{ "generated_at": "2026-07-13T09:22:37.917391+00:00", "tickers": 506, "candidates": 202765, "qualified": 1086, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "explicit_target_ladder", "range_factor_lookback": 504, "range_factor_min_log": 1.0, "range_factor_min_ratio": 2.7183, "structural_overlay_weight": null, "structural_overlay_source_variant": null, "entry_start": null, "entry_end": null }, "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": 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"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": [ { "policy": "target", "starting_capital": 10000.0, "final_equity": 27052.49, "total_return_pct": 170.5, "cagr_pct": 28.3, "max_drawdown_pct": 22.5, "sharpe": 1.48, "trades": 422, "win_rate": 42.4, "avg_trade_pnl": 40.41, "best_trade_r": 8.85, "worst_trade_r": -2.68, "best_trade_pnl": 990.78, "worst_trade_pnl": -515.9, "avg_hold_days": 10.7, "exit_reasons": { "stop": 236, "target": 157, "time": 29 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 9.5 }, { "year": 2023, "return_pct": 5.2 }, { "year": 2024, "return_pct": 47.5 }, { "year": 2025, "return_pct": 50.0 }, { "year": 2026, "return_pct": 6.1 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 47653.95, "total_return_pct": 376.5, "cagr_pct": 47.9, "max_drawdown_pct": 18.8, "sharpe": 1.96, "trades": 303, "win_rate": 38.9, "avg_trade_pnl": 124.27, "best_trade_r": 12.87, "worst_trade_r": -2.12, "best_trade_pnl": 5031.32, "worst_trade_pnl": -516.31, "avg_hold_days": 17.0, "exit_reasons": { "stop": 178, "time": 125 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.7 }, { "year": 2023, "return_pct": 42.5 }, { "year": 2024, "return_pct": 53.1 }, { "year": 2025, "return_pct": 61.2 }, { "year": 2026, "return_pct": 27.0 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" } ], "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": 47653.95, "total_return_pct": 376.5, "cagr_pct": 47.9, "max_drawdown_pct": 18.8, "sharpe": 1.96, "trades": 303, "win_rate": 38.9, "avg_trade_pnl": 124.27, "best_trade_r": 12.87, "worst_trade_r": -2.12, "best_trade_pnl": 5031.32, "worst_trade_pnl": -516.31, "avg_hold_days": 17.0, "exit_reasons": { "stop": 178, "time": 125 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.7 }, { "year": 2023, "return_pct": 42.5 }, { "year": 2024, "return_pct": 53.1 }, { "year": 2025, "return_pct": 61.2 }, { "year": 2026, "return_pct": 27.0 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 28874.99, "total_return_pct": 188.7, "cagr_pct": 30.3, "max_drawdown_pct": 18.4, "sharpe": 1.34, "trades": 297, "win_rate": 35.4, "avg_trade_pnl": 63.55, "best_trade_r": 12.87, "worst_trade_r": -4.21, "best_trade_pnl": 2822.98, "worst_trade_pnl": -295.18, "avg_hold_days": 16.7, "exit_reasons": { "stop": 184, "time": 113 }, "skipped_book_full": 0, "spy_return_pct": 95.7, "yearly_returns": [ { "year": 2022, "return_pct": 7.3 }, { "year": 2023, "return_pct": 6.9 }, { "year": 2024, "return_pct": 47.9 }, { "year": 2025, "return_pct": 31.2 }, { "year": 2026, "return_pct": 29.8 } ], "start_date": "2022-06-28", "end_date": "2026-07-02" }, { "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": 32295.9, "total_return_pct": 223.0, "cagr_pct": 34.2, "max_drawdown_pct": 16.9, "sharpe": 1.62, "trades": 217, "win_rate": 36.4, "avg_trade_pnl": 102.75, "best_trade_r": 12.87, "worst_trade_r": -2.13, "best_trade_pnl": 3301.56, "worst_trade_pnl": -499.25, "avg_hold_days": 16.2, "exit_reasons": { "stop": 135, "time": 82 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 7.6 }, { "year": 2023, "return_pct": 20.6 }, { "year": 2024, "return_pct": 42.6 }, { "year": 2025, "return_pct": 41.6 }, { "year": 2026, "return_pct": 23.3 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 47653.95, "total_return_pct": 376.5, "cagr_pct": 47.9, "max_drawdown_pct": 18.8, "sharpe": 1.96, "trades": 303, "win_rate": 38.9, "avg_trade_pnl": 124.27, "best_trade_r": 12.87, "worst_trade_r": -2.12, "best_trade_pnl": 5031.32, "worst_trade_pnl": -516.31, "avg_hold_days": 17.0, "exit_reasons": { "stop": 178, "time": 125 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.7 }, { "year": 2023, "return_pct": 42.5 }, { "year": 2024, "return_pct": 53.1 }, { "year": 2025, "return_pct": 61.2 }, { "year": 2026, "return_pct": 27.0 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 18351.66, "total_return_pct": 83.5, "cagr_pct": 16.5, "max_drawdown_pct": 8.9, "sharpe": 1.69, "trades": 118, "win_rate": 48.3, "avg_trade_pnl": 70.78, "best_trade_r": 8.98, "worst_trade_r": -1.16, "best_trade_pnl": 1091.32, "worst_trade_pnl": -203.91, "avg_hold_days": 19.4, "exit_reasons": { "stop": 60, "time": 58 }, "skipped_book_full": 0, "spy_return_pct": 96.6, "yearly_returns": [ { "year": 2022, "return_pct": 12.0 }, { "year": 2023, "return_pct": 20.8 }, { "year": 2024, "return_pct": 2.9 }, { "year": 2025, "return_pct": 8.7 }, { "year": 2026, "return_pct": 21.4 } ], "start_date": "2022-07-13", "end_date": "2026-07-02" }, { "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": 13860.93, "total_return_pct": 38.6, "cagr_pct": 8.6, "max_drawdown_pct": 8.4, "sharpe": 1.3, "trades": 60, "win_rate": 50.0, "avg_trade_pnl": 64.35, "best_trade_r": 8.98, "worst_trade_r": -1.16, "best_trade_pnl": 843.24, "worst_trade_pnl": -129.59, "avg_hold_days": 19.6, "exit_reasons": { "stop": 29, "time": 31 }, "skipped_book_full": 0, "spy_return_pct": 96.6, "yearly_returns": [ { "year": 2022, "return_pct": 11.3 }, { "year": 2023, "return_pct": 13.1 }, { "year": 2024, "return_pct": 2.1 }, { "year": 2025, "return_pct": 8.4 }, { "year": 2026, "return_pct": -0.4 } ], "start_date": "2022-07-13", "end_date": "2026-07-02" }, { "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": 33689.55, "total_return_pct": 236.9, "cagr_pct": 35.6, "max_drawdown_pct": 14.7, "sharpe": 1.74, "trades": 299, "win_rate": 33.4, "avg_trade_pnl": 79.23, "best_trade_r": 10.81, "worst_trade_r": -2.25, "best_trade_pnl": 2080.79, "worst_trade_pnl": -603.66, "avg_hold_days": 16.0, "exit_reasons": { "stop": 193, "time": 106 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 16.4 }, { "year": 2023, "return_pct": -0.4 }, { "year": 2024, "return_pct": 53.0 }, { "year": 2025, "return_pct": 65.8 }, { "year": 2026, "return_pct": 14.6 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 36002.67, "total_return_pct": 260.0, "cagr_pct": 37.9, "max_drawdown_pct": 20.3, "sharpe": 1.58, "trades": 297, "win_rate": 36.0, "avg_trade_pnl": 87.55, "best_trade_r": 12.87, "worst_trade_r": -2.12, "best_trade_pnl": 4054.83, "worst_trade_pnl": -393.92, "avg_hold_days": 16.5, "exit_reasons": { "stop": 183, "time": 114 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 4.6 }, { "year": 2023, "return_pct": 33.5 }, { "year": 2024, "return_pct": 43.2 }, { "year": 2025, "return_pct": 58.3 }, { "year": 2026, "return_pct": 13.7 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 34617.41, "total_return_pct": 246.2, "cagr_pct": 36.5, "max_drawdown_pct": 19.5, "sharpe": 1.58, "trades": 264, "win_rate": 35.6, "avg_trade_pnl": 93.25, "best_trade_r": 12.87, "worst_trade_r": -2.45, "best_trade_pnl": 3860.4, "worst_trade_pnl": -605.1, "avg_hold_days": 16.3, "exit_reasons": { "stop": 165, "time": 99 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 7.0 }, { "year": 2023, "return_pct": 22.1 }, { "year": 2024, "return_pct": 28.4 }, { "year": 2025, "return_pct": 81.4 }, { "year": 2026, "return_pct": 13.8 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 46553.94, "total_return_pct": 365.5, "cagr_pct": 47.0, "max_drawdown_pct": 21.1, "sharpe": 1.86, "trades": 307, "win_rate": 36.8, "avg_trade_pnl": 119.07, "best_trade_r": 12.87, "worst_trade_r": -2.12, "best_trade_pnl": 4897.15, "worst_trade_pnl": -522.67, "avg_hold_days": 16.6, "exit_reasons": { "stop": 187, "time": 120 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.7 }, { "year": 2023, "return_pct": 35.2 }, { "year": 2024, "return_pct": 52.5 }, { "year": 2025, "return_pct": 67.3 }, { "year": 2026, "return_pct": 22.0 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 52815.5, "total_return_pct": 428.2, "cagr_pct": 51.8, "max_drawdown_pct": 22.0, "sharpe": 2.0, "trades": 305, "win_rate": 38.7, "avg_trade_pnl": 140.38, "best_trade_r": 12.87, "worst_trade_r": -1.76, "best_trade_pnl": 5144.91, "worst_trade_pnl": -561.89, "avg_hold_days": 17.1, "exit_reasons": { "stop": 180, "time": 125 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 41.6 }, { "year": 2024, "return_pct": 42.1 }, { "year": 2025, "return_pct": 75.8 }, { "year": 2026, "return_pct": 35.6 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 52292.85, "total_return_pct": 422.9, "cagr_pct": 51.4, "max_drawdown_pct": 19.5, "sharpe": 1.97, "trades": 307, "win_rate": 39.1, "avg_trade_pnl": 137.76, "best_trade_r": 12.87, "worst_trade_r": -2.13, "best_trade_pnl": 5097.04, "worst_trade_pnl": -556.36, "avg_hold_days": 17.1, "exit_reasons": { "stop": 180, "time": 127 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 52.0 }, { "year": 2024, "return_pct": 42.4 }, { "year": 2025, "return_pct": 61.7 }, { "year": 2026, "return_pct": 35.7 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 53744.15, "total_return_pct": 437.4, "cagr_pct": 52.4, "max_drawdown_pct": 19.4, "sharpe": 2.03, "trades": 305, "win_rate": 39.0, "avg_trade_pnl": 143.42, "best_trade_r": 12.87, "worst_trade_r": -2.13, "best_trade_pnl": 5425.85, "worst_trade_pnl": -571.36, "avg_hold_days": 17.1, "exit_reasons": { "stop": 179, "time": 126 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.6 }, { "year": 2023, "return_pct": 51.9 }, { "year": 2024, "return_pct": 48.4 }, { "year": 2025, "return_pct": 64.7 }, { "year": 2026, "return_pct": 31.0 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 31941.49, "total_return_pct": 219.4, "cagr_pct": 29.4, "max_drawdown_pct": 36.5, "sharpe": 1.06, "trades": 483, "win_rate": 33.5, "avg_trade_pnl": 45.43, "best_trade_r": 12.87, "worst_trade_r": -6.58, "best_trade_pnl": 3499.87, "worst_trade_pnl": -1575.65, "avg_hold_days": 16.1, "exit_reasons": { "stop": 308, "time": 175 }, "skipped_book_full": 608, "spy_return_pct": 56.2, "yearly_returns": [ { "year": 2021, "return_pct": -0.7 }, { "year": 2022, "return_pct": -26.2 }, { "year": 2023, "return_pct": 83.7 }, { "year": 2024, "return_pct": 57.2 }, { "year": 2025, "return_pct": 25.7 }, { "year": 2026, "return_pct": 20.2 } ], "start_date": "2021-12-28", "end_date": "2026-07-02" }, { "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": 33221.17, "total_return_pct": 232.2, "cagr_pct": 30.5, "max_drawdown_pct": 37.3, "sharpe": 1.08, "trades": 475, "win_rate": 32.6, "avg_trade_pnl": 48.89, "best_trade_r": 12.87, "worst_trade_r": -6.58, "best_trade_pnl": 3578.0, "worst_trade_pnl": -1724.97, "avg_hold_days": 16.0, "exit_reasons": { "stop": 304, "time": 171 }, "skipped_book_full": 371, "spy_return_pct": 56.2, "yearly_returns": [ { "year": 2021, "return_pct": -0.7 }, { "year": 2022, "return_pct": -23.4 }, { "year": 2023, "return_pct": 83.7 }, { "year": 2024, "return_pct": 60.7 }, { "year": 2025, "return_pct": 21.5 }, { "year": 2026, "return_pct": 22.0 } ], "start_date": "2021-12-28", "end_date": "2026-07-02" }, { "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": 30750.26, "total_return_pct": 207.5, "cagr_pct": 28.3, "max_drawdown_pct": 35.7, "sharpe": 1.03, "trades": 427, "win_rate": 32.1, "avg_trade_pnl": 48.6, "best_trade_r": 12.87, "worst_trade_r": -6.58, "best_trade_pnl": 3185.04, "worst_trade_pnl": -1748.5, "avg_hold_days": 16.2, "exit_reasons": { "stop": 274, "time": 153 }, "skipped_book_full": 144, "spy_return_pct": 56.2, "yearly_returns": [ { "year": 2021, "return_pct": -1.3 }, { "year": 2022, "return_pct": -26.2 }, { "year": 2023, "return_pct": 103.2 }, { "year": 2024, "return_pct": 47.7 }, { "year": 2025, "return_pct": 29.8 }, { "year": 2026, "return_pct": 8.4 } ], "start_date": "2021-12-28", "end_date": "2026-07-02" }, { "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": 11360.88, "total_return_pct": 13.6, "cagr_pct": 2.9, "max_drawdown_pct": 18.9, "sharpe": 0.3, "trades": 239, "win_rate": 34.3, "avg_trade_pnl": 5.69, "best_trade_r": 8.89, "worst_trade_r": -2.77, "best_trade_pnl": 621.88, "worst_trade_pnl": -195.69, "avg_hold_days": 16.8, "exit_reasons": { "stop": 152, "time": 87 }, "skipped_book_full": 0, "spy_return_pct": 56.2, "yearly_returns": [ { "year": 2021, "return_pct": 0.3 }, { "year": 2022, "return_pct": 14.9 }, { "year": 2023, "return_pct": -2.4 }, { "year": 2024, "return_pct": 3.4 }, { "year": 2025, "return_pct": -10.0 }, { "year": 2026, "return_pct": 8.6 } ], "start_date": "2021-12-28", "end_date": "2026-07-02" } ], "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": 52815.5, "total_return_pct": 428.2, "cagr_pct": 51.8, "max_drawdown_pct": 22.0, "sharpe": 2.0, "trades": 305, "win_rate": 38.7, "avg_trade_pnl": 140.38, "best_trade_r": 12.87, "worst_trade_r": -1.76, "best_trade_pnl": 5144.91, "worst_trade_pnl": -561.89, "avg_hold_days": 17.1, "exit_reasons": { "stop": 180, "time": 125 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 41.6 }, { "year": 2024, "return_pct": 42.1 }, { "year": 2025, "return_pct": 75.8 }, { "year": 2026, "return_pct": 35.6 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 38710.74, "total_return_pct": 287.1, "cagr_pct": 40.4, "max_drawdown_pct": 24.0, "sharpe": 1.75, "trades": 385, "win_rate": 33.8, "avg_trade_pnl": 74.57, "best_trade_r": 12.87, "worst_trade_r": -1.76, "best_trade_pnl": 4323.49, "worst_trade_pnl": -455.17, "avg_hold_days": 12.3, "exit_reasons": { "sma50": 158, "stop": 131, "time": 96 }, "skipped_book_full": 4, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": -5.2 }, { "year": 2023, "return_pct": 18.7 }, { "year": 2024, "return_pct": 77.1 }, { "year": 2025, "return_pct": 66.0 }, { "year": 2026, "return_pct": 17.1 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 54364.58, "total_return_pct": 443.6, "cagr_pct": 52.9, "max_drawdown_pct": 21.6, "sharpe": 2.03, "trades": 307, "win_rate": 37.8, "avg_trade_pnl": 144.51, "best_trade_r": 12.87, "worst_trade_r": -1.76, "best_trade_pnl": 5295.81, "worst_trade_pnl": -578.37, "avg_hold_days": 16.7, "exit_reasons": { "low20": 17, "stop": 177, "time": 113 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.4 }, { "year": 2023, "return_pct": 40.3 }, { "year": 2024, "return_pct": 41.3 }, { "year": 2025, "return_pct": 85.1 }, { "year": 2026, "return_pct": 34.3 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 52815.5, "total_return_pct": 428.2, "cagr_pct": 51.8, "max_drawdown_pct": 22.0, "sharpe": 2.0, "trades": 305, "win_rate": 38.7, "avg_trade_pnl": 140.38, "best_trade_r": 12.87, "worst_trade_r": -1.76, "best_trade_pnl": 5144.91, "worst_trade_pnl": -561.89, "avg_hold_days": 17.1, "exit_reasons": { "stop": 180, "time": 125 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 41.6 }, { "year": 2024, "return_pct": 42.1 }, { "year": 2025, "return_pct": 75.8 }, { "year": 2026, "return_pct": 35.6 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" }, { "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": 50380.47, "total_return_pct": 403.8, "cagr_pct": 50.0, "max_drawdown_pct": 21.4, "sharpe": 2.03, "trades": 321, "win_rate": 37.4, "avg_trade_pnl": 125.8, "best_trade_r": 12.87, "worst_trade_r": -3.26, "best_trade_pnl": 4977.01, "worst_trade_pnl": -532.7, "avg_hold_days": 15.3, "exit_reasons": { "stop": 146, "time": 78, "trailing_stop": 97 }, "skipped_book_full": 0, "spy_return_pct": 94.3, "yearly_returns": [ { "year": 2022, "return_pct": 8.1 }, { "year": 2023, "return_pct": 42.0 }, { "year": 2024, "return_pct": 36.1 }, { "year": 2025, "return_pct": 78.5 }, { "year": 2026, "return_pct": 35.1 } ], "start_date": "2022-07-06", "end_date": "2026-07-02" } ], "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", 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19578.08, "return_pct": 95.78 }, { "date": "2026-06-17", "equity": 19333.59, "return_pct": 93.34 }, { "date": "2026-06-18", "equity": 19484.41, "return_pct": 94.84 }, { "date": "2026-06-22", "equity": 19423.09, "return_pct": 94.23 }, { "date": "2026-06-23", "equity": 19141.03, "return_pct": 91.41 }, { "date": "2026-06-24", "equity": 19132.16, "return_pct": 91.32 }, { "date": "2026-06-25", "equity": 19159.82, "return_pct": 91.6 }, { "date": "2026-06-26", "equity": 19021.27, "return_pct": 90.21 }, { "date": "2026-06-29", "equity": 19334.64, "return_pct": 93.35 }, { "date": "2026-06-30", "equity": 19485.19, "return_pct": 94.85 }, { "date": "2026-07-01", "equity": 19458.84, "return_pct": 94.59 }, { "date": "2026-07-02", "equity": 19433.27, "return_pct": 94.33 } ] } ], "note": "Portfolio monitor runs supported named strategies across cached lookbacks. The structural overlay appears only in its explicit research arm and changes ordering, not production qualification. Local snapshot backtests remain the research surface for broad variant sweeps." }, "holdout": null, "min_rr_sweep": null, "sr_variant_diagnostics": { "variant": "explicit_target_ladder", "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, "avg_range_504_log": 0.612, "range_factor_pass": 19566, "structural_overlay_rows": 0, "structural_overlay_pass": 0, "structural_overlay_weight": null }, "sr_candidate_audit": [ { "symbol": "ABBV", "date": "2022-06-28", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 89.24972, "strategy_rank": 64.687095, "production_rank": 72.874636, "structural_overlay_pass": null, "structural_overlay_score": null, "structural_overlay_rr": null, 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0, "rr": 0.943723, "primary_prob": 47.16, "primary_sources": [ "pivot_point", "range_grid" ], "primary_strength": 6.0, "primary_rejection_count": 6, "primary_distance_atr": 1.415584, "raw_level_count": 58, "gate_level_count": 58, "range_504_log": 0.939665, "range_504_ratio": 2.559124, "range_factor_pass": false, "outcome": "stop_hit", "net_r": -1.040816, "hold30_r": -1.0 }, { "symbol": "WDC", "date": "2026-05-18", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 99.665552, "strategy_rank": 99.26533, "production_rank": 99.398737, "structural_overlay_pass": null, "structural_overlay_score": null, "structural_overlay_rr": null, "structural_overlay_sources": [], "structural_overlay_gate_level_count": 0, "rr": 1.211701, "primary_prob": 23.46, "primary_sources": [ "range_grid" ], "primary_strength": 0.0, "primary_rejection_count": 1, "primary_distance_atr": 1.817552, "raw_level_count": 148, "gate_level_count": 148, "range_504_log": 2.902267, "range_504_ratio": 18.215401, "range_factor_pass": true, "outcome": "target_hit", "net_r": 1.191141, "hold30_r": 3.130897 }, { "symbol": "WELL", "date": "2026-05-18", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 88.963211, "strategy_rank": 66.045104, "production_rank": 73.684473, "structural_overlay_pass": null, "structural_overlay_score": null, "structural_overlay_rr": null, "structural_overlay_sources": [], "structural_overlay_gate_level_count": 0, "rr": 0.92554, "primary_prob": 32.14, "primary_sources": [ "pivot_point" ], "primary_strength": 3.0, "primary_rejection_count": 6, "primary_distance_atr": 1.38831, "raw_level_count": 101, "gate_level_count": 101, "range_504_log": 0.809533, "range_504_ratio": 2.246858, "range_factor_pass": false, "outcome": "target_hit", "net_r": 0.869121, "hold30_r": -1.005719 }, { "symbol": "XOM", "date": "2026-05-18", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 90.189521, "strategy_rank": 73.544233, "production_rank": 79.092662, "structural_overlay_pass": null, "structural_overlay_score": null, "structural_overlay_rr": null, "structural_overlay_sources": [], "structural_overlay_gate_level_count": 0, "rr": 1.999891, "primary_prob": 24.66, "primary_sources": [ "pivot_point", "range_grid" ], "primary_strength": 1.0, "primary_rejection_count": 2, "primary_distance_atr": 2.999836, "raw_level_count": 73, "gate_level_count": 73, "range_504_log": 0.589886, "range_504_ratio": 1.803783, "range_factor_pass": false, "outcome": "stop_hit", "net_r": -1.050102, "hold30_r": -1.0 }, { "symbol": "GEV", "date": "2026-05-19", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 96.209588, "strategy_rank": 95.311116, "production_rank": 95.610607, "structural_overlay_pass": null, "structural_overlay_score": null, "structural_overlay_rr": null, "structural_overlay_sources": [], "structural_overlay_gate_level_count": 0, "rr": 1.106812, "primary_prob": 29.76, "primary_sources": [ "pivot_point", "range_grid" ], "primary_strength": 18.0, "primary_rejection_count": 12, "primary_distance_atr": 1.660217, "raw_level_count": 112, "gate_level_count": 112, "range_504_log": 2.064219, "range_504_ratio": 7.879141, "range_factor_pass": true, "outcome": "target_hit", "net_r": 1.078424, "hold30_r": -1.0 }, { "symbol": "WBD", "date": "2026-05-19", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 98.216276, "strategy_rank": 72.855954, "production_rank": 81.309395, "structural_overlay_pass": null, "structural_overlay_score": null, "structural_overlay_rr": null, "structural_overlay_sources": [], "structural_overlay_gate_level_count": 0, "rr": 1.917275, "primary_prob": 30.55, "primary_sources": [ "pivot_point", "range_grid" ], "primary_strength": 100.0, "primary_rejection_count": 48, "primary_distance_atr": 2.875912, "raw_level_count": 110, "gate_level_count": 110, "range_504_log": 1.508085, "range_504_ratio": 4.518072, "range_factor_pass": true, "outcome": "stop_hit", "net_r": -1.155088, "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): +50.0% CAGR, Sharpe 2.03, max drawdown -21.4%." }, { "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). The simulated book agrees: +47.9% vs +28.3% CAGR at similar drawdown." }, { "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": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +282.2 points (+376.5% vs +94.3%), max drawdown \u221218.8%." }, { "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": [ { "topic": "capacity_15", "candidate": false, "text": "Max-15 capacity is not needed yet: Sharpe 1.96 vs 1.96, CAGR +47.9% vs +47.9%, skipped 0 vs 0." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.62 vs 1.96, drawdown 16.9% vs 18.8%, CAGR +34.2% vs +47.9%." }, { "topic": "low_vol_overlay", "candidate": false, "text": "Low-vol overlay stays research-only: Residual 80 + low-vol blend / max 10 Sharpe 1.74 vs 1.96, drawdown 14.7% vs 18.8%, CAGR +35.6% vs +47.9%." }, { "topic": "high_vol_overlay", "candidate": false, "text": "High-vol overlay stays research-only: Residual 80 + high-vol 60/40 blend / max 10 Sharpe 2.03 vs 1.96, drawdown 19.4% vs 18.8%, CAGR +52.4% vs +47.9%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }