Performance Overview
Backtest Results (v1.77)
Period: January 1, 2025 – July 8, 2026 (18 months) | Capital: ฿200,000 | Leverage: 1:100 | Risk Management: Kelly Criterion 3.5% per trade
| Metric | Value | Assessment |
|---|---|---|
| Total Net Profit | +120,370 ฿ | EXCELLENT |
| Total Return | +60.2% | EXCELLENT |
| Annualized Return | ~40.2% | EXCEPTIONAL |
| Sharpe Ratio | 13.05 | WORLD-CLASS |
| Profit Factor | 1.75 | STRONG |
| Recovery Factor | 3.80 | EXCELLENT |
| Max Equity Drawdown | -9.46% | EXCELLENT |
Trade Statistics
| Statistic | Value |
|---|---|
| Total Trades (Signals) | 70 |
| Total Deals (Entry + Exit) | 140 |
| Winning Trades | 52 (74.29%) |
| Losing Trades | 18 (25.71%) |
| Long Trades Win Rate | 73.81% (42 of 57) |
| Short Trades Win Rate | 75.00% (28 of 37) |
| Largest Winning Trade | +10,595 ฿ |
| Largest Losing Trade | -11,765 ฿ |
| Average Winning Trade | +5,387.60 ฿ |
| Average Losing Trade | -7,764.44 ฿ |
| Max Consecutive Wins | 9 trades (+42,545 ฿) |
| Max Consecutive Losses | 2 trades (-18,055 ฿) |
| Average Trade Duration | 5 hours 31 minutes |
Profit Analysis
| Component | Amount (฿) |
|---|---|
| Gross Profit (all winning trades) | +280,155 |
| Gross Loss (all losing trades) | -159,785 |
| Profit Factor (Profit ÷ Loss) | 1.75 |
| Net Profit (Final Result) | +120,370 |
| Total Commissions | -40,050 |
System Overview
Strategy Profile
Instrument: SET50 Index Futures (S50IF_CON H1 timeframe)
Execution Broker: Pi Securities (TFEX authorized)
Risk Model: Kelly Criterion 3.5% per trade
Position Management: Multi-level stop loss, trailing stop, breakeven system
Capital Requirements
| Level | Capital | Est. Annual Return | Est. Max Drawdown |
|---|---|---|---|
| Minimum | ฿100,000 | +33,600 (33.6%) | ~฿8,900 |
| Recommended ⭐ | ฿200,000 | +67,150 (33.6%) | ~฿25,965 |
| Optimal | ฿500,000 | +167,900 (33.6%) | ~฿44,600 |
| Professional | ฿1,000,000 | +335,800 (33.6%) | ~฿89,200 |
Risk Management
The system incorporates multiple layers of risk protection:
- Per-Trade Risk: 3.5% Kelly Criterion sizing
- Daily Loss Circuit Breaker: 4.0% maximum daily loss limit
- Monthly Protection: 20.0% maximum drawdown limit
- Position Limits: Max 6 simultaneous trades, max 4 same direction
- Consecutive Loss Guard: 50% position reduction after 3 consecutive losses
- Automated Exits: Stop loss, trailing stop, breakeven protection
Risk Parameters
| Control | Setting |
|---|---|
| Risk per Trade | 3.5% of equity |
| Max Daily Loss | -4.0% |
| Max Drawdown | -20.0% |
| Max Simultaneous Trades | 6 |
| SL Distance (ATR-based) | 1.0 × ATR |
| TP Distance (ATR-based) | 1.0 × ATR |
Minimum System Requirements
- 💻 MetaTrader 5 (TFEX-compatible broker required)
- 💰 Initial Equity: ฿100,000 – 200,000 recommended
- 🏦 Broker: Pi Securities or equivalent TFEX ECN provider
- 🌐 VPS: Optional (H1 timeframe has low latency sensitivity)
- 📊 Margin Per Contract: ~฿13,125 (subject to broker variation)
Backtest results do not guarantee future returns. SET50 Index Futures carry inherent market risk and leverage risk. Past performance is not indicative of future results. Forward demo testing strongly recommended before live capital deployment. All algorithms and parameters are intellectual property — reproduction or modification without written permission is strictly prohibited.