ES Two-Day Slide Dip Buy (B8_03)
Buys exhaustion after two consecutive lower daily closes with a soft close.
Last validated: 2026-10-16 (baseline; weekly cadence starts after launch) · Validation status: Watch — Last quarter was a clear losing stretch (1 win in 8 trades — small sample); year 2 weak.
1 full-size ES contract ($50 per point). Test window 2024-09-23 to 2026-09-23 (2 years). Slippage 4 ticks per order, $2.50 commission per contract per side ($5 round trip); $100k account. 4-tick slippage per side = NQ $20, ES $50, GC $40 before commission.
≈ Some headline figures here are "about" values from the ladder row (rounded to ~$100); the win rate is from the saved trade list; not recorded in the ladder row.
Plain-English rules
- Market
- S&P 500 E-mini (ES)
- Timeframe
- 30m — 1h also passes
- Direction
- Long only, max 1 trade/day
- Style
- Mean reversion
- Frequency
- about 28 trades a year; held to the close
- In stacks
- ES Stack, All-Instrument Stack
- Setup: the prior close is below the close before it, which is below the one before that (two lower closes in a row); prior-day IBS below 0.60; daily ATR at least 35 points.
- Shared ES dip-buy engine: long only, at most 1 trade a day, regular session only (half-days skipped). A 'setup' is judged from the prior regular session. Decision bar: the first bar closing at or after 11:00 ET (08:00 PT); if nothing traded, a second look at the first bar closing at or after 13:00 ET (10:00 PT). It buys at that bar's close only if price is still weak (below the prior close or below today's open), then holds to the 16:00 ET close.
- Exit: protective stop 1.0× daily ATR below entry (clamped to 25–110 ES points), no profit target, otherwise flat at the 16:00 ET close. Of 55 trades in the list: 48 ended at the flatten, 4 at the stop, 3 outside-session flatten. 48 entered at the morning bar, 7 at the afternoon bar.
Summary of the rules. The full parameter-level rules document is delivered to subscribers (documents only — no code).
Equity curve & drawdown
Year-by-year
| Period | Net | PF | Trades |
|---|---|---|---|
| Year 1 (exits to 2025-08-31) | $32,095 | 2.95 | 26 |
| Year 2 (from 2025-09-01) | $7,992 | 1.43 | 29 |
20% of the 2-year profit came in year 2. Year split computed from the clipped saved trade list (55 trades, +$40,088, PF 2.14, win 47.3%, closed-trade DD $7,750); it differs slightly from the headline run. Year 1 = exits to 2025-08-31, year 2 = from 2025-09-01.
Recent form
Last 3 months (list): 8 trades, 1 win, PF 0.01, −$4,452.50. Last 6 months: 13 trades, PF 1.66, +$4,985. 2 trades after the window added $2,990.
Robustness
Robustness checks not run. 5m–1h all pass but are the same clock-keyed signal.
Other timeframes
| Timeframe | Net | PF | Win % | Trades | Max DD | Result |
|---|---|---|---|---|---|---|
| 1h | ≈+$39.0k | 2.06 | — | 58 | ≈$7.8k | passes (≈5.0×) |
| 5m | ≈+$39.7k | — | — | — | — | passes |
| 15m | ≈+$40.0k | — | — | — | — | passes |
Flags for this strategy
- Lowest win rate of the ES group (47%).
- Year 2 weak (PF 1.43); last quarter 1 win in 8 trades (small sample).
- Lowest overlap with ES B12_01 in the group: 27% of its days are B12_01 days; 36% of B12_01's days are its days.
- Headline figures are 'about' values from the ladder row (net ≈$40.1k, DD ≈$9.1k).
- Part of the ES one-engine family: all ES strategies enter at the same two decision bars (about 08:00 and 10:00 PT), hold to the close and trade at most once a day, so only one of them can be in a trade on any day.