From 1a6f82bf6d9cba3941817660662e3361299d88a0 Mon Sep 17 00:00:00 2001 From: Dennis Thiessen Date: Fri, 17 Jul 2026 17:42:13 +0200 Subject: [PATCH] done --- reports/daily_reentry_matrix.json | 12514 +++++++++++++++++++++++++++- 1 file changed, 12509 insertions(+), 5 deletions(-) diff --git a/reports/daily_reentry_matrix.json b/reports/daily_reentry_matrix.json index 1ad3b0c..6a516c1 100644 --- a/reports/daily_reentry_matrix.json +++ b/reports/daily_reentry_matrix.json @@ -1,5 +1,5 @@ { - "generated_at": "2026-07-17T17:22:46.376961+02:00", + "generated_at": "2026-07-17T17:41:36.526093+02:00", "snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/prod.sqlite", "period_start_requested": null, "last_eligible_candidate_date": "2026-05-19", @@ -25,8 +25,11 @@ "policies": [ "immediate", "next_session", + "cooldown_2", + "cooldown_3", "cooldown_5", "gate_reset", + "strict_gate_reset", "gate_reset_improved", "two_session_confirmation" ], @@ -177,6 +180,126 @@ } } }, + { + "arm": "cooldown_2", + "lookback": "6m", + "lookback_label": "6 months", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 10495.6, + "total_return_pct": 5.0, + "cagr_pct": 10.1, + "max_drawdown_pct": 15.1, + "sharpe": 0.6, + "trades": 55, + "win_rate": 25.5, + "avg_trade_pnl": 9.01, + "best_trade_r": 11.1, + "worst_trade_r": -2.86, + "best_trade_pnl": 1053.11, + "worst_trade_pnl": -251.25, + "avg_hold_days": 12.4, + "exit_reasons": { + "stop": 33, + "time": 4, + "trailing_stop": 18 + }, + "skipped_book_full": 0, + "spy_return_pct": 9.2, + "yearly_returns": [ + { + "year": 2025, + "return_pct": 0.0 + }, + { + "year": 2026, + "return_pct": 5.0 + } + ], + "start_date": "2025-12-31", + "end_date": "2026-07-02", + "post_stop_events": 33, + "post_stop_reentries": 11, + "post_stop_states_open_at_end": 22, + "turnover": { + "transaction_cost": 149.95, + "reentry_trades": 11, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 4, + "avg_reentry_wait_sessions": 16.4, + "reentry_win_rate": 9.1, + "reentry_total_pnl": -188.15 + }, + "policy": { + "daily_checks": 1618, + "qualified_checks": 57, + "emitted_candidates_by_reason": { + "2_session_cooldown_complete": 53 + } + } + }, + { + "arm": "cooldown_3", + "lookback": "6m", + "lookback_label": "6 months", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 10496.65, + "total_return_pct": 5.0, + "cagr_pct": 10.2, + "max_drawdown_pct": 15.1, + "sharpe": 0.6, + "trades": 55, + "win_rate": 25.5, + "avg_trade_pnl": 9.03, + "best_trade_r": 11.1, + "worst_trade_r": -2.86, + "best_trade_pnl": 1053.11, + "worst_trade_pnl": -251.25, + "avg_hold_days": 12.4, + "exit_reasons": { + "stop": 33, + "time": 4, + "trailing_stop": 18 + }, + "skipped_book_full": 0, + "spy_return_pct": 9.2, + "yearly_returns": [ + { + "year": 2025, + "return_pct": 0.0 + }, + { + "year": 2026, + "return_pct": 5.0 + } + ], + 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}, + { + "arm": "cooldown_2", + "lookback": "1y", + "lookback_label": "1 year", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 14033.26, + "total_return_pct": 40.3, + "cagr_pct": 40.4, + "max_drawdown_pct": 13.6, + "sharpe": 1.6, + "trades": 118, + "win_rate": 32.2, + "avg_trade_pnl": 34.18, + "best_trade_r": 12.37, + "worst_trade_r": -2.72, + "best_trade_pnl": 1514.27, + "worst_trade_pnl": -228.76, + "avg_hold_days": 13.6, + "exit_reasons": { + "stop": 59, + "time": 19, + "trailing_stop": 40 + }, + "skipped_book_full": 0, + "spy_return_pct": 20.0, + "yearly_returns": [ + { + "year": 2025, + "return_pct": 35.8 + }, + { + "year": 2026, + "return_pct": 3.3 + } + ], + "start_date": "2025-07-02", + "end_date": "2026-07-02", + "post_stop_events": 59, + "post_stop_reentries": 26, + "post_stop_states_open_at_end": 33, + "turnover": { + "transaction_cost": 382.88, + "reentry_trades": 26, + "same_day_reentries": 0, + "next_session_reentries": 0, + 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], + "start_date": "2025-07-02", + "end_date": "2026-07-02", + "post_stop_events": 59, + "post_stop_reentries": 26, + "post_stop_states_open_at_end": 33, + "turnover": { + "transaction_cost": 382.88, + "reentry_trades": 26, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 9, + "avg_reentry_wait_sessions": 25.1, + "reentry_win_rate": 26.9, + "reentry_total_pnl": 278.39 + }, + "policy": { + "daily_checks": 4448, + "qualified_checks": 114, + "emitted_candidates_by_reason": { + "3_session_cooldown_complete": 104 + } + } + }, { "arm": "cooldown_5", "lookback": "1y", @@ -657,6 +960,66 @@ } } }, + { + "arm": "strict_gate_reset", + "lookback": "1y", + "lookback_label": "1 year", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 14033.26, + "total_return_pct": 40.3, + "cagr_pct": 40.4, + "max_drawdown_pct": 13.6, + "sharpe": 1.6, + "trades": 118, + "win_rate": 32.2, + "avg_trade_pnl": 34.18, + "best_trade_r": 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+1276,142 @@ } } }, + { + "arm": "cooldown_2", + "lookback": "3y", + "lookback_label": "3 years", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 28046.36, + "total_return_pct": 180.5, + "cagr_pct": 41.1, + "max_drawdown_pct": 20.5, + "sharpe": 1.63, + "trades": 349, + "win_rate": 35.0, + "avg_trade_pnl": 51.71, + "best_trade_r": 12.37, + "worst_trade_r": -3.26, + "best_trade_pnl": 2802.49, + "worst_trade_pnl": -645.97, + "avg_hold_days": 14.2, + "exit_reasons": { + "stop": 169, + "time": 65, + "trailing_stop": 115 + }, + "skipped_book_full": 205, + "spy_return_pct": 67.8, + "yearly_returns": [ + { + "year": 2023, + "return_pct": 15.2 + }, + { + "year": 2024, + "return_pct": 46.7 + }, + { + "year": 2025, + "return_pct": 49.2 + }, + { + "year": 2026, + "return_pct": 11.3 + } + ], + "start_date": "2023-07-03", + "end_date": "2026-07-02", + "post_stop_events": 169, + "post_stop_reentries": 100, + "post_stop_states_open_at_end": 69, + 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}, + "skipped_book_full": 510, + "spy_return_pct": 72.0, + "yearly_returns": [ + { + "year": 2021, + "return_pct": 0.0 + }, + { + "year": 2022, + "return_pct": 12.3 + }, + { + "year": 2023, + "return_pct": 74.9 + }, + { + "year": 2024, + "return_pct": 38.3 + }, + { + "year": 2025, + "return_pct": 49.2 + }, + { + "year": 2026, + "return_pct": 11.3 + } + ], + "start_date": "2021-07-06", + "end_date": "2026-07-02", + "post_stop_events": 219, + "post_stop_reentries": 131, + "post_stop_states_open_at_end": 88, + "turnover": { + "transaction_cost": 2919.73, + "reentry_trades": 131, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 20, + "avg_reentry_wait_sessions": 122.7, + "reentry_win_rate": 29.8, + "reentry_total_pnl": 7166.18 + }, + "policy": { + "daily_checks": 52367, + "qualified_checks": 1001, + "emitted_candidates_by_reason": { + "post_stop_gate_failed_then_requalified": 972 + } + } + }, { "arm": "gate_reset_improved", "lookback": "5y", @@ -3770,6 +4565,2002 @@ } ] }, + { + "arm": "cooldown_2", + "lookback": "all", + "lookback_label": "All history", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 47871.4, + "total_return_pct": 378.7, + "cagr_pct": 47.6, + "max_drawdown_pct": 20.5, + "sharpe": 1.78, + "trades": 457, + "win_rate": 36.1, + "avg_trade_pnl": 82.87, + "best_trade_r": 12.37, + "worst_trade_r": -3.26, + "best_trade_pnl": 4783.48, + "worst_trade_pnl": -1102.59, + "avg_hold_days": 14.9, + "exit_reasons": { + "stop": 220, + "time": 95, + "trailing_stop": 142 + }, + "skipped_book_full": 510, + "spy_return_pct": 90.9, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.4 + }, + { + "year": 2023, + "return_pct": 74.9 + }, + { + "year": 2024, + "return_pct": 46.7 + }, + { + "year": 2025, + "return_pct": 49.2 + }, + { + "year": 2026, + "return_pct": 11.3 + } + ], + "start_date": "2022-06-24", + "end_date": "2026-07-02", + "post_stop_events": 220, + "post_stop_reentries": 133, + "post_stop_states_open_at_end": 87, + "turnover": { + "transaction_cost": 3015.17, + "reentry_trades": 133, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 24, + "avg_reentry_wait_sessions": 121.6, + "reentry_win_rate": 27.8, + "reentry_total_pnl": 6555.51 + }, + "policy": { + "daily_checks": 52039, + "qualified_checks": 1026, + "emitted_candidates_by_reason": { + "2_session_cooldown_complete": 1002 + } + }, + "reentry_events": [ + { + "symbol": "ANET", + "wait_sessions": 10, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-06-29", + "reentry_date": "2022-07-14" + }, + { + "symbol": "DVN", + "wait_sessions": 11, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-08-04", + "reentry_date": "2022-08-19" + }, + { + "symbol": "PANW", + "wait_sessions": 34, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-07-14", + "reentry_date": "2022-08-31" + }, + { + "symbol": "TRGP", + "wait_sessions": 3, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-08-31", + "reentry_date": "2022-09-06" + }, + { + "symbol": "CTRA", + "wait_sessions": 5, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-07", + "reentry_date": "2022-09-14" + }, + { + "symbol": "SLB", + "wait_sessions": 6, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-23", + "reentry_date": "2022-10-03" + }, + { + "symbol": "MOS", + "wait_sessions": 35, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-23", + "reentry_date": "2022-11-11" + }, + { + "symbol": "HAL", + "wait_sessions": 55, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-08-31", + "reentry_date": "2022-11-17" + }, + { + "symbol": "PANW", + "wait_sessions": 56, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-06", + "reentry_date": "2022-11-23" + }, + { + "symbol": "HAL", + "wait_sessions": 5, + "reason": "2_session_cooldown_complete", + "stop_date": 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+18567,126 @@ } } }, + { + "arm": "cooldown_2", + "lookback": "1y", + "lookback_label": "1 year", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 13926.2, + "total_return_pct": 39.3, + "cagr_pct": 39.3, + "max_drawdown_pct": 12.5, + "sharpe": 1.58, + "trades": 119, + "win_rate": 32.8, + "avg_trade_pnl": 32.99, + "best_trade_r": 12.37, + "worst_trade_r": -2.72, + "best_trade_pnl": 1486.55, + "worst_trade_pnl": -224.49, + "avg_hold_days": 13.9, + "exit_reasons": { + "stop": 59, + "time": 19, + "trailing_stop": 41 + }, + "skipped_book_full": 0, + "spy_return_pct": 20.0, + "yearly_returns": [ + { + "year": 2025, + "return_pct": 33.3 + }, + { + "year": 2026, + "return_pct": 4.5 + } + ], + "start_date": "2025-07-02", + "end_date": "2026-07-02", + "post_stop_events": 59, + "post_stop_reentries": 26, + "post_stop_states_open_at_end": 33, + "turnover": { + "transaction_cost": 372.81, + "reentry_trades": 26, + "same_day_reentries": 0, + 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"gate_reset_improved", "lookback": "5y", @@ -15608,6 +22510,2198 @@ } ] }, + { + "arm": "cooldown_2", + "lookback": "all", + "lookback_label": "All history", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 44345.01, + "total_return_pct": 343.5, + "cagr_pct": 44.8, + "max_drawdown_pct": 23.4, + "sharpe": 1.68, + "trades": 472, + "win_rate": 35.8, + "avg_trade_pnl": 72.76, + "best_trade_r": 12.37, + "worst_trade_r": -3.1, + "best_trade_pnl": 4408.99, + "worst_trade_pnl": -1039.18, + "avg_hold_days": 14.6, + "exit_reasons": { + "stop": 233, + "time": 96, + "trailing_stop": 143 + }, + "skipped_book_full": 519, + "spy_return_pct": 90.9, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.9 + }, + { + "year": 2023, + "return_pct": 78.9 + }, + { + "year": 2024, + "return_pct": 42.0 + }, + { + "year": 2025, + "return_pct": 42.4 + }, + { + "year": 2026, + "return_pct": 9.6 + } + ], + "start_date": "2022-06-24", + "end_date": "2026-07-02", + "post_stop_events": 233, + "post_stop_reentries": 146, + "post_stop_states_open_at_end": 87, + "turnover": { + "transaction_cost": 2998.12, + "reentry_trades": 146, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 25, + "avg_reentry_wait_sessions": 110.4, + "reentry_win_rate": 32.2, + "reentry_total_pnl": 9335.7 + }, + "policy": { + "daily_checks": 51224, + "qualified_checks": 972, + "emitted_candidates_by_reason": { + "2_session_cooldown_complete": 947 + } + }, + "reentry_events": [ + { + "symbol": "ANET", + "wait_sessions": 10, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-06-29", + "reentry_date": "2022-07-14" + }, + { + "symbol": "DVN", + "wait_sessions": 11, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-08-04", + "reentry_date": "2022-08-19" + }, + { + "symbol": "PANW", + "wait_sessions": 34, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-07-14", + "reentry_date": "2022-08-31" + }, + { + "symbol": "TRGP", + "wait_sessions": 3, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-08-31", + "reentry_date": "2022-09-06" + }, + { + "symbol": "CTRA", + "wait_sessions": 5, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-07", + "reentry_date": "2022-09-14" + }, + { + "symbol": "SLB", + "wait_sessions": 6, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-23", + "reentry_date": "2022-10-03" + }, + { + "symbol": "ABBV", + "wait_sessions": 7, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-30", + "reentry_date": "2022-10-11" + }, + { + "symbol": "MOS", + "wait_sessions": 36, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-23", + "reentry_date": "2022-11-14" + }, + { + "symbol": "HAL", + "wait_sessions": 55, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-08-31", + "reentry_date": "2022-11-17" + }, + { + "symbol": "PANW", + "wait_sessions": 56, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-06", + "reentry_date": "2022-11-23" + }, + { + "symbol": "PTC", + "wait_sessions": 19, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-11-17", + "reentry_date": "2022-12-15" + }, + { + "symbol": "WYNN", + "wait_sessions": 8, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-12-19", + "reentry_date": "2022-12-30" + }, + { + "symbol": "BIIB", + "wait_sessions": 29, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-12-09", + "reentry_date": "2023-01-24" + }, + { + "symbol": "TTD", + "wait_sessions": 73, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-10-07", + "reentry_date": "2023-01-24" + }, + { + "symbol": "OXY", + "wait_sessions": 14, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-01-24", + "reentry_date": "2023-02-13" + }, + { + "symbol": "CSGP", + "wait_sessions": 42, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-12-16", + "reentry_date": "2023-02-17" + }, + { + "symbol": "IRM", + "wait_sessions": 152, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-07-13", + "reentry_date": "2023-02-17" + }, + { + "symbol": "EQT", + "wait_sessions": 55, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-12-05", + "reentry_date": "2023-02-24" + }, + { + "symbol": "MOS", + "wait_sessions": 67, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-11-17", + "reentry_date": "2023-02-27" + }, + { + "symbol": "CTRA", + "wait_sessions": 111, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-09-16", + "reentry_date": "2023-02-27" + }, + { + "symbol": "WYNN", + "wait_sessions": 2, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-02-24", + "reentry_date": "2023-02-28" + }, + { + "symbol": "VLO", + "wait_sessions": 9, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-02-17", + "reentry_date": "2023-03-03" + }, + { + "symbol": "MPWR", + "wait_sessions": 19, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-03-13", + "reentry_date": "2023-04-10" + }, + { + "symbol": "CEG", + "wait_sessions": 45, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-02-17", + "reentry_date": "2023-04-25" + }, + { + "symbol": "BA", + "wait_sessions": 31, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-03-15", + "reentry_date": "2023-04-28" + }, + { + "symbol": "VRT", + "wait_sessions": 34, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-03-10", + "reentry_date": "2023-04-28" + }, + { + "symbol": "MSTR", + "wait_sessions": 43, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-03-03", + "reentry_date": "2023-05-04" + }, + { + "symbol": "MSTR", + "wait_sessions": 14, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-05-12", + "reentry_date": "2023-06-02" + }, + { + "symbol": "BA", + "wait_sessions": 20, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-05-04", + "reentry_date": "2023-06-02" + }, + { + "symbol": "MSTR", + "wait_sessions": 13, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-06-05", + "reentry_date": "2023-06-23" + }, + { + "symbol": "BA", + "wait_sessions": 32, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-06-06", + "reentry_date": "2023-07-24" + }, + { + "symbol": "PLTR", + "wait_sessions": 9, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-07-21", + "reentry_date": "2023-08-03" + }, + { + "symbol": "SLB", + "wait_sessions": 10, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-07-21", + "reentry_date": "2023-08-04" + }, + { + "symbol": "HAL", + "wait_sessions": 178, + "reason": "2_session_cooldown_complete", + "stop_date": "2022-11-21", + "reentry_date": "2023-08-09" + }, + { + "symbol": "AXON", + "wait_sessions": 27, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-07-19", + "reentry_date": "2023-08-25" + }, + { + "symbol": "NFLX", + "wait_sessions": 6, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-08-24", + "reentry_date": "2023-09-01" + }, + { + "symbol": "PLTR", + "wait_sessions": 30, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-08-07", + "reentry_date": "2023-09-19" + }, + { + "symbol": "ADBE", + "wait_sessions": 2, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-09-15", + "reentry_date": "2023-09-19" + }, + { + "symbol": "STLD", + "wait_sessions": 23, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-08-24", + "reentry_date": "2023-09-27" + }, + { + "symbol": "VLO", + "wait_sessions": 140, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-03-08", + "reentry_date": "2023-09-27" + }, + { + "symbol": "PLTR", + "wait_sessions": 12, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-09-21", + "reentry_date": "2023-10-09" + }, + { + "symbol": "ADBE", + "wait_sessions": 21, + "reason": 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"reentry_date": "2023-12-04" + }, + { + "symbol": "ADBE", + "wait_sessions": 28, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-10-25", + "reentry_date": "2023-12-05" + }, + { + "symbol": "AMD", + "wait_sessions": 47, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-10-25", + "reentry_date": "2024-01-03" + }, + { + "symbol": "DASH", + "wait_sessions": 5, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-01-02", + "reentry_date": "2024-01-09" + }, + { + "symbol": "APP", + "wait_sessions": 32, + "reason": "2_session_cooldown_complete", + "stop_date": "2023-12-06", + "reentry_date": "2024-01-24" + }, + { + "symbol": "DDOG", + "wait_sessions": 5, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-01-24", + "reentry_date": "2024-01-31" + }, + { + "symbol": "DDOG", + "wait_sessions": 4, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-04-17", + "reentry_date": "2024-04-23" + }, + { + "symbol": "PANW", + 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"2_session_cooldown_complete", + "stop_date": "2024-07-25", + "reentry_date": "2024-10-21" + }, + { + "symbol": "DASH", + "wait_sessions": 130, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-04-17", + "reentry_date": "2024-10-22" + }, + { + "symbol": "RMD", + "wait_sessions": 25, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-09-18", + "reentry_date": "2024-10-23" + }, + { + "symbol": "NVDA", + "wait_sessions": 90, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-07-17", + "reentry_date": "2024-11-21" + }, + { + "symbol": "EBAY", + "wait_sessions": 5, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-12-02", + "reentry_date": "2024-12-09" + }, + { + "symbol": "EBAY", + "wait_sessions": 2, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-12-10", + "reentry_date": "2024-12-12" + }, + { + "symbol": "NVDA", + "wait_sessions": 22, + "reason": "2_session_cooldown_complete", + "stop_date": "2024-11-25", + 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+ }, + { + "year": 2024, + "return_pct": 42.3 + }, + { + "year": 2025, + "return_pct": 2.8 + } + ], + "start_date": "2022-06-24", + "end_date": "2025-02-12", + "post_stop_events": 143, + "post_stop_reentries": 80, + "post_stop_states_open_at_end": 63, + "turnover": { + "transaction_cost": 1196.63, + "reentry_trades": 80, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 8, + "avg_reentry_wait_sessions": 56.6, + "reentry_win_rate": 30.0, + "reentry_total_pnl": 3305.1 + }, + "policy": { + "daily_checks": 23083, + "qualified_checks": 590, + "emitted_candidates_by_reason": { + "3_session_cooldown_complete": 561 + } + } + }, { "arm": "cooldown_5", "segment": "train", @@ -23306,6 +35562,74 @@ } } }, + { + "arm": "strict_gate_reset", + "segment": "train", + "split_date": "2025-01-01", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 29154.13, + "total_return_pct": 191.5, + "cagr_pct": 50.0, + "max_drawdown_pct": 17.9, + "sharpe": 1.81, + "trades": 295, + "win_rate": 36.9, + "avg_trade_pnl": 64.93, + "best_trade_r": 12.02, + "worst_trade_r": -3.1, + "best_trade_pnl": 2017.57, + "worst_trade_pnl": -564.21, + "avg_hold_days": 15.1, + "exit_reasons": { + "stop": 142, + "time": 67, + "trailing_stop": 86 + }, + "skipped_book_full": 327, + "spy_return_pct": 54.7, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.9 + }, + { + "year": 2023, + "return_pct": 78.9 + }, + { + "year": 2024, + "return_pct": 41.8 + }, + { + "year": 2025, + "return_pct": 2.8 + } + ], + "start_date": "2022-06-24", + "end_date": "2025-02-12", + "post_stop_events": 142, + "post_stop_reentries": 78, + "post_stop_states_open_at_end": 64, + "turnover": { + "transaction_cost": 1321.33, + "reentry_trades": 78, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 9, + "avg_reentry_wait_sessions": 55.6, + "reentry_win_rate": 29.5, + "reentry_total_pnl": 3038.12 + }, + "policy": { + "daily_checks": 22996, + "qualified_checks": 586, + "emitted_candidates_by_reason": { + "post_stop_gate_failed_then_requalified": 566 + } + } + }, { "arm": "gate_reset_improved", "segment": "train", @@ -23562,6 +35886,126 @@ } } }, + { + "arm": "cooldown_2", + "segment": "test", + "split_date": "2025-01-01", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 15291.81, + "total_return_pct": 52.9, + "cagr_pct": 32.9, + "max_drawdown_pct": 21.0, + "sharpe": 1.38, + "trades": 181, + "win_rate": 34.3, + "avg_trade_pnl": 29.24, + "best_trade_r": 12.37, + "worst_trade_r": -5.98, + "best_trade_pnl": 1520.38, + "worst_trade_pnl": -358.35, + "avg_hold_days": 13.7, + "exit_reasons": { + "stop": 93, + "time": 29, + "trailing_stop": 59 + }, + "skipped_book_full": 192, + "spy_return_pct": 27.4, + "yearly_returns": [ + { + "year": 2025, + "return_pct": 39.5 + }, + { + "year": 2026, + "return_pct": 9.6 + } + ], + "start_date": "2025-01-02", + "end_date": "2026-07-02", + "post_stop_events": 93, + "post_stop_reentries": 43, + "post_stop_states_open_at_end": 50, + "turnover": { + "transaction_cost": 581.9, + "reentry_trades": 43, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 14, + "avg_reentry_wait_sessions": 37.8, + "reentry_win_rate": 27.9, + "reentry_total_pnl": -224.81 + }, + "policy": { + "daily_checks": 10584, + "qualified_checks": 245, + "emitted_candidates_by_reason": { + "2_session_cooldown_complete": 235 + } + } + }, + { + "arm": "cooldown_3", + "segment": "test", + "split_date": "2025-01-01", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 15429.33, + "total_return_pct": 54.3, + "cagr_pct": 33.7, + "max_drawdown_pct": 20.2, + "sharpe": 1.41, + "trades": 180, + "win_rate": 34.4, + "avg_trade_pnl": 30.16, + "best_trade_r": 12.37, + "worst_trade_r": -5.98, + "best_trade_pnl": 1533.96, + "worst_trade_pnl": -361.55, + "avg_hold_days": 13.8, + "exit_reasons": { + "stop": 92, + "time": 29, + "trailing_stop": 59 + }, + "skipped_book_full": 191, + "spy_return_pct": 27.4, + "yearly_returns": [ + { + "year": 2025, + "return_pct": 40.8 + }, + { + "year": 2026, + "return_pct": 9.6 + } + ], + "start_date": "2025-01-02", + "end_date": "2026-07-02", + "post_stop_events": 92, + "post_stop_reentries": 42, + "post_stop_states_open_at_end": 50, + "turnover": { + "transaction_cost": 582.65, + "reentry_trades": 42, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 13, + "avg_reentry_wait_sessions": 38.7, + "reentry_win_rate": 28.6, + "reentry_total_pnl": -138.6 + }, + "policy": { + "daily_checks": 10585, + "qualified_checks": 246, + "emitted_candidates_by_reason": { + "3_session_cooldown_complete": 229 + } + } + }, { "arm": "cooldown_5", "segment": "test", @@ -23682,6 +36126,66 @@ } } }, + { + "arm": "strict_gate_reset", + "segment": "test", + "split_date": "2025-01-01", + "capacity": 10, + "starting_capital": 10000.0, + "cost_per_side_pct": 0.1, + "final_equity": 15291.81, + "total_return_pct": 52.9, + "cagr_pct": 32.9, + "max_drawdown_pct": 21.0, + "sharpe": 1.38, + "trades": 181, + "win_rate": 34.3, + "avg_trade_pnl": 29.24, + "best_trade_r": 12.37, + "worst_trade_r": -5.98, + "best_trade_pnl": 1520.38, + "worst_trade_pnl": -358.35, + "avg_hold_days": 13.7, + "exit_reasons": { + "stop": 93, + "time": 29, + "trailing_stop": 59 + }, + "skipped_book_full": 192, + "spy_return_pct": 27.4, + "yearly_returns": [ + { + "year": 2025, + "return_pct": 39.5 + }, + { + "year": 2026, + "return_pct": 9.6 + } + ], + "start_date": "2025-01-02", + "end_date": "2026-07-02", + "post_stop_events": 93, + "post_stop_reentries": 43, + "post_stop_states_open_at_end": 50, + "turnover": { + "transaction_cost": 581.9, + "reentry_trades": 43, + "same_day_reentries": 0, + "next_session_reentries": 0, + "reentries_within_5_sessions": 14, + "avg_reentry_wait_sessions": 37.8, + "reentry_win_rate": 27.9, + "reentry_total_pnl": -224.81 + }, + "policy": { + "daily_checks": 10584, + "qualified_checks": 245, + "emitted_candidates_by_reason": { + "post_stop_gate_failed_then_requalified": 235 + } + } + }, { "arm": "gate_reset_improved", "segment": "test", @@ -23803,10 +36307,10 @@ } } ], - "portfolio_simulations_executed": 90 + "portfolio_simulations_executed": 135 } }, - "portfolio_simulations_executed": 180, + "portfolio_simulations_executed": 270, "validation_simulations_executed": 2, - "note": "The expensive point-in-time daily setup replay is executed once. backtest_legacy preserves the existing candidate-rank approximation; live_universe ranks every ticker once per session like production. Both modes remain strictly long-only after ranking and then run the same policy, lookback, cost, capacity, and holdout matrix. Each immediate callback must match its direct no-lockdown simulation exactly. Immediate is the daily no-lockdown baseline; next_session blocks only the stop day; cooldown_5 permits re-entry at wait_sessions=5; gate_reset requires an unqualified close before requalification; gate_reset_improved additionally requires a higher stop and a non-weaker production rank; two_session_confirmation requires two consecutive qualified post-stop closes and excludes the stop day's close. Transaction costs alter cash and position sizing, not just reported P&L." + "note": "The expensive point-in-time daily setup replay is executed once. backtest_legacy preserves the existing candidate-rank approximation; live_universe ranks every ticker once per session like production. Both modes remain strictly long-only after ranking and then run the same policy, lookback, cost, capacity, and holdout matrix. Each immediate callback must match its direct no-lockdown simulation exactly. Immediate is the daily no-lockdown baseline; next_session blocks only the stop day; cooldown_N permits re-entry at wait_sessions=N; gate_reset counts the stop-day gate state, while strict_gate_reset requires an unqualified close on a later completed session before requalification; gate_reset_improved additionally requires a higher stop and a non-weaker production rank; two_session_confirmation requires two consecutive qualified post-stop closes and excludes the stop day's close. Transaction costs alter cash and position sizing, not just reported P&L." }