done
This commit is contained in:
Dennis Thiessen
@@ -1,6 +1,6 @@
|
||||
# Broad-universe fip_id IC research (Phase B)
|
||||
|
||||
Generated: 2026-07-18T19:48:28.127710
|
||||
Generated: 2026-07-18T21:14:40.170961
|
||||
|
||||
## Scope
|
||||
|
||||
@@ -22,33 +22,25 @@ Generated: 2026-07-18T19:48:28.127710
|
||||
|
||||
## Liquid-breadth signal_eval (fip_id)
|
||||
|
||||
**Not run yet in this environment** (no Alpaca credentials to build
|
||||
`backtest_snapshots/research.sqlite`). Local machine with keys:
|
||||
|
||||
```bash
|
||||
python scripts/extend_snapshot_universe.py --force-copy
|
||||
python scripts/run_fip_breadth_research.py --skip-fingerprint --allow-spawn --workers 6
|
||||
```
|
||||
|
||||
(`--skip-fingerprint` only after a green fingerprint on this machine.)
|
||||
|
||||
| metric | value |
|
||||
|---|---|
|
||||
| mean_ic | _pending_ |
|
||||
| ic_t_stat | _pending_ |
|
||||
| weeks | _pending_ |
|
||||
| avg_cross_section | _pending_ |
|
||||
| reliable | _pending_ |
|
||||
| mean_ic | 0.0575 |
|
||||
| ic_t_stat | 5.12 |
|
||||
| ic_positive_pct | 88.6 |
|
||||
| weeks | 35 |
|
||||
| avg_cross_section | 1471.2 |
|
||||
| reliable | True |
|
||||
| mean_quintile_spread | 0.0199 |
|
||||
|
||||
## Verdict (iron rule)
|
||||
|
||||
- **Fingerprint:** green (IC −0.045 / t −2.91 / reliable / 35 weeks).
|
||||
- **Breadth iron rule:** **pending** until research.sqlite run completes.
|
||||
- Green breadth would authorize a **follow-up proposal** only (two-tier universe /
|
||||
gate revalidation) — **not** production wire-in.
|
||||
- **Green: False**
|
||||
- iron rule not met on liquid-breadth cross-section
|
||||
- Checks: `{"mean_ic": 0.0575, "abs_mean_ic_ge_0_03": true, "sign_negative": false, "ic_t_stat": 5.12, "reliable": true, "weeks": 35, "avg_cross_section": 1471.2}`
|
||||
|
||||
A green verdict authorizes a **follow-up proposal** only (two-tier universe / gate revalidation) — **not** production wire-in.
|
||||
|
||||
## Artifacts
|
||||
|
||||
- Fingerprint report: `reports/fip-breadth-20260718-194828-fingerprint.json`
|
||||
(and summary `reports/fip-breadth-20260718-194828.json`)
|
||||
- Breadth report: _pending_
|
||||
- Fingerprint report: `reports/fip-breadth-20260718-211440-fingerprint.json`
|
||||
- Breadth report: `reports/fip-breadth-20260718-211440-breadth.json`
|
||||
|
||||
@@ -0,0 +1,596 @@
|
||||
{
|
||||
"generated_at": "2026-07-18T19:23:17.726528+00:00",
|
||||
"tickers": 4650,
|
||||
"rank_only_tickers": 4144,
|
||||
"candidates": 202769,
|
||||
"qualified": 1086,
|
||||
"params": {
|
||||
"step_days": 5,
|
||||
"step_sessions": 5,
|
||||
"entry_cadence": "weekly",
|
||||
"signal_eval_cadence": "weekly",
|
||||
"horizon_days": 30,
|
||||
"min_lookback": 60,
|
||||
"cost_per_side_pct": 0.1,
|
||||
"target_model": "production_gtl",
|
||||
"target_model_label": "Live GTL (production)",
|
||||
"is_production_target_model": true,
|
||||
"production_reentry_policy": "gate_reset",
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0,
|
||||
"signal_eval_only": true
|
||||
},
|
||||
"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": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049
|
||||
},
|
||||
"overall_all": {
|
||||
"total": 202769,
|
||||
"wins": 82221,
|
||||
"losses": 113812,
|
||||
"expired": 6736,
|
||||
"hit_rate": 41.9,
|
||||
"avg_r": -0.04,
|
||||
"total_r": -8188.17,
|
||||
"net_avg_r": -0.095,
|
||||
"net_total_r": -19186.68,
|
||||
"best_r": 9.24,
|
||||
"worst_r": -16.42,
|
||||
"avg_hold_days": 8.2,
|
||||
"net_r_per_day": -0.0115,
|
||||
"median_net_r": -1.035,
|
||||
"profit_factor": 0.85,
|
||||
"net_avg_r_ex_top5": -0.22
|
||||
},
|
||||
"by_direction": {
|
||||
"long": {
|
||||
"total": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049
|
||||
},
|
||||
"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": 497,
|
||||
"wins": 177,
|
||||
"losses": 269,
|
||||
"expired": 51,
|
||||
"hit_rate": 39.7,
|
||||
"avg_r": 0.276,
|
||||
"total_r": 137.05,
|
||||
"net_avg_r": 0.235,
|
||||
"net_total_r": 116.55,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 11.8,
|
||||
"net_r_per_day": 0.0199,
|
||||
"median_net_r": -1.026,
|
||||
"profit_factor": 1.39,
|
||||
"net_avg_r_ex_top5": 0.071
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 80.0,
|
||||
"total": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 70.0,
|
||||
"total": 1841,
|
||||
"wins": 597,
|
||||
"losses": 1062,
|
||||
"expired": 182,
|
||||
"hit_rate": 36.0,
|
||||
"avg_r": 0.152,
|
||||
"total_r": 280.26,
|
||||
"net_avg_r": 0.104,
|
||||
"net_total_r": 190.75,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -4.21,
|
||||
"avg_hold_days": 11.8,
|
||||
"net_r_per_day": 0.0088,
|
||||
"median_net_r": -1.037,
|
||||
"profit_factor": 1.16,
|
||||
"net_avg_r_ex_top5": -0.055
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 60.0,
|
||||
"total": 2772,
|
||||
"wins": 873,
|
||||
"losses": 1611,
|
||||
"expired": 288,
|
||||
"hit_rate": 35.1,
|
||||
"avg_r": 0.126,
|
||||
"total_r": 348.07,
|
||||
"net_avg_r": 0.075,
|
||||
"net_total_r": 209.25,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -4.21,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0063,
|
||||
"median_net_r": -1.04,
|
||||
"profit_factor": 1.12,
|
||||
"net_avg_r_ex_top5": -0.077
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 50.0,
|
||||
"total": 3901,
|
||||
"wins": 1182,
|
||||
"losses": 2295,
|
||||
"expired": 424,
|
||||
"hit_rate": 34.0,
|
||||
"avg_r": 0.089,
|
||||
"total_r": 345.37,
|
||||
"net_avg_r": 0.038,
|
||||
"net_total_r": 146.96,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -4.86,
|
||||
"avg_hold_days": 12.1,
|
||||
"net_r_per_day": 0.0031,
|
||||
"median_net_r": -1.042,
|
||||
"profit_factor": 1.06,
|
||||
"net_avg_r_ex_top5": -0.114
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 0.0,
|
||||
"total": 14589,
|
||||
"wins": 3719,
|
||||
"losses": 9272,
|
||||
"expired": 1598,
|
||||
"hit_rate": 28.6,
|
||||
"avg_r": -0.065,
|
||||
"total_r": -953.08,
|
||||
"net_avg_r": -0.115,
|
||||
"net_total_r": -1677.9,
|
||||
"best_r": 9.24,
|
||||
"worst_r": -15.94,
|
||||
"avg_hold_days": 12.1,
|
||||
"net_r_per_day": -0.0095,
|
||||
"median_net_r": -1.043,
|
||||
"profit_factor": 0.84,
|
||||
"net_avg_r_ex_top5": -0.275
|
||||
}
|
||||
],
|
||||
"gate_ablation": [
|
||||
{
|
||||
"variant": "all_floors",
|
||||
"total": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.631,
|
||||
"hold_net_avg_r": 0.585,
|
||||
"hold_total_r": 684.97
|
||||
},
|
||||
{
|
||||
"variant": "no_confidence_floor",
|
||||
"total": 1093,
|
||||
"wins": 380,
|
||||
"losses": 596,
|
||||
"expired": 117,
|
||||
"hit_rate": 38.9,
|
||||
"avg_r": 0.25,
|
||||
"total_r": 273.55,
|
||||
"net_avg_r": 0.204,
|
||||
"net_total_r": 222.99,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 11.9,
|
||||
"net_r_per_day": 0.0171,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.33,
|
||||
"net_avg_r_ex_top5": 0.045,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.626,
|
||||
"hold_net_avg_r": 0.58,
|
||||
"hold_total_r": 684.08
|
||||
},
|
||||
{
|
||||
"variant": "no_rr_floor",
|
||||
"total": 6849,
|
||||
"wins": 3235,
|
||||
"losses": 3409,
|
||||
"expired": 205,
|
||||
"hit_rate": 48.7,
|
||||
"avg_r": 0.112,
|
||||
"total_r": 770.17,
|
||||
"net_avg_r": 0.061,
|
||||
"net_total_r": 418.96,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -5.16,
|
||||
"avg_hold_days": 7.9,
|
||||
"net_r_per_day": 0.0078,
|
||||
"median_net_r": -0.061,
|
||||
"profit_factor": 1.11,
|
||||
"net_avg_r_ex_top5": -0.061,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.354,
|
||||
"hold_net_avg_r": 0.303,
|
||||
"hold_total_r": 2425.86
|
||||
},
|
||||
{
|
||||
"variant": "no_neutral_exclusion",
|
||||
"total": 2313,
|
||||
"wins": 770,
|
||||
"losses": 1279,
|
||||
"expired": 264,
|
||||
"hit_rate": 37.6,
|
||||
"avg_r": 0.2,
|
||||
"total_r": 462.35,
|
||||
"net_avg_r": 0.154,
|
||||
"net_total_r": 355.89,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.6,
|
||||
"net_r_per_day": 0.0122,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.25,
|
||||
"net_avg_r_ex_top5": 0.004,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.583,
|
||||
"hold_net_avg_r": 0.537,
|
||||
"hold_total_r": 1348.89
|
||||
},
|
||||
{
|
||||
"variant": "momentum_only",
|
||||
"total": 14696,
|
||||
"wins": 6827,
|
||||
"losses": 7359,
|
||||
"expired": 510,
|
||||
"hit_rate": 48.1,
|
||||
"avg_r": 0.114,
|
||||
"total_r": 1669.64,
|
||||
"net_avg_r": 0.064,
|
||||
"net_total_r": 936.93,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -5.71,
|
||||
"avg_hold_days": 8.4,
|
||||
"net_r_per_day": 0.0076,
|
||||
"median_net_r": -1.013,
|
||||
"profit_factor": 1.11,
|
||||
"net_avg_r_ex_top5": -0.055,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.395,
|
||||
"hold_net_avg_r": 0.345,
|
||||
"hold_total_r": 5798.82
|
||||
}
|
||||
],
|
||||
"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": 1086,
|
||||
"wins": 603,
|
||||
"win_rate": 55.5,
|
||||
"avg_r": 0.175,
|
||||
"total_r": 190.16,
|
||||
"net_avg_r": 0.129,
|
||||
"net_total_r": 139.97,
|
||||
"best_r": 5.09,
|
||||
"worst_r": -2.51,
|
||||
"avg_hold_days": 4.5,
|
||||
"net_r_per_day": 0.0285,
|
||||
"median_net_r": 0.115,
|
||||
"profit_factor": 1.36,
|
||||
"net_avg_r_ex_top5": -0.002
|
||||
},
|
||||
{
|
||||
"hold_days": 10,
|
||||
"total": 1086,
|
||||
"wins": 559,
|
||||
"win_rate": 51.5,
|
||||
"avg_r": 0.357,
|
||||
"total_r": 387.9,
|
||||
"net_avg_r": 0.311,
|
||||
"net_total_r": 337.7,
|
||||
"best_r": 6.73,
|
||||
"worst_r": -2.51,
|
||||
"avg_hold_days": 7.9,
|
||||
"net_r_per_day": 0.0395,
|
||||
"median_net_r": 0.031,
|
||||
"profit_factor": 1.67,
|
||||
"net_avg_r_ex_top5": 0.112
|
||||
},
|
||||
{
|
||||
"hold_days": 21,
|
||||
"total": 1086,
|
||||
"wins": 487,
|
||||
"win_rate": 44.8,
|
||||
"avg_r": 0.525,
|
||||
"total_r": 570.33,
|
||||
"net_avg_r": 0.479,
|
||||
"net_total_r": 520.14,
|
||||
"best_r": 9.86,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 13.7,
|
||||
"net_r_per_day": 0.0349,
|
||||
"median_net_r": -1.027,
|
||||
"profit_factor": 1.81,
|
||||
"net_avg_r_ex_top5": 0.191
|
||||
},
|
||||
{
|
||||
"hold_days": 30,
|
||||
"total": 1086,
|
||||
"wins": 434,
|
||||
"win_rate": 40.0,
|
||||
"avg_r": 0.631,
|
||||
"total_r": 684.97,
|
||||
"net_avg_r": 0.585,
|
||||
"net_total_r": 634.78,
|
||||
"best_r": 12.87,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 17.8,
|
||||
"net_r_per_day": 0.0329,
|
||||
"median_net_r": -1.033,
|
||||
"profit_factor": 1.9,
|
||||
"net_avg_r_ex_top5": 0.212
|
||||
}
|
||||
],
|
||||
"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": [],
|
||||
"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": [],
|
||||
"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": [],
|
||||
"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": null,
|
||||
"production_cadence_comparison": null,
|
||||
"holdout": null,
|
||||
"min_rr_sweep": null,
|
||||
"target_model_diagnostics": {
|
||||
"target_model": "production_gtl",
|
||||
"target_model_label": "Live GTL (production)",
|
||||
"candidate_count": 202769,
|
||||
"primary_source_counts": {
|
||||
"pivot_point": 196294,
|
||||
"range_grid": 180039
|
||||
},
|
||||
"primary_round_only": 0,
|
||||
"primary_strength_100": 138599,
|
||||
"avg_primary_strength": 80.109,
|
||||
"avg_primary_distance_atr": 2.293,
|
||||
"avg_primary_rejection_count": 41.907,
|
||||
"avg_raw_level_count": 53.204,
|
||||
"avg_gate_level_count": 53.204
|
||||
},
|
||||
"signal_eval": [
|
||||
{
|
||||
"signal": "high_52w",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 1471.2,
|
||||
"mean_ic": 0.1283,
|
||||
"ic_t_stat": 4.28,
|
||||
"ic_positive_pct": 85.7,
|
||||
"mean_quintile_spread": -0.1009,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "mom_12_1",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 1471.2,
|
||||
"mean_ic": 0.0997,
|
||||
"ic_t_stat": 4.56,
|
||||
"ic_positive_pct": 88.6,
|
||||
"mean_quintile_spread": -0.1001,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "mom_6_1",
|
||||
"weeks": 40,
|
||||
"avg_cross_section": 1474.8,
|
||||
"mean_ic": 0.0681,
|
||||
"ic_t_stat": 3.45,
|
||||
"ic_positive_pct": 77.5,
|
||||
"mean_quintile_spread": -0.0322,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "fip_id",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 1471.2,
|
||||
"mean_ic": 0.0575,
|
||||
"ic_t_stat": 5.12,
|
||||
"ic_positive_pct": 88.6,
|
||||
"mean_quintile_spread": 0.0199,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "trend_200",
|
||||
"weeks": 37,
|
||||
"avg_cross_section": 1472.8,
|
||||
"mean_ic": 0.0538,
|
||||
"ic_t_stat": 2.33,
|
||||
"ic_positive_pct": 75.7,
|
||||
"mean_quintile_spread": -0.0675,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "mom_3_1",
|
||||
"weeks": 42,
|
||||
"avg_cross_section": 1476.0,
|
||||
"mean_ic": 0.0523,
|
||||
"ic_t_stat": 3.27,
|
||||
"ic_positive_pct": 73.8,
|
||||
"mean_quintile_spread": -0.0194,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "mom_12_1_resid",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 1471.2,
|
||||
"mean_ic": 0.0388,
|
||||
"ic_t_stat": 2.28,
|
||||
"ic_positive_pct": 74.3,
|
||||
"mean_quintile_spread": -0.0542,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "reversal_1m",
|
||||
"weeks": 43,
|
||||
"avg_cross_section": 1476.6,
|
||||
"mean_ic": 0.0155,
|
||||
"ic_t_stat": 0.85,
|
||||
"ic_positive_pct": 48.8,
|
||||
"mean_quintile_spread": -0.0862,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
{
|
||||
"signal": "vol_6m",
|
||||
"weeks": 40,
|
||||
"avg_cross_section": 1474.8,
|
||||
"mean_ic": -0.1584,
|
||||
"ic_t_stat": -6.05,
|
||||
"ic_positive_pct": 12.5,
|
||||
"mean_quintile_spread": 0.0164,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
}
|
||||
],
|
||||
"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": "Trade the qualified list long-only; hold 30 trading days with the initial ATR stop.",
|
||||
"items": [
|
||||
{
|
||||
"topic": "exit",
|
||||
"text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.58R net/trade vs +0.21R for the S/R target exit)."
|
||||
},
|
||||
{
|
||||
"topic": "gate",
|
||||
"text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.01R/trade and adds 7 trades."
|
||||
},
|
||||
{
|
||||
"topic": "gate",
|
||||
"text": "Gate: keep the R:R floor (worth +0.28R/trade under the hold exit)."
|
||||
},
|
||||
{
|
||||
"topic": "gate",
|
||||
"text": "Gate: keep the NEUTRAL exclusion (worth +0.05R/trade under the hold exit)."
|
||||
},
|
||||
{
|
||||
"topic": "cutoff",
|
||||
"text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.23R over 497 setups)."
|
||||
},
|
||||
{
|
||||
"topic": "robustness",
|
||||
"text": "Robustness: expectancy survives removing the top 5% of winners (+0.21R 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": [],
|
||||
"note": "Strategy variants unavailable; re-run the backtest after benchmark data is present."
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,578 @@
|
||||
{
|
||||
"generated_at": "2026-07-18T19:16:37.954856+00:00",
|
||||
"tickers": 506,
|
||||
"rank_only_tickers": 0,
|
||||
"candidates": 202765,
|
||||
"qualified": 1086,
|
||||
"params": {
|
||||
"step_days": 5,
|
||||
"step_sessions": 5,
|
||||
"entry_cadence": "weekly",
|
||||
"signal_eval_cadence": "weekly",
|
||||
"horizon_days": 30,
|
||||
"min_lookback": 60,
|
||||
"cost_per_side_pct": 0.1,
|
||||
"target_model": "production_gtl",
|
||||
"target_model_label": "Live GTL (production)",
|
||||
"is_production_target_model": true,
|
||||
"production_reentry_policy": "gate_reset",
|
||||
"liquid_breadth_top_n": null,
|
||||
"liquid_min_price": null,
|
||||
"signal_eval_only": true
|
||||
},
|
||||
"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": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049
|
||||
},
|
||||
"overall_all": {
|
||||
"total": 202765,
|
||||
"wins": 82220,
|
||||
"losses": 113809,
|
||||
"expired": 6736,
|
||||
"hit_rate": 41.9,
|
||||
"avg_r": -0.04,
|
||||
"total_r": -8186.18,
|
||||
"net_avg_r": -0.095,
|
||||
"net_total_r": -19184.55,
|
||||
"best_r": 9.24,
|
||||
"worst_r": -16.42,
|
||||
"avg_hold_days": 8.2,
|
||||
"net_r_per_day": -0.0115,
|
||||
"median_net_r": -1.035,
|
||||
"profit_factor": 0.85,
|
||||
"net_avg_r_ex_top5": -0.22
|
||||
},
|
||||
"by_direction": {
|
||||
"long": {
|
||||
"total": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049
|
||||
},
|
||||
"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": 497,
|
||||
"wins": 177,
|
||||
"losses": 269,
|
||||
"expired": 51,
|
||||
"hit_rate": 39.7,
|
||||
"avg_r": 0.276,
|
||||
"total_r": 137.05,
|
||||
"net_avg_r": 0.235,
|
||||
"net_total_r": 116.55,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 11.8,
|
||||
"net_r_per_day": 0.0199,
|
||||
"median_net_r": -1.026,
|
||||
"profit_factor": 1.39,
|
||||
"net_avg_r_ex_top5": 0.071
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 80.0,
|
||||
"total": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 70.0,
|
||||
"total": 1841,
|
||||
"wins": 597,
|
||||
"losses": 1062,
|
||||
"expired": 182,
|
||||
"hit_rate": 36.0,
|
||||
"avg_r": 0.152,
|
||||
"total_r": 280.26,
|
||||
"net_avg_r": 0.104,
|
||||
"net_total_r": 190.75,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -4.21,
|
||||
"avg_hold_days": 11.8,
|
||||
"net_r_per_day": 0.0088,
|
||||
"median_net_r": -1.037,
|
||||
"profit_factor": 1.16,
|
||||
"net_avg_r_ex_top5": -0.055
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 60.0,
|
||||
"total": 2772,
|
||||
"wins": 873,
|
||||
"losses": 1611,
|
||||
"expired": 288,
|
||||
"hit_rate": 35.1,
|
||||
"avg_r": 0.126,
|
||||
"total_r": 348.07,
|
||||
"net_avg_r": 0.075,
|
||||
"net_total_r": 209.25,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -4.21,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0063,
|
||||
"median_net_r": -1.04,
|
||||
"profit_factor": 1.12,
|
||||
"net_avg_r_ex_top5": -0.077
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 50.0,
|
||||
"total": 3901,
|
||||
"wins": 1182,
|
||||
"losses": 2295,
|
||||
"expired": 424,
|
||||
"hit_rate": 34.0,
|
||||
"avg_r": 0.089,
|
||||
"total_r": 345.37,
|
||||
"net_avg_r": 0.038,
|
||||
"net_total_r": 146.96,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -4.86,
|
||||
"avg_hold_days": 12.1,
|
||||
"net_r_per_day": 0.0031,
|
||||
"median_net_r": -1.042,
|
||||
"profit_factor": 1.06,
|
||||
"net_avg_r_ex_top5": -0.114
|
||||
},
|
||||
{
|
||||
"min_momentum_percentile": 0.0,
|
||||
"total": 14588,
|
||||
"wins": 3719,
|
||||
"losses": 9271,
|
||||
"expired": 1598,
|
||||
"hit_rate": 28.6,
|
||||
"avg_r": -0.065,
|
||||
"total_r": -952.08,
|
||||
"net_avg_r": -0.115,
|
||||
"net_total_r": -1676.86,
|
||||
"best_r": 9.24,
|
||||
"worst_r": -15.94,
|
||||
"avg_hold_days": 12.1,
|
||||
"net_r_per_day": -0.0095,
|
||||
"median_net_r": -1.043,
|
||||
"profit_factor": 0.84,
|
||||
"net_avg_r_ex_top5": -0.275
|
||||
}
|
||||
],
|
||||
"gate_ablation": [
|
||||
{
|
||||
"variant": "all_floors",
|
||||
"total": 1086,
|
||||
"wins": 379,
|
||||
"losses": 591,
|
||||
"expired": 116,
|
||||
"hit_rate": 39.1,
|
||||
"avg_r": 0.255,
|
||||
"total_r": 276.76,
|
||||
"net_avg_r": 0.209,
|
||||
"net_total_r": 226.56,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.0,
|
||||
"net_r_per_day": 0.0174,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.34,
|
||||
"net_avg_r_ex_top5": 0.049,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.631,
|
||||
"hold_net_avg_r": 0.585,
|
||||
"hold_total_r": 684.97
|
||||
},
|
||||
{
|
||||
"variant": "no_confidence_floor",
|
||||
"total": 1093,
|
||||
"wins": 380,
|
||||
"losses": 596,
|
||||
"expired": 117,
|
||||
"hit_rate": 38.9,
|
||||
"avg_r": 0.25,
|
||||
"total_r": 273.55,
|
||||
"net_avg_r": 0.204,
|
||||
"net_total_r": 222.99,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 11.9,
|
||||
"net_r_per_day": 0.0171,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.33,
|
||||
"net_avg_r_ex_top5": 0.045,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.626,
|
||||
"hold_net_avg_r": 0.58,
|
||||
"hold_total_r": 684.08
|
||||
},
|
||||
{
|
||||
"variant": "no_rr_floor",
|
||||
"total": 6849,
|
||||
"wins": 3235,
|
||||
"losses": 3409,
|
||||
"expired": 205,
|
||||
"hit_rate": 48.7,
|
||||
"avg_r": 0.112,
|
||||
"total_r": 770.17,
|
||||
"net_avg_r": 0.061,
|
||||
"net_total_r": 418.96,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -5.16,
|
||||
"avg_hold_days": 7.9,
|
||||
"net_r_per_day": 0.0078,
|
||||
"median_net_r": -0.061,
|
||||
"profit_factor": 1.11,
|
||||
"net_avg_r_ex_top5": -0.061,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.354,
|
||||
"hold_net_avg_r": 0.303,
|
||||
"hold_total_r": 2425.86
|
||||
},
|
||||
{
|
||||
"variant": "no_neutral_exclusion",
|
||||
"total": 2313,
|
||||
"wins": 770,
|
||||
"losses": 1279,
|
||||
"expired": 264,
|
||||
"hit_rate": 37.6,
|
||||
"avg_r": 0.2,
|
||||
"total_r": 462.35,
|
||||
"net_avg_r": 0.154,
|
||||
"net_total_r": 355.89,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 12.6,
|
||||
"net_r_per_day": 0.0122,
|
||||
"median_net_r": -1.031,
|
||||
"profit_factor": 1.25,
|
||||
"net_avg_r_ex_top5": 0.004,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.583,
|
||||
"hold_net_avg_r": 0.537,
|
||||
"hold_total_r": 1348.89
|
||||
},
|
||||
{
|
||||
"variant": "momentum_only",
|
||||
"total": 14696,
|
||||
"wins": 6827,
|
||||
"losses": 7359,
|
||||
"expired": 510,
|
||||
"hit_rate": 48.1,
|
||||
"avg_r": 0.114,
|
||||
"total_r": 1669.64,
|
||||
"net_avg_r": 0.064,
|
||||
"net_total_r": 936.93,
|
||||
"best_r": 8.85,
|
||||
"worst_r": -5.71,
|
||||
"avg_hold_days": 8.4,
|
||||
"net_r_per_day": 0.0076,
|
||||
"median_net_r": -1.013,
|
||||
"profit_factor": 1.11,
|
||||
"net_avg_r_ex_top5": -0.055,
|
||||
"hold_days": 30,
|
||||
"hold_avg_r": 0.395,
|
||||
"hold_net_avg_r": 0.345,
|
||||
"hold_total_r": 5798.82
|
||||
}
|
||||
],
|
||||
"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": 1086,
|
||||
"wins": 603,
|
||||
"win_rate": 55.5,
|
||||
"avg_r": 0.175,
|
||||
"total_r": 190.16,
|
||||
"net_avg_r": 0.129,
|
||||
"net_total_r": 139.97,
|
||||
"best_r": 5.09,
|
||||
"worst_r": -2.51,
|
||||
"avg_hold_days": 4.5,
|
||||
"net_r_per_day": 0.0285,
|
||||
"median_net_r": 0.115,
|
||||
"profit_factor": 1.36,
|
||||
"net_avg_r_ex_top5": -0.002
|
||||
},
|
||||
{
|
||||
"hold_days": 10,
|
||||
"total": 1086,
|
||||
"wins": 559,
|
||||
"win_rate": 51.5,
|
||||
"avg_r": 0.357,
|
||||
"total_r": 387.9,
|
||||
"net_avg_r": 0.311,
|
||||
"net_total_r": 337.7,
|
||||
"best_r": 6.73,
|
||||
"worst_r": -2.51,
|
||||
"avg_hold_days": 7.9,
|
||||
"net_r_per_day": 0.0395,
|
||||
"median_net_r": 0.031,
|
||||
"profit_factor": 1.67,
|
||||
"net_avg_r_ex_top5": 0.112
|
||||
},
|
||||
{
|
||||
"hold_days": 21,
|
||||
"total": 1086,
|
||||
"wins": 487,
|
||||
"win_rate": 44.8,
|
||||
"avg_r": 0.525,
|
||||
"total_r": 570.33,
|
||||
"net_avg_r": 0.479,
|
||||
"net_total_r": 520.14,
|
||||
"best_r": 9.86,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 13.7,
|
||||
"net_r_per_day": 0.0349,
|
||||
"median_net_r": -1.027,
|
||||
"profit_factor": 1.81,
|
||||
"net_avg_r_ex_top5": 0.191
|
||||
},
|
||||
{
|
||||
"hold_days": 30,
|
||||
"total": 1086,
|
||||
"wins": 434,
|
||||
"win_rate": 40.0,
|
||||
"avg_r": 0.631,
|
||||
"total_r": 684.97,
|
||||
"net_avg_r": 0.585,
|
||||
"net_total_r": 634.78,
|
||||
"best_r": 12.87,
|
||||
"worst_r": -3.38,
|
||||
"avg_hold_days": 17.8,
|
||||
"net_r_per_day": 0.0329,
|
||||
"median_net_r": -1.033,
|
||||
"profit_factor": 1.9,
|
||||
"net_avg_r_ex_top5": 0.212
|
||||
}
|
||||
],
|
||||
"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": [],
|
||||
"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": [],
|
||||
"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": [],
|
||||
"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": null,
|
||||
"production_cadence_comparison": null,
|
||||
"holdout": null,
|
||||
"min_rr_sweep": null,
|
||||
"target_model_diagnostics": {
|
||||
"target_model": "production_gtl",
|
||||
"target_model_label": "Live GTL (production)",
|
||||
"candidate_count": 202765,
|
||||
"primary_source_counts": {
|
||||
"pivot_point": 196290,
|
||||
"range_grid": 180036
|
||||
},
|
||||
"primary_round_only": 0,
|
||||
"primary_strength_100": 138596,
|
||||
"avg_primary_strength": 80.109,
|
||||
"avg_primary_distance_atr": 2.293,
|
||||
"avg_primary_rejection_count": 41.908,
|
||||
"avg_raw_level_count": 53.204,
|
||||
"avg_gate_level_count": 53.204
|
||||
},
|
||||
"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": "fip_id",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 497.7,
|
||||
"mean_ic": -0.045,
|
||||
"ic_t_stat": -2.91,
|
||||
"ic_positive_pct": 25.7,
|
||||
"mean_quintile_spread": -0.0168,
|
||||
"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": "Trade the qualified list long-only; hold 30 trading days with the initial ATR stop.",
|
||||
"items": [
|
||||
{
|
||||
"topic": "exit",
|
||||
"text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.58R net/trade vs +0.21R for the S/R target exit)."
|
||||
},
|
||||
{
|
||||
"topic": "gate",
|
||||
"text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.01R/trade and adds 7 trades."
|
||||
},
|
||||
{
|
||||
"topic": "gate",
|
||||
"text": "Gate: keep the R:R floor (worth +0.28R/trade under the hold exit)."
|
||||
},
|
||||
{
|
||||
"topic": "gate",
|
||||
"text": "Gate: keep the NEUTRAL exclusion (worth +0.05R/trade under the hold exit)."
|
||||
},
|
||||
{
|
||||
"topic": "cutoff",
|
||||
"text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.23R over 497 setups)."
|
||||
},
|
||||
{
|
||||
"topic": "robustness",
|
||||
"text": "Robustness: expectancy survives removing the top 5% of winners (+0.21R 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": [],
|
||||
"note": "Strategy variants unavailable; re-run the backtest after benchmark data is present."
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,59 @@
|
||||
{
|
||||
"generated_at": "2026-07-18T21:14:40.170961",
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0,
|
||||
"fingerprint": {
|
||||
"signal": "fip_id",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 497.7,
|
||||
"mean_ic": -0.045,
|
||||
"ic_t_stat": -2.91,
|
||||
"ic_positive_pct": 25.7,
|
||||
"mean_quintile_spread": -0.0168,
|
||||
"reliable": true,
|
||||
"pass": true,
|
||||
"expected_ic": -0.045,
|
||||
"expected_t": -2.9
|
||||
},
|
||||
"breadth": {
|
||||
"signal": "fip_id",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 1471.2,
|
||||
"mean_ic": 0.0575,
|
||||
"ic_t_stat": 5.12,
|
||||
"ic_positive_pct": 88.6,
|
||||
"mean_quintile_spread": 0.0199,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
},
|
||||
"verdict": {
|
||||
"green": false,
|
||||
"reason": "iron rule not met on liquid-breadth cross-section",
|
||||
"checks": {
|
||||
"mean_ic": 0.0575,
|
||||
"abs_mean_ic_ge_0_03": true,
|
||||
"sign_negative": false,
|
||||
"ic_t_stat": 5.12,
|
||||
"reliable": true,
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 1471.2
|
||||
},
|
||||
"row": {
|
||||
"signal": "fip_id",
|
||||
"weeks": 35,
|
||||
"avg_cross_section": 1471.2,
|
||||
"mean_ic": 0.0575,
|
||||
"ic_t_stat": 5.12,
|
||||
"ic_positive_pct": 88.6,
|
||||
"mean_quintile_spread": 0.0199,
|
||||
"reliable": true,
|
||||
"liquid_breadth_top_n": 1500,
|
||||
"liquid_min_price": 5.0
|
||||
}
|
||||
},
|
||||
"fingerprint_report_path": "reports/fip-breadth-20260718-211440-fingerprint.json",
|
||||
"breadth_report_path": "reports/fip-breadth-20260718-211440-breadth.json",
|
||||
"breadth_tickers": 4650,
|
||||
"breadth_rank_only_tickers": 4144
|
||||
}
|
||||
Reference in New Issue
Block a user