BBOBOP TOOL #2018
Sector ETF Grid Trading:
Real-Data Backtest
Historical OHLCV Analysis Across All 11 SPDR Sectors
March 2026
Slotz Engine Parameters: sell_mult=0.0077 | step_mult=0.00377 | buys=3
Executive Summary
Real Historical Backtest Results Across All 11 SPDR Sector ETFs
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Fetching OHLCV from draco.jaroffiles.com
Methodology

Slotz Grid Engine Parameters

sell_mult = 0.0077
Sell target is buy_price * (1 + 0.0077). Each completed capture earns 0.77% gross.
step_mult = 0.00377
Grid spacing = price * 0.00377. Levels are tightly packed to maximize capture frequency.
buys = 3
Three grid levels below current price. Positions accumulate on dips, sell on rebounds.

Data Source

draco.jaroffiles.com provides historical OHLCV data for each ticker. CSV format: Date, Close, High, Low, Open, Volume. Data extends back to 1998 for some ETFs.

What Is a "Capture"?

A capture is a complete buy-sell cycle. The grid places buy orders at step_mult intervals below price. When price dips to fill a buy, a sell target is immediately set at buy_price * (1 + sell_mult). When price rebounds to hit the target, the position closes and the spread is captured as profit.

Simulation Rules

  • Starting capital: $10,000 per ticker
  • Position size: $1,000 per grid level
  • No leverage, no margin
  • Commissions: $0 (modern broker)
  • Slippage: not modeled (ETF spreads are sub-penny)
  • FULL historical data used (all available rows)
The 11 Sector Universe
All SPDR Select Sector ETFs with Historical Data Coverage
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Per-Ticker Backtest Results
Full History | Sortable by Any Column (Click Headers)
Ticker Sector Captures Avg Cap% Win Rate Hold Days Total P&L Cap Eff% Acct Ret% Max DD% Max Pos
Trade Log
Every Buy/Sell Within Candles | Select Ticker | Most Recent First
Buy DateSell DateBuy PriceSell PriceSharesP&LReturn%Hold DaysCandle Context
Top 5 Performers
Ranked by Capital Efficiency (P&L / Avg Capital Deployed)
Equity Curves
Cumulative P&L Over Last 250 Trading Days | Top 5 Tickers
Capital Efficiency Analysis
"At any given time you have vastly different amounts actually invested" -- Addressing the Key Question
Capital Efficiency = Total P&L / Average Capital Deployed at Any Point. This measures return on working capital, not idle cash. Account Return = Total P&L / Starting Capital ($10K). Both metrics shown.
Hold Time Analysis
Distribution of Days Between Buy and Sell for All Captures
Capture Frequency
Captures Per Month Over Last 250 Trading Days | Top 5 Tickers
Drawdown Analysis
Maximum Open-Position Drawdowns Over Last 250 Days | Top 5 Tickers
Risk-Adjusted Returns
Sharpe-Like Metrics and Buy-and-Hold Comparison
TickerGrid Ann. Ret%Grid Max DD%Return/DDSharpe-LikeB&H Ann. Ret%B&H Max DD%Grid Alpha%
Scalability Analysis
Real Backtest Numbers Extrapolated Across Capital Levels
At $50M, daily grid trades total <0.01% of sector ETF daily volume — zero market impact.
Optimal Portfolio Construction
Data-Driven 5-Ticker Selection from Backtest Results
BBOBOP #2018 — SLOTZ REAL-DATA BACKTEST
Data-Driven.
Historically Validated.
Real OHLCV data. Real grid parameters. Real results.
Slotz Engine: sell_mult=0.0077 | step_mult=0.00377 | buys=3
CONFIDENTIAL — For Discussion Purposes Only