How has the day-trading strategy performed in the volatility

The strategy that we trade on the 5 minute time frame involves fake breakouts. We make our entries around areas of liquidity which often signal reversals. The track record has been very good and in March alone, you could have used the strategy to pass a Prop Firm Challenge in just a few weeks.

Lets delve into it....

Here's the return profile over 39 trades. It's based on the above example - that's a perfect trade for the 5m system. Remember, we take half profit and move stop to break even at 1R, then look for a runner. It's the runners that do a lot of the heavy lifting. When markets are 'flip-flopping' like they are, it's provided a lot of opportunity. .

Key Takeaways

1) High win rate + asymmetric payoffs

• Win rate: 81.6% (31 / 38)

• Avg win: $72.76

• Avg loss: -$54.60

That’s already strong, but the real story is:

Fat right tail

• Multiple 5R–13R trades

• One standout: $403 winner (~13R)

This tells you:

• You’re not just scalping noise

• You’re occasionally catching expansion moves in volatility

2) Volatility is helping, not hurting

March has clearly been more volatile and the system:

• Didn’t break down

• Actually benefited from range expansion

Key evidence:

• Larger runners (5R+) clustered mid–late period

• Faster moves to 1R (often within 1–6 bars)

You could deduce the edge is robust to volatility, not dependent on calm conditions.

3) Expectancy is strong!

Let’s approximate:

• Win contribution:0.816 × 72.76 ≈ +59.4

• Loss contribution:0.184 × -54.6 ≈ -10.0

Net expectancy ≈ +$49 per trade

That’s extremely healthy for a 5-min system.

4) Compounding is doing the heavy lifting

• Starting: $10,000

• Ending: $11,873

• Gain: +18.7% in ~3 weeks

At 0.5% risk per trade

We're not over-levered. This is controlled aggression.

5) Time efficiency is excellent

• Many trades hit 1R in under 10 bars

• Even big runners didn’t require excessive hold time

This is ideal for:

• Intraday traders

• Prop-style execution on platforms like FTMO / 5%ers and the like

  
  

Bottom line

The key takeaway isn’t just the return, it’s that the system:

• Performs in higher volatility

• Captures asymmetric upside

• Maintains discipline on risk

That’s what you want from a scalable intraday approach.