RealTest Strategies / RealTest Weekly Pullback Strategy

RealTest Weekly Pullback Strategy

A calendar-effect strategy that trades the well-documented weekly seasonality pattern in the S&P 500. It enters on Monday weakness and exits at the Friday close, holding positions only during the trading week to avoid weekend gap risk. Backtested since 2000 with Norgate data and validated via walk-forward analysis.

Beating SPY
Loading...
Live Market Performing
Performs in live market conditions since 2025-03-10
Premium

Strategy Overview

Weekly Seasonality Research

The day-of-week effect in equity returns is a well-documented anomaly in the academic literature. Historically, Monday returns have been weaker and Friday returns stronger in the S&P 500. This strategy systematically trades that pattern by entering on Monday weakness and exiting at the Friday close. The underlying hypothesis is that institutional rebalancing flows and end-of-week positioning create a repeatable intra-week return pattern.

Weekend Gap Risk Elimination

By exiting all positions at the Friday close, the strategy avoids exposure to weekend news events, geopolitical developments, and Monday gap risk. This is a deliberate design choice that trades some potential upside for reduced tail risk. The strategy is only exposed to the market during the trading week, which historically captures the majority of the weekly return while avoiding the most unpredictable overnight period.

Simplicity and Overfitting Resistance

The strategy relies on calendar timing and price, with no technical indicators or oscillators. This minimal parameter approach reduces the risk of curve-fitting. The logic is transparent and easy to audit in the RealTest source code. Backtested since 2000 with survivorship-bias-free Norgate data and realistic Interactive Brokers commissions.

What You Get

RealTest by MHP Trading logo
RealTest Strategy Code (.rts)
Complete RealTest (.rts) strategy code. Import, backtest, and modify.
Trading strategy rules plain text document
Plain Text Rules
Full strategy logic in plain text. Clear rules for implementation on any trading platform.

Advanced Backtest Insights

Statistical Edge Verification

Science, governed by mathematics

RealTest trading software logo

Quick start guide

From download to first backtest in 1 minutes

OrderClerk automated trading execution interface

Daily Live Trading

For RealTest automated execution

Total daily time: ~5 minutes

Get OrderClerk automation course →

Strategy Details

Model assumptions

Included in Backtest

Commission$0.005 / Share
Limit Price Buffer0.1% Past Limit

SPY Buy & Hold Benchmark

Does not include any transaction fees, slippage, or management costs.

Portfolio Builder & Simulator

Visualize your diversification edge

Instantly simulate how this strategy improves your existing portfolio. Check correlations, optimize allocations, and verify the smoothed equity curve before you deploy.

Generate Correlation Matrix
Optimize Capital Allocation
Simulate Combined Metrics
Visual Performance Comparison
Open Strategy Combiner →

Strategy Code Preview

RealTest full source code included in download

RealTest Weekly Pullback Strategy RealTest code structure

Pick Your Strategy Below

Demo Strategy

$ 0 one-time

Free RealTest demo mean reversion strategy.

  • RealTest .rts file
  • Robustness Verified
  • Does not include RealTest Weekly Pullback Strategy
RealTest Users' Favorite

RealTest Weekly Pullback Strategy

$ 899 one-time

Full strategy code and rules.

  • ...% Portfolio Growth
  • In-Sample / Out-of-Sample Validated
  • Survivor-Bias Free
  • Outperforms SPY Benchmark
  • Fully Customizable Source Code
  • Download Once, Use Forever

Multi-Strategies Bundle

$ 2,700 one-time

Instant diversification. You own our complete suite of uncorrelated, robust strategies.

Easy To Use

Download strategy, open RealTest, click "import" and "test".

You may also like

Common Questions

A calendar-effect strategy that trades the well-documented weekly seasonality pattern in the S&P 500. It enters on Monday weakness and exits at the Friday close, holding positions only during the trading week to avoid weekend gap risk. Backtested since 2000 with Norgate data and validated via walk-forward analysis.
RealTest by Martin Parker (MHP Trading). Strategies are delivered as .rts files for direct import. For live execution: OrderClerk + Interactive Brokers.
Survivorship-bias-free data from Norgate (January 2000 to present). Walk Forward Analysis for out-of-sample validation. 1000+ Monte Carlo simulations for statistical robustness. No cherry-picked parameters.
Interactive Brokers tiered commission structure is modeled. Limit order buffer: 0.1% Past Limit.
2025-03-10. The equity curve shows both backtest (from 2000) and real performance afterward.
RealTest .rts file (complete source). Plain-text trading rules. Full documentation with parameter explanations.
The equity curve above plots RealTest Weekly Pullback Strategy against SPY (S&P 500 ETF) from 2000. Key metrics: CAGR, Maximum Drawdown, Sharpe, Sortino.
Complete source code, perpetual license. Modify parameters, adjust position sizing, combine with other systems, or use as a starting point for your own research. No restrictions.
Norgate Data (recommended) for survivorship-bias-free US equities. Yahoo Finance works for basic testing but lacks delisted stocks. The backtest results shown here use Norgate Platinum.
RealTest to OrderClerk to Interactive Brokers. Generate signals daily in RealTest, execute automatically via OrderClerk to IBKR. Free setup course available.