These are the numbers from the rule-based backtest of Aurum's deployed strategy: 15-minute opening-range breakout on GC and SI, target 3R, trail at 1 ATR. Once live signals begin shipping, that ledger will replace this page. Until then, this is the honest reference.
Profit Factor
1.77
backtest
Avg R / trade
+0.43
across 2,003 trades
Max Drawdown
-17.9R
peak to trough
Win Rate
28.2%
at R:R 3.0
Cumulative R, trade by trade
Final cumulative: +852.9R. At 1% risk per trade, that translates to roughly 853% account growth over the six-year period, before fees and slippage (non-compounded, illustrative only).
Is the edge real, or luck?
A high profit factor over a short sample can be noise. The test is whether the per-trade edge is statistically distinguishable from zero across all 2,003 trades. It is, decisively.
Mean R / trade (95% CI)
+0.43 [0.35, 0.50]
t-statistic
10.8
p-value (edge ≠ 0)
< 1e-6
Profit factor (95% CI, bootstrap)
1.61 to 1.95
A t-statistic above ~3 is the conventional bar for a real effect; this strategy sits at 10.8. The profit factor's lower bound stays above 1.0 across 2,000 bootstrap resamples, so the result is not driven by a handful of outlier trades. None of this guarantees the future; it only says the past edge was not a fluke of a small sample.
Year by year
Period
Trades
Win rate
Avg R
PF
Max DD
Cum R
2019
206
31.6%
+0.52
1.97
-13.2R
+107.09R
2020
338
29.3%
+0.43
1.74
-12.1R
+144.03R
2021
341
29.6%
+0.45
1.80
-11.3R
+152.99R
2022
357
27.5%
+0.43
1.79
-8.9R
+151.91R
2023
299
23.4%
+0.31
1.54
-17.9R
+92.16R
2024
332
26.2%
+0.38
1.72
-15.1R
+127.38R
2025
130
33.9%
+0.59
2.17
-10.9R
+77.31R
Quarter by quarter
Quarter
Trades
Win rate
Avg R
PF
Max DD
2019 Q2
45
24.4%
+0.21
1.33
-13.2R
2019 Q3
76
39.5%
+0.74
2.44
-5.0R
2019 Q4
85
28.2%
+0.49
1.97
-7.0R
2020 Q1
82
30.5%
+0.46
1.81
-11.1R
2020 Q2
77
24.7%
+0.28
1.47
-7.5R
2020 Q3
94
31.9%
+0.55
2.04
-8.0R
2020 Q4
85
29.4%
+0.39
1.63
-9.2R
2021 Q1
83
30.1%
+0.40
1.65
-6.3R
2021 Q2
84
32.1%
+0.62
2.25
-5.0R
2021 Q3
86
27.9%
+0.35
1.60
-10.1R
2021 Q4
88
28.4%
+0.43
1.76
-11.3R
2022 Q1
75
34.7%
+0.52
1.93
-8.0R
2022 Q2
92
23.9%
+0.30
1.55
-8.3R
2022 Q3
96
25.0%
+0.43
1.83
-8.6R
2022 Q4
94
27.7%
+0.46
1.87
-7.0R
2023 Q1
79
31.6%
+0.69
2.43
-7.9R
2023 Q2
79
19.0%
+0.00
1.00
-17.9R
2023 Q3
66
15.2%
+0.09
1.14
-14.1R
2023 Q4
75
26.7%
+0.43
1.79
-9.0R
2024 Q1
73
24.7%
+0.48
2.06
-6.2R
2024 Q2
88
27.3%
+0.40
1.72
-7.0R
2024 Q3
81
34.6%
+0.68
2.41
-4.0R
2024 Q4
90
18.9%
+0.02
1.03
-15.1R
2025 Q1
101
30.7%
+0.53
2.05
-10.9R
2025 Q2
29
44.8%
+0.82
2.56
-5.0R
Every quarter in the six-year backtest closed positive on average R (25 of 25).
Walk-forward, out-of-sample
Parameters were selected on each train window and then tested on the next unseen window. The strategy survives the out-of-sample test with an average profit factor of 1.75, which is consistent with the in-sample backtest.
Train window
Test window
Test trades
Test PF
Test avg R
2019-05/2020-05
2020-05/2020-11
173
1.65
+0.38
2019-11/2020-11
2020-11/2021-05
166
1.91
+0.52
2020-05/2021-05
2021-05/2021-11
167
1.85
+0.47
2020-11/2021-11
2021-11/2022-05
169
1.74
+0.41
2021-05/2022-05
2022-05/2022-11
191
1.66
+0.36
2021-11/2022-11
2022-11/2023-05
170
2.14
+0.59
2022-05/2023-05
2023-05/2023-11
140
1.02
+0.01
2022-11/2023-11
2023-11/2024-05
161
2.01
+0.51
2023-05/2024-05
2024-05/2024-11
157
1.82
+0.45
2023-11/2024-11
2024-11/2025-05
196
1.75
+0.41
By symbol
Symbol
Trades
Win rate
Avg R
PF
Avg winner
Avg loser
GC
1212
30.2%
+0.47
1.85
+2.49R
-0.96R
SI
791
25.0%
+0.36
1.65
+2.29R
-0.92R
Last 20 trades in the backtest window
Entry date
Sym
Side
Entry
Stop
Target
R
2025-04-30
SI
long
32.97
32.96
32.98
+3.00R
2025-04-30
GC
short
3310.20
3318.70
3284.70
+3.00R
2025-04-29
GC
short
3324.00
3328.23
3311.30
-1.00R
2025-04-29
SI
short
33.02
33.02
33.00
-1.00R
2025-04-25
GC
short
3292.10
3300.40
3267.20
+3.00R
2025-04-24
GC
long
3330.10
3329.07
3333.20
+3.00R
2025-04-23
GC
long
3344.40
3328.20
3393.00
-1.00R
2025-04-22
GC
long
3484.50
3474.80
3513.60
-1.00R
2025-04-21
GC
short
3370.00
3372.63
3362.10
-1.00R
2025-04-17
SI
long
32.58
32.54
32.71
-1.00R
2025-04-17
GC
long
3326.40
3324.10
3333.30
-1.00R
2025-04-16
GC
long
3262.00
3260.45
3266.65
+3.00R
2025-04-14
GC
short
3227.10
3227.95
3224.55
+3.00R
2025-04-11
GC
long
3198.60
3189.40
3226.20
-1.00R
2025-04-10
GC
short
3115.20
3118.30
3105.90
+3.00R
2025-04-09
GC
long
3026.60
3010.80
3074.00
+3.00R
2025-04-09
SI
short
29.25
29.36
28.95
-1.00R
2025-04-08
GC
long
2996.50
2995.73
2998.80
+3.00R
2025-04-08
SI
long
29.98
29.87
30.29
+3.00R
2025-04-07
GC
long
2971.80
2968.40
2982.00
+3.00R
Strategy specification
Universe
GC, SI
Setup
15-min opening-range breakout
Risk:Reward target
3.0
Trailing stop
1 × ATR(14)
ATR period
14 bars
Bar size
5 minutes
Frequency limit
1 trade per symbol per day
Data source
Databento CME GLBX.MDP3
About these numbers. The backtest assumes perfect fills at the strategy's intended entry, stop, and target prices. Commission, slippage, and execution latency are not modeled. Real-world performance will be lower than backtest by some amount; the gap depends on broker, account size, and execution discipline. Read the full risk disclosure. Generated 6/2/2026, 7:59:58 AM.