7 | 2.9 | 2.6 | -2.2 | 3.1 | 6.2 | 1.9 | -0.8 | -3.1 | 0.8 | 3.7 | 20.8% | -6.8% |
| 2013 | 2.2 | 1.2 | 0.3 | 3.1 | -1.6 | 3.5 | -0.8 | 1.2 | 0.8 | -1.7 | 0.6 | 1.9 | 13.1% | -5.3% |
| 2014 | 1.2 | 0.3 | -2.8 | 9.0 | 2.9 | 0.2 | 5.2 | -1.0 | 2.0 | -1.2 | 0.0 | 1.9 | 18.3% | -7.6% |
| 2015 | 1.2 | -1.1 | 1.9 | 1.5 | 2.7 | -0.8 | 1.7 | -2.2 | -2.2 | 0.3 | 0.7 | 2.2 | 9.9% | -8.1% |
| 2016 | -4.5 | 3.4 | 1.8 | -0.4 | -1.1 | 2.8 | 0.1 | 0.2 | 2.5 | -0.3 | 3.5 | 1.1 | 7.5% | -8.7% |
| 2017 | -1.1 | 0.0 | 2.2 | -0.7 | 2.4 | -1.4 | -3.2 | 5.4 | -1.9 | -1.1 | 2.7 | -0.9 | 1.2% | -7.0% |
| 2018 | 0.3 | -0.7 | -3.1 | 1.7 | -0.9 | -0.8 | -2.8 | -0.2 | 3.1 | -2.8 | -2.9 | -3.4 | -10.7% | -16.2% |
| 2019 | 0.5 | 1.2 | 1.2 | 0.6 | -8.9 | 1.7 | 0.1 | 0.9 | -2.5 | 6.2 | 1.6 | 2.9 | 3.7% | -13.5% |
| 2020 | -0.7 | -1.7 | -19.1 | 1.4 | 12.4 | 9.2 | 16.8 | 1.3 | 2.2 | -0.3 | 10.0 | 2.5 | 43.7% | -26.4% |
| 2021 | -1.5 | -1.7 | 4.1 | 0.5 | -2.1 | 3.9 | 3.5 | 1.6 | 3.8 | 0.8 | 2.7 | 12.4 | 36.9% | -8.9% |
| 2022 | -6.2 | 5.7 | -0.4 | 3.1 | 3.9 | -4.7 | 1.6 | -3.6 | 0.0 | 3.3 | 2.4 | 1.5 | 4.5% | -8.3% |
| 2023 | 3.5 | -3.0 | 5.8 | 3.0 | 0.3 | 3.3 | 5.5 | 2.0 | -4.2 | -2.2 | 3.1 | -0.6 | 18.3% | -8.6% |
| 2024 | 5.2 | 12.8 | -2.7 | -2.9 | -0.3 | -1.2 | 0.5 | 3.8 | 2.5 | 4.3 | 4.3 | 0.2 | 29.1% | -10.9% |
| 2025 | 4.5 | -3.4 | -6.3 | -1.3 | 3.5 | 1.1 | 1.4 | -4.5 | 11.8 | 8.3 | -0.1 | 2.0 | 12.8% | -20.2% |
| 2026 | -3.0 | 3.7 | -7.4 | -0.1 | 6.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -3.0% | -11.8% |
| Mean Yr | 2.0 | 2.9 | -0.2 | 2.1 | 2.3 | 1.6 | 2.8 | 1.3 | 2.1 | 1.5 | 2.4 | 3.0 | 28.0% | -13.4% |
Year rows: Total = compound of the row's monthly returns. Mean Yr row: per-month cells are column means; Total is the arithmetic mean of annual totals (not compound-of-cells, so the two won't agree — this is by design).
The last 30 trades, in full.
| Entered | Exited | Symbol | Side | Bars | Net % |
|---|---|---|---|---|---|
| 2026-03-06 | 2026-03-13 | MCHP | Long | 5 | -3.41% |
| 2026-03-12 | 2026-03-18 | BKR | Long | 4 | -1.77% |
| 2026-03-16 | 2026-03-18 | ADI | Long | 2 | +0.51% |
| 2026-03-12 | 2026-03-19 | PCAR | Long | 5 | -2.51% |
| 2026-03-13 | 2026-03-20 | ODFL | Long | 5 | +1.68% |
| 2026-03-18 | 2026-03-25 | AMGN | Long | 5 | -2.54% |
| 2026-03-18 | 2026-03-25 | HON | Long | 5 | -3.36% |
| 2026-03-20 | 2026-03-25 | PCAR | Long | 3 | +3.84% |
| 2026-03-19 | 2026-03-26 | GILD | Long | 5 | -2.16% |
| 2026-03-25 | 2026-04-01 | GOOGL | Long | 5 | -0.91% |
| 2026-03-25 | 2026-04-01 | MU | Long | 5 | -8.88% |
| 2026-03-30 | 2026-04-01 | GILD | Long | 2 | +3.78% |
| 2026-03-27 | 2026-04-02 | WDC | Long | 4 | +1.16% |
| 2026-04-13 | 2026-04-20 | INSM | Long | 5 | -7.46% |
| 2026-04-22 | 2026-04-29 | GILD | Long | 5 | -3.61% |
| 2026-04-29 | 2026-05-01 | AVGO | Long | 2 | +2.85% |
| 2026-04-28 | 2026-05-05 | MAR | Long | 5 | -3.16% |
| 2026-04-29 | 2026-05-06 | PCAR | Long | 5 | -3.46% |
| 2026-05-06 | 2026-05-07 | NVDA | Long | 1 | +4.20% |
| 2026-05-05 | 2026-05-12 | ODFL | Long | 5 | +1.13% |
| 2026-05-08 | 2026-05-13 | FANG | Long | 3 | +4.29% |
| 2026-05-07 | 2026-05-14 | BKR | Long | 5 | -1.04% |
| 2026-05-13 | 2026-05-15 | ODFL | Long | 2 | +3.43% |
| 2026-05-12 | 2026-05-19 | ROST | Long | 5 | -1.79% |
| 2026-05-14 | 2026-05-21 | MCHP | Long | 5 | -3.54% |
| 2026-05-18 | 2026-05-21 | INTC | Long | 3 | +2.71% |
| 2026-05-19 | 2026-05-21 | STX | Long | 2 | +12.62% |
| 2026-05-19 | 2026-05-21 | WDC | Long | 2 | +10.11% |
| 2026-05-21 | 2026-05-21 | ADI | Long | 0 | -3.16% |
| 2026-05-21 | 2026-05-21 | LITE | Long | 0 | +10.86% |
Shown: most recent 30 trades from the production backtest. Full trade list is included in the .zip after purchase. Extracted 2026-05-24.
| Metric | Strategy | SPY |
|---|---|---|
| ROR (CAGR) | 24.21% | 8.28% |
| Sharpe Ratio | 1.14 | 0.45 |
| MAR Ratio | 0.77 | — |
| Max Drawdown | -31.6% | -55.2% |
| Trades | 4,020 | 1 |
| Avg Exposure | 36.6% | 100% |
What this strategy does
Breadth | median dist <5d high + RSI2 is a breadth_continuous_pullback concept that emerged from our research pipeline and was routed into the storefront by its lifetime ROR (10-25%, paid tier; non-HoF). It trades the Nasdaq-100 with point-in-time membership data, so the published numbers are survivorship-bias-free.
Why this tier
Premier is the top tier in the paid catalog: lifetime ROR above 23%. This concept cleared that line. Lifetime ROR 24.2%, Sharpe 1.14, MAR 0.77, MaxDD -31.6% across approximately 26 years (per-concept window pending).
What you get
Three files: the plain-text RealTest .rts source, a README with install steps and the Norgate data requirements, and your single-user license. The .rts is fingerprinted at delivery so the file is traceable to your purchase - no DRM, no subscription, no recurring fees.
- breadth_median_dist_below_5dhigh_ndx_rsi2.rtsRealTest strategy file (plain-text source)
- README.txtStrategy summary, install steps, Norgate data requirements, support contact
- LICENSE.txtSingle-user license, watermarked at delivery with your purchase fingerprint
Full plaintext .rts source delivered after purchase.
- Style
- Regime / Breadth
- Universe
- Nasdaq-100 Current & Past Members
- Timeframe
- Daily
- Side
- Long
- Entry
- Mixed (see .rts)
- Exit
- Mixed (see .rts)
- Commission
- $0.005 / Share (IBKR Pro tier)
- Slippage
- $0.01 / Share
- Limit Buffer
- 0.05% past limit
- Risk-Free Rate
- Per-strategy (see .rts)
SPY Buy & Hold benchmark does not include transaction fees, slippage, or management costs. Strategy figures include both.
Backtests use daily-resolution OHLC data (Norgate does not provide intraday). Stops and limits are checked against the day's High/Low; same-day stop-and-target collisions are resolved pessimistically. See Risk Disclosure § 11 for full detail.
- Data source
- Norgate Data Platinum - point-in-time Nasdaq-100 membership
- Backtest period
- 2000-01-03 to 2026-05-23
- Initial capital
- $100,000.00 USD
- Position sizing
- Per-strategy sizing documented in the .rts. Equal-weight default unless overridden.
- Compounding
- Compounded
- Survivorship bias
- None - Norgate's point-in-time membership and delisted symbols are both included in the backtest universe.
- Look-ahead bias
- None - signals computed at prior-day close. Entries fire at next-day open or as a same-day limit.
- Benchmark
- S&P 500 ETF (SPY) buy & hold
- Delivery
- RealTest v3.x .rts file + research include
| Item | Cost |
|---|---|
Breadth | median dist <5d high + RSI2 strategy What you're buying here | $299.00 USD one-time |
RealTest license Perpetual use of current version + 12 months of updates. Optional $159.00 USD/yr extension after that. mhptrading.com/purchase.html | $389.00 USD (one-time) |
Norgate Data US Stocks Platinum Required tier for point-in-time NDX membership back to 1990. No monthly plan. norgatedata.com/stockmarketpackages.php | $346.50 USD / 6 mo or $630.00 USD / 12 mo |
Broker commissions Modeled in backtest at IBKR Pro Fixed | ~$0.005 USD / share |
OrderClerk Only needed if you automate execution. No separate license cost. | Bundled with RealTest |
- 01Download the .zipClick your download link in the receipt email
- 02Open breadth_median_dist_below_5dhigh_ndx_rsi2.rts in RealTestFile -> Open
- 03Import symbolsClick Import (one-time, ~30 seconds with Norgate)
- 04Run the backtestClick Test - your numbers match the published numbers
Norgate Data US Stocks Platinum is required for the full backtest
Reproducing the published numbers needs survivorship-bias-free Nasdaq-100 history with point-in-time index membership and delisted securities. That is only available on Norgate's US Stocks Platinum subscription ($346.50 / 6 months or $630 / 12 months USD; no monthly plan). The free Norgate trial covers only a recent window - enough to confirm the strategy installs and runs, not enough to match the published equity curve.
RealTest is Windows-only
Mac or Linux users will need a Windows VM or dual-boot. RealTest does not run natively on macOS or Linux.
Drawdowns happen. The published MaxDD is real.
Maximum historical drawdown of -31.6% is from the backtest. Live trading drawdowns may exceed it. Size accordingly.
Inspectable proof, not promises.
Every claim in the Validation panel above is backed by a data artifact you can scrutinize. We publish the data behind the badges so a skeptical buyer can verify the strategy is genuinely robust, not a curve-fit that happens to clear our gates.
More than 100 historical trades per parameter. Even very generous tuning room can't manufacture statistical significance out of a sample this size — the result is structural.
Industry rule of thumb: a strategy needs at least 30 trades per parameter to be considered reliably backtested. Below 10 is widely considered unreliable.
We split the 32-year history at 2019-11-28 and replay the strategy on each side independently. If the curve to the right of the line slopes like the curve to the left, the strategy is generalizing — not memorizing the past.
Out-of-sample Sharpe retained at least 70% of the in-sample value. The strategy did not depend on the specific dynamics of the training period.
Cutoff date inferred as the 80/20 chronological split. This is a regime-shift stress test, not a strict held-out validation — the development data included both sides of the line. A strategy that works equally well on both halves is still meaningful evidence of robustness.
Each cell is a separate backtest. We varied NumPos and ExitBars across the grid and re-ran the full history. A strategy that depends on a lucky parameter choice would show one bright cell in a sea of dark ones — this one doesn't.
- 100% on each axis is the shipped (production) value of that parameter — the starred cell at the center.
- 75% / 125% means we re-ran the strategy with that parameter scaled down or up by a quarter; other ticks are intermediate steps.
- Cell color follows the selected metric scale (legend below the grid). Greener is better, redder is worse — irrespective of where the star sits.
★ marks the production parameter combination (ringed in accent green). Colors map to an absolute MAR scale — a cell can be greener than the star and still represent a fundamentally similar result.
Most cells in the grid are within 25% of the production value. The parameters sit on a broad performance plateau — not on a needle peak that would only work for one specific combination.
We resample the strategy's actual daily returns three different ways and rebuild the equity curve 2,000 times under each method. Each shaded band shows the range of paths the strategy could have produced under a different assumption about what the random variation looks like. The solid line is the production curve.
Reorders the daily returns with no replacement. Endpoint is identical for every path (compounding is commutative); only the path varies.
Resamples daily returns with replacement. Bands include sample-size uncertainty as well as path risk -- endpoint varies between paths.
Resamples in blocks of 20 consecutive days. Preserves short-term return clustering / autocorrelation -- most defensible for daily data with momentum/mean-reversion regimes.
The production trades landed in a slightly favorable order. Plan for somewhat deeper drawdowns than the backtest curve shows when trading live.
A strategy whose entire edge comes from a handful of jackpot winners is a different beast from one whose edge is broadly distributed. We removed the top and bottom of the trade list by P&L and recomputed the headline stats. If most of the edge survives, the strategy is durable.
| Sample | Trades | CAGR* | Win % | Profit Factor | Retained P&L |
|---|---|---|---|---|---|
| All trades | 4,022 | 24.5% | 64.2% | 1.35 | — |
| Trim plus/minus 5% (extremes) | 3,620 | 24.5% | 65.7% | 2.03 | 101% |
| Trim plus/minus 1% (worst outliers) | 3,942 | 24.9% | 64.4% | 1.55 | 112% |
* CAGR is computed against a fixed starting balance and the strategy's actual trade duration. The figure is intended for apples-to-apples comparison across the rows of this table, not as a re-statement of the production headline.
Removing the best and worst 5% of trades retains at least 70% of the CAGR. The edge is distributed across many trades — not the result of a handful of jackpot winners.
Common questions.
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Why is the seller not trading this themselves?+
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Breadth | median dist <5d high + RSI2 -- $299.00 USD
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