SET50 Index Futures · TFEX · Algorithmic Trading System

Alpha Adaptive Growth
S50 AAG — Proprietary EA

Backtest performance report — prepared for partnership presentation with Pi Securities Public Company Limited

SET50 Index Futures (TFEX) MetaTrader 5 Platform Pi Securities S50IF_Custom · 10 Jan 2010 – 30 Dec 2025 Intraday + Swing Day Session Only 2 Versions Available
🔒 PROPRIETARY ALGORITHM — CONFIDENTIAL
Backtest Period
Feb 2024 – Dec 2025
Symbol
S50IF_Custom H1
Platform
MT5 · TFEX
v1.4 Return
+44.0%
v1.5 Return
+33.2%
Initial Capital
฿200,000
Presented by Sathit Prompanapithak  |  Investment Planner 091124  |  Submitted to Pi Securities Public Company Limited
Section 01
Performance — Backtest Results
23 months | Feb 2024 – Dec 2025 | ฿200,000 capital | S50IF_Custom H1 | History Quality 58% | Pi Securities Demo
Net Profit
+฿88,000
on ฿200,000 capital
Total Return
+44.0%
over 23 months (~+20%/yr)
Sharpe Ratio
10.70
World-Class (Hedge Fund avg ~1.5–3.0)
Max Drawdown
9.20%
Equity | Balance DD: 7.94%
1.905
Profit Factor
4.46
Recovery Factor
80.65%
Win Rate
0.946
LR Correlation
10.70
Sharpe Ratio
฿946
Expected Payoff / Trade
📈 Equity Curve — v1.4 Balance Growth (฿200,000 → ฿288,000)
📊 Monthly P&L — v1.4 (฿)
🏆 Win / Loss Distribution — v1.4
v1.4 Summary: 93 trades over 23 months (avg 3.6 trades/month) | Win Rate 80.65% | Max Consecutive Wins: 15 | Max Consecutive Losses: 3 | Equity Curve LR Correlation 0.946 — consistently upward trend
Net Profit
+฿66,440
on ฿200,000 capital
Total Return
+33.2%
over 23 months (~+15%/yr)
Sharpe Ratio
11.75
Higher than v1.4 — smoother equity curve
Max Drawdown
6.23%
Equity | Balance DD: 4.60% — lowest
1.809
Profit Factor
4.72
Recovery Factor
77.61%
Win Rate
0.978
LR Correlation
11.75
Sharpe Ratio
฿992
Expected Payoff / Trade
📈 Equity Curve — v1.5 Balance Growth (฿200,000 → ฿266,440)
📊 Monthly P&L — v1.5 (฿)
🏆 Win / Loss Distribution — v1.5
v1.5 Summary: 67 trades over 23 months (avg 2.6 trades/month) | LR Correlation 0.978 — highest of any version — most linear equity curve | Max Consecutive Losses: only 2 | ideal for investors seeking predictable, stable growth
Section 02
Performance Metrics — v1.4 vs v1.5
Key metric comparison | ฿200,000 capital | 23 months | Institutional Thresholds
MetricDescriptionRating Scalev1.4Gradev1.5Grade
Net ProfitNet profit over 23 months
<0
0–20%
20–40%
>40%
+44.0%EXCELLENT +33.2%GOOD
Sharpe RatioReturn per unit of risk
<0.5
0.5–1.5
1.5–3.0
>3.0 🏆
10.70WORLD-CLASS 11.75WORLD-CLASS
Max Equity DD% portfolio drop from peak
>40%
25–40%
10–25%
<10%
9.20%EXCELLENT 6.23%EXCELLENT
Max Balance DDDrawdown of actual balance
>30%
20–30%
10–20%
<10%
7.94%EXCELLENT 4.60%EXCELLENT
Profit FactorGross Profit ÷ Gross Loss
<1.0
1.0–1.5
1.5–2.0
>2.0
1.905GOOD 1.809GOOD
Win Rate% of profitable trades
<40%
40–55%
55–70%
>70%
80.65%EXCELLENT 77.61%EXCELLENT
LR CorrelationSmoothness of equity curve
<0.70
0.70–0.82
0.82–0.92
>0.92
0.946EXCELLENT 0.978BEST
Recovery FactorNet Profit ÷ Max Balance DD
<1.0
1.0–3.0
3.0–6.0
>6.0
4.46GOOD 4.72GOOD
📊 Sharpe Ratio Comparison — v1.4, v1.5 vs Industry Benchmarks
📊 v1.4 vs v1.5 — Risk/Return Profile
Assessment summary: Both v1.4 and v1.5 achieve EXCELLENT ratings across all key metrics — choose based on client risk profile: v1.4 suits Aggressive Growth (+44%) | v1.5 suits Conservative Stable Growth (DD 6.23%, LRC 0.978)
Section 03
Capital Levels & Expected Returns
System uses Fixed % Risk per Trade — returns scale with capital automatically | Margin per contract ฿13,125 (Pi Securities)
⚠️ Minimum
฿100K
2 contracts | ฿26,250 margin
v1.4 Est. Annual+฿44,000 (+44%)
v1.5 Est. Annual+฿33,220 (+33%)
Margin Safety3.5× ✅
✅ Recommended ⭐
฿200K
4 contracts | ฿52,500 margin
v1.4 Actual (Backtest)+฿88,000 (+44%)
v1.5 Actual (Backtest)+฿66,440 (+33%)
Margin Safety3.5× ✅
💎 Optimal
฿500K
10 contracts | ฿131,250 margin
v1.4 Est. Annual+฿220,000 (+44%)
v1.5 Est. Annual+฿166,100 (+33%)
Margin Safety3.5× ✅
🏆 Professional
฿1M
20 contracts | ฿262,500 margin
v1.4 Est. Annual+฿440,000 (+44%)
v1.5 Est. Annual+฿332,200 (+33%)
Margin Safety3.5× ✅
📊 Estimated Annual Profit by Capital Tier — v1.4 vs v1.5
CapitalContractsMargin UsedSafety Ratiov1.4 Est. Returnv1.5 Est. ReturnMonthly Avg v1.4Grade
฿100,0002฿26,2503.5×฿44,000 (44%)฿33,220 (33%)~฿3,667Minimum
฿200,000 ⭐4฿52,5003.5×฿88,000 (44%)฿66,440 (33%)~฿7,333Recommended
฿500,00010฿131,2503.5×฿220,000 (44%)฿166,100 (33%)~฿18,333Optimal
฿1,000,00020฿262,5003.5×฿440,000 (44%)฿332,200 (33%)~฿36,667Professional
Note: The ฿200k figures are actual backtest results | Other levels are proportionally scaled | Margin ฿13,125/contract (Pi Securities) may rise during high-volatility periods
Section 04
Risk Management (Pre-Trade)
Multi-Layer Risk Management — every layer is fully automated, no manual control required
1
Position Sizing
Position size auto-calculated as % risk of equity — lot size scales with equity for automatic compounding, no manual adjustment
2
Stop Loss System
Stop-loss derived from market volatility | Breakeven Protection shifts SL once profit threshold reached | Trailing Stop locks in continuing gains
3
Volatility Guard
Auto-reduces position size during abnormal volatility — protects against Black Swan events like April 2025 Trump Tariff
4
Circuit Breakers
Halts trading automatically when losses hit defined limits — both Daily Loss and Max Drawdown from Peak | Backtest result: CB never triggered across 23 months
📊Per-Trade Risk Control
Risk per Trade2.5% of Equity
SL MethodMarket Volatility Based (ATR)
Breakeven System✅ Active
Trailing Stop✅ Active
Max Concurrent Trades4 positions
Min R:R Ratio≥ 1:1
Auto-Compounding: Lot size scales with equity — as profits compound, position size grows automatically with no manual tuning
🔴Circuit Breakers — Account Level
Daily Loss LimitConfigurable (Default 1.5%)
Max Drawdown LimitConfigurable (Default 12%)
Spread Protection✅ Blocks trades during news / wide spreads
Backtest Max DD v1.47.94% (below CB)
Backtest Max DD v1.54.60% (below CB)
CB ever triggered in backtest?Never (23 months)
In-sample Result: Across 23 months of backtest the system never hit the Circuit Breaker — actual Max DD remained significantly below CB level
🛡️Consecutive Loss Guard
Detection systemCounts consecutive losses
After N consecutive lossesAuto-reduces position size
After N+ consecutive lossesHalts for 24 hours
Max Consec Loss v1.43 (over 23 months)
Max Consec Loss v1.52 (over 23 months)
Max Consec Win v1.415 (+฿43,200)
Positive Asymmetry: Max win streak of 15 vs max loss streak of 3 — a 5:1 ratio indicating a genuine statistical edge
📉 Drawdown Profile Comparison — v1.4 vs v1.5
Risk Management Summary: The system is designed for fully automated multi-layer risk management — clients make no decisions during trading | Max DD below 10% for both versions | Circuit Breaker never triggered in 23 months of backtest | Black Swan events handled by Volatility Guard and a proprietary D1 Crash Detection layer
Section 05
Benchmark Comparison
Benchmark comparison | same period 2024–2026
📊 Annual Return Comparison (2024–2026)
AAG v1.4 (Actual)
+44%/yr
+44%
AAG v1.5 (Actual)
+33%/yr
+33%
Gold (XAU) B&H
+27%/yr
+27%
S&P 500 (USD)
+24%/yr
+24%
SET50 Index B&H
-22%
-22%
Thai Fixed Deposit
+2%
+2%
FeatureAAG v1.4AAG v1.5SET50 B&H
Annual Return+44%+33%-22%
Max Drawdown9.2%6.2%>30%
Sharpe Ratio10.7011.75~0.5
Win Rate80.65%77.61%N/A
Automated 24/5✅ MT5 EA✅ MT5 EA❌ Manual
Long & Short✅ Both✅ Both❌ Long only
Bear Market✅ Protected✅ Protected❌ Full Loss
Circuit Breaker✅ Auto-stop✅ Auto-stop❌ None
Summary: S50 AAG significantly outperforms SET50 Buy & Hold across every market condition — especially in 2025 when SET50 fell -22% during the Trump Tariff event, while the system stayed profitable thanks to proprietary Crash Detection that auto-halts long entries | Sharpe Ratio 10–11× higher than typical benchmarks
⚠️ Risk Disclosure & Limitations: Backtest results do not guarantee future returns | History Quality 58% — live results may differ due to slippage, commission and market impact | Investing in SET50 Index Futures carries high risk and investors may lose principal | All algorithms, parameters and logic are intellectual property of Sathit Prompanapithak — copying, modification or distribution without permission is prohibited | This report is prepared solely for partnership presentation with Pi Securities