dennisthiessen/signal-platform
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

document production backtest baseline

Browse Source
This commit is contained in:
Dennis Thiessen
2026-07-02 21:31:51 +02:00
parent be4d6a05ca
commit 8d5863bac4
1 changed files with 20 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
README.md
+20
View File
@@ -52,6 +52,26 @@ Fundamentals (weekly, early Monday) · Alerts (hourly, Telegram) · Backtest (we
Caveats on the momentum result: in-sample, roughly one market regime, costs/slippage approximated at 0.1% per side, and residual momentum still needs SPY benchmark history to compute. The **out-of-sample proof is the forward paper-trade record**: Signals → Track Record compares live qualified expectancy against the backtest. Caveats on the momentum result: in-sample, roughly one market regime, costs/slippage approximated at 0.1% per side, and residual momentum still needs SPY benchmark history to compute. The **out-of-sample proof is the forward paper-trade record**: Signals → Track Record compares live qualified expectancy against the backtest.
### Current production baseline
Use this as a regression guardrail for future strategy changes, not as a return promise. Backtest run: 506 tickers, weekly cadence, 30-trading-day horizon, 2022-06-28 → 2026-07-01, 0.1% per-side costs, price-only SPY benchmark.
| Item | Current baseline |
|---|---|
| Strategy version | `residual_momentum_12_1_rr_time_v2` |
| Production gate | Long-only, residual 12-1 momentum percentile >= 80, R:R floor on, NEUTRAL excluded, confidence floor effectively off |
| Exit | Hold 30 trading days with the initial ATR stop |
| Qualified setups | 1,810 |
| Qualified net expectancy | +0.16R per setup |
| Profit factor | 1.27 |
| Portfolio CAGR | +40.4% |
| Portfolio total return | +289.4% vs SPY +95.9% |
| Max drawdown | -26.1% |
| Sharpe | 1.52 daily, annualized |
| Robustness | 30d hold remains +0.16R net/trade after removing the top 5% winners |
Nearest challengers from the same run: legacy raw 80 was weaker (+33.8% CAGR, -28.8% max drawdown, Sharpe 1.32); raw 90 was close but had lower Sharpe and worse drawdown (+40.4% CAGR, -27.6% max drawdown, Sharpe 1.49); residual 80 / max 15 removed book-full skips but did not improve CAGR, drawdown, Sharpe or closed trades.
### The iron rule for strategy changes ### The iron rule for strategy changes
A signal earns its way into selection **only** through the factor harness: A signal earns its way into selection **only** through the factor harness: