Trading Strategy Optimization

Overview

A prop firm trader on TopStepX had a promising EMA 89 crossover strategy with a 67% win rate — but was losing money overall due to uncapped losses. They needed data-driven parameter optimization to find the right TP/SL settings and trading windows.

I pulled historical price data, built a custom Renko-based backtesting engine in Python, ran a full parameter sweep across 1,260 configurations, and delivered a professional PDF report with clear recommendations. Then converted their indicator into a production-ready Pine Script strategy with the optimized settings built in.

Key Features

• Custom Renko construction engine from 1-minute price data — matching TradingView's Renko behavior
• EMA 89 calculated on Renko closes with flip detection (crossover signals)
• Full parameter sweep: 7 TP values x 6 SL values x 5 session windows x 3 brick sizes = 1,260 combinations
• 25 trading days of E-mini S&P 500 data (27,389 price bars)
• Professional PDF report with executive summary, KPI cards, optimization tables, and key insights
• Pine Script v5 strategy with configurable TP/SL, session filter, and real-time alerts
• Client's actual trade history analysis (228 trades across 6 accounts) to diagnose the root cause of losses

Results

• Best configuration: TP 3pt / SL 2pt / 9:00-16:00 ET — +$26,822 net profit, 67.7% win rate, profit factor 3.01
• Identified the root cause: client's 67% win rate was solid, but average loss was 3x average win (no stop loss)
• Adding a 2pt stop loss alone would have turned the same entries from -$6,504 to profitable
• Extended backtest from 15 to 25 trading days to validate consistency — results held up
• Client verified on TradingView: +$21,550 profit, 82.67% win rate, profit factor 7.15 over 11 months

Technical Details

• Python backtesting engine with numpy arrays for fast Renko construction and EMA calculation
• TopStepX API integration for pulling real trade history and account data across all 6 accounts
• Yahoo Finance API for extended historical 1-minute price data when TopStepX data was limited
• HTML/CSS report with dark theme, responsive KPI cards, and Chrome headless PDF generation
• Pine Script v5 strategy with strategy.entry/exit, session filtering, and alert() integration
• Fees ($2.80/round-trip) included in all PnL calculations for realistic performance estimates

Tech Stack

Outcome

The client loaded the strategy on TradingView, confirmed it matched expectations, and released payment the same day. They left a 5-star review: "absolutely amazing, goes above and beyond to help his clients." The extended backtest and code update were delivered as a bonus — building trust that led to immediate repeat engagement potential.