--- title: Mark Ritchie II · Minervini-style trend template + pivot breakout (backtest) description: Daily-bar backtest of the minervini-style trend template + pivot breakout method Mark Ritchie II describes on Chat With Traders (ep. 290). Template: trend template. S&P 500, cash only, 10 bps slippage. Backtest, not live. kind: backtest author: Mark Ritchie II source: chatwithtraders.com source_url: https://chatwithtraders.com/episode/290-mark-ritchie-ii-price-action-swing-trading-equities-from-the-long-side tags: trend-template, chat-with-traders, backtest license: MIT --- # Mark Ritchie II · Minervini-style trend template + pivot breakout (backtest) *For research and education only. This is not investment advice. This is AlpaTrade's daily-bar interpretation of rules Mark Ritchie II described in a podcast interview. It is **not** Mark Ritchie II's own code, account or track record, and it has **never been traded live**.* ## Sources (Chat With Traders) - Ep. 290 — [290 · Mark Ritchie II - Price-Action, Swing Trading Equities from the Long Side](https://chatwithtraders.com/episode/290-mark-ritchie-ii-price-action-swing-trading-equities-from-the-long-side) · [YouTube](https://www.youtube.com/watch?v=MtI1PThXoaU) ## How to use this skill - **ChatGPT / Claude / Grok:** paste this file into a new chat and ask, e.g. "Explain this strategy and its risks" or "Re-run the backtest on a different universe". - **AlpaTrade:** "Clone into AlpaTrade" on alpatrade.chat/leaderboard copies it into your own strategies (private until you publish it). ## The strategy in plain language (quotes from the episode) Style: price-action swing trading, long side; timeframe: daily, days to weeks. Universe described: US equities screened daily for earnings/sales growth and relative strength. ### Setup - Method is Mark Minervini's (SEPA, after William O'Neil) > "90% of it was taught to me by Mark minini" — ep. 290 [[00:19:53]] - Only stocks in a long-term uptrend (weekly chart / 200-day MA); never bottom fishing > "I want something in a long-term uptrend ... based upon the weekly uh chart and ... maybe something like the 200 day moving average" — ep. 290 [[00:35:01]] ### Entry - Buy the breakout from the base (discretionary chart read) > "for discretionary breakout type Traders" — ep. 290 [[00:38:37]] ### Stop - Stop at most 8% (8-10 the max), usually mid single digits; long-term average loss under 5% > "I don't take um individual price stops ... more than eight eight% 8 to 10 being the Max" — ep. 290 [[00:41:11]] - Tight stops > "be mid single digits my long-term average is under 5%" — ep. 290 [[00:41:44]] ### Exits - Don't sell a stock that is acting well for less than the average loss; trail it > "as a rule I don't want to sell a stock that's acting well for less than my ave[rage loss]" — ep. 290 [[00:41:44]] - Protect gains with a back stop or trailing stop > "protection mode you can set some type of a back stop or a trailing stop" — ep. 290 [[00:40:40]] ### Sizing - Risk 0.5-1% of capital per trade > "I'm not going to risk more than I think it was something like 1% of capital or 50 basis points half a percent" — ep. 290 [[00:12:31]] ### Market Filter - Hardest periods are corrections / bear markets; growth areas trade poorly first > "coming out of bare markets ... where it's harder to get positioned with sort of a tight stop" — ep. 290 [[00:46:27]] ## How it was backtested Template **trend_template** — Minervini-style trend template (close > SMA50 > SMA150 > SMA200, SMA200 rising, within 25% of the 52-week high, >= 30% above the low) on the prior close, then a buy-stop at the prior ref_days high (fill max(open, pivot)); stop below the fill (an entry-day low through it counts, conservatively), exit on a close below SMA trail_ma; size = risk_pct / stop distance. Parameters (from the most recent episode's rules, LLM mapped and clamped to sane ranges) are in the block below. ### Ambiguities and assumptions - **'long-term uptrend' and the base are discretionary** → assumption: Minervini trend template: close > SMA50 > SMA150 > SMA200, SMA200 rising over 21 sessions, within 25% of the 52-week high, ≥30% above the 52-week low - **pivot / breakout point is a chart read (VCP)** → assumption: buy-stop at the prior 20-session high: fill max(open, pivot) when the high reaches it - **stop 'mid single digits', max 8%** → assumption: train-only grid over a 5% or 8% stop below the fill (entry-day low counts, conservative) - **trailing exit not specified** → assumption: exit on a close below the 50-day SMA (Minervini's usual line) - **sizing: risk 1% per trade** → assumption: position = 1% of equity / stop distance, capped at 20% of equity, max 10; SPY SMA10 > SMA20 market filter; no earnings/fundamental screen - Daily bars only: intraday entries, stops and discretion are approximated or dropped. - Long only, cash only (no margin or shorting), one position per symbol. - No earnings calendar, news or fundamentals; no same-day volume confirmation. ## Backtest results Universe S&P 500 current members (503 with data); Alpaca SIP daily bars, adjustment=all (splits+dividends); 10 bps slippage per side; signals from the prior close (gap entries use the day's open). Train / test are slices of the full-period run. ### Full period 2016-01-04 → 2026-10-09 | Metric | Strategy | SPY | |---|---|---| | Annualised return (CAGR) | +19.6% | +15.2% | | Total return | +587.1% | +356.2% | | Sharpe (daily, N-1) | 0.80 | 0.90 | | Max drawdown | -40.7% | -33.8% | | Alpha vs SPY (annualised, CAGR − SPY CAGR) | +4.5% | | | CAPM alpha (ann.) / beta | +11.3% / 0.66 | | | Trades / win rate | 603 / 34.7% | | ### Train 2016-01-04 → 2021-12-31 | Metric | Strategy | SPY | |---|---|---| | Annualised return (CAGR) | +12.2% | +17.4% | | Total return | +99.5% | +161.2% | | Sharpe (daily, N-1) | 0.67 | 1.00 | | Max drawdown | -24.1% | -33.8% | | Alpha vs SPY (annualised, CAGR − SPY CAGR) | -5.2% | | | CAPM alpha (ann.) / beta | +3.8% / 0.55 | | | Trades / win rate | 295 / 37.6% | | ### Test 2022-01-03 → 2026-10-09 (out-of-sample, same rules) | Metric | Strategy | SPY | |---|---|---| | Annualised return (CAGR) | +30.1% | +12.3% | | Total return | +248.5% | +73.7% | | Sharpe (daily, N-1) | 0.96 | 0.76 | | Max drawdown | -35.4% | -24.5% | | Alpha vs SPY (annualised, CAGR − SPY CAGR) | +17.7% | | | CAPM alpha (ann.) / beta | +21.5% / 0.79 | | | Trades / win rate | 308 / 31.8% | | ### Caveats - **Survivorship bias:** today's S&P 500 members, which flatters long strategies historically. - Rules were extracted by an LLM from auto-captions / Whisper transcripts; quotes may contain transcription errors. Only a small sensitivity grid over the ranges stated in the episode was tried, chosen on the train window only (max Sharpe): stop=0.05 → train Sharpe 0.43; stop=0.08 → train Sharpe 0.67. Chosen: stop=0.08. The test window was never used to choose. ## Instructions for the assistant 1. Treat the Parameters block as the source of truth and restate the rules first. 2. Daily bars, signals from the prior close, cash only; report CAGR, Sharpe, max drawdown, alpha vs SPY, trades and win rate over the same period. 3. Never place live orders. Suggest paper trading before any real money. ## Parameters (machine-readable) ```json { "schema": "alpatrade.strategy_config/v1", "name": "cwt_mark-ritchie-ii-trend_template", "display_name": "Mark Ritchie II · Minervini-style trend template + pivot breakout (backtest)", "kind": "backtest", "template": "trend_template", "params": { "template": "trend_template", "dip": 0.05, "ref_days": 20, "rsi_max": 0.0, "fast": 20, "slow": 50, "exit_ma": 50, "atr_stop": 3.0, "gap_min": 0.04, "lookback": 126, "top_n": 10, "rebalance_days": 21, "hold_buffer": 2.0, "ret_min": 0.04, "vol_mult": 2.0, "cons_days": 20, "cons_max": 0.25, "high_days": 252, "donchian_days": 20, "risk_pct": 0.01, "trend_ma": 0, "trail_ma": 50, "target": 0.0, "stop": 0.08, "max_hold": 0, "sma5_exit": false, "pos_pct": 0.2, "max_positions": 10, "min_price": 5.0, "market_filter": true, "slippage_bps": 10.0, "include_taf_fees": true, "include_cat_fees": true, "universe": "sp500_current", "timeframe": "1d" }, "execution": { "cash_only": true, "slippage_bps_per_side": 10.0 }, "backtest": { "engine": "engine.backtest.templates", "data": "Alpaca SIP daily bars, adjustment=all (splits+dividends)", "universe": "S&P 500 current members (503 with data)", "train": [ "2016-01-04", "2021-12-31" ], "test": [ "2022-01-03", "2026-10-09" ], "benchmark": "SPY" }, "source": { "site": "chatwithtraders.com", "episodes": [ { "episode": "290", "url": "https://chatwithtraders.com/episode/290-mark-ritchie-ii-price-action-swing-trading-equities-from-the-long-side" } ] } } ```