{ "generated_at": "2026-07-13T08:10:47.323902+00:00", "tickers": 506, "candidates": 202176, "qualified": 290, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "rewrite_range504_structural_legacy_primary", "range_factor_lookback": 504, "range_factor_min_log": 1.0, "range_factor_min_ratio": 2.7183, "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": 290, "wins": 118, "losses": 151, "expired": 21, "hit_rate": 43.9, "avg_r": 0.393, "total_r": 113.83, "net_avg_r": 0.358, "net_total_r": 103.74, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.4, "net_r_per_day": 0.0313, "median_net_r": -1.019, "profit_factor": 1.62, "net_avg_r_ex_top5": 0.224 }, "overall_all": { "total": 202176, "wins": 80685, "losses": 114117, "expired": 7374, "hit_rate": 41.4, "avg_r": -0.048, "total_r": -9747.5, "net_avg_r": -0.102, "net_total_r": -20698.64, "best_r": 9.13, "worst_r": -16.42, "avg_hold_days": 8.3, "net_r_per_day": -0.0123, "median_net_r": -1.036, "profit_factor": 0.84, "net_avg_r_ex_top5": -0.23 }, "by_direction": { "long": { "total": 290, "wins": 118, "losses": 151, "expired": 21, "hit_rate": 43.9, "avg_r": 0.393, "total_r": 113.83, "net_avg_r": 0.358, "net_total_r": 103.74, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.4, "net_r_per_day": 0.0313, "median_net_r": -1.019, "profit_factor": 1.62, "net_avg_r_ex_top5": 0.224 }, "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": 217, "wins": 86, "losses": 119, "expired": 12, "hit_rate": 42.0, "avg_r": 0.325, "total_r": 70.54, "net_avg_r": 0.292, "net_total_r": 63.32, "best_r": 3.08, "worst_r": -3.12, "avg_hold_days": 11.1, "net_r_per_day": 0.0263, "median_net_r": -1.021, "profit_factor": 1.48, "net_avg_r_ex_top5": 0.161 }, { "min_momentum_percentile": 80.0, "total": 290, "wins": 118, "losses": 151, "expired": 21, "hit_rate": 43.9, "avg_r": 0.393, "total_r": 113.83, "net_avg_r": 0.358, "net_total_r": 103.74, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.4, "net_r_per_day": 0.0313, "median_net_r": -1.019, "profit_factor": 1.62, "net_avg_r_ex_top5": 0.224 }, { "min_momentum_percentile": 70.0, "total": 353, "wins": 133, "losses": 191, "expired": 29, "hit_rate": 41.0, "avg_r": 0.312, "total_r": 110.2, "net_avg_r": 0.277, "net_total_r": 97.67, "best_r": 3.53, "worst_r": -3.12, "avg_hold_days": 11.3, "net_r_per_day": 0.0244, "median_net_r": -1.021, "profit_factor": 1.47, "net_avg_r_ex_top5": 0.138 }, { "min_momentum_percentile": 60.0, "total": 417, "wins": 154, "losses": 225, "expired": 38, "hit_rate": 40.6, "avg_r": 0.291, "total_r": 121.34, "net_avg_r": 0.255, "net_total_r": 106.37, "best_r": 3.53, "worst_r": -3.12, "avg_hold_days": 11.4, "net_r_per_day": 0.0223, "median_net_r": -1.021, "profit_factor": 1.43, "net_avg_r_ex_top5": 0.119 }, { "min_momentum_percentile": 50.0, "total": 478, "wins": 176, "losses": 258, "expired": 44, "hit_rate": 40.6, "avg_r": 0.285, "total_r": 136.31, "net_avg_r": 0.249, "net_total_r": 119.24, "best_r": 3.53, "worst_r": -3.97, "avg_hold_days": 11.6, "net_r_per_day": 0.0215, "median_net_r": -1.021, "profit_factor": 1.42, "net_avg_r_ex_top5": 0.112 }, { "min_momentum_percentile": 0.0, "total": 1308, "wins": 419, "losses": 774, "expired": 115, "hit_rate": 35.1, "avg_r": 0.122, "total_r": 160.22, "net_avg_r": 0.087, "net_total_r": 113.91, "best_r": 6.46, "worst_r": -6.67, "avg_hold_days": 11.3, "net_r_per_day": 0.0077, "median_net_r": -1.026, "profit_factor": 1.13, "net_avg_r_ex_top5": -0.077 } ], "gate_ablation": [ { "variant": "all_floors", "total": 290, "wins": 118, "losses": 151, "expired": 21, "hit_rate": 43.9, "avg_r": 0.393, "total_r": 113.83, "net_avg_r": 0.358, "net_total_r": 103.74, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.4, "net_r_per_day": 0.0313, "median_net_r": -1.019, "profit_factor": 1.62, "net_avg_r_ex_top5": 0.224, "hold_days": 30, "hold_avg_r": 0.978, "hold_net_avg_r": 0.944, "hold_total_r": 283.76 }, { "variant": "no_confidence_floor", "total": 1011, "wins": 348, "losses": 572, "expired": 91, "hit_rate": 37.8, "avg_r": 0.195, "total_r": 197.29, "net_avg_r": 0.15, "net_total_r": 152.12, "best_r": 4.05, "worst_r": -3.43, "avg_hold_days": 11.8, "net_r_per_day": 0.0127, "median_net_r": -1.03, "profit_factor": 1.24, "net_avg_r_ex_top5": 0.008, "hold_days": 30, "hold_avg_r": 0.54, "hold_net_avg_r": 0.495, "hold_total_r": 545.62 }, { "variant": "no_rr_floor", "total": 7098, "wins": 3332, "losses": 3570, "expired": 196, "hit_rate": 48.3, "avg_r": 0.103, "total_r": 729.14, "net_avg_r": 0.051, "net_total_r": 359.46, "best_r": 4.05, "worst_r": -6.02, "avg_hold_days": 7.9, "net_r_per_day": 0.0064, "median_net_r": -1.017, "profit_factor": 1.09, "net_avg_r_ex_top5": -0.065, "hold_days": 30, "hold_avg_r": 0.334, "hold_net_avg_r": 0.282, "hold_total_r": 2370.27 }, { "variant": "no_neutral_exclusion", "total": 2619, "wins": 853, "losses": 1496, "expired": 270, "hit_rate": 36.3, "avg_r": 0.138, "total_r": 361.03, "net_avg_r": 0.093, "net_total_r": 242.41, "best_r": 4.07, "worst_r": -5.71, "avg_hold_days": 12.5, "net_r_per_day": 0.0074, "median_net_r": -1.032, "profit_factor": 1.15, "net_avg_r_ex_top5": -0.047, "hold_days": 30, "hold_avg_r": 0.444, "hold_net_avg_r": 0.398, "hold_total_r": 1162.03 }, { "variant": "momentum_only", "total": 14982, "wins": 6764, "losses": 7641, "expired": 577, "hit_rate": 47.0, "avg_r": 0.115, "total_r": 1729.94, "net_avg_r": 0.065, "net_total_r": 976.18, "best_r": 4.07, "worst_r": -6.02, "avg_hold_days": 8.8, "net_r_per_day": 0.0074, "median_net_r": -1.02, "profit_factor": 1.11, "net_avg_r_ex_top5": -0.051, "hold_days": 30, "hold_avg_r": 0.387, "hold_net_avg_r": 0.337, "hold_total_r": 5802.43 } ], "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": 290, "wins": 165, "win_rate": 56.9, "avg_r": 0.174, "total_r": 50.38, "net_avg_r": 0.139, "net_total_r": 40.29, "best_r": 5.59, "worst_r": -3.12, "avg_hold_days": 4.5, "net_r_per_day": 0.031, "median_net_r": 0.133, "profit_factor": 1.4, "net_avg_r_ex_top5": -0.007 }, { "hold_days": 10, "total": 290, "wins": 162, "win_rate": 55.9, "avg_r": 0.452, "total_r": 131.18, "net_avg_r": 0.418, "net_total_r": 121.09, "best_r": 6.73, "worst_r": -3.12, "avg_hold_days": 7.9, "net_r_per_day": 0.0529, "median_net_r": 0.124, "profit_factor": 1.93, "net_avg_r_ex_top5": 0.183 }, { "hold_days": 21, "total": 290, "wins": 139, "win_rate": 47.9, "avg_r": 0.789, "total_r": 228.7, "net_avg_r": 0.754, "net_total_r": 218.61, "best_r": 9.01, "worst_r": -3.12, "avg_hold_days": 14.0, "net_r_per_day": 0.0537, "median_net_r": -0.669, "profit_factor": 2.36, "net_avg_r_ex_top5": 0.447 }, { "hold_days": 30, "total": 290, "wins": 119, "win_rate": 41.0, "avg_r": 0.978, "total_r": 283.76, "net_avg_r": 0.944, "net_total_r": 273.67, "best_r": 12.87, "worst_r": -3.12, "avg_hold_days": 18.3, "net_r_per_day": 0.0515, "median_net_r": -1.023, "profit_factor": 2.52, "net_avg_r_ex_top5": 0.532 } ], "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": 16356.91, "total_return_pct": 63.6, "cagr_pct": 13.3, "max_drawdown_pct": 13.2, "sharpe": 0.97, "trades": 195, "win_rate": 41.5, "avg_trade_pnl": 32.6, "best_trade_r": 4.49, "worst_trade_r": -2.88, "best_trade_pnl": 480.0, "worst_trade_pnl": -294.77, "avg_hold_days": 11.1, "exit_reasons": { "stop": 107, "target": 72, "time": 16 }, "skipped_book_full": 5, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -1.7 }, { "year": 2023, "return_pct": 27.4 }, { "year": 2024, "return_pct": 11.2 }, { "year": 2025, "return_pct": 17.5 }, { "year": 2026, "return_pct": 0.1 } ], "start_date": "2022-07-20", "end_date": "2026-07-02" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 25860.05, "total_return_pct": 158.6, "cagr_pct": 27.2, "max_drawdown_pct": 17.0, "sharpe": 1.39, "trades": 166, "win_rate": 37.3, "avg_trade_pnl": 95.54, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2852.32, "worst_trade_pnl": -345.26, "avg_hold_days": 17.4, "exit_reasons": { "stop": 98, "time": 68 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 21.5 }, { "year": 2025, "return_pct": 36.1 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 25860.05, "total_return_pct": 158.6, "cagr_pct": 27.2, "max_drawdown_pct": 17.0, "sharpe": 1.39, "trades": 166, "win_rate": 37.3, "avg_trade_pnl": 95.54, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2852.32, "worst_trade_pnl": -345.26, "avg_hold_days": 17.4, "exit_reasons": { "stop": 98, "time": 68 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 21.5 }, { "year": 2025, "return_pct": 36.1 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 27679.9, "total_return_pct": 176.8, "cagr_pct": 29.7, "max_drawdown_pct": 20.9, "sharpe": 1.47, "trades": 169, "win_rate": 36.7, "avg_trade_pnl": 104.61, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2732.81, "worst_trade_pnl": -328.0, "avg_hold_days": 17.7, "exit_reasons": { "stop": 101, "time": 68 }, "skipped_book_full": 15, "spy_return_pct": 79.7, "yearly_returns": [ { "year": 2022, "return_pct": -2.4 }, { "year": 2023, "return_pct": 43.0 }, { "year": 2024, "return_pct": 9.9 }, { "year": 2025, "return_pct": 48.4 }, { "year": 2026, "return_pct": 21.7 } ], "start_date": "2022-08-03", "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": 20685.4, "total_return_pct": 106.9, "cagr_pct": 20.4, "max_drawdown_pct": 16.6, "sharpe": 1.21, "trades": 135, "win_rate": 34.8, "avg_trade_pnl": 79.15, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2281.3, "worst_trade_pnl": -274.38, "avg_hold_days": 16.8, "exit_reasons": { "stop": 84, "time": 51 }, "skipped_book_full": 0, "spy_return_pct": 79.7, "yearly_returns": [ { "year": 2022, "return_pct": -2.4 }, { "year": 2023, "return_pct": 16.0 }, { "year": 2024, "return_pct": 9.2 }, { "year": 2025, "return_pct": 51.5 }, { "year": 2026, "return_pct": 10.4 } ], "start_date": "2022-08-03", "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": 25860.05, "total_return_pct": 158.6, "cagr_pct": 27.2, "max_drawdown_pct": 17.0, "sharpe": 1.39, "trades": 166, "win_rate": 37.3, "avg_trade_pnl": 95.54, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2852.32, "worst_trade_pnl": -345.26, "avg_hold_days": 17.4, "exit_reasons": { "stop": 98, "time": 68 }, "skipped_book_full": 0, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 21.5 }, { "year": 2025, "return_pct": 36.1 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 9678.51, "total_return_pct": -3.2, "cagr_pct": -1.5, "max_drawdown_pct": 3.2, "sharpe": -1.19, "trades": 5, "win_rate": 0.0, "avg_trade_pnl": -64.3, "best_trade_r": -0.38, "worst_trade_r": -1.0, "best_trade_pnl": -35.12, "worst_trade_pnl": -76.35, "avg_hold_days": 9.2, "exit_reasons": { "stop": 4, "time": 1 }, "skipped_book_full": 0, "spy_return_pct": 40.7, "yearly_returns": [ { "year": 2024, "return_pct": -0.7 }, { "year": 2025, "return_pct": -2.5 }, { "year": 2026, "return_pct": 0.0 } ], "start_date": "2024-05-24", "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": 9964.61, "total_return_pct": -0.4, "cagr_pct": -0.3, "max_drawdown_pct": 0.8, "sharpe": -0.23, "trades": 1, "win_rate": 0.0, "avg_trade_pnl": -35.39, "best_trade_r": -0.38, "worst_trade_r": -0.38, "best_trade_pnl": -35.39, "worst_trade_pnl": -35.39, "avg_hold_days": 30.0, "exit_reasons": { "time": 1 }, "skipped_book_full": 0, "spy_return_pct": 25.2, "yearly_returns": [ { "year": 2025, "return_pct": -0.3 }, { "year": 2026, "return_pct": 0.0 } ], "start_date": "2025-05-19", "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": 23823.88, "total_return_pct": 138.2, "cagr_pct": 24.6, "max_drawdown_pct": 17.0, "sharpe": 1.31, "trades": 167, "win_rate": 36.5, "avg_trade_pnl": 82.78, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2627.25, "worst_trade_pnl": -342.83, "avg_hold_days": 17.2, "exit_reasons": { "stop": 100, "time": 67 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 51.0 }, { "year": 2024, "return_pct": 15.0 }, { "year": 2025, "return_pct": 33.4 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 26140.1, "total_return_pct": 161.4, "cagr_pct": 27.5, "max_drawdown_pct": 17.0, "sharpe": 1.41, "trades": 164, "win_rate": 37.8, "avg_trade_pnl": 98.42, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2883.21, "worst_trade_pnl": -345.26, "avg_hold_days": 17.6, "exit_reasons": { "stop": 96, "time": 68 }, "skipped_book_full": 8, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 21.5 }, { "year": 2025, "return_pct": 37.5 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 27989.1, "total_return_pct": 179.9, "cagr_pct": 29.8, "max_drawdown_pct": 17.0, "sharpe": 1.5, "trades": 162, "win_rate": 38.3, "avg_trade_pnl": 111.04, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 3087.15, "worst_trade_pnl": -345.26, "avg_hold_days": 17.5, "exit_reasons": { "stop": 94, "time": 68 }, "skipped_book_full": 6, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 22.4 }, { "year": 2025, "return_pct": 46.2 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 25401.87, "total_return_pct": 154.0, "cagr_pct": 26.6, "max_drawdown_pct": 17.0, "sharpe": 1.37, "trades": 167, "win_rate": 37.7, "avg_trade_pnl": 92.23, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2801.79, "worst_trade_pnl": -345.26, "avg_hold_days": 17.5, "exit_reasons": { "stop": 98, "time": 69 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 21.5 }, { "year": 2025, "return_pct": 33.6 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 25871.56, "total_return_pct": 158.7, "cagr_pct": 27.2, "max_drawdown_pct": 18.3, "sharpe": 1.4, "trades": 165, "win_rate": 37.6, "avg_trade_pnl": 96.19, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2853.59, "worst_trade_pnl": -351.11, "avg_hold_days": 17.7, "exit_reasons": { "stop": 97, "time": 68 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 19.7 }, { "year": 2025, "return_pct": 35.9 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 25426.34, "total_return_pct": 154.3, "cagr_pct": 26.6, "max_drawdown_pct": 18.3, "sharpe": 1.37, "trades": 165, "win_rate": 37.0, "avg_trade_pnl": 93.49, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2804.49, "worst_trade_pnl": -351.18, "avg_hold_days": 17.7, "exit_reasons": { "stop": 97, "time": 68 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 19.7 }, { "year": 2025, "return_pct": 33.6 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 24680.06, "total_return_pct": 146.8, "cagr_pct": 25.7, "max_drawdown_pct": 18.3, "sharpe": 1.33, "trades": 164, "win_rate": 36.6, "avg_trade_pnl": 89.51, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2722.17, "worst_trade_pnl": -351.18, "avg_hold_days": 17.7, "exit_reasons": { "stop": 97, "time": 67 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 50.2 }, { "year": 2024, "return_pct": 19.6 }, { "year": 2025, "return_pct": 33.6 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 24112.06, "total_return_pct": 141.1, "cagr_pct": 22.5, "max_drawdown_pct": 28.9, "sharpe": 0.88, "trades": 382, "win_rate": 31.7, "avg_trade_pnl": 36.94, "best_trade_r": 12.87, "worst_trade_r": -5.18, "best_trade_pnl": 2445.83, "worst_trade_pnl": -987.55, "avg_hold_days": 15.8, "exit_reasons": { "stop": 252, "time": 130 }, "skipped_book_full": 59, "spy_return_pct": 70.9, "yearly_returns": [ { "year": 2022, "return_pct": -25.5 }, { "year": 2023, "return_pct": 101.9 }, { "year": 2024, "return_pct": 1.7 }, { "year": 2025, "return_pct": 41.3 }, { "year": 2026, "return_pct": 11.5 } ], "start_date": "2022-03-03", "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": 24163.65, "total_return_pct": 141.6, "cagr_pct": 22.6, "max_drawdown_pct": 28.1, "sharpe": 0.89, "trades": 369, "win_rate": 31.7, "avg_trade_pnl": 38.38, "best_trade_r": 12.87, "worst_trade_r": -5.18, "best_trade_pnl": 2537.43, "worst_trade_pnl": -1009.69, "avg_hold_days": 15.8, "exit_reasons": { "stop": 243, "time": 126 }, "skipped_book_full": 49, "spy_return_pct": 70.9, "yearly_returns": [ { "year": 2022, "return_pct": -24.7 }, { "year": 2023, "return_pct": 102.3 }, { "year": 2024, "return_pct": -0.2 }, { "year": 2025, "return_pct": 49.1 }, { "year": 2026, "return_pct": 6.6 } ], "start_date": "2022-03-03", "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": 28263.27, "total_return_pct": 182.6, "cagr_pct": 27.1, "max_drawdown_pct": 25.2, "sharpe": 1.03, "trades": 334, "win_rate": 33.5, "avg_trade_pnl": 54.68, "best_trade_r": 12.87, "worst_trade_r": -5.18, "best_trade_pnl": 2868.4, "worst_trade_pnl": -1131.21, "avg_hold_days": 16.7, "exit_reasons": { "stop": 212, "time": 122 }, "skipped_book_full": 31, "spy_return_pct": 70.9, "yearly_returns": [ { "year": 2022, "return_pct": -23.1 }, { "year": 2023, "return_pct": 119.2 }, { "year": 2024, "return_pct": -1.7 }, { "year": 2025, "return_pct": 66.6 }, { "year": 2026, "return_pct": 2.3 } ], "start_date": "2022-03-03", "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": 10190.98, "total_return_pct": 1.9, "cagr_pct": null, "max_drawdown_pct": 0.5, "sharpe": 3.35, "trades": 1, "win_rate": 100.0, "avg_trade_pnl": 190.98, "best_trade_r": 3.06, "worst_trade_r": 3.06, "best_trade_pnl": 190.98, "worst_trade_pnl": 190.98, "avg_hold_days": 30.0, "exit_reasons": { "time": 1 }, "skipped_book_full": 0, "spy_return_pct": 13.0, "yearly_returns": [ { "year": 2026, "return_pct": 1.9 } ], "start_date": "2026-04-06", "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": 25871.56, "total_return_pct": 158.7, "cagr_pct": 27.2, "max_drawdown_pct": 18.3, "sharpe": 1.4, "trades": 165, "win_rate": 37.6, "avg_trade_pnl": 96.19, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2853.59, "worst_trade_pnl": -351.11, "avg_hold_days": 17.7, "exit_reasons": { "stop": 97, "time": 68 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 19.7 }, { "year": 2025, "return_pct": 35.9 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 30003.17, "total_return_pct": 200.0, "cagr_pct": 32.1, "max_drawdown_pct": 11.7, "sharpe": 1.72, "trades": 186, "win_rate": 38.2, "avg_trade_pnl": 107.54, "best_trade_r": 12.87, "worst_trade_r": -1.42, "best_trade_pnl": 3394.23, "worst_trade_pnl": -323.11, "avg_hold_days": 12.9, "exit_reasons": { "sma50": 88, "stop": 47, "time": 51 }, "skipped_book_full": 0, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -4.8 }, { "year": 2023, "return_pct": 73.1 }, { "year": 2024, "return_pct": 29.9 }, { "year": 2025, "return_pct": 31.8 }, { "year": 2026, "return_pct": 6.3 } ], "start_date": "2022-07-20", "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": 25877.58, "total_return_pct": 158.8, "cagr_pct": 27.2, "max_drawdown_pct": 17.8, "sharpe": 1.39, "trades": 167, "win_rate": 37.1, "avg_trade_pnl": 95.08, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2854.26, "worst_trade_pnl": -350.48, "avg_hold_days": 17.3, "exit_reasons": { "low20": 13, "stop": 94, "time": 60 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 53.1 }, { "year": 2024, "return_pct": 20.9 }, { "year": 2025, "return_pct": 36.2 }, { "year": 2026, "return_pct": 6.2 } ], "start_date": "2022-07-20", "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": 25871.56, "total_return_pct": 158.7, "cagr_pct": 27.2, "max_drawdown_pct": 18.3, "sharpe": 1.4, "trades": 165, "win_rate": 37.6, "avg_trade_pnl": 96.19, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 2853.59, "worst_trade_pnl": -351.11, "avg_hold_days": 17.7, "exit_reasons": { "stop": 97, "time": 68 }, "skipped_book_full": 9, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 19.7 }, { "year": 2025, "return_pct": 35.9 }, { "year": 2026, "return_pct": 6.5 } ], "start_date": "2022-07-20", "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": 27160.41, "total_return_pct": 171.6, "cagr_pct": 28.8, "max_drawdown_pct": 14.3, "sharpe": 1.53, "trades": 170, "win_rate": 39.4, "avg_trade_pnl": 100.94, "best_trade_r": 12.87, "worst_trade_r": -2.88, "best_trade_pnl": 3061.77, "worst_trade_pnl": -356.82, "avg_hold_days": 16.0, "exit_reasons": { "stop": 69, "time": 40, "trailing_stop": 61 }, "skipped_book_full": 8, "spy_return_pct": 88.7, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 57.1 }, { "year": 2024, "return_pct": 19.9 }, { "year": 2025, "return_pct": 41.7 }, { "year": 2026, "return_pct": 5.3 } ], "start_date": "2022-07-20", "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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Local snapshot backtests remain the research surface for broad variant sweeps." }, "holdout": null, "min_rr_sweep": null, "sr_variant_diagnostics": { "variant": "rewrite_range504_structural_legacy_primary", "candidate_count": 202176, "primary_source_counts": { "pivot_point": 201014, "round_number": 115066, "volume_profile": 94763 }, "primary_round_only": 0, "primary_strength_100": 72417, "avg_primary_strength": 76.671, "avg_primary_distance_atr": 2.333, "avg_primary_rejection_count": 7.527, "avg_raw_level_count": 15.196, "avg_gate_level_count": 14.253, "avg_range_504_log": 0.609, "range_factor_pass": 19496 }, "sr_candidate_audit": [ { "symbol": "ABBV", "date": "2022-06-28", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 89.72973, "strategy_rank": 64.946733, "rr": 2.137669, "primary_prob": 30.19, "primary_sources": [ "pivot_point" ], "primary_strength": 37.0, "primary_rejection_count": 2, "primary_distance_atr": 3.206503, "raw_level_count": 16, 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"primary_prob": 36.63, "primary_sources": [ "pivot_point" ], "primary_strength": 100.0, "primary_rejection_count": 9, "primary_distance_atr": 2.299699, "raw_level_count": 16, "gate_level_count": 16, "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): +28.8% CAGR, Sharpe 1.53, max drawdown -14.3%." }, { "topic": "exit", "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.94R net/trade vs +0.36R for the S/R target exit). The simulated book agrees: +27.2% vs +13.3% CAGR at similar drawdown." }, { "topic": "gate", "text": "Gate: keep the confidence floor (worth +0.45R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: keep the R:R floor (worth +0.66R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: keep the NEUTRAL exclusion (worth +0.55R/trade under the hold exit)." }, { "topic": "cutoff", "text": "Residual-momentum cutoff: 80 has the best per-trade net (+0.36R over 290 setups)." }, { "topic": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +69.9 points (+158.6% vs +88.7%), max drawdown \u221217.0%." }, { "topic": "robustness", "text": "Robustness: expectancy survives removing the top 5% of winners (+0.53R 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 1.39 vs 1.39, CAGR +27.2% vs +27.2%, skipped 0 vs 9." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.21 vs 1.39, drawdown 16.6% vs 17.0%, CAGR +20.4% vs +27.2%." }, { "topic": "high_vol_overlay", "candidate": true, "text": "High-vol overlay is a promotion candidate: Residual 80 + high-vol 70 / max 10 Sharpe 1.50 vs 1.39, drawdown 17.0% vs 17.0%, CAGR +29.8% vs +27.2%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }