TraderCap
Sign inCreate free account

GC: Sweep, change of character, fair value gap

Sweep of a session level, then a change of character, then entry on the fair value gap. Backtested on real CME GC 1-minute bars.

Short answer

We backtested the Sweep, change of character, fair value gap on GC (gold futures (GC and MGC)) using real CME 1-minute bars from 2 Jan 2023 to 18 Oct 2026. It took 371 trades, won 37.5% of them and made -$862 after costs, an average of 0.00R per trade. It did not clear the bar: it failed 7 of 8 tests, including "Average R of +0.10 or more". Against a random-walk copy of the same data it scored 0.09R better, so there is no clear edge over chance. It trades 12:30 to 20:30 IST in summer or 13:30 to 21:30 IST in winter (03:00 to 11:00 New York time).

Strategy setup

Times in your time zone: EST (America/New York), New York times beside them. Change it in your profile.

Real days from the data

03:0003:00 New York05:0005:00 New York07:0007:00 New York09:0009:00 New York11:0011:00 New Yorkasia_high 4,207.90Gap midpoint 4,205.85Time exit limitStop4,213.40Target4,190.75Sell 4,205.85Target hit+2.00R · +$150

Fri, 16 Oct 2026, short. In at 06:21 EST (06:21 New York), out at 08:54 EST (08:54 New York). 10-minute candles, 1 MGC, $75 at risk.

Levels
Asia high, Asia low, yesterday's high, yesterday's low03:00 to 11:00 EST (03:00 to 11:00 New York)
Setup
On 5-minute bars: a sweep of a level, then a close through the lowest low (highest high) of the last 6 bars within 90 minutes
Entry
Limit order at the midpoint of the latest fair value gap in that move, working for 60 minutes
Stop
One tick beyond the sweep's extreme
Target
2R, twice the distance to the stop
Time exit
Flat by this time at the latest11:00 EST (11:00 New York)
Size
Whole MGC micros, so the stop risks at most $150 (maximum 10). Skipped if one micro would risk more
Frequency
One trade a day

One tick lost on stop and market fills, a target needs price to trade a tick through it, the stop counts first when one bar touches both, and a target can't be hit in the bar a limit order fills. Commission is a placeholder $0.50 per micro per side, not Tradeify's actual rate.

Does it clear the bar?

Doesn't meet the bar

Fixed before any strategy was run. Every check must hold after costs. Average R is 0.00 against -0.09 on random-walk copies of the same days (±0.03): no better than chance.

  • At least 300 trades371
  • Average R of +0.10 or more+0.00
  • t-statistic of 3 or more0.1
  • Beats a random walk by 0.10R+0.09R over -0.09R
  • Profitable in 3 of 4 years1 of 4
  • Positive out-of-sample (2025 on)-0.05R
  • Profit factor of 1.2 or more0.97
  • Max drawdown within $1,000-$4,156

Net profit

-$862

after $1,483 costs

Trades

371

on 37.9% of days

Win rate

37.5%

avg win $206, avg loss -$127

Average R

0.00

95% range -0.13 to +0.14

Profit factor

0.97

expectancy -$2 a trade

Max drawdown

-$4,156

vs $1,000 allowed on a $25K account

Equity curve

Running net profit, by quarter

-$2,000-$1,500-$1,000-$500$0$500$1,000$1,50023Q123Q1: $28523Q2: $1,04723Q323Q3: $1,13423Q4: $24024Q124Q1: $1,16824Q2: -$27224Q324Q3: -$79524Q4: $22825Q125Q1: $35525Q2: -$12125Q325Q3: -$97625Q4: -$74226Q126Q1: -$1,36026Q2: -$1,83226Q326Q3: -$93426Q4: -$862

By year

Net profit, and trades taken

$2402023108 trades-$112024113 trades-$9702025105 trades-$120202645 trades

How trades ended

Net profit by exit type

-$28,732Stop215 trades, -1.03R$26,228Target105 trades, +2.00R$1,642Time exit51 trades, +0.28R

Days with a trade

Share of each year's trading days on which the strategy traded, and why the other days had no trade.

  • 2023
    42%
  • 2024
    44%
  • 2025
    41%
  • 2026
    22%
Reason for no tradeDaysShare of all days
no setup in the window56858%
one micro risks more than the budget343.5%
stop too tight to trade70.7%

Breakdowns

Nothing is tuned on the out-of-sample years: 2023 to 2024 is the in-sample period, 2025 on is out-of-sample.

PeriodTradesWin rateNetAvg RProfit factorMax drawdown
In-sample 2023 to 202422139.4%$228+0.041.01-$3,412
Out-of-sample 2025 to Oct 202615034.7%-$1,091-0.050.91-$3,366
By yearTradesWin rateNetAvg RProfit factorMax drawdown
202310840.7%$240+0.051.03-$1,525
202411338.1%-$11+0.031.00-$2,945
202510536.2%-$970-0.050.88-$2,459
20264531.1%-$120-0.050.97-$1,649
By sideTradesWin rateNetAvg RProfit factorMax drawdown
Long17140.4%$1,270+0.071.10-$2,062
Short20035.0%-$2,132-0.050.87-$4,930

Rule variations

Small changes to the rules, to check the result is not fragile. They are never used to choose the rules.

VariationTradesWin rateNetAvg RProfit factorMax drawdownDays skipped
Primary rules37137.5%-$8620.000.97-$4,156-
Target 1R37151.8%-$298+0.020.99-$2,662609
Target 1.5R37143.9%$822+0.041.03-$3,699609
Target 3R37131.5%-$1,483-0.010.95-$4,217609
Gap order valid 30 min32038.1%$526+0.031.02-$2,687660
Gap order valid 90 min40336.7%-$1,816-0.010.94-$6,054577
Structure 3 bars38635.5%-$3,778-0.040.88-$6,834594
Risk budget $25040037.5%$1,158+0.011.02-$5,091580

Tradeify $25K evaluation

Target $1,500, trailing drawdown $1,000, daily loss $600. An attempt starts on each of 980 trading days in turn.

  • Passed 94
  • Failed on drawdown 771
  • Unfinished 115

10.9% of finished attempts passed, in a median of 78 trading days. Attempts that start on consecutive days overlap, and with no edge a simulated evaluation passes or fails mostly by luck.

Hypothetical results from a backtest on CME GC futures, 2 Jan 2023 to 18 Oct 2026, run 19 October 2026. 104 strategies and variations were tried across the Strategy section, so the best few would look good by chance. Past performance does not predict future results, fills and costs are assumed, and an average of 0.00R with a 95% range of -0.13 to +0.14R can't be told apart from zero. Education, not trading advice.

More strategies

Trading a prop firm account?

Track each challenge's rules and today's dollar limits, with your sessions in your time zone. Free.

Create free account