AVALONPLUS — Strategy Report

AVALONPLUS is a rule-based EOD strategy on MES/ES Futures with underlying SP500 index (SPX). All examples refer to the MES Future ($5 point value) for simplicity. The system generates approx. 2–5 trades per year. In backtest 2000–today, $10,000 with reinvest achieved a net profit of $12,492,594, without reinvest $132,595. With $100K, reinvest achieved a net profit of $13,916,416, without reinvest $1,457,876. The difference between both scenarios arises solely from growing position size and the normalization of position size to realistic values — not from better signals.

EOD strategy: signal check once daily after market close, approx. 2–5 minutes effort.

Same trades, same period. Difference: starting capital and reinvest yes/no.

Logarithmic scale · 2000–today · MES Futures · — $10K · -- $100K

Why is the difference between Reinvest and No Reinvest so large?

The system calculates position size from available capital. Concrete example:

L1 signal, SPX ~1,400 (year 2000) — Normalize Positions ON:
  Cost/contract: 1,500 × (11% + 7%) × $5 = $1,350
  $10K capital → floor($10,000 / $1,350) = 7 contracts

L1 signal, SPX ~5,000 (year 2024):
  Cost/contract: 5,000 × 18% × $5 = $4,500
  Without Reinvest ($10K base, unchanged capital):  floor($10,000 / $4,500) =   2 Kontrakte
  With Reinvest ($10K start, account now ~$500K):      floor($500,000 / $4,500) = 111 Kontrakte

The edge per trade (%) is identical.
The difference in absolute return arises solely from position size.

MES Futures · $5/point · Costs ON · Normalize Positions ON · No tax · $10,000 starting capital

The Three Signal Types

Stop-Distance-Based Sizing — the Compounding Anchor

qty = floor( capital ÷ ( entry_price × (stop_distance% + margin%) × point_value ) )

Example L1, $10K, SPX 5,000, stop 11% + margin 7% = 18%:
  qty = floor( 10,000 ÷ (5,000 × 18% × $5) ) = floor( 10,000 ÷ 4,500 ) = 2 contracts

Expected Value per Signal Type · 1963 to today · MES · $10K · no reinvestment

EV per trade is the average PnL after costs ($/trade). The values scale with starting capital and reinvest — profit factor and win rate stay stable across instruments. Caveat: S1 (8) and L2 (7) are small samples, confidence intervals are wide — see Section 7 (Risk Quartet).

MES Futures · No tax · Sharpe/Sortino annualized · Rf = 4% p.a.

AVALONPLUS has been evaluated exclusively in backtest to date. Frank Gärtner started live trading in March 2026. Once 12+ live trades are available, a comparison table Backtest vs. Live will be added here. This is the actual robustness test of the strategy.

What backtest results do not capture: Slippage in real crash phases can be 5–20 ticks instead of the assumed 2 ticks. Gap-opens on volatile days can degrade entry quality. Psychological factors (holding through drawdown, executing signals consistently) are only measurable in live trades.

Underwater Curve — reinvestment/no reinvestment $10K · reinvestment/no reinvestment $100K · Buy&Hold S&P 500 · 2000–today

Max Drawdown — $10,000 Starting Capital

Reinvest basis: peak of cumulated profit (= peakEquity − starting capital). A drawdown of e.g. 17% means: 17% of the profit earned up to that point was given back from the peak — not 17% of the starting capital.

Max Drawdown — $100,000 Starting Capital

Max Drawdown — Buy & Hold S&P 500 (Reference)

Measured at trade exit dates (not continuous) — the historical all-time max DD of the S&P 500 is –56.8% (March 2009).

Additional Metrics · MES · 2000–today

An L1 stop (–11%) has not been triggered in 63 years (117 trades). A first trigger would cost approx. –61% of the trade capital deployed, not of the total account. The L2 stop (–1.5%) was triggered once (2015). For SPX/SPX-CFD the stop price is slightly different — 2 L2 stops were registered there.

Reinvest · X-axis: years since entry · MES Futures · — $10K · -- $100K

The achievable result depends significantly on the entry timing. An entry before the Dot-Com Crash (2000) delivers over 26 years a CAGR of ~31% ($10K) or ~21% ($100K), because the system navigated crash phases early and early SPX price levels allow proportionally more contracts. An entry in 2016 in the middle of the bull market shows ~28% ($10K) / ~19% ($100K) CAGR — entry timing and holding period length significantly influence the result. The 26-year period from 2000 is the most conservative and methodologically sound reference, as it contains all relevant market regimes (Dot-Com, financial crisis, bull market, COVID).

MES Futures · Reinvest · Costs ON · No tax · All trades from the respective start date

Summary of the four open points — detailed analysis in Section 10.

Calmar note: 1.83 refers to 2000–today (26 years, simulation $10K, Reinvest). For fair comparisons with benchmarks like the SG Trend Index the 26-year value is used.

SG Trend Index: approximation based on publicly available data. AVALONPLUS: MES · Reinvest · $10,000 starting capital · Costs ON · No tax.

Sorted alphabetically — each term with definition and AVALONPLUS-specific example.

As outlined in Section 7 as an overview — here the detailed analysis of the four open points.

All scenarios shown in this report can be reproduced directly in the AVALONPLUS Android app backtester — with your own capital and reinvest settings. After market close the app sends a daily EOD push with the current signal status (L1 / S1 / L2 active, position yes/no).

The first 30 days are free — EOD push and backtester included. A subscription is required to continue.