{ "generated_at": "2026-07-12T20:47:45.570330+00:00", "tickers": 506, "candidates": 119231, "qualified": 676, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "production_control", "entry_start": null, "entry_end": "2024-06-30" }, "activation": { "min_momentum_percentile": 80.0, "min_rr": 2.0, "min_confidence": 0.0, "require_high_conviction": false, "exclude_conflicts": false, "exclude_neutral": true }, "overall_qualified": { "total": 676, "wins": 234, "losses": 362, "expired": 80, "hit_rate": 39.3, "avg_r": 0.277, "total_r": 186.93, "net_avg_r": 0.23, "net_total_r": 155.15, "best_r": 8.85, "worst_r": -3.38, "avg_hold_days": 12.3, "net_r_per_day": 0.0186, "median_net_r": -1.029, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.066 }, "overall_all": { "total": 119231, "wins": 49004, "losses": 66732, "expired": 3495, "hit_rate": 42.3, "avg_r": -0.028, "total_r": -3344.14, "net_avg_r": -0.083, "net_total_r": -9875.37, "best_r": 9.19, "worst_r": -9.25, "avg_hold_days": 8.1, "net_r_per_day": -0.0102, "median_net_r": -1.035, "profit_factor": 0.87, "net_avg_r_ex_top5": -0.207 }, "by_direction": { "long": { "total": 676, "wins": 234, "losses": 362, "expired": 80, "hit_rate": 39.3, "avg_r": 0.277, "total_r": 186.93, "net_avg_r": 0.23, "net_total_r": 155.15, "best_r": 8.85, "worst_r": -3.38, "avg_hold_days": 12.3, "net_r_per_day": 0.0186, "median_net_r": -1.029, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.066 }, "short": { "total": 0, "wins": 0, "losses": 0, "expired": 0, "hit_rate": null, "avg_r": null, "total_r": null, "net_avg_r": null, "net_total_r": null, "best_r": null, "worst_r": null, "avg_hold_days": null, "net_r_per_day": null, "median_net_r": null, "profit_factor": null, "net_avg_r_ex_top5": null } }, "min_momentum_percentile": 80.0, "sweep": [ { "min_momentum_percentile": 90.0, "total": 305, "wins": 107, "losses": 166, "expired": 32, "hit_rate": 39.2, "avg_r": 0.284, "total_r": 86.56, "net_avg_r": 0.241, "net_total_r": 73.57, "best_r": 8.85, "worst_r": -3.38, "avg_hold_days": 12.0, "net_r_per_day": 0.02, "median_net_r": -1.028, "profit_factor": 1.4, "net_avg_r_ex_top5": 0.059 }, { "min_momentum_percentile": 80.0, "total": 676, "wins": 234, "losses": 362, "expired": 80, "hit_rate": 39.3, "avg_r": 0.277, "total_r": 186.93, "net_avg_r": 0.23, "net_total_r": 155.15, "best_r": 8.85, "worst_r": -3.38, "avg_hold_days": 12.3, "net_r_per_day": 0.0186, "median_net_r": -1.029, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.066 }, { "min_momentum_percentile": 70.0, "total": 1146, "wins": 378, "losses": 646, "expired": 122, "hit_rate": 36.9, "avg_r": 0.189, "total_r": 216.24, "net_avg_r": 0.14, "net_total_r": 160.09, "best_r": 8.85, "worst_r": -4.21, "avg_hold_days": 12.2, "net_r_per_day": 0.0115, "median_net_r": -1.036, "profit_factor": 1.22, "net_avg_r_ex_top5": -0.022 }, { "min_momentum_percentile": 60.0, "total": 1706, "wins": 561, "losses": 963, "expired": 182, "hit_rate": 36.8, "avg_r": 0.182, "total_r": 311.16, "net_avg_r": 0.132, "net_total_r": 225.15, "best_r": 8.85, "worst_r": -4.21, "avg_hold_days": 12.3, "net_r_per_day": 0.0107, "median_net_r": -1.038, "profit_factor": 1.21, "net_avg_r_ex_top5": -0.023 }, { "min_momentum_percentile": 50.0, "total": 2344, "wins": 745, "losses": 1348, "expired": 251, "hit_rate": 35.6, "avg_r": 0.142, "total_r": 333.97, "net_avg_r": 0.091, "net_total_r": 213.96, "best_r": 8.85, "worst_r": -4.21, "avg_hold_days": 12.4, "net_r_per_day": 0.0074, "median_net_r": -1.04, "profit_factor": 1.14, "net_avg_r_ex_top5": -0.061 }, { "min_momentum_percentile": 0.0, "total": 8325, "wins": 2194, "losses": 5254, "expired": 877, "hit_rate": 29.5, "avg_r": -0.034, "total_r": -283.11, "net_avg_r": -0.084, "net_total_r": -699.94, "best_r": 9.19, "worst_r": -6.19, "avg_hold_days": 12.2, "net_r_per_day": -0.0069, "median_net_r": -1.043, "profit_factor": 0.88, "net_avg_r_ex_top5": -0.243 } ], "gate_ablation": [ { "variant": "all_floors", "total": 676, "wins": 234, "losses": 362, "expired": 80, "hit_rate": 39.3, "avg_r": 0.277, "total_r": 186.93, "net_avg_r": 0.23, "net_total_r": 155.15, "best_r": 8.85, "worst_r": -3.38, "avg_hold_days": 12.3, "net_r_per_day": 0.0186, "median_net_r": -1.029, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.066, "hold_days": 30, "hold_avg_r": 0.627, "hold_net_avg_r": 0.58, "hold_total_r": 424.09 }, { "variant": "no_confidence_floor", "total": 677, "wins": 234, "losses": 363, "expired": 80, "hit_rate": 39.2, "avg_r": 0.274, "total_r": 185.73, "net_avg_r": 0.227, "net_total_r": 153.91, "best_r": 8.85, "worst_r": -3.38, "avg_hold_days": 12.3, "net_r_per_day": 0.0185, "median_net_r": -1.029, "profit_factor": 1.38, "net_avg_r_ex_top5": 0.064, "hold_days": 30, "hold_avg_r": 0.625, "hold_net_avg_r": 0.578, "hold_total_r": 422.88 }, { "variant": "no_rr_floor", "total": 3749, "wins": 1735, "losses": 1896, "expired": 118, "hit_rate": 47.8, "avg_r": 0.128, "total_r": 479.33, "net_avg_r": 0.076, "net_total_r": 283.84, "best_r": 8.85, "worst_r": -5.16, "avg_hold_days": 8.1, "net_r_per_day": 0.0093, "median_net_r": -1.019, "profit_factor": 1.13, "net_avg_r_ex_top5": -0.05, "hold_days": 30, "hold_avg_r": 0.379, "hold_net_avg_r": 0.327, "hold_total_r": 1421.65 }, { "variant": "no_neutral_exclusion", "total": 1505, "wins": 495, "losses": 835, "expired": 175, "hit_rate": 37.2, "avg_r": 0.2, "total_r": 300.96, "net_avg_r": 0.153, "net_total_r": 230.52, "best_r": 8.85, "worst_r": -3.38, "avg_hold_days": 12.8, "net_r_per_day": 0.012, "median_net_r": -1.032, "profit_factor": 1.25, "net_avg_r_ex_top5": 0.0, "hold_days": 30, "hold_avg_r": 0.618, "hold_net_avg_r": 0.572, "hold_total_r": 930.67 }, { "variant": "momentum_only", "total": 7625, "wins": 3403, "losses": 3932, "expired": 290, "hit_rate": 46.4, "avg_r": 0.12, "total_r": 911.54, "net_avg_r": 0.069, "net_total_r": 523.68, "best_r": 8.85, "worst_r": -5.16, "avg_hold_days": 8.8, "net_r_per_day": 0.0078, "median_net_r": -1.024, "profit_factor": 1.12, "net_avg_r_ex_top5": -0.055, "hold_days": 30, "hold_avg_r": 0.42, "hold_net_avg_r": 0.369, "hold_total_r": 3203.24 } ], "gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", "time_exit_sweep": [ { "hold_days": 5, "total": 676, "wins": 380, "win_rate": 56.2, "avg_r": 0.172, "total_r": 116.34, "net_avg_r": 0.125, "net_total_r": 84.56, "best_r": 3.58, "worst_r": -1.61, "avg_hold_days": 4.5, "net_r_per_day": 0.0277, "median_net_r": 0.127, "profit_factor": 1.37, "net_avg_r_ex_top5": 0.005 }, { "hold_days": 10, "total": 676, "wins": 349, "win_rate": 51.6, "avg_r": 0.357, "total_r": 241.49, "net_avg_r": 0.31, "net_total_r": 209.7, "best_r": 5.85, "worst_r": -1.61, "avg_hold_days": 7.9, "net_r_per_day": 0.0392, "median_net_r": 0.011, "profit_factor": 1.68, "net_avg_r_ex_top5": 0.126 }, { "hold_days": 21, "total": 676, "wins": 307, "win_rate": 45.4, "avg_r": 0.542, "total_r": 366.34, "net_avg_r": 0.495, "net_total_r": 334.56, "best_r": 9.86, "worst_r": -3.38, "avg_hold_days": 13.8, "net_r_per_day": 0.0358, "median_net_r": -1.026, "profit_factor": 1.86, "net_avg_r_ex_top5": 0.221 }, { "hold_days": 30, "total": 676, "wins": 275, "win_rate": 40.7, "avg_r": 0.627, "total_r": 424.09, "net_avg_r": 0.58, "net_total_r": 392.31, "best_r": 11.51, "worst_r": -3.38, "avg_hold_days": 18.0, "net_r_per_day": 0.0323, "median_net_r": -1.033, "profit_factor": 1.91, "net_avg_r_ex_top5": 0.218 } ], "portfolio_sim": { "params": { "starting_capital": 10000.0, "max_positions": 10, "risk_per_trade_pct": 1.0, "notional_cap_pct": 20.0, "cost_per_side_pct": 0.1, "hold_days": 30 }, "policies": [ { "policy": "target", "starting_capital": 10000.0, "final_equity": 16177.86, "total_return_pct": 61.8, "cagr_pct": 25.9, "max_drawdown_pct": 22.5, "sharpe": 1.3, "trades": 220, "win_rate": 40.9, "avg_trade_pnl": 28.08, "best_trade_r": 8.85, "worst_trade_r": -1.86, "best_trade_pnl": 990.78, "worst_trade_pnl": -184.37, "avg_hold_days": 11.3, "exit_reasons": { "stop": 125, "target": 76, "time": 19 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 9.5 }, { "year": 2023, "return_pct": 5.2 }, { "year": 2024, "return_pct": 40.4 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 19629.47, "total_return_pct": 96.3, "cagr_pct": 38.1, "max_drawdown_pct": 18.8, "sharpe": 1.6, "trades": 163, "win_rate": 35.6, "avg_trade_pnl": 59.08, "best_trade_r": 10.81, "worst_trade_r": -1.52, "best_trade_pnl": 1387.26, "worst_trade_pnl": -209.62, "avg_hold_days": 15.9, "exit_reasons": { "stop": 102, "time": 61 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.7 }, { "year": 2023, "return_pct": 42.5 }, { "year": 2024, "return_pct": 29.1 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" } ], "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." }, "strategy_variants": { "variants": [ { "variant": "production_residual_80_fixed10", "label": "Production residual 80 / max 10", "ranking": "residual", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 19629.47, "total_return_pct": 96.3, "cagr_pct": 38.1, "max_drawdown_pct": 18.8, "sharpe": 1.6, "trades": 163, "win_rate": 35.6, "avg_trade_pnl": 59.08, "best_trade_r": 10.81, "worst_trade_r": -1.52, "best_trade_pnl": 1387.26, "worst_trade_pnl": -209.62, "avg_hold_days": 15.9, "exit_reasons": { "stop": 102, "time": 61 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.7 }, { "year": 2023, "return_pct": 42.5 }, { "year": 2024, "return_pct": 29.1 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "variant": "legacy_raw_80_fixed10", "label": "Legacy raw 80 / max 10", "ranking": "raw", "cutoff": 80.0, "filters": [ { "percentile_key": "momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14424.99, "total_return_pct": 44.2, "cagr_pct": 19.0, "max_drawdown_pct": 16.8, "sharpe": 0.92, "trades": 161, "win_rate": 32.3, "avg_trade_pnl": 27.48, "best_trade_r": 10.81, "worst_trade_r": -4.21, "best_trade_pnl": 967.66, "worst_trade_pnl": -224.29, "avg_hold_days": 15.9, "exit_reasons": { "stop": 106, "time": 55 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 7.3 }, { "year": 2023, "return_pct": 6.9 }, { "year": 2024, "return_pct": 25.8 } ], "start_date": "2022-06-28", "end_date": "2024-08-07" }, { "variant": "raw_90_fixed10", "label": "Raw 90 / max 10", "ranking": "raw", "cutoff": 90.0, "filters": [ { "percentile_key": "momentum_percentile", "cutoff": 90.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 15465.77, "total_return_pct": 54.7, "cagr_pct": 23.5, "max_drawdown_pct": 13.9, "sharpe": 1.21, "trades": 118, "win_rate": 33.1, "avg_trade_pnl": 46.32, "best_trade_r": 10.81, "worst_trade_r": -2.13, "best_trade_pnl": 1185.91, "worst_trade_pnl": -167.94, "avg_hold_days": 15.4, "exit_reasons": { "stop": 77, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 41.4, "yearly_returns": [ { "year": 2022, "return_pct": 7.6 }, { "year": 2023, "return_pct": 20.6 }, { "year": 2024, "return_pct": 19.1 } ], "start_date": "2022-07-06", "end_date": "2024-07-30" }, { "variant": "residual_80_fixed15", "label": "Residual 80 / max 15 capacity check", "ranking": "residual", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 15, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 19629.47, "total_return_pct": 96.3, "cagr_pct": 38.1, "max_drawdown_pct": 18.8, "sharpe": 1.6, "trades": 163, "win_rate": 35.6, "avg_trade_pnl": 59.08, "best_trade_r": 10.81, "worst_trade_r": -1.52, "best_trade_pnl": 1387.26, "worst_trade_pnl": -209.62, "avg_hold_days": 15.9, "exit_reasons": { "stop": 102, "time": 61 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.7 }, { "year": 2023, "return_pct": 42.5 }, { "year": 2024, "return_pct": 29.1 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "variant": "residual80_lowvol50_fixed10", "label": "Residual 80 + low-vol 50 / max 10", "ranking": "residual+low_vol_filter", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 }, { "percentile_key": "low_vol_6m_percentile", "cutoff": 50.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14264.89, "total_return_pct": 42.6, "cagr_pct": 20.0, "max_drawdown_pct": 6.0, "sharpe": 1.98, "trades": 58, "win_rate": 56.9, "avg_trade_pnl": 73.53, "best_trade_r": 5.34, "worst_trade_r": -1.0, "best_trade_pnl": 430.75, "worst_trade_pnl": -101.0, "avg_hold_days": 20.9, "exit_reasons": { "stop": 25, "time": 33 }, "skipped_book_full": 0, "spy_return_pct": 43.8, "yearly_returns": [ { "year": 2022, "return_pct": 12.0 }, { "year": 2023, "return_pct": 20.8 }, { "year": 2024, "return_pct": 5.5 } ], "start_date": "2022-07-13", "end_date": "2024-06-25" }, { "variant": "residual80_lowvol70_fixed10", "label": "Residual 80 + low-vol 70 / max 10", "ranking": "residual+low_vol_filter", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 }, { "percentile_key": "low_vol_6m_percentile", "cutoff": 70.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 12892.95, "total_return_pct": 28.9, "cagr_pct": 13.9, "max_drawdown_pct": 4.7, "sharpe": 1.88, "trades": 33, "win_rate": 60.6, "avg_trade_pnl": 87.67, "best_trade_r": 5.34, "worst_trade_r": -1.16, "best_trade_pnl": 432.82, "worst_trade_pnl": -93.42, "avg_hold_days": 21.9, "exit_reasons": { "stop": 13, "time": 20 }, "skipped_book_full": 0, "spy_return_pct": 43.8, "yearly_returns": [ { "year": 2022, "return_pct": 11.3 }, { "year": 2023, "return_pct": 13.1 }, { "year": 2024, "return_pct": 2.4 } ], "start_date": "2022-07-13", "end_date": "2024-06-25" }, { "variant": "residual80_lowvol_blend_fixed10", "label": "Residual 80 + low-vol blend / max 10", "ranking": "residual_low_vol_blend", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14696.29, "total_return_pct": 47.0, "cagr_pct": 20.2, "max_drawdown_pct": 14.7, "sharpe": 1.11, "trades": 156, "win_rate": 31.4, "avg_trade_pnl": 30.1, "best_trade_r": 10.81, "worst_trade_r": -2.25, "best_trade_pnl": 1115.99, "worst_trade_pnl": -177.63, "avg_hold_days": 15.7, "exit_reasons": { "stop": 105, "time": 51 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 16.4 }, { "year": 2023, "return_pct": -0.4 }, { "year": 2024, "return_pct": 26.8 } ], "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": 17566.64, "total_return_pct": 75.7, "cagr_pct": 31.0, "max_drawdown_pct": 20.3, "sharpe": 1.32, "trades": 170, "win_rate": 32.9, "avg_trade_pnl": 44.51, "best_trade_r": 10.81, "worst_trade_r": -1.52, "best_trade_pnl": 1274.22, "worst_trade_pnl": -194.61, "avg_hold_days": 15.5, "exit_reasons": { "stop": 111, "time": 59 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 4.6 }, { "year": 2023, "return_pct": 33.5 }, { "year": 2024, "return_pct": 25.8 } ], "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": 15792.64, "total_return_pct": 57.9, "cagr_pct": 24.7, "max_drawdown_pct": 19.5, "sharpe": 1.11, "trades": 152, "win_rate": 31.6, "avg_trade_pnl": 38.11, "best_trade_r": 10.81, "worst_trade_r": -2.13, "best_trade_pnl": 1030.15, "worst_trade_pnl": -175.96, "avg_hold_days": 15.2, "exit_reasons": { "stop": 102, "time": 50 }, "skipped_book_full": 0, "spy_return_pct": 43.7, "yearly_returns": [ { "year": 2022, "return_pct": 7.0 }, { "year": 2023, "return_pct": 22.1 }, { "year": 2024, "return_pct": 20.9 } ], "start_date": "2022-07-06", "end_date": "2024-07-31" }, { "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": 19163.35, "total_return_pct": 91.6, "cagr_pct": 36.5, "max_drawdown_pct": 21.1, "sharpe": 1.5, "trades": 167, "win_rate": 32.9, "avg_trade_pnl": 54.87, "best_trade_r": 10.81, "worst_trade_r": -1.35, "best_trade_pnl": 1182.51, "worst_trade_pnl": -204.64, "avg_hold_days": 15.4, "exit_reasons": { "stop": 109, "time": 58 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.7 }, { "year": 2023, "return_pct": 35.2 }, { "year": 2024, "return_pct": 28.1 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "variant": "residual80_highvol_blend80_20_fixed10", "label": "Residual 80 + high-vol 80/20 blend / max 10", "ranking": "residual_high_vol_blend_80_20", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 19189.02, "total_return_pct": 91.9, "cagr_pct": 36.6, "max_drawdown_pct": 22.0, "sharpe": 1.5, "trades": 168, "win_rate": 33.9, "avg_trade_pnl": 54.7, "best_trade_r": 9.36, "worst_trade_r": -1.35, "best_trade_pnl": 1244.84, "worst_trade_pnl": -213.09, "avg_hold_days": 15.7, "exit_reasons": { "stop": 108, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 41.6 }, { "year": 2024, "return_pct": 23.0 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "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": 20694.4, "total_return_pct": 106.9, "cagr_pct": 41.6, "max_drawdown_pct": 19.5, "sharpe": 1.64, "trades": 171, "win_rate": 35.1, "avg_trade_pnl": 62.54, "best_trade_r": 10.81, "worst_trade_r": -2.13, "best_trade_pnl": 1335.41, "worst_trade_pnl": -229.81, "avg_hold_days": 16.0, "exit_reasons": { "stop": 108, "time": 63 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 52.0 }, { "year": 2024, "return_pct": 23.6 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "variant": "residual80_highvol_blend60_40_fixed10", "label": "Residual 80 + high-vol 60/40 blend / max 10", "ranking": "residual_high_vol_blend_60_40", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 20548.25, "total_return_pct": 105.5, "cagr_pct": 41.2, "max_drawdown_pct": 19.4, "sharpe": 1.66, "trades": 168, "win_rate": 34.5, "avg_trade_pnl": 62.79, "best_trade_r": 10.81, "worst_trade_r": -2.13, "best_trade_pnl": 1339.68, "worst_trade_pnl": -245.99, "avg_hold_days": 16.0, "exit_reasons": { "stop": 107, "time": 61 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.6 }, { "year": 2023, "return_pct": 51.9 }, { "year": 2024, "return_pct": 22.4 } ], "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": 15380.73, "total_return_pct": 53.8, "cagr_pct": 17.9, "max_drawdown_pct": 36.5, "sharpe": 0.71, "trades": 283, "win_rate": 31.8, "avg_trade_pnl": 19.01, "best_trade_r": 9.82, "worst_trade_r": -3.23, "best_trade_pnl": 1210.21, "worst_trade_pnl": -311.67, "avg_hold_days": 15.7, "exit_reasons": { "stop": 185, "time": 98 }, "skipped_book_full": 395, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -0.7 }, { "year": 2022, "return_pct": -26.2 }, { "year": 2023, "return_pct": 83.7 }, { "year": 2024, "return_pct": 14.3 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "highvol80_fixed10", "label": "High-vol 80 / max 10", "ranking": "high_vol", "cutoff": 80.0, "filters": [ { "percentile_key": "vol_6m_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 15672.12, "total_return_pct": 56.7, "cagr_pct": 18.8, "max_drawdown_pct": 37.3, "sharpe": 0.73, "trades": 280, "win_rate": 31.1, "avg_trade_pnl": 20.26, "best_trade_r": 9.82, "worst_trade_r": -3.23, "best_trade_pnl": 1255.05, "worst_trade_pnl": -323.21, "avg_hold_days": 15.7, "exit_reasons": { "stop": 183, "time": 97 }, "skipped_book_full": 224, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -0.7 }, { "year": 2022, "return_pct": -23.4 }, { "year": 2023, "return_pct": 83.7 }, { "year": 2024, "return_pct": 12.3 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "highvol90_fixed10", "label": "High-vol 90 / max 10", "ranking": "high_vol", "cutoff": 90.0, "filters": [ { "percentile_key": "vol_6m_percentile", "cutoff": 90.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 15629.16, "total_return_pct": 56.3, "cagr_pct": 18.7, "max_drawdown_pct": 35.7, "sharpe": 0.73, "trades": 254, "win_rate": 31.1, "avg_trade_pnl": 22.16, "best_trade_r": 9.82, "worst_trade_r": -3.23, "best_trade_pnl": 1148.35, "worst_trade_pnl": -328.32, "avg_hold_days": 15.8, "exit_reasons": { "stop": 166, "time": 88 }, "skipped_book_full": 100, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -1.3 }, { "year": 2022, "return_pct": -26.2 }, { "year": 2023, "return_pct": 103.2 }, { "year": 2024, "return_pct": 5.6 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "lowvol80_fixed10", "label": "Low-vol 80 / max 10", "ranking": "low_vol", "cutoff": 80.0, "filters": [ { "percentile_key": "low_vol_6m_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 11431.59, "total_return_pct": 14.3, "cagr_pct": 5.4, "max_drawdown_pct": 14.3, "sharpe": 0.51, "trades": 127, "win_rate": 34.6, "avg_trade_pnl": 11.27, "best_trade_r": 8.89, "worst_trade_r": -2.77, "best_trade_pnl": 621.88, "worst_trade_pnl": -195.69, "avg_hold_days": 16.7, "exit_reasons": { "stop": 79, "time": 48 }, "skipped_book_full": 0, "spy_return_pct": 16.8, "yearly_returns": [ { "year": 2021, "return_pct": 0.3 }, { "year": 2022, "return_pct": 14.9 }, { "year": 2023, "return_pct": -2.4 }, { "year": 2024, "return_pct": 1.7 } ], "start_date": "2021-12-28", "end_date": "2024-07-17" } ], "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." }, "exit_policy_variants": { "variants": [ { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "hold", "label": "80/20 entry + 30d hold / initial stop", "description": "Baseline: keep the initial ATR stop and exit at 30 trading days.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 19189.02, "total_return_pct": 91.9, "cagr_pct": 36.6, "max_drawdown_pct": 22.0, "sharpe": 1.5, "trades": 168, "win_rate": 33.9, "avg_trade_pnl": 54.7, "best_trade_r": 9.36, "worst_trade_r": -1.35, "best_trade_pnl": 1244.84, "worst_trade_pnl": -213.09, "avg_hold_days": 15.7, "exit_reasons": { "stop": 108, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 41.6 }, { "year": 2024, "return_pct": 23.0 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "sma50", "label": "80/20 entry + SMA50 break", "description": "Exit at the close when price closes below its 50-day SMA.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 14800.75, "total_return_pct": 48.0, "cagr_pct": 20.6, "max_drawdown_pct": 24.0, "sharpe": 1.01, "trades": 213, "win_rate": 30.0, "avg_trade_pnl": 22.54, "best_trade_r": 10.81, "worst_trade_r": -1.24, "best_trade_pnl": 907.0, "worst_trade_pnl": -152.19, "avg_hold_days": 11.8, "exit_reasons": { "sma50": 81, "stop": 81, "time": 51 }, "skipped_book_full": 4, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": -5.2 }, { "year": 2023, "return_pct": 18.7 }, { "year": 2024, "return_pct": 31.7 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "low20", "label": "80/20 entry + 20-day low break", "description": "Exit at the close when price closes below the prior 20-day low.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 19132.09, "total_return_pct": 91.3, "cagr_pct": 36.4, "max_drawdown_pct": 21.6, "sharpe": 1.5, "trades": 169, "win_rate": 33.1, "avg_trade_pnl": 54.04, "best_trade_r": 10.81, "worst_trade_r": -1.35, "best_trade_pnl": 1234.95, "worst_trade_pnl": -212.39, "avg_hold_days": 15.4, "exit_reasons": { "low20": 8, "stop": 106, "time": 55 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.4 }, { "year": 2023, "return_pct": 40.3 }, { "year": 2024, "return_pct": 23.6 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "technical40", "label": "80/20 entry + technical score < 40", "description": "Exit at the close when the price-derived technical score deteriorates below 40.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 19189.02, "total_return_pct": 91.9, "cagr_pct": 36.6, "max_drawdown_pct": 22.0, "sharpe": 1.5, "trades": 168, "win_rate": 33.9, "avg_trade_pnl": 54.7, "best_trade_r": 9.36, "worst_trade_r": -1.35, "best_trade_pnl": 1244.84, "worst_trade_pnl": -213.09, "avg_hold_days": 15.7, "exit_reasons": { "stop": 108, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 41.6 }, { "year": 2024, "return_pct": 23.0 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "atr_trail3", "label": "80/20 entry + 3x ATR trailing stop", "description": "Trail the stop upward to highest close minus 3 ATR, evaluated from prior data.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 16960.9, "total_return_pct": 69.6, "cagr_pct": 28.8, "max_drawdown_pct": 21.4, "sharpe": 1.28, "trades": 175, "win_rate": 33.7, "avg_trade_pnl": 39.78, "best_trade_r": 9.36, "worst_trade_r": -3.26, "best_trade_pnl": 1044.28, "worst_trade_pnl": -332.18, "avg_hold_days": 14.2, "exit_reasons": { "stop": 86, "time": 39, "trailing_stop": 50 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 8.1 }, { "year": 2023, "return_pct": 42.0 }, { "year": 2024, "return_pct": 10.5 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" } ], "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." }, "portfolio_monitor": { "production_strategy": "residual80_highvol80_20_atr3", "strategies": [ { "strategy": "legacy_residual80_hold", "label": "Legacy residual 80 + 30d hold", "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", "is_production": false }, { "strategy": "residual80_highvol80_20_hold", "label": "Residual/high-vol 80/20 + 30d hold", "description": "Promoted entry candidate before adding the ATR trailing exit.", "is_production": false }, { "strategy": "residual80_highvol80_20_atr3", "label": "Production: residual/high-vol 80/20 + 3x ATR trail", "description": "The live strategy: production activation gate and Admin exit policy as currently configured, 80/20 residual/high-vol rank.", "is_production": true } ], "lookbacks": [ { "lookback": "6m", "label": "6 months" }, { "lookback": "1y", "label": "1 year" }, { "lookback": "3y", "label": "3 years" }, { "lookback": "5y", "label": "5 years" }, { "lookback": "all", "label": "All history" } ], "runs": [ { "strategy": "legacy_residual80_hold", "label": "Legacy residual 80 + 30d hold", "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", "is_production": false, "entry_variant": "production_residual_80_fixed10", "exit_policy": "hold", "live_exit_mode": null, "lookback": "3y", "lookback_label": "3 years", "starting_capital": 10000.0, "final_equity": 14463.36, "total_return_pct": 44.6, "cagr_pct": 40.0, "max_drawdown_pct": 16.4, "sharpe": 1.59, "trades": 72, "win_rate": 38.9, "avg_trade_pnl": 61.99, "best_trade_r": 10.81, "worst_trade_r": -1.22, "best_trade_pnl": 1022.16, "worst_trade_pnl": -154.45, "avg_hold_days": 18.7, "exit_reasons": { "stop": 40, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 16.9, "yearly_returns": [ { "year": 2023, "return_pct": 12.0 }, { "year": 2024, "return_pct": 29.1 } ], 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"primary_strength": 2.0, "primary_rejection_count": 2, "primary_distance_atr": 2.401635, "raw_level_count": 80, "gate_level_count": 80, "outcome": "stop_hit", "net_r": -1.033015, "hold30_r": -1.0 }, { "symbol": "NFLX", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 84.216726, "strategy_rank": 81.865926, "rr": 1.288724, "primary_prob": 21.84, "primary_sources": [ "pivot_point" ], "primary_strength": 1.0, "primary_rejection_count": 1, "primary_distance_atr": 1.933086, "raw_level_count": 98, "gate_level_count": 98, "outcome": "stop_hit", "net_r": -1.060597, "hold30_r": -1.0 }, { "symbol": "NRG", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 97.762073, "strategy_rank": 91.735449, "rr": 1.192722, "primary_prob": 24.13, "primary_sources": [ "pivot_point" ], "primary_strength": 1.0, "primary_rejection_count": 1, "primary_distance_atr": 1.789084, "raw_level_count": 73, 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"date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 85.394582, "strategy_rank": 62.948945, "rr": 1.169322, "primary_prob": 24.92, "primary_sources": [ "pivot_point" ], "primary_strength": 2.0, "primary_rejection_count": 3, "primary_distance_atr": 1.753983, "raw_level_count": 40, "gate_level_count": 40, "outcome": "target_hit", "net_r": 1.086581, "hold30_r": -1.0 }, { "symbol": "PCAR", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 80.212014, "strategy_rank": 66.195413, "rr": 0.736805, "primary_prob": 48.77, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 52.0, "primary_rejection_count": 21, "primary_distance_atr": 1.105208, "raw_level_count": 66, "gate_level_count": 66, "outcome": "stop_hit", "net_r": -1.071297, "hold30_r": -1.0 }, { "symbol": "PRU", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 84.452297, "strategy_rank": 64.827536, "rr": 1.438243, "primary_prob": 20.85, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 12.0, "primary_rejection_count": 7, "primary_distance_atr": 2.157365, "raw_level_count": 35, "gate_level_count": 35, "outcome": "target_hit", "net_r": 1.355384, "hold30_r": -1.0 }, { "symbol": "PSX", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 92.932862, "strategy_rank": 78.907293, "rr": 0.691219, "primary_prob": 48.05, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 39.0, "primary_rejection_count": 31, "primary_distance_atr": 1.036829, "raw_level_count": 83, "gate_level_count": 83, "outcome": "stop_hit", "net_r": -1.681797, "hold30_r": -1.618907 }, { "symbol": "QCOM", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 91.519435, "strategy_rank": 88.000149, "rr": 1.004092, "primary_prob": 31.69, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 13.0, "primary_rejection_count": 8, "primary_distance_atr": 1.506138, "raw_level_count": 66, "gate_level_count": 66, "outcome": "stop_hit", "net_r": -1.039302, "hold30_r": -1.0 }, { "symbol": "RL", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 82.921084, "strategy_rank": 82.439588, "rr": 1.498267, "primary_prob": 32.48, "primary_sources": [ "pivot_point" ], "primary_strength": 1.0, "primary_rejection_count": 1, "primary_distance_atr": 2.2474, "raw_level_count": 66, "gate_level_count": 66, "outcome": "stop_hit", "net_r": -1.055781, "hold30_r": -1.0 }, { "symbol": "SMCI", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 98.704358, "strategy_rank": 98.987293, "rr": 1.726513, "primary_prob": 21.94, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 43.0, "primary_rejection_count": 14, "primary_distance_atr": 2.58977, "raw_level_count": 149, "gate_level_count": 149, "outcome": "stop_hit", "net_r": -1.01815, "hold30_r": -1.0 }, { "symbol": "STX", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 87.86808, "strategy_rank": 83.117527, "rr": 1.640244, "primary_prob": 42.74, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 65.0, "primary_rejection_count": 18, "primary_distance_atr": 2.460366, "raw_level_count": 80, "gate_level_count": 80, "outcome": "target_hit", "net_r": 1.590743, "hold30_r": -1.0 }, { "symbol": "SW", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 96.819788, "strategy_rank": 84.977142, "rr": 1.081186, "primary_prob": 46.86, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 100.0, "primary_rejection_count": 46, "primary_distance_atr": 1.621779, "raw_level_count": 62, "gate_level_count": 62, "outcome": "stop_hit", "net_r": -1.055821, "hold30_r": -1.0 }, { "symbol": "TPL", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 90.57715, "strategy_rank": 91.711878, "rr": 1.549006, "primary_prob": 41.14, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 49.0, "primary_rejection_count": 15, "primary_distance_atr": 2.323509, "raw_level_count": 80, "gate_level_count": 80, "outcome": "target_hit", "net_r": 1.51044, "hold30_r": 0.585276 }, { "symbol": "TT", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 94.699647, "strategy_rank": 78.134641, "rr": 0.806554, "primary_prob": 35.88, "primary_sources": [ "pivot_point" ], "primary_strength": 1.0, "primary_rejection_count": 2, "primary_distance_atr": 1.209831, "raw_level_count": 87, "gate_level_count": 87, "outcome": "stop_hit", "net_r": -1.054905, "hold30_r": -1.0 }, { "symbol": "TXT", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 83.392226, "strategy_rank": 71.559047, "rr": 1.581017, "primary_prob": 23.57, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 39.0, "primary_rejection_count": 18, "primary_distance_atr": 2.371526, "raw_level_count": 39, "gate_level_count": 39, "outcome": "target_hit", "net_r": 1.499908, "hold30_r": -1.0 }, { "symbol": "URI", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 81.154299, "strategy_rank": 82.401429, "rr": 1.605681, "primary_prob": 32.53, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 86.0, "primary_rejection_count": 30, "primary_distance_atr": 2.408521, "raw_level_count": 89, "gate_level_count": 89, "outcome": "target_hit", "net_r": 1.564974, "hold30_r": 0.671828 }, { "symbol": "VLO", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 88.339223, "strategy_rank": 81.22641, "rr": 1.785164, "primary_prob": 23.24, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 54.0, "primary_rejection_count": 20, "primary_distance_atr": 2.677746, "raw_level_count": 87, "gate_level_count": 87, "outcome": "stop_hit", "net_r": -1.497408, "hold30_r": -1.450012 }, { "symbol": "VRT", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 99.411072, "strategy_rank": 98.635929, "rr": 1.052832, "primary_prob": 29.46, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 9.0, "primary_rejection_count": 7, "primary_distance_atr": 1.579248, "raw_level_count": 133, "gate_level_count": 133, "outcome": "stop_hit", "net_r": -1.022515, "hold30_r": -1.0 }, { "symbol": "VST", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 99.175501, "strategy_rank": 97.801229, "rr": 1.132566, "primary_prob": 26.27, "primary_sources": [ "pivot_point" ], "primary_strength": 4.0, "primary_rejection_count": 6, "primary_distance_atr": 1.698849, "raw_level_count": 103, "gate_level_count": 103, "outcome": "stop_hit", "net_r": -1.023855, "hold30_r": -1.0 }, { "symbol": "WAB", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 92.697291, "strategy_rank": 72.57318, "rr": 0.682089, "primary_prob": 60.64, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 100.0, "primary_rejection_count": 21, "primary_distance_atr": 1.023133, "raw_level_count": 64, "gate_level_count": 64, "outcome": "stop_hit", "net_r": -1.070411, "hold30_r": -1.0 }, { "symbol": "WDC", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 95.288575, "strategy_rank": 91.801885, "rr": 0.971262, "primary_prob": 31.29, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 6.0, "primary_rejection_count": 4, "primary_distance_atr": 1.456892, "raw_level_count": 88, "gate_level_count": 88, "outcome": "target_hit", "net_r": 0.928661, "hold30_r": -1.0 }, { "symbol": "WFC", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 87.396938, "strategy_rank": 70.942839, "rr": 1.798273, "primary_prob": 20.44, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 41.0, "primary_rejection_count": 21, "primary_distance_atr": 2.69741, "raw_level_count": 48, "gate_level_count": 48, "outcome": "target_hit", "net_r": 1.733503, "hold30_r": -1.143666 }, { "symbol": "WRB", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 88.103651, "strategy_rank": 70.626728, "rr": 1.596589, "primary_prob": 25.49, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 50.0, "primary_rejection_count": 19, "primary_distance_atr": 2.394883, "raw_level_count": 57, "gate_level_count": 57, "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": 97.290931, "strategy_rank": 96.341019, "rr": 1.148844, "primary_prob": 33.64, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 43.0, "primary_rejection_count": 17, "primary_distance_atr": 1.723265, "raw_level_count": 89, "gate_level_count": 89, "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): +28.8% CAGR, Sharpe 1.28, max drawdown -21.4%." }, { "topic": "exit", "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.58R net/trade vs +0.23R for the S/R target exit). The simulated book agrees: +38.1% vs +25.9% CAGR at similar drawdown." }, { "topic": "gate", "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.00R/trade and adds 1 trades." }, { "topic": "gate", "text": "Gate: keep the R:R floor (worth +0.25R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: the NEUTRAL exclusion adds nothing \u2014 dropping it costs +0.01R/trade and adds 829 trades." }, { "topic": "cutoff", "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.24R over 305 setups)." }, { "topic": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +61.0 points (+96.3% vs +35.3%), max drawdown \u221218.8%." }, { "topic": "robustness", "text": "Robustness: expectancy survives removing the top 5% of winners (+0.22R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." } ], "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." }, "research_recommendation": { "items": [ { "topic": "capacity_15", "candidate": false, "text": "Max-15 capacity is not needed yet: Sharpe 1.60 vs 1.60, CAGR +38.1% vs +38.1%, skipped 0 vs 0." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.21 vs 1.60, drawdown 13.9% vs 18.8%, CAGR +23.5% vs +38.1%." }, { "topic": "low_vol_overlay", "candidate": false, "text": "Low-vol overlay stays research-only: Residual 80 + low-vol 50 / max 10 Sharpe 1.98 vs 1.60, drawdown 6.0% vs 18.8%, CAGR +20.0% vs +38.1%." }, { "topic": "high_vol_overlay", "candidate": false, "text": "High-vol overlay stays research-only: Residual 80 + high-vol 60/40 blend / max 10 Sharpe 1.66 vs 1.60, drawdown 19.4% vs 18.8%, CAGR +41.2% vs +38.1%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }