diff --git a/reports/backtest-sr-traffic-train-legacy_geometry_neutral.json b/reports/backtest-sr-traffic-train-legacy_geometry_neutral.json new file mode 100644 index 0000000..08aaf62 --- /dev/null +++ b/reports/backtest-sr-traffic-train-legacy_geometry_neutral.json @@ -0,0 +1,224150 @@ +{ + "generated_at": "2026-07-12T21:43:21.357006+00:00", + "tickers": 506, + "candidates": 119231, + "qualified": 870, + "params": { + "step_days": 5, + "horizon_days": 30, + "min_lookback": 60, + "cost_per_side_pct": 0.1, + "sr_variant": "legacy_geometry_neutral", + "entry_start": null, + "entry_end": "2024-06-30" + }, + "activation": { + "min_momentum_percentile": 80.0, + "min_rr": 2.0, + "min_confidence": 0.0, + "require_high_conviction": false, + "exclude_conflicts": false, + "exclude_neutral": true + }, + "overall_qualified": { + "total": 870, + "wins": 290, + "losses": 478, + "expired": 102, + "hit_rate": 37.8, + "avg_r": 0.218, + "total_r": 189.33, + "net_avg_r": 0.171, + "net_total_r": 148.89, 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If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", + "time_exit_sweep": [ + { + "hold_days": 5, + "total": 870, + "wins": 482, + "win_rate": 55.4, + "avg_r": 0.143, + "total_r": 124.25, + "net_avg_r": 0.096, + "net_total_r": 83.81, + "best_r": 5.84, + "worst_r": -5.16, + "avg_hold_days": 4.5, + "net_r_per_day": 0.0214, + "median_net_r": 0.113, + "profit_factor": 1.27, + "net_avg_r_ex_top5": -0.03 + }, + { + "hold_days": 10, + "total": 870, + "wins": 442, + "win_rate": 50.8, + "avg_r": 0.291, + "total_r": 253.05, + "net_avg_r": 0.244, + "net_total_r": 212.61, + "best_r": 7.53, + "worst_r": -5.16, + "avg_hold_days": 7.9, + "net_r_per_day": 0.031, + "median_net_r": -0.017, + "profit_factor": 1.52, + "net_avg_r_ex_top5": 0.062 + }, + { + "hold_days": 21, + "total": 870, + "wins": 386, + "win_rate": 44.4, + "avg_r": 0.443, + "total_r": 385.22, + "net_avg_r": 0.396, + "net_total_r": 344.78, + "best_r": 9.86, + "worst_r": -5.16, + "avg_hold_days": 13.7, + "net_r_per_day": 0.0289, + "median_net_r": -1.026, + "profit_factor": 1.67, + "net_avg_r_ex_top5": 0.125 + }, + { + "hold_days": 30, + "total": 870, + "wins": 340, + "win_rate": 39.1, + "avg_r": 0.539, + "total_r": 468.78, + "net_avg_r": 0.492, + "net_total_r": 428.34, + "best_r": 11.51, + "worst_r": -5.16, + "avg_hold_days": 17.8, + "net_r_per_day": 0.0277, + "median_net_r": -1.033, + "profit_factor": 1.75, + "net_avg_r_ex_top5": 0.125 + } + ], + "portfolio_sim": { + "params": { + "starting_capital": 10000.0, + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "notional_cap_pct": 20.0, + "cost_per_side_pct": 0.1, + "hold_days": 30 + }, + "policies": [ + { + "policy": "target", + "starting_capital": 10000.0, + "final_equity": 13625.12, + "total_return_pct": 36.3, + "cagr_pct": 16.0, + "max_drawdown_pct": 23.5, + "sharpe": 0.82, + "trades": 233, + "win_rate": 39.9, + "avg_trade_pnl": 15.56, + "best_trade_r": 3.03, + "worst_trade_r": -5.16, + "best_trade_pnl": 383.86, + "worst_trade_pnl": -235.92, + "avg_hold_days": 11.9, + "exit_reasons": { + "stop": 134, + "target": 74, + "time": 25 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.2 + }, + { + "year": 2023, + "return_pct": 7.4 + }, + { + "year": 2024, + "return_pct": 13.1 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "policy": "hold", + "starting_capital": 10000.0, + "final_equity": 18262.77, + "total_return_pct": 82.6, + "cagr_pct": 33.4, + "max_drawdown_pct": 23.4, + "sharpe": 1.45, + "trades": 183, + "win_rate": 35.0, + "avg_trade_pnl": 45.15, + "best_trade_r": 10.81, + "worst_trade_r": -2.96, + "best_trade_pnl": 1386.05, + "worst_trade_pnl": -271.66, + "avg_hold_days": 16.6, + "exit_reasons": { + "stop": 113, + "time": 70 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.9 + }, + { + "year": 2023, + "return_pct": 27.1 + }, + { + "year": 2024, + "return_pct": 28.4 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + } + ], + "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." + }, + "strategy_variants": { + "variants": [ + { + "variant": "production_residual_80_fixed10", + "label": "Production residual 80 / max 10", + "ranking": "residual", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 18262.77, + "total_return_pct": 82.6, + "cagr_pct": 33.4, + "max_drawdown_pct": 23.4, + "sharpe": 1.45, + "trades": 183, + "win_rate": 35.0, + "avg_trade_pnl": 45.15, + "best_trade_r": 10.81, + "worst_trade_r": -2.96, + "best_trade_pnl": 1386.05, + "worst_trade_pnl": -271.66, + "avg_hold_days": 16.6, + "exit_reasons": { + "stop": 113, + "time": 70 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.9 + }, + { + "year": 2023, + "return_pct": 27.1 + }, + { + "year": 2024, + "return_pct": 28.4 + } 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"year": 2023, + "return_pct": -3.8 + }, + { + "year": 2024, + "return_pct": 30.0 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_highvol50_fixed10", + "label": "Residual 80 + high-vol 50 / max 10", + "ranking": "residual+high_vol_filter", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + }, + { + "percentile_key": "vol_6m_percentile", + "cutoff": 50.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 19928.68, + "total_return_pct": 99.3, + "cagr_pct": 39.1, + "max_drawdown_pct": 20.2, + "sharpe": 1.53, + "trades": 178, + "win_rate": 33.1, + "avg_trade_pnl": 55.78, + "best_trade_r": 10.81, + "worst_trade_r": -2.96, + "best_trade_pnl": 1389.69, + "worst_trade_pnl": -340.39, + "avg_hold_days": 16.3, + "exit_reasons": { + "stop": 112, + "time": 66 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 13.9 + }, + { + "year": 2023, + "return_pct": 32.3 + }, + { + "year": 2024, + "return_pct": 32.3 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_highvol70_fixed10", + "label": "Residual 80 + high-vol 70 / max 10", + "ranking": "residual+high_vol_filter", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + }, + { + "percentile_key": "vol_6m_percentile", + "cutoff": 70.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 19392.97, + "total_return_pct": 93.9, + "cagr_pct": 37.3, + "max_drawdown_pct": 21.3, + "sharpe": 1.43, + "trades": 156, + "win_rate": 34.6, + "avg_trade_pnl": 60.21, + "best_trade_r": 10.81, + "worst_trade_r": -2.13, + "best_trade_pnl": 1270.95, + "worst_trade_pnl": -265.04, + "avg_hold_days": 16.8, + "exit_reasons": { 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"avg_hold_days": 16.6, + "exit_reasons": { + "stop": 113, + "time": 69 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.7 + }, + { + "year": 2023, + "return_pct": 32.6 + }, + { + "year": 2024, + "return_pct": 29.1 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_highvol_blend80_20_fixed10", + "label": "Residual 80 + high-vol 80/20 blend / max 10", + "ranking": "residual_high_vol_blend_80_20", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 19310.46, + "total_return_pct": 93.1, + "cagr_pct": 37.0, + "max_drawdown_pct": 21.2, + "sharpe": 1.52, + "trades": 188, + "win_rate": 37.2, + "avg_trade_pnl": 49.52, + "best_trade_r": 10.81, + "worst_trade_r": -2.13, + "best_trade_pnl": 1280.88, + "worst_trade_pnl": -270.81, + "avg_hold_days": 17.3, + "exit_reasons": { + "stop": 111, + "time": 77 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.3 + }, + { + "year": 2023, + "return_pct": 32.5 + }, + { + "year": 2024, + "return_pct": 31.0 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_highvol_blend_fixed10", + "label": "Residual 80 + high-vol 70/30 blend / max 10", + "ranking": "residual_high_vol_blend_70_30", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 21378.47, + "total_return_pct": 113.8, + "cagr_pct": 43.9, + "max_drawdown_pct": 21.7, + "sharpe": 1.68, + "trades": 180, + "win_rate": 38.3, + "avg_trade_pnl": 63.21, + "best_trade_r": 10.81, + "worst_trade_r": -5.16, + "best_trade_pnl": 1420.18, + "worst_trade_pnl": -478.82, + "avg_hold_days": 17.6, + "exit_reasons": { + "stop": 103, + "time": 77 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.2 + }, + { + "year": 2023, + "return_pct": 48.5 + }, + { + "year": 2024, + "return_pct": 30.6 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_highvol_blend60_40_fixed10", + "label": "Residual 80 + high-vol 60/40 blend / max 10", + "ranking": "residual_high_vol_blend_60_40", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 21508.14, + "total_return_pct": 115.1, + "cagr_pct": 44.3, + "max_drawdown_pct": 22.7, + "sharpe": 1.68, + "trades": 181, + "win_rate": 38.1, + "avg_trade_pnl": 63.58, + "best_trade_r": 10.81, + "worst_trade_r": -5.16, + "best_trade_pnl": 1453.64, + "worst_trade_pnl": -486.08, + "avg_hold_days": 17.7, + "exit_reasons": { + "stop": 104, + "time": 77 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 9.8 + }, + { + "year": 2023, + "return_pct": 53.6 + }, + { + "year": 2024, + "return_pct": 27.5 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "highvol70_fixed10", + "label": "High-vol 70 / max 10", + "ranking": "high_vol", + "cutoff": 70.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 70.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 18753.54, + "total_return_pct": 87.5, + "cagr_pct": 27.3, + "max_drawdown_pct": 28.5, + "sharpe": 0.93, + "trades": 291, + "win_rate": 32.6, + "avg_trade_pnl": 30.08, + "best_trade_r": 9.82, + "worst_trade_r": -3.23, + "best_trade_pnl": 1474.72, + "worst_trade_pnl": -373.75, + "avg_hold_days": 16.1, + "exit_reasons": { + "stop": 187, + "time": 104 + }, + "skipped_book_full": 743, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -1.9 + }, + { + "year": 2022, + "return_pct": -16.9 + }, + { + "year": 2023, + "return_pct": 109.6 + }, + { + "year": 2024, + "return_pct": 9.8 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "highvol80_fixed10", + "label": "High-vol 80 / max 10", + "ranking": "high_vol", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 18920.36, + "total_return_pct": 89.2, + "cagr_pct": 27.7, + "max_drawdown_pct": 29.9, + "sharpe": 0.93, + "trades": 288, + "win_rate": 33.3, + "avg_trade_pnl": 30.97, + "best_trade_r": 9.82, + "worst_trade_r": -3.23, + "best_trade_pnl": 1452.95, + "worst_trade_pnl": -368.24, + "avg_hold_days": 16.3, + "exit_reasons": { + "stop": 184, + "time": 104 + }, + "skipped_book_full": 466, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -1.9 + }, + { + "year": 2022, + "return_pct": -18.1 + }, + { + "year": 2023, + "return_pct": 109.6 + }, + { + "year": 2024, + "return_pct": 12.5 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "highvol90_fixed10", + "label": "High-vol 90 / max 10", + "ranking": "high_vol", + "cutoff": 90.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 90.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 18521.03, + "total_return_pct": 85.2, + "cagr_pct": 26.6, + "max_drawdown_pct": 35.4, + "sharpe": 0.92, + "trades": 267, + "win_rate": 33.7, + "avg_trade_pnl": 31.91, + "best_trade_r": 9.85, + "worst_trade_r": -3.23, + "best_trade_pnl": 1372.44, + "worst_trade_pnl": -223.7, + "avg_hold_days": 16.3, + "exit_reasons": { + "stop": 167, + "time": 100 + }, + "skipped_book_full": 233, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -1.9 + }, + { + "year": 2022, + "return_pct": -22.9 + }, + { + "year": 2023, + "return_pct": 102.7 + }, + { + "year": 2024, + "return_pct": 21.0 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "lowvol80_fixed10", + "label": "Low-vol 80 / max 10", + "ranking": "low_vol", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 10311.11, + "total_return_pct": 3.1, + "cagr_pct": 1.2, + "max_drawdown_pct": 18.4, + "sharpe": 0.16, + "trades": 133, + "win_rate": 31.6, + "avg_trade_pnl": 2.34, + "best_trade_r": 8.89, + "worst_trade_r": -2.77, + "best_trade_pnl": 584.88, + "worst_trade_pnl": -182.12, + "avg_hold_days": 16.0, + "exit_reasons": { + "stop": 84, + "time": 49 + }, + "skipped_book_full": 0, + "spy_return_pct": 16.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": 0.3 + }, + { + "year": 2022, + "return_pct": 7.8 + }, + { + "year": 2023, + "return_pct": -6.5 + }, + { + "year": 2024, + "return_pct": 2.0 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-07-17" + } + ], + "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." + }, + "exit_policy_variants": { + "variants": [ + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "hold", + "label": "80/20 entry + 30d hold / initial stop", + "description": "Baseline: keep the initial ATR stop and exit at 30 trading days.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 19310.46, + "total_return_pct": 93.1, + "cagr_pct": 37.0, + "max_drawdown_pct": 21.2, + "sharpe": 1.52, + "trades": 188, + "win_rate": 37.2, + "avg_trade_pnl": 49.52, + "best_trade_r": 10.81, + "worst_trade_r": -2.13, + "best_trade_pnl": 1280.88, + "worst_trade_pnl": -270.81, + "avg_hold_days": 17.3, + "exit_reasons": { + "stop": 111, + "time": 77 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.3 + }, + { + "year": 2023, + "return_pct": 32.5 + }, + { + "year": 2024, + "return_pct": 31.0 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "sma50", + "label": "80/20 entry + SMA50 break", + "description": "Exit at the close when price closes below its 50-day SMA.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 15793.86, + "total_return_pct": 57.9, + "cagr_pct": 24.5, + "max_drawdown_pct": 23.0, + "sharpe": 1.07, + "trades": 225, + "win_rate": 29.8, + "avg_trade_pnl": 25.75, + "best_trade_r": 10.81, + "worst_trade_r": -5.16, + "best_trade_pnl": 1067.08, + "worst_trade_pnl": -462.06, + "avg_hold_days": 12.1, + "exit_reasons": { + "sma50": 97, + "stop": 76, + "time": 52 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.9 + }, + { + "year": 2023, + "return_pct": 10.2 + }, + { + "year": 2024, + "return_pct": 28.1 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "low20", + "label": "80/20 entry + 20-day low break", + "description": "Exit at the close when price closes below the prior 20-day low.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 19242.72, + "total_return_pct": 92.4, + "cagr_pct": 36.8, + "max_drawdown_pct": 22.8, + "sharpe": 1.5, + "trades": 190, + "win_rate": 35.8, + "avg_trade_pnl": 48.65, + "best_trade_r": 10.81, + "worst_trade_r": -5.16, + "best_trade_pnl": 1284.92, + "worst_trade_pnl": -434.79, + "avg_hold_days": 16.6, + "exit_reasons": { + "low20": 18, + "stop": 106, + "time": 66 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 13.2 + }, + { + "year": 2023, + "return_pct": 30.5 + }, + { + "year": 2024, + "return_pct": 30.4 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "technical40", + "label": "80/20 entry + technical score < 40", + "description": "Exit at the close when the price-derived technical score deteriorates below 40.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 19310.46, + "total_return_pct": 93.1, + "cagr_pct": 37.0, + "max_drawdown_pct": 21.2, + "sharpe": 1.52, + "trades": 188, + "win_rate": 37.2, + "avg_trade_pnl": 49.52, + "best_trade_r": 10.81, + "worst_trade_r": -2.13, + "best_trade_pnl": 1280.88, + "worst_trade_pnl": -270.81, + "avg_hold_days": 17.3, + "exit_reasons": { + "stop": 111, + "time": 77 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.3 + }, + { + "year": 2023, + "return_pct": 32.5 + }, + { + "year": 2024, + "return_pct": 31.0 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "atr_trail3", + "label": "80/20 entry + 3x ATR trailing stop", + "description": "Trail the stop upward to highest close minus 3 ATR, evaluated from prior data.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 18744.41, + "total_return_pct": 87.4, + "cagr_pct": 35.1, + "max_drawdown_pct": 19.4, + "sharpe": 1.42, + "trades": 195, + "win_rate": 35.9, + "avg_trade_pnl": 44.84, + "best_trade_r": 10.21, + "worst_trade_r": -5.16, + "best_trade_pnl": 1335.35, + "worst_trade_pnl": -580.29, + "avg_hold_days": 15.0, + "exit_reasons": { + "stop": 94, + "time": 44, + "trailing_stop": 57 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.3 + }, + { + "year": 2023, + "return_pct": 47.9 + }, + { + "year": 2024, + "return_pct": 14.9 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + } + ], + "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." + }, + "portfolio_monitor": { + "production_strategy": "residual80_highvol80_20_atr3", + "strategies": [ + { + "strategy": "legacy_residual80_hold", + "label": "Legacy residual 80 + 30d hold", + "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_hold", + "label": "Residual/high-vol 80/20 + 30d hold", + "description": "Promoted entry candidate before adding the ATR trailing exit.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_atr3", + "label": "Production: residual/high-vol 80/20 + 3x ATR trail", + "description": "The live strategy: production activation gate and Admin exit policy as currently configured, 80/20 residual/high-vol rank.", + "is_production": true + } + ], + "lookbacks": [ + { + "lookback": "6m", + "label": "6 months" + }, + { + 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"avg_cross_section": 497.7, + "mean_ic": 0.0531, + "ic_t_stat": 1.61, + "ic_positive_pct": 65.7, + "mean_quintile_spread": 0.0206, + "reliable": true + }, + { + "signal": "trend_200", + "weeks": 37, + "avg_cross_section": 497.9, + "mean_ic": 0.0161, + "ic_t_stat": 0.44, + "ic_positive_pct": 59.5, + "mean_quintile_spread": 0.006, + "reliable": true + }, + { + "signal": "reversal_1m", + "weeks": 43, + "avg_cross_section": 498.7, + "mean_ic": 0.0059, + "ic_t_stat": 0.22, + "ic_positive_pct": 53.5, + "mean_quintile_spread": 0.0053, + "reliable": true + }, + { + "signal": "mom_6_1", + "weeks": 39, + "avg_cross_section": 498.2, + "mean_ic": 0.0051, + "ic_t_stat": 0.21, + "ic_positive_pct": 56.4, + "mean_quintile_spread": 0.0087, + "reliable": true + }, + { + "signal": "mom_3_1", + "weeks": 42, + "avg_cross_section": 498.5, + "mean_ic": -0.0064, + "ic_t_stat": -0.25, + "ic_positive_pct": 50.0, + "mean_quintile_spread": 0.0046, + "reliable": true + }, + { + "signal": "high_52w", + "weeks": 35, + "avg_cross_section": 497.7, + "mean_ic": -0.0086, + "ic_t_stat": -0.26, + "ic_positive_pct": 54.3, + "mean_quintile_spread": -0.0088, + "reliable": true + } + ], + "signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).", + "note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.", + "recommendation": { + "headline": "Production baseline: residual/high-vol 80/20 entry rank with a 3x ATR trailing exit and 30-trading-day max hold.", + "items": [ + { + "topic": "production", + "text": "Production monitor (All history): +35.1% CAGR, Sharpe 1.42, max drawdown -19.4%." + }, + { + "topic": "exit", + "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.49R net/trade vs +0.17R for the S/R target exit). The simulated book agrees: +33.4% vs +16.0% CAGR at similar drawdown." + }, + { + "topic": "gate", + "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.00R/trade and adds 0 trades." + }, + { + "topic": "gate", + "text": "Gate: keep the R:R floor (worth +0.16R/trade under the hold exit)." + }, + { + "topic": "gate", + "text": "Gate: the NEUTRAL exclusion adds nothing \u2014 dropping it costs -0.03R/trade and adds 1195 trades." + }, + { + "topic": "cutoff", + "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.20R over 422 setups)." + }, + { + "topic": "benchmark", + "text": "Book vs SPY: beats buy-and-hold by +47.3 points (+82.6% vs +35.3%), max drawdown \u221223.4%." + }, + { + "topic": "robustness", + "text": "Robustness: expectancy survives removing the top 5% of winners (+0.12R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." + } + ], + "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." + }, + "research_recommendation": { + "items": [ + { + "topic": "capacity_15", + "candidate": false, + "text": "Max-15 capacity is not needed yet: Sharpe 1.45 vs 1.45, CAGR +33.4% vs +33.4%, skipped 0 vs 0." + }, + { + "topic": "cutoff_90", + "candidate": false, + "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.05 vs 1.45, drawdown 19.6% vs 23.4%, CAGR +22.3% vs +33.4%." + }, + { + "topic": "low_vol_overlay", + "candidate": false, + "text": "Low-vol overlay stays research-only: Residual 80 + low-vol 50 / max 10 Sharpe 1.72 vs 1.45, drawdown 8.1% vs 23.4%, CAGR +19.1% vs +33.4%." + }, + { + "topic": "high_vol_overlay", + "candidate": true, + "text": "High-vol overlay is a promotion candidate: Residual 80 + high-vol 70/30 blend / max 10 Sharpe 1.68 vs 1.45, drawdown 21.7% vs 23.4%, CAGR +43.9% vs +33.4%." + } + ], + "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." + } +} diff --git a/reports/backtest-sr-traffic-train-legacy_pivots_only.json b/reports/backtest-sr-traffic-train-legacy_pivots_only.json new file mode 100644 index 0000000..6babab7 --- /dev/null +++ b/reports/backtest-sr-traffic-train-legacy_pivots_only.json @@ -0,0 +1,222510 @@ +{ + "generated_at": "2026-07-12T21:44:10.930062+00:00", + "tickers": 506, + "candidates": 120604, + "qualified": 717, + "params": { + "step_days": 5, + "horizon_days": 30, + "min_lookback": 60, + "cost_per_side_pct": 0.1, + "sr_variant": "legacy_pivots_only", + "entry_start": null, + "entry_end": "2024-06-30" + }, + "activation": { + "min_momentum_percentile": 80.0, + "min_rr": 2.0, + "min_confidence": 0.0, + "require_high_conviction": false, + "exclude_conflicts": false, + "exclude_neutral": true + }, + "overall_qualified": { + "total": 717, + "wins": 258, + "losses": 390, + "expired": 69, + "hit_rate": 39.8, + "avg_r": 0.283, + "total_r": 202.61, + "net_avg_r": 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0.0199, + "median_net_r": -1.031, + "profit_factor": 1.39, + "net_avg_r_ex_top5": 0.076, + "hold_days": 30, + "hold_avg_r": 0.709, + "hold_net_avg_r": 0.663, + "hold_total_r": 508.64 + }, + { + "variant": "no_confidence_floor", + "total": 742, + "wins": 267, + "losses": 405, + "expired": 70, + "hit_rate": 39.7, + "avg_r": 0.28, + "total_r": 208.06, + "net_avg_r": 0.234, + "net_total_r": 173.35, + "best_r": 8.87, + "worst_r": -3.26, + "avg_hold_days": 11.8, + "net_r_per_day": 0.0198, + "median_net_r": -1.032, + "profit_factor": 1.39, + "net_avg_r_ex_top5": 0.071, + "hold_days": 30, + "hold_avg_r": 0.711, + "hold_net_avg_r": 0.664, + "hold_total_r": 527.21 + }, + { + "variant": "no_rr_floor", + "total": 4003, + "wins": 1847, + "losses": 2039, + "expired": 117, + "hit_rate": 47.5, + "avg_r": 0.129, + "total_r": 515.26, + "net_avg_r": 0.076, + "net_total_r": 303.71, + "best_r": 8.87, + "worst_r": -6.02, + "avg_hold_days": 8.2, + "net_r_per_day": 0.0092, + "median_net_r": -1.021, + "profit_factor": 1.13, + "net_avg_r_ex_top5": -0.049, + "hold_days": 30, + "hold_avg_r": 0.382, + "hold_net_avg_r": 0.329, + "hold_total_r": 1527.9 + }, + { + "variant": "no_neutral_exclusion", + "total": 1526, + "wins": 515, + "losses": 849, + "expired": 162, + "hit_rate": 37.8, + "avg_r": 0.208, + "total_r": 316.98, + "net_avg_r": 0.161, + "net_total_r": 245.67, + "best_r": 8.87, + "worst_r": -3.88, + "avg_hold_days": 12.6, + "net_r_per_day": 0.0128, + "median_net_r": -1.033, + "profit_factor": 1.26, + "net_avg_r_ex_top5": 0.009, + "hold_days": 30, + "hold_avg_r": 0.668, + "hold_net_avg_r": 0.621, + "hold_total_r": 1019.69 + }, + { + "variant": "momentum_only", + "total": 7847, + "wins": 3520, + "losses": 4036, + "expired": 291, + "hit_rate": 46.6, + "avg_r": 0.124, + "total_r": 969.32, + "net_avg_r": 0.072, + "net_total_r": 567.72, + "best_r": 8.87, + "worst_r": -6.02, + "avg_hold_days": 8.8, + "net_r_per_day": 0.0082, + "median_net_r": -1.023, + "profit_factor": 1.13, + "net_avg_r_ex_top5": -0.05, + "hold_days": 30, + "hold_avg_r": 0.42, + "hold_net_avg_r": 0.369, + "hold_total_r": 3298.73 + } + ], + "gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", + "time_exit_sweep": [ + { + "hold_days": 5, + "total": 717, + "wins": 417, + "win_rate": 58.2, + "avg_r": 0.213, + "total_r": 152.38, + "net_avg_r": 0.166, + "net_total_r": 118.89, + "best_r": 4.65, + "worst_r": -3.12, + "avg_hold_days": 4.5, + "net_r_per_day": 0.0368, + "median_net_r": 0.176, + "profit_factor": 1.49, + "net_avg_r_ex_top5": 0.039 + }, + { + "hold_days": 10, + "total": 717, + "wins": 370, + "win_rate": 51.6, + "avg_r": 0.384, + "total_r": 275.32, + "net_avg_r": 0.337, + "net_total_r": 241.83, + "best_r": 5.85, + "worst_r": -3.12, + "avg_hold_days": 7.9, + "net_r_per_day": 0.0426, + "median_net_r": 0.021, + "profit_factor": 1.74, + "net_avg_r_ex_top5": 0.15 + }, + { + "hold_days": 21, + "total": 717, + "wins": 327, + "win_rate": 45.6, + "avg_r": 0.583, + "total_r": 418.33, + "net_avg_r": 0.537, + "net_total_r": 384.83, + "best_r": 10.4, + "worst_r": -3.12, + "avg_hold_days": 13.9, + "net_r_per_day": 0.0387, + "median_net_r": -1.027, + "profit_factor": 1.93, + "net_avg_r_ex_top5": 0.26 + }, + { + "hold_days": 30, + "total": 717, + "wins": 292, + "win_rate": 40.7, + "avg_r": 0.709, + "total_r": 508.64, + "net_avg_r": 0.663, + "net_total_r": 475.15, + "best_r": 13.27, + "worst_r": -3.26, + "avg_hold_days": 18.0, + "net_r_per_day": 0.0368, + "median_net_r": -1.033, + "profit_factor": 2.05, + "net_avg_r_ex_top5": 0.284 + } + ], + "portfolio_sim": { + "params": { + "starting_capital": 10000.0, + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "notional_cap_pct": 20.0, + "cost_per_side_pct": 0.1, + "hold_days": 30 + }, + "policies": [ + { + "policy": "target", + "starting_capital": 10000.0, + "final_equity": 18190.26, + "total_return_pct": 81.9, + "cagr_pct": 32.8, + "max_drawdown_pct": 19.7, + "sharpe": 1.47, + "trades": 227, + "win_rate": 42.7, + "avg_trade_pnl": 36.08, + "best_trade_r": 8.87, + "worst_trade_r": -2.69, + "best_trade_pnl": 1103.0, + "worst_trade_pnl": -334.23, + "avg_hold_days": 11.2, + "exit_reasons": { + "stop": 128, + "target": 83, + "time": 16 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.7 + }, + { + "year": 2023, + "return_pct": 13.2 + }, + { + "year": 2024, + "return_pct": 45.1 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "policy": "hold", + "starting_capital": 10000.0, + "final_equity": 21591.56, + "total_return_pct": 115.9, + "cagr_pct": 44.0, + "max_drawdown_pct": 19.5, + "sharpe": 1.7, + "trades": 170, + "win_rate": 38.8, + "avg_trade_pnl": 68.19, + "best_trade_r": 10.83, + "worst_trade_r": -1.82, + "best_trade_pnl": 1574.42, + "worst_trade_pnl": -401.66, + "avg_hold_days": 16.8, + "exit_reasons": { + "stop": 102, + "time": 68 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.6 + }, + { + "year": 2023, + "return_pct": 51.2 + }, + { + "year": 2024, + "return_pct": 26.9 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + } + ], + "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." + }, + "strategy_variants": { + "variants": [ + { + "variant": "production_residual_80_fixed10", + "label": "Production residual 80 / max 10", + "ranking": "residual", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 21591.56, + "total_return_pct": 115.9, + "cagr_pct": 44.0, + "max_drawdown_pct": 19.5, + "sharpe": 1.7, + "trades": 170, + "win_rate": 38.8, + "avg_trade_pnl": 68.19, + "best_trade_r": 10.83, + "worst_trade_r": -1.82, + "best_trade_pnl": 1574.42, + "worst_trade_pnl": -401.66, + "avg_hold_days": 16.8, + "exit_reasons": { + "stop": 102, + "time": 68 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.6 + }, + { + "year": 2023, + "return_pct": 51.2 + }, + { + "year": 2024, + "return_pct": 26.9 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "legacy_raw_80_fixed10", + "label": "Legacy raw 80 / max 10", + "ranking": "raw", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 16448.94, + "total_return_pct": 64.5, + "cagr_pct": 26.6, + "max_drawdown_pct": 17.1, + "sharpe": 1.17, + "trades": 169, + "win_rate": 34.9, + "avg_trade_pnl": 38.16, + "best_trade_r": 10.83, + "worst_trade_r": -1.82, + "best_trade_pnl": 1247.34, + "worst_trade_pnl": -311.8, + "avg_hold_days": 16.6, + "exit_reasons": { + "stop": 107, + "time": 62 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.7 + }, + { + "year": 2023, + "return_pct": 20.7 + }, + { + "year": 2024, + "return_pct": 23.1 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "raw_90_fixed10", + "label": "Raw 90 / max 10", + "ranking": "raw", + "cutoff": 90.0, + "filters": [ + { + "percentile_key": "momentum_percentile", + "cutoff": 90.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 17410.23, + "total_return_pct": 74.1, + "cagr_pct": 30.0, + "max_drawdown_pct": 15.4, + "sharpe": 1.36, + "trades": 132, + "win_rate": 35.6, + "avg_trade_pnl": 56.14, + "best_trade_r": 10.83, + "worst_trade_r": -2.54, + "best_trade_pnl": 1317.0, + "worst_trade_pnl": -330.18, + "avg_hold_days": 16.1, + "exit_reasons": { + "stop": 83, + "time": 49 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 7.8 + }, + { + "year": 2023, + "return_pct": 32.0 + }, + { + "year": 2024, + "return_pct": 22.4 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "residual_80_fixed15", + "label": "Residual 80 / max 15 capacity check", + "ranking": "residual", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 15, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 21591.56, + "total_return_pct": 115.9, + "cagr_pct": 44.0, + "max_drawdown_pct": 19.5, + "sharpe": 1.7, + "trades": 170, + "win_rate": 38.8, + "avg_trade_pnl": 68.19, + "best_trade_r": 10.83, + "worst_trade_r": -1.82, + "best_trade_pnl": 1574.42, + "worst_trade_pnl": -401.66, + "avg_hold_days": 16.8, + "exit_reasons": { + "stop": 102, + "time": 68 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.6 + }, + { + "year": 2023, + "return_pct": 51.2 + }, + { + "year": 2024, + "return_pct": 26.9 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_lowvol50_fixed10", + "label": "Residual 80 + low-vol 50 / max 10", + "ranking": "residual+low_vol_filter", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + }, + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 50.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 13362.89, + "total_return_pct": 33.6, + "cagr_pct": 14.7, + "max_drawdown_pct": 7.0, + "sharpe": 1.54, + "trades": 67, + "win_rate": 44.8, + "avg_trade_pnl": 50.19, + "best_trade_r": 5.2, + "worst_trade_r": -1.68, + "best_trade_pnl": 448.79, + "worst_trade_pnl": -102.28, + "avg_hold_days": 18.3, + "exit_reasons": { + "stop": 37, + "time": 30 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.3 + }, + { + "year": 2023, + "return_pct": 16.4 + }, + { + "year": 2024, + "return_pct": 3.2 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_lowvol70_fixed10", + "label": "Residual 80 + low-vol 70 / max 10", + "ranking": "residual+low_vol_filter", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + }, + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 70.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 11932.29, + "total_return_pct": 19.3, + "cagr_pct": 9.3, + "max_drawdown_pct": 5.3, + "sharpe": 1.34, + "trades": 35, + "win_rate": 45.7, + "avg_trade_pnl": 55.21, + "best_trade_r": 4.95, + "worst_trade_r": -1.16, + "best_trade_pnl": 365.04, + "worst_trade_pnl": -91.67, + "avg_hold_days": 19.7, + "exit_reasons": { + "stop": 19, + "time": 16 + }, + "skipped_book_full": 0, + "spy_return_pct": 43.1, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.3 + }, + { + "year": 2023, + "return_pct": 3.8 + }, + { + "year": 2024, + "return_pct": 2.4 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-06-25" + }, + { + "variant": "residual80_lowvol_blend_fixed10", + "label": "Residual 80 + low-vol blend / max 10", + "ranking": "residual_low_vol_blend", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 16688.85, + "total_return_pct": 66.9, + "cagr_pct": 27.5, + "max_drawdown_pct": 23.1, + "sharpe": 1.38, + "trades": 167, + "win_rate": 31.1, + "avg_trade_pnl": 40.05, + "best_trade_r": 11.89, + "worst_trade_r": -1.82, + "best_trade_pnl": 1214.32, + "worst_trade_pnl": -310.03, + "avg_hold_days": 15.8, + "exit_reasons": { + "stop": 112, + "time": 55 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 2.9 + }, + { + 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"worst_trade_r": -1.82, + "best_trade_pnl": 1427.77, + "worst_trade_pnl": -416.28, + "avg_hold_days": 16.5, + "exit_reasons": { + "stop": 105, + "time": 66 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 6.4 + }, + { + "year": 2023, + "return_pct": 67.8 + }, + { + "year": 2024, + "return_pct": 22.1 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_highvol_blend60_40_fixed10", + "label": "Residual 80 + high-vol 60/40 blend / max 10", + "ranking": "residual_high_vol_blend_60_40", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 20720.05, + "total_return_pct": 107.2, + "cagr_pct": 41.2, + "max_drawdown_pct": 19.1, + "sharpe": 1.57, + "trades": 173, + "win_rate": 35.8, + "avg_trade_pnl": 61.97, + "best_trade_r": 9.18, + "worst_trade_r": -1.82, + "best_trade_pnl": 1383.08, + "worst_trade_pnl": -398.5, + "avg_hold_days": 16.2, + "exit_reasons": { + "stop": 109, + "time": 64 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 6.6 + }, + { + "year": 2023, + "return_pct": 62.8 + }, + { + "year": 2024, + "return_pct": 19.5 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "highvol70_fixed10", + "label": "High-vol 70 / max 10", + "ranking": "high_vol", + "cutoff": 70.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 70.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 11430.56, + "total_return_pct": 14.3, + "cagr_pct": 5.3, + "max_drawdown_pct": 34.1, + "sharpe": 0.32, + "trades": 287, + "win_rate": 29.3, + "avg_trade_pnl": 4.98, + "best_trade_r": 9.82, + "worst_trade_r": -3.23, + "best_trade_pnl": 1086.04, + "worst_trade_pnl": -361.04, + "avg_hold_days": 15.6, + "exit_reasons": { + "stop": 195, + "time": 92 + }, + "skipped_book_full": 521, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -0.6 + }, + { + "year": 2022, + "return_pct": -30.3 + }, + { + "year": 2023, + "return_pct": 75.0 + }, + { + "year": 2024, + "return_pct": -5.6 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "highvol80_fixed10", + "label": "High-vol 80 / max 10", + "ranking": "high_vol", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 11972.03, + "total_return_pct": 19.7, + "cagr_pct": 7.1, + "max_drawdown_pct": 33.4, + "sharpe": 0.38, + "trades": 280, + "win_rate": 31.8, + "avg_trade_pnl": 7.04, + "best_trade_r": 9.82, + "worst_trade_r": -3.23, + "best_trade_pnl": 879.59, + "worst_trade_pnl": -365.11, + "avg_hold_days": 15.9, + "exit_reasons": { + "stop": 185, + "time": 95 + }, + "skipped_book_full": 287, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -0.6 + }, + { + "year": 2022, + "return_pct": -29.5 + }, + { + "year": 2023, + "return_pct": 71.2 + }, + { + "year": 2024, + "return_pct": -0.1 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "highvol90_fixed10", + "label": "High-vol 90 / max 10", + "ranking": "high_vol", + "cutoff": 90.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 90.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 10180.71, + "total_return_pct": 1.8, + "cagr_pct": 0.7, + "max_drawdown_pct": 42.5, + "sharpe": 0.17, + "trades": 282, + "win_rate": 28.4, + "avg_trade_pnl": 0.64, + "best_trade_r": 9.82, + "worst_trade_r": -3.23, + "best_trade_pnl": 823.19, + "worst_trade_pnl": -326.18, + "avg_hold_days": 14.9, + "exit_reasons": { + "stop": 195, + "time": 87 + }, + "skipped_book_full": 147, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -1.4 + }, + { + "year": 2022, + "return_pct": -40.2 + }, + { + "year": 2023, + "return_pct": 80.5 + }, + { + "year": 2024, + "return_pct": -4.3 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "lowvol80_fixed10", + "label": "Low-vol 80 / max 10", + "ranking": "low_vol", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 11555.02, + "total_return_pct": 15.6, + "cagr_pct": 5.8, + "max_drawdown_pct": 11.7, + "sharpe": 0.56, + "trades": 124, + "win_rate": 34.7, + "avg_trade_pnl": 12.54, + "best_trade_r": 8.89, + "worst_trade_r": -2.83, + "best_trade_pnl": 625.29, + "worst_trade_pnl": -138.45, + "avg_hold_days": 16.7, + "exit_reasons": { + "stop": 77, + "time": 47 + }, + "skipped_book_full": 0, + "spy_return_pct": 16.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": 0.3 + }, + { + "year": 2022, + "return_pct": 12.4 + }, + { + "year": 2023, + "return_pct": 2.5 + }, + { + "year": 2024, + "return_pct": 0.1 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-07-17" + } + ], + "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." + }, + "exit_policy_variants": { + "variants": [ + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "hold", + "label": "80/20 entry + 30d hold / initial stop", + "description": "Baseline: keep the initial ATR stop and exit at 30 trading days.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 20785.54, + "total_return_pct": 107.9, + "cagr_pct": 41.4, + "max_drawdown_pct": 21.8, + "sharpe": 1.57, + "trades": 170, + "win_rate": 38.8, + "avg_trade_pnl": 63.44, + "best_trade_r": 11.89, + "worst_trade_r": -1.82, + "best_trade_pnl": 1352.31, + "worst_trade_pnl": -394.39, + "avg_hold_days": 16.7, + "exit_reasons": { + "stop": 102, + "time": 68 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 9.9 + }, + { + "year": 2023, + "return_pct": 53.7 + }, + { + "year": 2024, + "return_pct": 23.0 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "sma50", + "label": "80/20 entry + SMA50 break", + "description": "Exit at the close when price closes below its 50-day SMA.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 19896.69, + "total_return_pct": 99.0, + "cagr_pct": 38.5, + "max_drawdown_pct": 23.0, + "sharpe": 1.54, + "trades": 206, + "win_rate": 33.0, + "avg_trade_pnl": 48.04, + "best_trade_r": 10.83, + "worst_trade_r": -3.26, + "best_trade_pnl": 1224.73, + "worst_trade_pnl": -203.15, + "avg_hold_days": 13.1, + "exit_reasons": { + "sma50": 78, + "stop": 72, + "time": 56 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 2.9 + }, + { + "year": 2023, + "return_pct": 45.8 + }, + { + "year": 2024, + "return_pct": 32.7 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "low20", + "label": "80/20 entry + 20-day low break", + "description": "Exit at the close when price closes below the prior 20-day low.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 20110.58, + "total_return_pct": 101.1, + "cagr_pct": 39.2, + "max_drawdown_pct": 22.4, + "sharpe": 1.51, + "trades": 171, + "win_rate": 36.8, + "avg_trade_pnl": 59.13, + "best_trade_r": 11.89, + "worst_trade_r": -1.82, + "best_trade_pnl": 1324.11, + "worst_trade_pnl": -375.96, + "avg_hold_days": 16.4, + "exit_reasons": { + "low20": 13, + "stop": 97, + "time": 61 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.0 + }, + { + "year": 2023, + "return_pct": 50.4 + }, + { + "year": 2024, + "return_pct": 21.6 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "technical40", + "label": "80/20 entry + technical score < 40", + "description": "Exit at the close when the price-derived technical score deteriorates below 40.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 20785.54, + "total_return_pct": 107.9, + "cagr_pct": 41.4, + "max_drawdown_pct": 21.8, + "sharpe": 1.57, + "trades": 170, + "win_rate": 38.8, + "avg_trade_pnl": 63.44, + "best_trade_r": 11.89, + "worst_trade_r": -1.82, + "best_trade_pnl": 1352.31, + "worst_trade_pnl": -394.39, + "avg_hold_days": 16.7, + "exit_reasons": { + "stop": 102, + "time": 68 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 9.9 + }, + { + "year": 2023, + "return_pct": 53.7 + }, + { + "year": 2024, + "return_pct": 23.0 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "atr_trail3", + "label": "80/20 entry + 3x ATR trailing stop", + "description": "Trail the stop upward to highest close minus 3 ATR, evaluated from prior data.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 18238.19, + "total_return_pct": 82.4, + "cagr_pct": 32.9, + "max_drawdown_pct": 25.2, + "sharpe": 1.38, + "trades": 180, + "win_rate": 36.1, + "avg_trade_pnl": 45.77, + "best_trade_r": 10.83, + "worst_trade_r": -3.26, + "best_trade_pnl": 1091.05, + "worst_trade_pnl": -343.77, + "avg_hold_days": 14.9, + "exit_reasons": { + "stop": 84, + "time": 42, + "trailing_stop": 54 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.2 + }, + { + "year": 2023, + "return_pct": 41.7 + }, + { + "year": 2024, + "return_pct": 16.8 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + } + ], + "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." + }, + "portfolio_monitor": { + "production_strategy": "residual80_highvol80_20_atr3", + "strategies": [ + { + "strategy": "legacy_residual80_hold", + "label": "Legacy residual 80 + 30d hold", + "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_hold", + "label": "Residual/high-vol 80/20 + 30d hold", + "description": "Promoted entry candidate before adding the ATR trailing exit.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_atr3", + "label": "Production: residual/high-vol 80/20 + 3x ATR trail", + "description": "The live strategy: production activation gate and Admin exit policy as currently configured, 80/20 residual/high-vol rank.", + "is_production": true + } + ], + "lookbacks": [ + { + "lookback": "6m", + "label": "6 months" + }, + { + "lookback": "1y", + "label": "1 year" + }, + { + "lookback": "3y", + "label": "3 years" + }, + { + "lookback": "5y", + "label": "5 years" + }, + { + "lookback": "all", + "label": "All history" + } + ], + "runs": [ + { + "strategy": "legacy_residual80_hold", + "label": "Legacy residual 80 + 30d hold", + "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", + "is_production": false, + "entry_variant": "production_residual_80_fixed10", + "exit_policy": "hold", + "live_exit_mode": null, + "lookback": "3y", + "lookback_label": "3 years", + "starting_capital": 10000.0, + "final_equity": 14192.11, + "total_return_pct": 41.9, + "cagr_pct": 37.6, + "max_drawdown_pct": 21.9, + "sharpe": 1.4, + "trades": 77, + "win_rate": 37.7, + "avg_trade_pnl": 54.44, + "best_trade_r": 10.83, + "worst_trade_r": -1.82, + "best_trade_pnl": 1034.86, + "worst_trade_pnl": -264.01, + "avg_hold_days": 18.2, + "exit_reasons": { + "stop": 43, + "time": 34 + }, + 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"ic_t_stat": 1.98, + "ic_positive_pct": 60.0, + "mean_quintile_spread": 0.0207, + "reliable": true + }, + { + "signal": "mom_12_1", + "weeks": 35, + "avg_cross_section": 497.7, + "mean_ic": 0.0531, + "ic_t_stat": 1.61, + "ic_positive_pct": 65.7, + "mean_quintile_spread": 0.0206, + "reliable": true + }, + { + "signal": "trend_200", + "weeks": 37, + "avg_cross_section": 497.9, + "mean_ic": 0.0161, + "ic_t_stat": 0.44, + "ic_positive_pct": 59.5, + "mean_quintile_spread": 0.006, + "reliable": true + }, + { + "signal": "reversal_1m", + "weeks": 43, + "avg_cross_section": 498.7, + "mean_ic": 0.0059, + "ic_t_stat": 0.22, + "ic_positive_pct": 53.5, + "mean_quintile_spread": 0.0053, + "reliable": true + }, + { + "signal": "mom_6_1", + "weeks": 39, + "avg_cross_section": 498.2, + "mean_ic": 0.0051, + "ic_t_stat": 0.21, + "ic_positive_pct": 56.4, + "mean_quintile_spread": 0.0087, + "reliable": true + }, + { + "signal": "mom_3_1", + "weeks": 42, + "avg_cross_section": 498.5, + "mean_ic": -0.0064, + "ic_t_stat": -0.25, + "ic_positive_pct": 50.0, + "mean_quintile_spread": 0.0046, + "reliable": true + }, + { + "signal": "high_52w", + "weeks": 35, + "avg_cross_section": 497.7, + "mean_ic": -0.0086, + "ic_t_stat": -0.26, + "ic_positive_pct": 54.3, + "mean_quintile_spread": -0.0088, + "reliable": true + } + ], + "signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).", + "note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.", + "recommendation": { + "headline": "Production baseline: residual/high-vol 80/20 entry rank with a 3x ATR trailing exit and 30-trading-day max hold.", + "items": [ + { + "topic": "production", + "text": "Production monitor (All history): +32.9% CAGR, Sharpe 1.38, max drawdown -25.2%." + }, + { + "topic": "exit", + "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.66R net/trade vs +0.24R for the S/R target exit). The simulated book agrees: +44.0% vs +32.8% CAGR at similar drawdown." + }, + { + "topic": "gate", + "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs -0.00R/trade and adds 25 trades." + }, + { + "topic": "gate", + "text": "Gate: keep the R:R floor (worth +0.33R/trade under the hold exit)." + }, + { + "topic": "gate", + "text": "Gate: keep the NEUTRAL exclusion (worth +0.04R/trade under the hold exit)." + }, + { + "topic": "cutoff", + "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.31R over 328 setups)." + }, + { + "topic": "benchmark", + "text": "Book vs SPY: beats buy-and-hold by +79.6 points (+115.9% vs +36.3%), max drawdown \u221219.5%." + }, + { + "topic": "robustness", + "text": "Robustness: expectancy survives removing the top 5% of winners (+0.28R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." + } + ], + "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." + }, + "research_recommendation": { + "items": [ + { + "topic": "capacity_15", + "candidate": false, + "text": "Max-15 capacity is not needed yet: Sharpe 1.70 vs 1.70, CAGR +44.0% vs +44.0%, skipped 0 vs 0." + }, + { + "topic": "cutoff_90", + "candidate": false, + "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.36 vs 1.70, drawdown 15.4% vs 19.5%, CAGR +30.0% vs +44.0%." + }, + { + "topic": "low_vol_overlay", + "candidate": false, + "text": "Low-vol overlay stays research-only: Residual 80 + low-vol 50 / max 10 Sharpe 1.54 vs 1.70, drawdown 7.0% vs 19.5%, CAGR +14.7% vs +44.0%." + }, + { + "topic": "high_vol_overlay", + "candidate": true, + "text": "High-vol overlay is a promotion candidate: Residual 80 + high-vol 70 / max 10 Sharpe 1.72 vs 1.70, drawdown 18.3% vs 19.5%, CAGR +46.1% vs +44.0%." + } + ], + "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." + } +} diff --git a/reports/backtest-sr-traffic-train-legacy_traffic_grid_only.json b/reports/backtest-sr-traffic-train-legacy_traffic_grid_only.json new file mode 100644 index 0000000..f2feec7 --- /dev/null +++ b/reports/backtest-sr-traffic-train-legacy_traffic_grid_only.json @@ -0,0 +1,219760 @@ +{ + "generated_at": "2026-07-12T21:44:47.333179+00:00", + "tickers": 506, + "candidates": 121464, + "qualified": 504, + "params": { + "step_days": 5, + "horizon_days": 30, + "min_lookback": 60, + "cost_per_side_pct": 0.1, + "sr_variant": "legacy_traffic_grid_only", + "entry_start": null, + "entry_end": "2024-06-30" + }, + "activation": { + "min_momentum_percentile": 80.0, + "min_rr": 2.0, + "min_confidence": 0.0, + "require_high_conviction": false, + "exclude_conflicts": false, + "exclude_neutral": true + }, + "overall_qualified": { + "total": 504, + "wins": 195, + "losses": 267, + "expired": 42, + "hit_rate": 42.2, + "avg_r": 0.317, + "total_r": 159.61, + "net_avg_r": 0.271, + "net_total_r": 136.44, + "best_r": 4.24, + "worst_r": -5.16, + "avg_hold_days": 11.7, + "net_r_per_day": 0.0232, + "median_net_r": -1.026, + "profit_factor": 1.45, + "net_avg_r_ex_top5": 0.136 + }, + "overall_all": { + "total": 121464, + "wins": 53213, + "losses": 65889, + "expired": 2362, + "hit_rate": 44.7, + "avg_r": -0.025, + "total_r": -3076.24, + "net_avg_r": -0.081, + "net_total_r": -9834.15, + "best_r": 7.17, + "worst_r": -9.25, + "avg_hold_days": 7.5, + "net_r_per_day": -0.0108, + "median_net_r": -1.033, + "profit_factor": 0.87, + "net_avg_r_ex_top5": -0.193 + }, + "by_direction": { + "long": { + "total": 504, + "wins": 195, + "losses": 267, + "expired": 42, + "hit_rate": 42.2, + "avg_r": 0.317, + "total_r": 159.61, + "net_avg_r": 0.271, + "net_total_r": 136.44, + "best_r": 4.24, + "worst_r": -5.16, + "avg_hold_days": 11.7, + "net_r_per_day": 0.0232, + "median_net_r": -1.026, + "profit_factor": 1.45, + "net_avg_r_ex_top5": 0.136 + }, + "short": { + "total": 0, + "wins": 0, + "losses": 0, + "expired": 0, + "hit_rate": null, + "avg_r": null, + "total_r": null, + "net_avg_r": null, + "net_total_r": null, + "best_r": null, + "worst_r": null, + "avg_hold_days": null, + "net_r_per_day": null, + "median_net_r": null, + "profit_factor": null, + "net_avg_r_ex_top5": null + } + }, + "min_momentum_percentile": 80.0, + "sweep": [ + { + "min_momentum_percentile": 90.0, + "total": 253, + "wins": 102, + "losses": 129, + "expired": 22, + "hit_rate": 44.2, + "avg_r": 0.38, + "total_r": 96.26, + "net_avg_r": 0.339, + "net_total_r": 85.68, + "best_r": 3.03, + "worst_r": -3.38, + "avg_hold_days": 11.7, + "net_r_per_day": 0.0291, + "median_net_r": -1.018, + "profit_factor": 1.59, + "net_avg_r_ex_top5": 0.209 + }, + { + "min_momentum_percentile": 80.0, + "total": 504, + "wins": 195, + "losses": 267, + "expired": 42, + "hit_rate": 42.2, + "avg_r": 0.317, + "total_r": 159.61, + "net_avg_r": 0.271, + "net_total_r": 136.44, + "best_r": 4.24, + "worst_r": -5.16, + "avg_hold_days": 11.7, + "net_r_per_day": 0.0232, + "median_net_r": -1.026, + "profit_factor": 1.45, + "net_avg_r_ex_top5": 0.136 + }, + { + "min_momentum_percentile": 70.0, + "total": 802, + "wins": 299, + "losses": 433, + "expired": 70, + "hit_rate": 40.8, + "avg_r": 0.276, + "total_r": 221.71, + "net_avg_r": 0.229, + "net_total_r": 183.35, + "best_r": 4.24, + "worst_r": -5.16, + "avg_hold_days": 11.7, + "net_r_per_day": 0.0196, + "median_net_r": -1.03, + "profit_factor": 1.38, + "net_avg_r_ex_top5": 0.094 + }, + { + "min_momentum_percentile": 60.0, + "total": 1179, + "wins": 428, + "losses": 649, + "expired": 102, + "hit_rate": 39.7, + "avg_r": 0.241, + "total_r": 284.29, + "net_avg_r": 0.192, + "net_total_r": 225.87, + "best_r": 4.24, + "worst_r": -5.16, + "avg_hold_days": 11.9, + "net_r_per_day": 0.0161, + "median_net_r": -1.035, + "profit_factor": 1.31, + "net_avg_r_ex_top5": 0.057 + }, + { + "min_momentum_percentile": 50.0, + "total": 1628, + "wins": 556, + "losses": 923, + "expired": 149, + "hit_rate": 37.6, + "avg_r": 0.18, + "total_r": 292.79, + "net_avg_r": 0.129, + "net_total_r": 210.48, + "best_r": 4.24, + "worst_r": -5.16, + "avg_hold_days": 12.0, + "net_r_per_day": 0.0108, + "median_net_r": -1.038, + "profit_factor": 1.2, + "net_avg_r_ex_top5": -0.008 + }, + { + "min_momentum_percentile": 0.0, + "total": 6166, + "wins": 1689, + "losses": 3854, + "expired": 623, + "hit_rate": 30.5, + "avg_r": -0.017, + "total_r": -104.51, + "net_avg_r": -0.067, + "net_total_r": -410.79, + "best_r": 4.87, + "worst_r": -5.16, + "avg_hold_days": 12.1, + "net_r_per_day": -0.0055, + "median_net_r": -1.042, + "profit_factor": 0.9, + "net_avg_r_ex_top5": -0.216 + } + ], + "gate_ablation": [ + { + "variant": "all_floors", + "total": 504, + "wins": 195, + "losses": 267, + "expired": 42, + "hit_rate": 42.2, + "avg_r": 0.317, + "total_r": 159.61, + "net_avg_r": 0.271, + "net_total_r": 136.44, + "best_r": 4.24, + "worst_r": -5.16, + "avg_hold_days": 11.7, + "net_r_per_day": 0.0232, + "median_net_r": -1.026, + "profit_factor": 1.45, + "net_avg_r_ex_top5": 0.136, + "hold_days": 30, + "hold_avg_r": 0.639, + "hold_net_avg_r": 0.593, + "hold_total_r": 322.09 + }, + { + "variant": "no_confidence_floor", + "total": 531, + "wins": 207, + "losses": 282, + "expired": 42, + "hit_rate": 42.3, + "avg_r": 0.346, + "total_r": 183.63, + "net_avg_r": 0.301, + "net_total_r": 159.71, + "best_r": 5.94, + "worst_r": -5.16, + "avg_hold_days": 11.5, + "net_r_per_day": 0.0261, + "median_net_r": -1.025, + "profit_factor": 1.5, + "net_avg_r_ex_top5": 0.15, + "hold_days": 30, + "hold_avg_r": 0.678, + "hold_net_avg_r": 0.633, + "hold_total_r": 360.13 + }, + { + "variant": "no_rr_floor", + "total": 3765, + "wins": 1811, + "losses": 1872, + "expired": 82, + "hit_rate": 49.2, + "avg_r": 0.126, + "total_r": 473.61, + "net_avg_r": 0.073, + "net_total_r": 275.81, + "best_r": 5.94, + "worst_r": -5.16, + "avg_hold_days": 7.6, + "net_r_per_day": 0.0096, + "median_net_r": -0.058, + "profit_factor": 1.13, + "net_avg_r_ex_top5": -0.047, + "hold_days": 30, + "hold_avg_r": 0.387, + "hold_net_avg_r": 0.335, + "hold_total_r": 1457.46 + }, + { + "variant": "no_neutral_exclusion", + "total": 700, + "wins": 275, + "losses": 370, + "expired": 55, + "hit_rate": 42.6, + "avg_r": 0.356, + "total_r": 249.22, + "net_avg_r": 0.311, + "net_total_r": 217.94, + "best_r": 5.94, + "worst_r": -5.16, + "avg_hold_days": 11.9, + "net_r_per_day": 0.0261, + "median_net_r": -1.024, + "profit_factor": 1.53, + "net_avg_r_ex_top5": 0.163, + "hold_days": 30, + "hold_avg_r": 0.689, + "hold_net_avg_r": 0.645, + "hold_total_r": 482.55 + }, + { + "variant": "momentum_only", + "total": 7729, + "wins": 3793, + "losses": 3776, + "expired": 160, + "hit_rate": 50.1, + "avg_r": 0.114, + "total_r": 881.88, + "net_avg_r": 0.063, + "net_total_r": 485.46, + "best_r": 5.94, + "worst_r": -5.16, + "avg_hold_days": 7.7, + "net_r_per_day": 0.0082, + "median_net_r": -0.04, + "profit_factor": 1.12, + "net_avg_r_ex_top5": -0.049, + "hold_days": 30, + "hold_avg_r": 0.428, + "hold_net_avg_r": 0.376, + "hold_total_r": 3306.21 + } + ], + "gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", + "time_exit_sweep": [ + { + "hold_days": 5, + "total": 504, + "wins": 285, + "win_rate": 56.5, + "avg_r": 0.194, + "total_r": 97.99, + "net_avg_r": 0.148, + "net_total_r": 74.81, + "best_r": 3.78, + "worst_r": -5.16, + "avg_hold_days": 4.5, + "net_r_per_day": 0.0327, + "median_net_r": 0.134, + "profit_factor": 1.43, + "net_avg_r_ex_top5": 0.012 + }, + { + "hold_days": 10, + "total": 504, + "wins": 264, + "win_rate": 52.4, + "avg_r": 0.358, + "total_r": 180.63, + "net_avg_r": 0.312, + "net_total_r": 157.45, + "best_r": 5.76, + "worst_r": -5.16, + "avg_hold_days": 8.0, + "net_r_per_day": 0.0391, + "median_net_r": 0.103, + "profit_factor": 1.67, + "net_avg_r_ex_top5": 0.124 + }, + { + "hold_days": 21, + "total": 504, + "wins": 229, + "win_rate": 45.4, + "avg_r": 0.504, + "total_r": 254.25, + "net_avg_r": 0.458, + "net_total_r": 231.07, + "best_r": 13.71, + "worst_r": -5.16, + "avg_hold_days": 14.0, + "net_r_per_day": 0.0328, + "median_net_r": -1.021, + "profit_factor": 1.77, + "net_avg_r_ex_top5": 0.15 + }, + { + "hold_days": 30, + "total": 504, + "wins": 202, + "win_rate": 40.1, + "avg_r": 0.639, + "total_r": 322.09, + "net_avg_r": 0.593, + "net_total_r": 298.91, + "best_r": 27.38, + "worst_r": -5.16, + "avg_hold_days": 18.1, + "net_r_per_day": 0.0328, + "median_net_r": -1.032, + "profit_factor": 1.9, + "net_avg_r_ex_top5": 0.171 + } + ], + "portfolio_sim": { + "params": { + "starting_capital": 10000.0, + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "notional_cap_pct": 20.0, + "cost_per_side_pct": 0.1, + "hold_days": 30 + }, + "policies": [ + { + "policy": "target", + "starting_capital": 10000.0, + "final_equity": 15451.76, + "total_return_pct": 54.5, + "cagr_pct": 23.2, + "max_drawdown_pct": 15.2, + "sharpe": 1.24, + "trades": 200, + "win_rate": 43.5, + "avg_trade_pnl": 27.26, + "best_trade_r": 4.24, + "worst_trade_r": -4.21, + "best_trade_pnl": 413.44, + "worst_trade_pnl": -428.21, + "avg_hold_days": 11.2, + "exit_reasons": { + "stop": 110, + "target": 74, + "time": 16 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 8.3 + }, + { + "year": 2023, + "return_pct": 34.9 + }, + { + "year": 2024, + "return_pct": 5.8 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "policy": "hold", + "starting_capital": 10000.0, + "final_equity": 21683.06, + "total_return_pct": 116.8, + "cagr_pct": 44.8, + "max_drawdown_pct": 17.5, + "sharpe": 1.76, + "trades": 157, + "win_rate": 36.3, + "avg_trade_pnl": 74.41, + "best_trade_r": 27.38, + "worst_trade_r": -5.16, + "best_trade_pnl": 4287.19, + "worst_trade_pnl": -550.83, + "avg_hold_days": 16.7, + "exit_reasons": { + "stop": 96, + "time": 61 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 7.4 + }, + { + "year": 2023, + "return_pct": 53.6 + }, + { + "year": 2024, + "return_pct": 31.4 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + } + ], + "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." + }, + "strategy_variants": { + "variants": [ + { + "variant": "production_residual_80_fixed10", + "label": "Production residual 80 / max 10", + "ranking": "residual", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 21683.06, + "total_return_pct": 116.8, + "cagr_pct": 44.8, + "max_drawdown_pct": 17.5, + "sharpe": 1.76, + "trades": 157, + "win_rate": 36.3, + "avg_trade_pnl": 74.41, + "best_trade_r": 27.38, + "worst_trade_r": -5.16, + "best_trade_pnl": 4287.19, + "worst_trade_pnl": -550.83, + "avg_hold_days": 16.7, + "exit_reasons": { + "stop": 96, + "time": 61 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 7.4 + }, + { + "year": 2023, + "return_pct": 53.6 + }, + { + "year": 2024, + "return_pct": 31.4 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "legacy_raw_80_fixed10", + "label": "Legacy raw 80 / max 10", + "ranking": "raw", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 18018.77, + "total_return_pct": 80.2, + "cagr_pct": 32.6, + "max_drawdown_pct": 15.8, + "sharpe": 1.45, + "trades": 146, + "win_rate": 32.2, + "avg_trade_pnl": 54.92, + "best_trade_r": 27.38, + "worst_trade_r": -5.16, + "best_trade_pnl": 3930.14, + "worst_trade_pnl": -549.72, + "avg_hold_days": 16.9, + "exit_reasons": { + "stop": 93, + "time": 53 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.7 + }, + { + "year": 2023, + "return_pct": 31.2 + }, + { + "year": 2024, + "return_pct": 23.0 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "raw_90_fixed10", + "label": "Raw 90 / max 10", + "ranking": "raw", + "cutoff": 90.0, + "filters": [ + { + "percentile_key": "momentum_percentile", + "cutoff": 90.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 17956.55, + "total_return_pct": 79.6, + "cagr_pct": 33.0, + "max_drawdown_pct": 13.1, + "sharpe": 1.54, + "trades": 115, + "win_rate": 33.0, + "avg_trade_pnl": 69.19, + "best_trade_r": 27.38, + "worst_trade_r": -2.29, + "best_trade_pnl": 3844.22, + "worst_trade_pnl": -299.04, + "avg_hold_days": 17.0, + "exit_reasons": { + "stop": 74, + "time": 41 + }, + "skipped_book_full": 0, + "spy_return_pct": 31.4, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 4.2 + }, + { + "year": 2023, + "return_pct": 36.5 + }, + { + "year": 2024, + "return_pct": 26.3 + } + ], + "start_date": "2022-07-20", + "end_date": "2024-08-07" + }, + { + "variant": 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"residual80_lowvol50_fixed10", + "label": "Residual 80 + low-vol 50 / max 10", + "ranking": "residual+low_vol_filter", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + }, + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 50.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 12551.21, + "total_return_pct": 25.5, + "cagr_pct": 12.8, + "max_drawdown_pct": 5.6, + "sharpe": 1.31, + "trades": 45, + "win_rate": 53.3, + "avg_trade_pnl": 56.69, + "best_trade_r": 4.49, + "worst_trade_r": -1.0, + "best_trade_pnl": 327.48, + "worst_trade_pnl": -97.6, + "avg_hold_days": 20.2, + "exit_reasons": { + "stop": 21, + "time": 24 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.7, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.9 + }, + { + "year": 2023, + "return_pct": 11.6 + }, + { + "year": 2024, + "return_pct": -0.4 + } + ], + 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Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." + }, + "exit_policy_variants": { + "variants": [ + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "hold", + "label": "80/20 entry + 30d hold / initial stop", + "description": "Baseline: keep the initial ATR stop and exit at 30 trading days.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 21703.77, + "total_return_pct": 117.0, + "cagr_pct": 44.9, + "max_drawdown_pct": 19.1, + "sharpe": 1.73, + "trades": 163, + "win_rate": 35.6, + "avg_trade_pnl": 71.8, + "best_trade_r": 27.38, + "worst_trade_r": -4.21, + "best_trade_pnl": 4285.65, + "worst_trade_pnl": -609.41, + "avg_hold_days": 16.4, + "exit_reasons": { + "stop": 102, + "time": 61 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": -0.4 + }, + { + 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"residual80_highvol_blend80_20_fixed10", + "exit_policy": "atr_trail3", + "label": "80/20 entry + 3x ATR trailing stop", + "description": "Trail the stop upward to highest close minus 3 ATR, evaluated from prior data.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 20750.75, + "total_return_pct": 107.5, + "cagr_pct": 41.8, + "max_drawdown_pct": 16.8, + "sharpe": 1.72, + "trades": 166, + "win_rate": 36.7, + "avg_trade_pnl": 64.76, + "best_trade_r": 27.38, + "worst_trade_r": -4.21, + "best_trade_pnl": 4328.43, + "worst_trade_pnl": -604.82, + "avg_hold_days": 15.0, + "exit_reasons": { + "stop": 79, + "time": 39, + "trailing_stop": 48 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 0.9 + }, + { + "year": 2023, + "return_pct": 63.0 + }, + { + "year": 2024, + "return_pct": 26.2 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + } + ], + "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." + }, + "portfolio_monitor": { + "production_strategy": "residual80_highvol80_20_atr3", + "strategies": [ + { + "strategy": "legacy_residual80_hold", + "label": "Legacy residual 80 + 30d hold", + "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_hold", + "label": "Residual/high-vol 80/20 + 30d hold", + "description": "Promoted entry candidate before adding the ATR trailing exit.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_atr3", + "label": "Production: residual/high-vol 80/20 + 3x ATR trail", + "description": "The live strategy: production activation gate and Admin exit policy as currently configured, 80/20 residual/high-vol rank.", + "is_production": true + } + ], + "lookbacks": [ + { + "lookback": "6m", + "label": "6 months" + }, + { + "lookback": "1y", + "label": "1 year" + }, + { + "lookback": "3y", + "label": "3 years" + }, + { + "lookback": "5y", + "label": "5 years" + }, + { + "lookback": "all", + "label": "All history" + } + ], + "runs": [ + { + "strategy": "legacy_residual80_hold", + "label": "Legacy residual 80 + 30d hold", + "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", + "is_production": false, + "entry_variant": "production_residual_80_fixed10", + "exit_policy": "hold", + "live_exit_mode": null, + "lookback": "3y", + "lookback_label": "3 years", + "starting_capital": 10000.0, + "final_equity": 13596.81, + "total_return_pct": 36.0, + "cagr_pct": 32.3, + "max_drawdown_pct": 22.3, + "sharpe": 1.3, + "trades": 85, + "win_rate": 30.6, + "avg_trade_pnl": 42.32, + "best_trade_r": 27.38, + "worst_trade_r": -5.16, + "best_trade_pnl": 2688.37, + "worst_trade_pnl": -345.41, + "avg_hold_days": 15.8, + "exit_reasons": { + "stop": 57, + "time": 28 + }, + 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"2024-06-25", + "direction": "long", + "qualified": false, + "meets_core": false, + "momentum_percentile": 99.444444, + "strategy_rank": 98.713107, + "rr": 1.219692, + "primary_prob": 24.26, + "primary_sources": [ + "volume_profile" + ], + "primary_strength": 5.0, + "primary_rejection_count": 7, + "primary_distance_atr": 1.829538, + "raw_level_count": 20, + "gate_level_count": 20, + "outcome": "stop_hit", + "net_r": -1.022515, + "hold30_r": -1.0 + }, + { + "symbol": "VST", + "date": "2024-06-25", + "direction": "long", + "qualified": false, + "meets_core": false, + "momentum_percentile": 99.222222, + "strategy_rank": 97.958881, + "rr": 0.865593, + "primary_prob": 34.96, + "primary_sources": [ + "volume_profile" + ], + "primary_strength": 7.0, + "primary_rejection_count": 10, + "primary_distance_atr": 1.298389, + "raw_level_count": 20, + "gate_level_count": 20, + "outcome": "target_hit", + "net_r": 0.841738, + "hold30_r": -1.0 + }, + { + "symbol": "WAB", + "date": "2024-06-25", + 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"qualified": false, + "meets_core": false, + "momentum_percentile": 88.0, + "strategy_rank": 72.608869, + "rr": 1.096957, + "primary_prob": 30.23, + "primary_sources": [ + "volume_profile" + ], + "primary_strength": 19.0, + "primary_rejection_count": 28, + "primary_distance_atr": 1.645435, + "raw_level_count": 20, + "gate_level_count": 20, + "outcome": "target_hit", + "net_r": 1.032187, + "hold30_r": -1.143666 + }, + { + "symbol": "WRB", + "date": "2024-06-25", + "direction": "long", + "qualified": false, + "meets_core": false, + "momentum_percentile": 88.666667, + "strategy_rank": 72.24405, + "rr": 1.555144, + "primary_prob": 18.63, + "primary_sources": [ + "volume_profile" + ], + "primary_strength": 12.0, + "primary_rejection_count": 18, + "primary_distance_atr": 2.332716, + "raw_level_count": 20, + "gate_level_count": 20, + "outcome": "stop_hit", + "net_r": -1.08326, + "hold30_r": -1.0 + }, + { + "symbol": "WSM", + "date": "2024-06-25", + "direction": "long", + "qualified": false, + "meets_core": false, + "momentum_percentile": 97.444444, + "strategy_rank": 96.581399, + "rr": 1.149151, + "primary_prob": 27.24, + "primary_sources": [ + "volume_profile" + ], + "primary_strength": 11.0, + "primary_rejection_count": 17, + "primary_distance_atr": 1.723726, + "raw_level_count": 20, + "gate_level_count": 20, + "outcome": "stop_hit", + "net_r": -1.029207, + "hold30_r": -1.0 + } + ], + "signal_eval": [ + { + "signal": "vol_6m", + "weeks": 39, + "avg_cross_section": 498.2, + "mean_ic": 0.0609, + "ic_t_stat": 1.48, + "ic_positive_pct": 64.1, + "mean_quintile_spread": 0.0337, + "reliable": true + }, + { + "signal": "mom_12_1_resid", + "weeks": 35, + "avg_cross_section": 497.7, + "mean_ic": 0.0552, + "ic_t_stat": 1.98, + "ic_positive_pct": 60.0, + "mean_quintile_spread": 0.0207, + "reliable": true + }, + { + "signal": "mom_12_1", + "weeks": 35, + "avg_cross_section": 497.7, + "mean_ic": 0.0531, + "ic_t_stat": 1.61, + "ic_positive_pct": 65.7, + "mean_quintile_spread": 0.0206, + "reliable": true + }, + { + "signal": "trend_200", + "weeks": 37, + "avg_cross_section": 497.9, + "mean_ic": 0.0161, + "ic_t_stat": 0.44, + "ic_positive_pct": 59.5, + "mean_quintile_spread": 0.006, + "reliable": true + }, + { + "signal": "reversal_1m", + "weeks": 43, + "avg_cross_section": 498.7, + "mean_ic": 0.0059, + "ic_t_stat": 0.22, + "ic_positive_pct": 53.5, + "mean_quintile_spread": 0.0053, + "reliable": true + }, + { + "signal": "mom_6_1", + "weeks": 39, + "avg_cross_section": 498.2, + "mean_ic": 0.0051, + "ic_t_stat": 0.21, + "ic_positive_pct": 56.4, + "mean_quintile_spread": 0.0087, + "reliable": true + }, + { + "signal": "mom_3_1", + "weeks": 42, + "avg_cross_section": 498.5, + "mean_ic": -0.0064, + "ic_t_stat": -0.25, + "ic_positive_pct": 50.0, + "mean_quintile_spread": 0.0046, + "reliable": true + }, + { + "signal": "high_52w", + "weeks": 35, + "avg_cross_section": 497.7, + "mean_ic": -0.0086, + "ic_t_stat": -0.26, + "ic_positive_pct": 54.3, + "mean_quintile_spread": -0.0088, + "reliable": true + } + ], + "signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).", + "note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.", + "recommendation": { + "headline": "Production baseline: residual/high-vol 80/20 entry rank with a 3x ATR trailing exit and 30-trading-day max hold.", + "items": [ + { + "topic": "production", + "text": "Production monitor (All history): +41.8% CAGR, Sharpe 1.72, max drawdown -16.8%." + }, + { + "topic": "exit", + "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.59R net/trade vs +0.27R for the S/R target exit). The simulated book agrees: +44.8% vs +23.2% CAGR at similar drawdown." + }, + { + "topic": "gate", + "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs -0.04R/trade and adds 27 trades." + }, + { + "topic": "gate", + "text": "Gate: keep the R:R floor (worth +0.26R/trade under the hold exit)." + }, + { + "topic": "gate", + "text": "Gate: the NEUTRAL exclusion adds nothing \u2014 dropping it costs -0.05R/trade and adds 196 trades." + }, + { + "topic": "cutoff", + "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.34R over 253 setups)." + }, + { + "topic": "benchmark", + "text": "Book vs SPY: beats buy-and-hold by +81.5 points (+116.8% vs +35.3%), max drawdown \u221217.5%." + }, + { + "topic": "robustness", + "text": "Robustness: expectancy survives removing the top 5% of winners (+0.17R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." + } + ], + "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." + }, + "research_recommendation": { + "items": [ + { + "topic": "capacity_15", + "candidate": false, + "text": "Max-15 capacity is not needed yet: Sharpe 1.76 vs 1.76, CAGR +44.8% vs +44.8%, skipped 0 vs 0." + }, + { + "topic": "cutoff_90", + "candidate": false, + "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.54 vs 1.76, drawdown 13.1% vs 17.5%, CAGR +33.0% vs +44.8%." + }, + { + "topic": "low_vol_overlay", + "candidate": false, + "text": "Low-vol overlay stays research-only: Residual 80 + low-vol 70 / max 10 Sharpe 1.67 vs 1.76, drawdown 5.1% vs 17.5%, CAGR +15.1% vs +44.8%." + }, + { + "topic": "high_vol_overlay", + "candidate": false, + "text": "High-vol overlay stays research-only: Residual 80 + high-vol 80/20 blend / max 10 Sharpe 1.73 vs 1.76, drawdown 19.1% vs 17.5%, CAGR +44.9% vs +44.8%." + } + ], + "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." + } +} diff --git a/reports/backtest-sr-traffic-train-production_control.json b/reports/backtest-sr-traffic-train-production_control.json new file mode 100644 index 0000000..48294dc --- /dev/null +++ b/reports/backtest-sr-traffic-train-production_control.json @@ -0,0 +1,224095 @@ +{ + "generated_at": "2026-07-12T21:42:24.573631+00:00", + "tickers": 506, + "candidates": 119231, + "qualified": 676, + "params": { + "step_days": 5, + "horizon_days": 30, + "min_lookback": 60, + "cost_per_side_pct": 0.1, + "sr_variant": "production_control", + "entry_start": null, + "entry_end": "2024-06-30" + }, + "activation": { + "min_momentum_percentile": 80.0, + "min_rr": 2.0, + "min_confidence": 0.0, + "require_high_conviction": false, + "exclude_conflicts": false, + "exclude_neutral": true + }, + "overall_qualified": { + "total": 676, + "wins": 234, + "losses": 362, + "expired": 80, + "hit_rate": 39.3, + "avg_r": 0.277, + "total_r": 186.93, + "net_avg_r": 0.23, + "net_total_r": 155.15, + "best_r": 8.85, + "worst_r": -3.38, + "avg_hold_days": 12.3, + "net_r_per_day": 0.0186, + "median_net_r": -1.029, + "profit_factor": 1.39, + "net_avg_r_ex_top5": 0.066 + }, + "overall_all": { + "total": 119231, + "wins": 49004, + "losses": 66732, + "expired": 3495, + "hit_rate": 42.3, + "avg_r": -0.028, + "total_r": -3344.14, + "net_avg_r": -0.083, + "net_total_r": -9875.37, + "best_r": 9.19, + "worst_r": -9.25, + "avg_hold_days": 8.1, + "net_r_per_day": -0.0102, + "median_net_r": -1.035, + "profit_factor": 0.87, + "net_avg_r_ex_top5": -0.207 + }, + "by_direction": { + "long": { + "total": 676, + "wins": 234, + "losses": 362, + "expired": 80, + "hit_rate": 39.3, + "avg_r": 0.277, + "total_r": 186.93, + "net_avg_r": 0.23, + "net_total_r": 155.15, + "best_r": 8.85, + "worst_r": -3.38, + "avg_hold_days": 12.3, + "net_r_per_day": 0.0186, + "median_net_r": -1.029, + "profit_factor": 1.39, + "net_avg_r_ex_top5": 0.066 + }, + "short": { + "total": 0, + "wins": 0, + "losses": 0, + "expired": 0, + "hit_rate": null, + "avg_r": null, + "total_r": null, + "net_avg_r": null, + "net_total_r": null, + "best_r": null, + "worst_r": null, + "avg_hold_days": null, + "net_r_per_day": null, + "median_net_r": null, + "profit_factor": null, + "net_avg_r_ex_top5": null + } + }, + "min_momentum_percentile": 80.0, + "sweep": [ + { + "min_momentum_percentile": 90.0, + "total": 305, + "wins": 107, + "losses": 166, + "expired": 32, + "hit_rate": 39.2, + "avg_r": 0.284, + "total_r": 86.56, + "net_avg_r": 0.241, + "net_total_r": 73.57, + "best_r": 8.85, + "worst_r": -3.38, + "avg_hold_days": 12.0, + "net_r_per_day": 0.02, + "median_net_r": -1.028, + "profit_factor": 1.4, + "net_avg_r_ex_top5": 0.059 + }, + { + "min_momentum_percentile": 80.0, + "total": 676, + "wins": 234, + "losses": 362, + "expired": 80, + "hit_rate": 39.3, + "avg_r": 0.277, + "total_r": 186.93, + "net_avg_r": 0.23, + "net_total_r": 155.15, + "best_r": 8.85, + "worst_r": -3.38, + "avg_hold_days": 12.3, + "net_r_per_day": 0.0186, + "median_net_r": -1.029, + "profit_factor": 1.39, + "net_avg_r_ex_top5": 0.066 + }, + { + "min_momentum_percentile": 70.0, + "total": 1146, + "wins": 378, + "losses": 646, + "expired": 122, + "hit_rate": 36.9, + "avg_r": 0.189, + "total_r": 216.24, + "net_avg_r": 0.14, + "net_total_r": 160.09, + "best_r": 8.85, + "worst_r": -4.21, + "avg_hold_days": 12.2, + "net_r_per_day": 0.0115, + "median_net_r": -1.036, + "profit_factor": 1.22, + "net_avg_r_ex_top5": -0.022 + }, + { + "min_momentum_percentile": 60.0, + "total": 1706, + "wins": 561, + "losses": 963, + "expired": 182, + "hit_rate": 36.8, + "avg_r": 0.182, + "total_r": 311.16, + "net_avg_r": 0.132, + "net_total_r": 225.15, + "best_r": 8.85, + "worst_r": -4.21, + "avg_hold_days": 12.3, + "net_r_per_day": 0.0107, + "median_net_r": -1.038, + "profit_factor": 1.21, + "net_avg_r_ex_top5": -0.023 + }, + { + "min_momentum_percentile": 50.0, + "total": 2344, + "wins": 745, + "losses": 1348, + "expired": 251, + "hit_rate": 35.6, + "avg_r": 0.142, + "total_r": 333.97, + "net_avg_r": 0.091, + "net_total_r": 213.96, + "best_r": 8.85, + "worst_r": -4.21, + "avg_hold_days": 12.4, + "net_r_per_day": 0.0074, + "median_net_r": -1.04, + "profit_factor": 1.14, + "net_avg_r_ex_top5": -0.061 + }, + { + "min_momentum_percentile": 0.0, + "total": 8325, + "wins": 2194, + "losses": 5254, + "expired": 877, + "hit_rate": 29.5, + "avg_r": -0.034, + "total_r": -283.11, + "net_avg_r": -0.084, + "net_total_r": -699.94, + "best_r": 9.19, + "worst_r": -6.19, + "avg_hold_days": 12.2, + "net_r_per_day": -0.0069, + "median_net_r": -1.043, + "profit_factor": 0.88, + "net_avg_r_ex_top5": -0.243 + } + ], + "gate_ablation": [ + { + "variant": "all_floors", + "total": 676, + "wins": 234, + "losses": 362, + "expired": 80, + "hit_rate": 39.3, + "avg_r": 0.277, + "total_r": 186.93, + "net_avg_r": 0.23, + "net_total_r": 155.15, + "best_r": 8.85, + "worst_r": -3.38, + "avg_hold_days": 12.3, + "net_r_per_day": 0.0186, + "median_net_r": -1.029, + "profit_factor": 1.39, + "net_avg_r_ex_top5": 0.066, + "hold_days": 30, + "hold_avg_r": 0.627, + "hold_net_avg_r": 0.58, + "hold_total_r": 424.09 + }, + { + "variant": "no_confidence_floor", + "total": 677, + "wins": 234, + "losses": 363, + "expired": 80, + "hit_rate": 39.2, + "avg_r": 0.274, + "total_r": 185.73, + "net_avg_r": 0.227, + "net_total_r": 153.91, + "best_r": 8.85, + "worst_r": -3.38, + "avg_hold_days": 12.3, + "net_r_per_day": 0.0185, + "median_net_r": -1.029, + "profit_factor": 1.38, + "net_avg_r_ex_top5": 0.064, + "hold_days": 30, + "hold_avg_r": 0.625, + "hold_net_avg_r": 0.578, + "hold_total_r": 422.88 + }, + { + "variant": "no_rr_floor", + "total": 3749, + "wins": 1735, + "losses": 1896, + "expired": 118, + "hit_rate": 47.8, + "avg_r": 0.128, + "total_r": 479.33, + "net_avg_r": 0.076, + "net_total_r": 283.84, + "best_r": 8.85, + "worst_r": -5.16, + "avg_hold_days": 8.1, + "net_r_per_day": 0.0093, + "median_net_r": -1.019, + "profit_factor": 1.13, + "net_avg_r_ex_top5": -0.05, + "hold_days": 30, + "hold_avg_r": 0.379, + "hold_net_avg_r": 0.327, + "hold_total_r": 1421.65 + }, + { + "variant": "no_neutral_exclusion", + "total": 1505, + "wins": 495, + "losses": 835, + "expired": 175, + "hit_rate": 37.2, + "avg_r": 0.2, + "total_r": 300.96, + "net_avg_r": 0.153, + "net_total_r": 230.52, + "best_r": 8.85, + "worst_r": -3.38, + "avg_hold_days": 12.8, + "net_r_per_day": 0.012, + "median_net_r": -1.032, + "profit_factor": 1.25, + "net_avg_r_ex_top5": 0.0, + "hold_days": 30, + "hold_avg_r": 0.618, + "hold_net_avg_r": 0.572, + "hold_total_r": 930.67 + }, + { + "variant": "momentum_only", + "total": 7625, + "wins": 3403, + "losses": 3932, + "expired": 290, + "hit_rate": 46.4, + "avg_r": 0.12, + "total_r": 911.54, + "net_avg_r": 0.069, + "net_total_r": 523.68, + "best_r": 8.85, + "worst_r": -5.16, + "avg_hold_days": 8.8, + "net_r_per_day": 0.0078, + "median_net_r": -1.024, + "profit_factor": 1.12, + "net_avg_r_ex_top5": -0.055, + "hold_days": 30, + "hold_avg_r": 0.42, + "hold_net_avg_r": 0.369, + "hold_total_r": 3203.24 + } + ], + "gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", + "time_exit_sweep": [ + { + "hold_days": 5, + "total": 676, + "wins": 380, + "win_rate": 56.2, + "avg_r": 0.172, + "total_r": 116.34, + "net_avg_r": 0.125, + "net_total_r": 84.56, + "best_r": 3.58, + "worst_r": -1.61, + "avg_hold_days": 4.5, + "net_r_per_day": 0.0277, + "median_net_r": 0.127, + "profit_factor": 1.37, + "net_avg_r_ex_top5": 0.005 + }, + { + "hold_days": 10, + "total": 676, + "wins": 349, + "win_rate": 51.6, + "avg_r": 0.357, + "total_r": 241.49, + "net_avg_r": 0.31, + "net_total_r": 209.7, + "best_r": 5.85, + "worst_r": -1.61, + "avg_hold_days": 7.9, + "net_r_per_day": 0.0392, + "median_net_r": 0.011, + "profit_factor": 1.68, + "net_avg_r_ex_top5": 0.126 + }, + { + "hold_days": 21, + "total": 676, + "wins": 307, + "win_rate": 45.4, + "avg_r": 0.542, + "total_r": 366.34, + "net_avg_r": 0.495, + "net_total_r": 334.56, + "best_r": 9.86, + "worst_r": -3.38, + "avg_hold_days": 13.8, + "net_r_per_day": 0.0358, + "median_net_r": -1.026, + "profit_factor": 1.86, + "net_avg_r_ex_top5": 0.221 + }, + { + "hold_days": 30, + "total": 676, + "wins": 275, + "win_rate": 40.7, + "avg_r": 0.627, + "total_r": 424.09, + "net_avg_r": 0.58, + "net_total_r": 392.31, + "best_r": 11.51, + "worst_r": -3.38, + "avg_hold_days": 18.0, + "net_r_per_day": 0.0323, + "median_net_r": -1.033, + "profit_factor": 1.91, + "net_avg_r_ex_top5": 0.218 + } + ], + "portfolio_sim": { + "params": { + "starting_capital": 10000.0, + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "notional_cap_pct": 20.0, + "cost_per_side_pct": 0.1, + "hold_days": 30 + }, + "policies": [ + { + "policy": "target", + "starting_capital": 10000.0, + "final_equity": 16177.86, + "total_return_pct": 61.8, + "cagr_pct": 25.9, + "max_drawdown_pct": 22.5, + "sharpe": 1.3, + "trades": 220, + "win_rate": 40.9, + "avg_trade_pnl": 28.08, + "best_trade_r": 8.85, + "worst_trade_r": -1.86, + "best_trade_pnl": 990.78, + "worst_trade_pnl": -184.37, + "avg_hold_days": 11.3, + "exit_reasons": { + "stop": 125, + "target": 76, + "time": 19 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 9.5 + }, + { + "year": 2023, + "return_pct": 5.2 + }, + { + "year": 2024, + "return_pct": 40.4 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "policy": "hold", + "starting_capital": 10000.0, + "final_equity": 19629.47, + "total_return_pct": 96.3, + "cagr_pct": 38.1, + "max_drawdown_pct": 18.8, + "sharpe": 1.6, + "trades": 163, + "win_rate": 35.6, + "avg_trade_pnl": 59.08, + "best_trade_r": 10.81, + "worst_trade_r": -1.52, + "best_trade_pnl": 1387.26, + "worst_trade_pnl": -209.62, + "avg_hold_days": 15.9, + "exit_reasons": { + "stop": 102, + "time": 61 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 6.7 + }, + { + "year": 2023, + "return_pct": 42.5 + }, + { + "year": 2024, + "return_pct": 29.1 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + } + ], + "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." + }, + "strategy_variants": { + "variants": [ + { + "variant": "production_residual_80_fixed10", + "label": "Production residual 80 / max 10", + "ranking": "residual", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 19629.47, + "total_return_pct": 96.3, + "cagr_pct": 38.1, + "max_drawdown_pct": 18.8, + "sharpe": 1.6, + "trades": 163, + "win_rate": 35.6, + "avg_trade_pnl": 59.08, + "best_trade_r": 10.81, + "worst_trade_r": -1.52, + "best_trade_pnl": 1387.26, + "worst_trade_pnl": -209.62, + "avg_hold_days": 15.9, + "exit_reasons": { + "stop": 102, + "time": 61 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 6.7 + }, + { + "year": 2023, + "return_pct": 42.5 + }, + { + "year": 2024, + "return_pct": 29.1 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "legacy_raw_80_fixed10", + "label": "Legacy raw 80 / max 10", + "ranking": "raw", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 14424.99, + "total_return_pct": 44.2, + "cagr_pct": 19.0, + "max_drawdown_pct": 16.8, + "sharpe": 0.92, + "trades": 161, + "win_rate": 32.3, + "avg_trade_pnl": 27.48, + "best_trade_r": 10.81, + "worst_trade_r": -4.21, + "best_trade_pnl": 967.66, + "worst_trade_pnl": -224.29, + "avg_hold_days": 15.9, + "exit_reasons": { + "stop": 106, + "time": 55 + }, + "skipped_book_full": 0, + "spy_return_pct": 36.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 7.3 + }, + { + "year": 2023, + "return_pct": 6.9 + }, + { + "year": 2024, + "return_pct": 25.8 + } + ], + "start_date": "2022-06-28", + "end_date": "2024-08-07" + }, + { + "variant": "raw_90_fixed10", + "label": "Raw 90 / max 10", + "ranking": "raw", + "cutoff": 90.0, + "filters": [ + { + "percentile_key": "momentum_percentile", + "cutoff": 90.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 15465.77, + "total_return_pct": 54.7, + "cagr_pct": 23.5, + "max_drawdown_pct": 13.9, + "sharpe": 1.21, + "trades": 118, + "win_rate": 33.1, + "avg_trade_pnl": 46.32, + "best_trade_r": 10.81, + "worst_trade_r": -2.13, + "best_trade_pnl": 1185.91, + "worst_trade_pnl": -167.94, + "avg_hold_days": 15.4, + "exit_reasons": { + "stop": 77, + "time": 41 + }, + "skipped_book_full": 0, + "spy_return_pct": 41.4, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 7.6 + }, + { + "year": 2023, + "return_pct": 20.6 + }, + { + "year": 2024, + "return_pct": 19.1 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-07-30" + }, + { + "variant": "residual_80_fixed15", + "label": "Residual 80 / max 15 capacity check", + "ranking": "residual", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 15, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 19629.47, + "total_return_pct": 96.3, + "cagr_pct": 38.1, + "max_drawdown_pct": 18.8, + "sharpe": 1.6, + "trades": 163, + "win_rate": 35.6, + "avg_trade_pnl": 59.08, + "best_trade_r": 10.81, + "worst_trade_r": -1.52, + "best_trade_pnl": 1387.26, + "worst_trade_pnl": -209.62, + "avg_hold_days": 15.9, + "exit_reasons": { + "stop": 102, + "time": 61 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 6.7 + }, + { + "year": 2023, + "return_pct": 42.5 + }, + { + "year": 2024, + "return_pct": 29.1 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "variant": "residual80_lowvol50_fixed10", + "label": "Residual 80 + low-vol 50 / max 10", + "ranking": "residual+low_vol_filter", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + }, + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 50.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 14264.89, + "total_return_pct": 42.6, + "cagr_pct": 20.0, + "max_drawdown_pct": 6.0, + "sharpe": 1.98, + "trades": 58, + "win_rate": 56.9, + "avg_trade_pnl": 73.53, + "best_trade_r": 5.34, + "worst_trade_r": -1.0, + "best_trade_pnl": 430.75, + "worst_trade_pnl": -101.0, + "avg_hold_days": 20.9, + "exit_reasons": { + "stop": 25, + "time": 33 + }, + "skipped_book_full": 0, + "spy_return_pct": 43.8, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 12.0 + }, + { + "year": 2023, + "return_pct": 20.8 + }, + { + "year": 2024, + "return_pct": 5.5 + } + ], + "start_date": "2022-07-13", + "end_date": "2024-06-25" + }, + { + "variant": "residual80_lowvol70_fixed10", + "label": "Residual 80 + low-vol 70 / max 10", + "ranking": "residual+low_vol_filter", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "activation_momentum_percentile", + "cutoff": 80.0 + }, + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 70.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 12892.95, + "total_return_pct": 28.9, + "cagr_pct": 13.9, + "max_drawdown_pct": 4.7, + "sharpe": 1.88, + "trades": 33, + "win_rate": 60.6, + "avg_trade_pnl": 87.67, + "best_trade_r": 5.34, + "worst_trade_r": -1.16, + "best_trade_pnl": 432.82, + "worst_trade_pnl": -93.42, + "avg_hold_days": 21.9, + "exit_reasons": { + "stop": 13, + "time": 20 + }, + "skipped_book_full": 0, + "spy_return_pct": 43.8, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 11.3 + }, + { + "year": 2023, + 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-3.23, + "best_trade_pnl": 1210.21, + "worst_trade_pnl": -311.67, + "avg_hold_days": 15.7, + "exit_reasons": { + "stop": 185, + "time": 98 + }, + "skipped_book_full": 395, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -0.7 + }, + { + "year": 2022, + "return_pct": -26.2 + }, + { + "year": 2023, + "return_pct": 83.7 + }, + { + "year": 2024, + "return_pct": 14.3 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "highvol80_fixed10", + "label": "High-vol 80 / max 10", + "ranking": "high_vol", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 15672.12, + "total_return_pct": 56.7, + "cagr_pct": 18.8, + "max_drawdown_pct": 37.3, + "sharpe": 0.73, + "trades": 280, + "win_rate": 31.1, + "avg_trade_pnl": 20.26, + "best_trade_r": 9.82, + "worst_trade_r": -3.23, + "best_trade_pnl": 1255.05, + "worst_trade_pnl": -323.21, + "avg_hold_days": 15.7, + "exit_reasons": { + "stop": 183, + "time": 97 + }, + "skipped_book_full": 224, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -0.7 + }, + { + "year": 2022, + "return_pct": -23.4 + }, + { + "year": 2023, + "return_pct": 83.7 + }, + { + "year": 2024, + "return_pct": 12.3 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "highvol90_fixed10", + "label": "High-vol 90 / max 10", + "ranking": "high_vol", + "cutoff": 90.0, + "filters": [ + { + "percentile_key": "vol_6m_percentile", + "cutoff": 90.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 15629.16, + "total_return_pct": 56.3, + "cagr_pct": 18.7, + "max_drawdown_pct": 35.7, + "sharpe": 0.73, + "trades": 254, + "win_rate": 31.1, + "avg_trade_pnl": 22.16, + "best_trade_r": 9.82, + "worst_trade_r": -3.23, + "best_trade_pnl": 1148.35, + "worst_trade_pnl": -328.32, + "avg_hold_days": 15.8, + "exit_reasons": { + "stop": 166, + "time": 88 + }, + "skipped_book_full": 100, + "spy_return_pct": 8.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": -1.3 + }, + { + "year": 2022, + "return_pct": -26.2 + }, + { + "year": 2023, + "return_pct": 103.2 + }, + { + "year": 2024, + "return_pct": 5.6 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-08-07" + }, + { + "variant": "lowvol80_fixed10", + "label": "Low-vol 80 / max 10", + "ranking": "low_vol", + "cutoff": 80.0, + "filters": [ + { + "percentile_key": "low_vol_6m_percentile", + "cutoff": 80.0 + } + ], + "max_positions": 10, + "risk_per_trade_pct": 1.0, + "risk_scale": null, + "starting_capital": 10000.0, + "final_equity": 11431.59, + "total_return_pct": 14.3, + "cagr_pct": 5.4, + "max_drawdown_pct": 14.3, + "sharpe": 0.51, + "trades": 127, + "win_rate": 34.6, + "avg_trade_pnl": 11.27, + "best_trade_r": 8.89, + "worst_trade_r": -2.77, + "best_trade_pnl": 621.88, + "worst_trade_pnl": -195.69, + "avg_hold_days": 16.7, + "exit_reasons": { + "stop": 79, + "time": 48 + }, + "skipped_book_full": 0, + "spy_return_pct": 16.8, + "yearly_returns": [ + { + "year": 2021, + "return_pct": 0.3 + }, + { + "year": 2022, + "return_pct": 14.9 + }, + { + "year": 2023, + "return_pct": -2.4 + }, + { + "year": 2024, + "return_pct": 1.7 + } + ], + "start_date": "2021-12-28", + "end_date": "2024-07-17" + } + ], + "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." + }, + "exit_policy_variants": { + "variants": [ + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "hold", + "label": "80/20 entry + 30d hold / initial stop", + "description": "Baseline: keep the initial ATR stop and exit at 30 trading days.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 19189.02, + "total_return_pct": 91.9, + "cagr_pct": 36.6, + "max_drawdown_pct": 22.0, + "sharpe": 1.5, + "trades": 168, + "win_rate": 33.9, + "avg_trade_pnl": 54.7, + "best_trade_r": 9.36, + "worst_trade_r": -1.35, + "best_trade_pnl": 1244.84, + "worst_trade_pnl": -213.09, + "avg_hold_days": 15.7, + "exit_reasons": { + "stop": 108, + "time": 60 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.2 + }, + { + "year": 2023, + "return_pct": 41.6 + }, + { + "year": 2024, + "return_pct": 23.0 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "sma50", + "label": "80/20 entry + SMA50 break", + "description": "Exit at the close when price closes below its 50-day SMA.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 14800.75, + "total_return_pct": 48.0, + "cagr_pct": 20.6, + "max_drawdown_pct": 24.0, + "sharpe": 1.01, + "trades": 213, + "win_rate": 30.0, + "avg_trade_pnl": 22.54, + "best_trade_r": 10.81, + "worst_trade_r": -1.24, + "best_trade_pnl": 907.0, + "worst_trade_pnl": -152.19, + "avg_hold_days": 11.8, + "exit_reasons": { + "sma50": 81, + "stop": 81, + "time": 51 + }, + "skipped_book_full": 4, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": -5.2 + }, + { + "year": 2023, + "return_pct": 18.7 + }, + { + "year": 2024, + "return_pct": 31.7 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "low20", + "label": "80/20 entry + 20-day low break", + "description": "Exit at the close when price closes below the prior 20-day low.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 19132.09, + "total_return_pct": 91.3, + "cagr_pct": 36.4, + "max_drawdown_pct": 21.6, + "sharpe": 1.5, + "trades": 169, + "win_rate": 33.1, + "avg_trade_pnl": 54.04, + "best_trade_r": 10.81, + "worst_trade_r": -1.35, + "best_trade_pnl": 1234.95, + "worst_trade_pnl": -212.39, + "avg_hold_days": 15.4, + "exit_reasons": { + "low20": 8, + "stop": 106, + "time": 55 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.4 + }, + { + "year": 2023, + "return_pct": 40.3 + }, + { + "year": 2024, + "return_pct": 23.6 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "technical40", + "label": "80/20 entry + technical score < 40", + "description": "Exit at the close when the price-derived technical score deteriorates below 40.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 19189.02, + "total_return_pct": 91.9, + "cagr_pct": 36.6, + "max_drawdown_pct": 22.0, + "sharpe": 1.5, + "trades": 168, + "win_rate": 33.9, + "avg_trade_pnl": 54.7, + "best_trade_r": 9.36, + "worst_trade_r": -1.35, + "best_trade_pnl": 1244.84, + "worst_trade_pnl": -213.09, + "avg_hold_days": 15.7, + "exit_reasons": { + "stop": 108, + "time": 60 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 10.2 + }, + { + "year": 2023, + "return_pct": 41.6 + }, + { + "year": 2024, + "return_pct": 23.0 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + }, + { + "entry_variant": "residual80_highvol_blend80_20_fixed10", + "exit_policy": "atr_trail3", + "label": "80/20 entry + 3x ATR trailing stop", + "description": "Trail the stop upward to highest close minus 3 ATR, evaluated from prior data.", + "hold_days": 30, + "starting_capital": 10000.0, + "final_equity": 16960.9, + "total_return_pct": 69.6, + "cagr_pct": 28.8, + "max_drawdown_pct": 21.4, + "sharpe": 1.28, + "trades": 175, + "win_rate": 33.7, + "avg_trade_pnl": 39.78, + "best_trade_r": 9.36, + "worst_trade_r": -3.26, + "best_trade_pnl": 1044.28, + "worst_trade_pnl": -332.18, + "avg_hold_days": 14.2, + "exit_reasons": { + "stop": 86, + "time": 39, + "trailing_stop": 50 + }, + "skipped_book_full": 0, + "spy_return_pct": 35.3, + "yearly_returns": [ + { + "year": 2022, + "return_pct": 8.1 + }, + { + "year": 2023, + "return_pct": 42.0 + }, + { + "year": 2024, + "return_pct": 10.5 + } + ], + "start_date": "2022-07-06", + "end_date": "2024-08-07" + } + ], + "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." + }, + "portfolio_monitor": { + "production_strategy": "residual80_highvol80_20_atr3", + "strategies": [ + { + "strategy": "legacy_residual80_hold", + "label": "Legacy residual 80 + 30d hold", + "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_hold", + "label": "Residual/high-vol 80/20 + 30d hold", + "description": "Promoted entry candidate before adding the ATR trailing exit.", + "is_production": false + }, + { + "strategy": "residual80_highvol80_20_atr3", + "label": "Production: residual/high-vol 80/20 + 3x ATR trail", + "description": "The live strategy: production activation gate and Admin exit policy as currently configured, 80/20 residual/high-vol rank.", + "is_production": true + } + ], + "lookbacks": [ + { + "lookback": "6m", + "label": "6 months" + }, + { + "lookback": "1y", + "label": "1 year" + }, + { + "lookback": "3y", + "label": "3 years" + }, + { + "lookback": "5y", + "label": "5 years" + }, + { + "lookback": "all", + "label": "All history" + } + ], + "runs": [ + { + "strategy": "legacy_residual80_hold", + "label": "Legacy residual 80 + 30d hold", + "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", + "is_production": false, + "entry_variant": "production_residual_80_fixed10", + "exit_policy": "hold", + "live_exit_mode": null, + "lookback": "3y", + "lookback_label": "3 years", + "starting_capital": 10000.0, + "final_equity": 14463.36, + "total_return_pct": 44.6, + "cagr_pct": 40.0, + "max_drawdown_pct": 16.4, + "sharpe": 1.59, + "trades": 72, + "win_rate": 38.9, + "avg_trade_pnl": 61.99, + "best_trade_r": 10.81, + "worst_trade_r": -1.22, + "best_trade_pnl": 1022.16, + "worst_trade_pnl": -154.45, + "avg_hold_days": 18.7, + "exit_reasons": { + "stop": 40, + "time": 32 + }, + 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"ic_positive_pct": 54.3, + "mean_quintile_spread": -0.0088, + "reliable": true + } + ], + "signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).", + "note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.", + "recommendation": { + "headline": "Production baseline: residual/high-vol 80/20 entry rank with a 3x ATR trailing exit and 30-trading-day max hold.", + "items": [ + { + "topic": "production", + "text": "Production monitor (All history): +28.8% CAGR, Sharpe 1.28, max drawdown -21.4%." + }, + { + "topic": "exit", + "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.58R net/trade vs +0.23R for the S/R target exit). The simulated book agrees: +38.1% vs +25.9% CAGR at similar drawdown." + }, + { + "topic": "gate", + "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.00R/trade and adds 1 trades." + }, + { + "topic": "gate", + "text": "Gate: keep the R:R floor (worth +0.25R/trade under the hold exit)." + }, + { + "topic": "gate", + "text": "Gate: the NEUTRAL exclusion adds nothing \u2014 dropping it costs +0.01R/trade and adds 829 trades." + }, + { + "topic": "cutoff", + "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.24R over 305 setups)." + }, + { + "topic": "benchmark", + "text": "Book vs SPY: beats buy-and-hold by +61.0 points (+96.3% vs +35.3%), max drawdown \u221218.8%." + }, + { + "topic": "robustness", + "text": "Robustness: expectancy survives removing the top 5% of winners (+0.22R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." + } + ], + "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." + }, + "research_recommendation": { + "items": [ + { + "topic": "capacity_15", + "candidate": false, + "text": "Max-15 capacity is not needed yet: Sharpe 1.60 vs 1.60, CAGR +38.1% vs +38.1%, skipped 0 vs 0." + }, + { + "topic": "cutoff_90", + "candidate": false, + "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.21 vs 1.60, drawdown 13.9% vs 18.8%, CAGR +23.5% vs +38.1%." + }, + { + "topic": "low_vol_overlay", + "candidate": false, + "text": "Low-vol overlay stays research-only: Residual 80 + low-vol 50 / max 10 Sharpe 1.98 vs 1.60, drawdown 6.0% vs 18.8%, CAGR +20.0% vs +38.1%." + }, + { + "topic": "high_vol_overlay", + "candidate": false, + "text": "High-vol overlay stays research-only: Residual 80 + high-vol 60/40 blend / max 10 Sharpe 1.66 vs 1.60, drawdown 19.4% vs 18.8%, CAGR +41.2% vs +38.1%." + } + ], + "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." + } +}