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In this insight we present a detailed analysis of the performance of a trading system developed for the Micro E-mini S&P 500. The system is based on the use of dynamic range bars, which are not based on a traditional fixed timeframe, but are derived from a volatility value calculated on a reference timeframe. This approach allows the chart structure to be adapted to market conditions, improving operational consistency.
The comparison between the performance obtained during real trading and the native expectation from the backtest on In-Sample data is the focus of the analysis. For a more transparent and realistic evaluation, the equity line has been reconstructed assuming trading with a single contract, avoiding the progression in the number of contracts that often alters the perception of risk and system stability.
This type of comparison is not just a validation exercise: it is a key step in fully understanding both the reliability of the model and the quality of the systematic development process.
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