{ "generated_at": "2026-07-13T06:00:22.754740+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_range_grid_touch", "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": "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": 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": "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 } ], "start_date": "2022-07-20", "end_date": "2024-06-10" }, { "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": 12183.17, "total_return_pct": 21.8, "cagr_pct": 15.1, "max_drawdown_pct": 5.1, "sharpe": 1.67, "trades": 24, "win_rate": 66.7, "avg_trade_pnl": 90.97, "best_trade_r": 4.23, "worst_trade_r": -1.16, "best_trade_pnl": 311.24, "worst_trade_pnl": -93.41, "avg_hold_days": 22.6, "exit_reasons": { "stop": 8, "time": 16 }, "skipped_book_full": 0, "spy_return_pct": 18.9, "yearly_returns": [ { "year": 2022, "return_pct": 12.4 }, { "year": 2023, "return_pct": 8.4 } ], "start_date": "2022-07-20", "end_date": "2023-12-15" }, { "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": 14495.87, "total_return_pct": 45.0, "cagr_pct": 19.5, "max_drawdown_pct": 17.0, "sharpe": 1.04, "trades": 151, "win_rate": 32.5, "avg_trade_pnl": 29.77, "best_trade_r": 11.51, "worst_trade_r": -4.21, "best_trade_pnl": 1183.63, "worst_trade_pnl": -425.47, "avg_hold_days": 15.8, "exit_reasons": { "stop": 100, "time": 51 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 12.1 }, { "year": 2023, "return_pct": 26.7 }, { "year": 2024, "return_pct": 2.1 } ], "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": 20044.95, "total_return_pct": 100.4, "cagr_pct": 39.5, "max_drawdown_pct": 16.2, "sharpe": 1.62, "trades": 154, "win_rate": 34.4, "avg_trade_pnl": 65.23, "best_trade_r": 27.38, "worst_trade_r": -5.16, "best_trade_pnl": 3955.15, "worst_trade_pnl": -508.38, "avg_hold_days": 16.3, "exit_reasons": { "stop": 98, "time": 56 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.2 }, { "year": 2023, "return_pct": 43.3 }, { "year": 2024, "return_pct": 31.7 } ], "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": 20166.11, "total_return_pct": 101.7, "cagr_pct": 39.9, "max_drawdown_pct": 16.5, "sharpe": 1.6, "trades": 144, "win_rate": 34.7, "avg_trade_pnl": 70.6, "best_trade_r": 27.38, "worst_trade_r": -2.29, "best_trade_pnl": 3612.2, "worst_trade_pnl": -298.29, "avg_hold_days": 16.4, "exit_reasons": { "stop": 91, "time": 53 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 5.1 }, { "year": 2023, "return_pct": 32.1 }, { "year": 2024, "return_pct": 45.3 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "variant": "residual80_highvol_blend90_10_fixed10", "label": "Residual 80 + high-vol 90/10 blend / max 10", "ranking": "residual_high_vol_blend_90_10", "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": 20102.63, "total_return_pct": 101.0, "cagr_pct": 39.7, "max_drawdown_pct": 19.1, "sharpe": 1.57, "trades": 165, "win_rate": 34.5, "avg_trade_pnl": 61.23, "best_trade_r": 27.38, "worst_trade_r": -5.16, "best_trade_pnl": 3991.89, "worst_trade_pnl": -510.69, "avg_hold_days": 16.0, "exit_reasons": { "stop": 105, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": -0.4 }, { "year": 2023, "return_pct": 53.6 }, { "year": 2024, "return_pct": 31.5 } ], "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": 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 }, { "year": 2023, "return_pct": 63.8 }, { "year": 2024, "return_pct": 33.1 } ], "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": 22231.89, "total_return_pct": 122.3, "cagr_pct": 46.6, "max_drawdown_pct": 19.3, "sharpe": 1.73, "trades": 162, "win_rate": 35.2, "avg_trade_pnl": 75.51, "best_trade_r": 27.38, "worst_trade_r": -4.21, "best_trade_pnl": 4389.93, "worst_trade_pnl": -624.24, "avg_hold_days": 16.3, "exit_reasons": { "stop": 102, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": -0.6 }, { "year": 2023, "return_pct": 68.1 }, { "year": 2024, "return_pct": 33.1 } ], "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": 22114.76, "total_return_pct": 121.1, "cagr_pct": 46.2, "max_drawdown_pct": 19.3, "sharpe": 1.73, "trades": 161, "win_rate": 35.4, "avg_trade_pnl": 75.25, "best_trade_r": 27.38, "worst_trade_r": -4.21, "best_trade_pnl": 4374.82, "worst_trade_pnl": -621.07, "avg_hold_days": 16.4, "exit_reasons": { "stop": 101, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": -0.3 }, { "year": 2023, "return_pct": 67.4 }, { "year": 2024, "return_pct": 32.6 } ], "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": 12132.63, "total_return_pct": 21.3, "cagr_pct": 7.7, "max_drawdown_pct": 46.0, "sharpe": 0.4, "trades": 294, "win_rate": 27.6, "avg_trade_pnl": 7.25, "best_trade_r": 27.38, "worst_trade_r": -3.5, "best_trade_pnl": 2394.45, "worst_trade_pnl": -152.15, "avg_hold_days": 14.9, "exit_reasons": { "stop": 205, "time": 89 }, "skipped_book_full": 315, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -1.0 }, { "year": 2022, "return_pct": -41.3 }, { "year": 2023, "return_pct": 59.8 }, { "year": 2024, "return_pct": 30.8 } ], "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": 13021.52, "total_return_pct": 30.2, "cagr_pct": 10.6, "max_drawdown_pct": 45.7, "sharpe": 0.49, "trades": 287, "win_rate": 28.2, "avg_trade_pnl": 10.53, "best_trade_r": 27.38, "worst_trade_r": -3.5, "best_trade_pnl": 2629.85, "worst_trade_pnl": -151.69, "avg_hold_days": 15.1, "exit_reasons": { "stop": 197, "time": 90 }, "skipped_book_full": 172, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -1.0 }, { "year": 2022, "return_pct": -40.4 }, { "year": 2023, "return_pct": 72.1 }, { "year": 2024, "return_pct": 28.4 } ], "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": 13237.9, "total_return_pct": 32.4, "cagr_pct": 11.3, "max_drawdown_pct": 42.1, "sharpe": 0.52, "trades": 257, "win_rate": 28.8, "avg_trade_pnl": 12.6, "best_trade_r": 27.38, "worst_trade_r": -3.5, "best_trade_pnl": 2687.07, "worst_trade_pnl": -149.23, "avg_hold_days": 15.2, "exit_reasons": { "stop": 178, "time": 79 }, "skipped_book_full": 57, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -0.0 }, { "year": 2022, "return_pct": -40.7 }, { "year": 2023, "return_pct": 75.3 }, { "year": 2024, "return_pct": 27.4 } ], "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": 11683.19, "total_return_pct": 16.8, "cagr_pct": 7.2, "max_drawdown_pct": 13.2, "sharpe": 0.64, "trades": 109, "win_rate": 34.9, "avg_trade_pnl": 15.44, "best_trade_r": 8.62, "worst_trade_r": -2.77, "best_trade_pnl": 580.9, "worst_trade_pnl": -195.23, "avg_hold_days": 16.3, "exit_reasons": { "stop": 69, "time": 40 }, "skipped_book_full": 0, "spy_return_pct": 9.5, "yearly_returns": [ { "year": 2021, "return_pct": 0.3 }, { "year": 2022, "return_pct": 13.7 }, { "year": 2023, "return_pct": 2.7 }, { "year": 2024, "return_pct": -0.1 } ], "start_date": "2021-12-28", "end_date": "2024-03-21" } ], "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": 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 }, { "year": 2023, "return_pct": 63.8 }, { "year": 2024, "return_pct": 33.1 } ], "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": 20278.7, "total_return_pct": 102.8, "cagr_pct": 40.3, "max_drawdown_pct": 16.6, "sharpe": 1.69, "trades": 184, "win_rate": 34.2, "avg_trade_pnl": 55.86, "best_trade_r": 27.38, "worst_trade_r": -4.21, "best_trade_pnl": 3681.75, "worst_trade_pnl": -542.93, "avg_hold_days": 12.8, "exit_reasons": { "sma50": 56, "stop": 80, "time": 48 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": -0.0 }, { "year": 2023, "return_pct": 40.0 }, { "year": 2024, "return_pct": 44.9 } ], "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": 21741.69, "total_return_pct": 117.4, "cagr_pct": 45.0, "max_drawdown_pct": 19.1, "sharpe": 1.75, "trades": 164, "win_rate": 36.6, "avg_trade_pnl": 71.6, "best_trade_r": 27.38, "worst_trade_r": -4.21, "best_trade_pnl": 4277.64, "worst_trade_pnl": -603.67, "avg_hold_days": 16.3, "exit_reasons": { "low20": 9, "stop": 98, "time": 57 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": -0.2 }, { "year": 2023, "return_pct": 63.2 }, { "year": 2024, "return_pct": 33.5 } ], "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": 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 }, { "year": 2023, "return_pct": 63.8 }, { "year": 2024, "return_pct": 33.1 } ], "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": 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 }, "skipped_book_full": 0, "spy_return_pct": 16.9, "yearly_returns": [ { "year": 2023, "return_pct": 3.4 }, { "year": 2024, "return_pct": 31.4 } ], "start_date": 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"return_pct": 35.33 } ] } ], "note": "Portfolio monitor runs supported named strategies across cached lookbacks. Local snapshot backtests remain the research surface for broad variant sweeps." }, "holdout": null, "min_rr_sweep": null, "sr_variant_diagnostics": { "variant": "legacy_range_grid_touch", "candidate_count": 121464, "primary_source_counts": { "volume_profile": 121464 }, "primary_round_only": 0, "primary_strength_100": 27852, "avg_primary_strength": 50.671, "avg_primary_distance_atr": 2.029, "avg_primary_rejection_count": 33.008, "avg_raw_level_count": 19.987, "avg_gate_level_count": 19.987 }, "sr_candidate_audit": [ { "symbol": "ABBV", "date": "2022-06-28", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 89.067894, "strategy_rank": 64.588905, "rr": 1.951411, "primary_prob": 29.09, "primary_sources": [ "volume_profile" ], "primary_strength": 20.0, "primary_rejection_count": 10, "primary_distance_atr": 2.927117, "raw_level_count": 20, "gate_level_count": 20, "outcome": "stop_hit", "net_r": -1.053574, "hold30_r": -1.0 }, { "symbol": "ACGL", "date": 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"direction": "long", "qualified": true, "meets_core": true, "momentum_percentile": 91.0, "strategy_rank": 92.136807, "rr": 2.264083, "primary_prob": 23.2, "primary_sources": [ "volume_profile" ], "primary_strength": 9.0, "primary_rejection_count": 14, "primary_distance_atr": 3.396125, "raw_level_count": 20, "gate_level_count": 20, "outcome": "target_hit", "net_r": 2.225517, "hold30_r": 0.585276 }, { "symbol": "TSN", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 80.222222, "strategy_rank": 68.561321, "rr": 1.948647, "primary_prob": 16.53, "primary_sources": [ "volume_profile" ], "primary_strength": 32.0, "primary_rejection_count": 49, "primary_distance_atr": 2.92297, "raw_level_count": 20, "gate_level_count": 20, "outcome": "target_hit", "net_r": 1.877952, "hold30_r": 2.481052 }, { "symbol": "TXT", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 84.333333, 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"symbol": "WFC", "date": "2024-06-25", "direction": "long", "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." } }