---
type: "Topics"
locale: "zh-HK"
url: "https://longbridge.com/zh-HK/topics/38944903.md"
description: "SPY Intraday X/Y/N Micro-Reversal Strategy Backtest Report(Sample Period: 2024-02-27 to 2026-02-27)I. Research ObjectiveThis backtest validates an intraday short-term strategy: enter the market when the price deviates from the previous close by a certain magnitude `X`, wait for a slight reverse regression of `Y` to take profit; if not, force close the position at 15:55, no overnight holding.  Your focus is on whether a stable profitable range exists for the "naked short then buy" (short position) strategy. II. Data & Backtest Settings- Underlying: `SPY.US`- Data: 1-minute K-line, two-year sample- Valid complete sessions after cleaning: `487` (390 minute bars per session)- Parameter grid: `X=0.5%~3.0%(step 0.1)`, `Y=0.05%~0.50%(step 0.05)`, total 260 combinations- Nominal capital per trade: `10,000 USD`- Commission: `1.1 USD/trade (flat)`- Entry: Next minute's opening price after the signal- Exit: Reach target `Y` or forced close at 15:55Net profit per trade is calculated as:  `shares = floor(10000 / entry_price)`  - Short: `net = (entry - exit) * shares - 1.1`- Long: `net = (exit - entry) * shares - 1.1` III. Key Results 1) Short "Winning Range" EstablishedAccording to your screening criteria: `Win Rate>=80%`, `Number of Trades>=30`, `Net Profit Per Trade>0`, there are `28` valid parameter sets for short positions.  Parameters are mainly concentrated in:- `X`: 1.1%~2.3% (most dense at 1.7%~1.9%)- `Y`: 0.05%~0.20% (most dense at 0.10%)Representative combinations are as follows:| X(%) | Y(%) | # Trades | Win Rate | Net Profit Per Trade(USD) | Total Net Profit(USD) ||---:|---:|---:|---:|---:|---:|| 1.8 | 0.20 | 72 | 80.56% | 4.26 | 306.64 || 1.9 | 0.20 | 62 | 80.65% | 3.86 | 239.27 || 1.7 | 0.10 | 144 | 90.28% | 2.46 | 354.78 || 1.8 | 0.10 | 129 | 89.92% | 2.59 | 333.60 | 2) Characteristics of Combined Long/Short ModeWhen combining long and short, the combination with the highest net profit per trade often corresponds to a lower win rate (approx. 50%~69%) and larger drawdown.  This indicates that "high win rate" and "high profit per trade" are difficult to achieve simultaneously under the same parameters, requiring a trade-off. IV. Your New Question: Drawdown When Target Profit is Increased to 0.3%/0.5%/1.1%After rerunning with fixed `Y` values, the following results are obtained (taking the combination with the highest net profit per trade for each Y):| Y(%) | Mode | Optimal X(%) | # Trades | Win Rate | Net Profit Per Trade(USD) | Max Drawdown(USD) ||---:| --- |---:|---:|---:|---:|---:|| 0.3 | Short | 2.1 | 35 | 74.29% | 5.75 | 402.38 || 0.5 | Short | 1.6 | 51 | 56.86% | 9.93 | 402.38 || 1.1 | Short | 1.6 | 39 | 23.08% | 11.48 | 641.38 |The conclusion is clear:  The larger `Y` is, the higher the profit per trade, but the win rate drops significantly, and drawdown increases (especially at 1.1%)."
datetime: "2026-02-27T14:06:52.000Z"
locales:
  - [en](https://longbridge.com/en/topics/38944903.md)
  - [zh-CN](https://longbridge.com/zh-CN/topics/38944903.md)
  - [zh-HK](https://longbridge.com/zh-HK/topics/38944903.md)
author: "[SU & JOJO](https://longbridge.com/zh-HK/profiles/23264164.md)"
---

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# SPY Intraday X/Y/N Micro-Reversal Strategy Backtes…


### 相關股票

- [SPDR S&P 500 (SPY.US)](https://longbridge.com/zh-HK/quote/SPY.US.md)

## 評論 (3)

- **u only liv · 2026-02-27T16:41:50.000Z**: Picking up coins in front of a steamroller is a sure-lose strategy.
- **SU & JOJO · 2026-02-27T15:01:16.000Z**: It should be possible to amplify through end-of-day options.
- **SU & JOJO · 2026-02-27T14:22:36.000Z**: 63 days. mark