{ "generated_at": "2026-07-13T07:10:45.033408+00:00", "tickers": 506, "candidates": 119258, "qualified": 297, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "rewrite_range504_structural_primary2", "range_factor_lookback": 504, "range_factor_min_log": 1.0, "range_factor_min_ratio": 2.7183, "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": 297, "wins": 118, "losses": 159, "expired": 20, "hit_rate": 42.6, "avg_r": 0.415, "total_r": 123.23, "net_avg_r": 0.379, "net_total_r": 112.63, "best_r": 3.51, "worst_r": -3.12, "avg_hold_days": 11.9, "net_r_per_day": 0.0319, "median_net_r": -1.021, "profit_factor": 1.64, "net_avg_r_ex_top5": 0.242 }, "overall_all": { "total": 119258, "wins": 48794, "losses": 66247, "expired": 4217, "hit_rate": 42.4, "avg_r": -0.042, "total_r": -4996.25, "net_avg_r": -0.096, "net_total_r": -11501.09, "best_r": 7.7, "worst_r": -8.6, "avg_hold_days": 8.1, "net_r_per_day": -0.0118, "median_net_r": -1.035, "profit_factor": 0.84, "net_avg_r_ex_top5": -0.232 }, "by_direction": { "long": { "total": 297, "wins": 118, "losses": 159, "expired": 20, "hit_rate": 42.6, "avg_r": 0.415, "total_r": 123.23, "net_avg_r": 0.379, "net_total_r": 112.63, "best_r": 3.51, "worst_r": -3.12, "avg_hold_days": 11.9, "net_r_per_day": 0.0319, "median_net_r": -1.021, "profit_factor": 1.64, "net_avg_r_ex_top5": 0.242 }, "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": 228, "wins": 91, "losses": 123, "expired": 14, "hit_rate": 42.5, "avg_r": 0.397, "total_r": 90.51, "net_avg_r": 0.362, "net_total_r": 82.58, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.8, "net_r_per_day": 0.0307, "median_net_r": -1.022, "profit_factor": 1.6, "net_avg_r_ex_top5": 0.222 }, { "min_momentum_percentile": 80.0, "total": 297, "wins": 118, "losses": 159, "expired": 20, "hit_rate": 42.6, "avg_r": 0.415, "total_r": 123.23, "net_avg_r": 0.379, "net_total_r": 112.63, "best_r": 3.51, "worst_r": -3.12, "avg_hold_days": 11.9, "net_r_per_day": 0.0319, "median_net_r": -1.021, "profit_factor": 1.64, "net_avg_r_ex_top5": 0.242 }, { "min_momentum_percentile": 70.0, "total": 348, "wins": 128, "losses": 193, "expired": 27, "hit_rate": 39.9, "avg_r": 0.319, "total_r": 111.02, "net_avg_r": 0.283, "net_total_r": 98.49, "best_r": 3.51, "worst_r": -3.12, "avg_hold_days": 11.8, "net_r_per_day": 0.0241, "median_net_r": -1.023, "profit_factor": 1.46, "net_avg_r_ex_top5": 0.138 }, { "min_momentum_percentile": 60.0, "total": 397, "wins": 144, "losses": 220, "expired": 33, "hit_rate": 39.6, "avg_r": 0.307, "total_r": 122.06, "net_avg_r": 0.271, "net_total_r": 107.64, "best_r": 3.51, "worst_r": -3.12, "avg_hold_days": 11.7, "net_r_per_day": 0.0231, "median_net_r": -1.023, "profit_factor": 1.44, "net_avg_r_ex_top5": 0.128 }, { "min_momentum_percentile": 50.0, "total": 445, "wins": 160, "losses": 248, "expired": 37, "hit_rate": 39.2, "avg_r": 0.294, "total_r": 130.96, "net_avg_r": 0.258, "net_total_r": 114.91, "best_r": 3.51, "worst_r": -3.97, "avg_hold_days": 11.8, "net_r_per_day": 0.0219, "median_net_r": -1.023, "profit_factor": 1.42, "net_avg_r_ex_top5": 0.109 }, { "min_momentum_percentile": 0.0, "total": 1237, "wins": 391, "losses": 742, "expired": 104, "hit_rate": 34.5, "avg_r": 0.145, "total_r": 179.78, "net_avg_r": 0.11, "net_total_r": 136.41, "best_r": 6.46, "worst_r": -5.16, "avg_hold_days": 11.3, "net_r_per_day": 0.0098, "median_net_r": -1.025, "profit_factor": 1.17, "net_avg_r_ex_top5": -0.051 } ], "gate_ablation": [ { "variant": "all_floors", "total": 297, "wins": 118, "losses": 159, "expired": 20, "hit_rate": 42.6, "avg_r": 0.415, "total_r": 123.23, "net_avg_r": 0.379, "net_total_r": 112.63, "best_r": 3.51, "worst_r": -3.12, "avg_hold_days": 11.9, "net_r_per_day": 0.0319, "median_net_r": -1.021, "profit_factor": 1.64, "net_avg_r_ex_top5": 0.242, "hold_days": 30, "hold_avg_r": 1.056, "hold_net_avg_r": 1.02, "hold_total_r": 313.66 }, { "variant": "no_confidence_floor", "total": 1195, "wins": 413, "losses": 664, "expired": 118, "hit_rate": 38.3, "avg_r": 0.261, "total_r": 311.43, "net_avg_r": 0.216, "net_total_r": 258.43, "best_r": 4.14, "worst_r": -4.21, "avg_hold_days": 12.6, "net_r_per_day": 0.0171, "median_net_r": -1.031, "profit_factor": 1.35, "net_avg_r_ex_top5": 0.068, "hold_days": 30, "hold_avg_r": 0.538, "hold_net_avg_r": 0.494, "hold_total_r": 642.75 }, { "variant": "no_rr_floor", "total": 3923, "wins": 1799, "losses": 1991, "expired": 133, "hit_rate": 47.5, "avg_r": 0.105, "total_r": 412.71, "net_avg_r": 0.052, "net_total_r": 205.48, "best_r": 4.14, "worst_r": -6.02, "avg_hold_days": 8.2, "net_r_per_day": 0.0064, "median_net_r": -1.021, "profit_factor": 1.09, "net_avg_r_ex_top5": -0.087, "hold_days": 30, "hold_avg_r": 0.365, "hold_net_avg_r": 0.312, "hold_total_r": 1431.74 }, { "variant": "no_neutral_exclusion", "total": 2548, "wins": 862, "losses": 1413, "expired": 273, "hit_rate": 37.9, "avg_r": 0.223, "total_r": 569.0, "net_avg_r": 0.178, "net_total_r": 454.42, "best_r": 4.14, "worst_r": -4.21, "avg_hold_days": 12.9, "net_r_per_day": 0.0138, "median_net_r": -1.031, "profit_factor": 1.29, "net_avg_r_ex_top5": 0.033, "hold_days": 30, "hold_avg_r": 0.552, "hold_net_avg_r": 0.507, "hold_total_r": 1405.7 }, { "variant": "momentum_only", "total": 7792, "wins": 3523, "losses": 3949, "expired": 320, "hit_rate": 47.1, "avg_r": 0.108, "total_r": 843.85, "net_avg_r": 0.057, "net_total_r": 444.78, "best_r": 4.14, "worst_r": -6.02, "avg_hold_days": 8.7, "net_r_per_day": 0.0066, "median_net_r": -1.021, "profit_factor": 1.1, "net_avg_r_ex_top5": -0.078, "hold_days": 30, "hold_avg_r": 0.417, "hold_net_avg_r": 0.366, "hold_total_r": 3247.74 } ], "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": 297, "wins": 167, "win_rate": 56.2, "avg_r": 0.176, "total_r": 52.41, "net_avg_r": 0.141, "net_total_r": 41.82, "best_r": 3.65, "worst_r": -3.12, "avg_hold_days": 4.5, "net_r_per_day": 0.031, "median_net_r": 0.041, "profit_factor": 1.41, "net_avg_r_ex_top5": 0.011 }, { "hold_days": 10, "total": 297, "wins": 160, "win_rate": 53.9, "avg_r": 0.43, "total_r": 127.56, "net_avg_r": 0.394, "net_total_r": 116.97, "best_r": 5.76, "worst_r": -3.12, "avg_hold_days": 8.0, "net_r_per_day": 0.0494, "median_net_r": 0.117, "profit_factor": 1.87, "net_avg_r_ex_top5": 0.192 }, { "hold_days": 21, "total": 297, "wins": 135, "win_rate": 45.5, "avg_r": 0.878, "total_r": 260.62, "net_avg_r": 0.842, "net_total_r": 250.03, "best_r": 13.71, "worst_r": -3.12, "avg_hold_days": 14.2, "net_r_per_day": 0.0593, "median_net_r": -0.646, "profit_factor": 2.5, "net_avg_r_ex_top5": 0.483 }, { "hold_days": 30, "total": 297, "wins": 120, "win_rate": 40.4, "avg_r": 1.056, "total_r": 313.66, "net_avg_r": 1.02, "net_total_r": 303.07, "best_r": 27.38, "worst_r": -3.12, "avg_hold_days": 18.5, "net_r_per_day": 0.0552, "median_net_r": -1.024, "profit_factor": 2.63, "net_avg_r_ex_top5": 0.55 } ], "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": 14591.11, "total_return_pct": 45.9, "cagr_pct": 20.4, "max_drawdown_pct": 19.3, "sharpe": 1.13, "trades": 141, "win_rate": 41.8, "avg_trade_pnl": 32.56, "best_trade_r": 4.49, "worst_trade_r": -2.69, "best_trade_pnl": 488.13, "worst_trade_pnl": -159.92, "avg_hold_days": 12.3, "exit_reasons": { "stop": 77, "target": 53, "time": 11 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -1.5 }, { "year": 2023, "return_pct": 29.6 }, { "year": 2024, "return_pct": 14.4 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 14912.71, "total_return_pct": 49.1, "cagr_pct": 21.7, "max_drawdown_pct": 23.4, "sharpe": 1.03, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 46.35, "best_trade_r": 7.79, "worst_trade_r": -1.35, "best_trade_pnl": 981.32, "worst_trade_pnl": -158.79, "avg_hold_days": 18.4, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 39.3 }, { "year": 2024, "return_pct": 12.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" } ], "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": 14912.71, "total_return_pct": 49.1, "cagr_pct": 21.7, "max_drawdown_pct": 23.4, "sharpe": 1.03, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 46.35, "best_trade_r": 7.79, "worst_trade_r": -1.35, "best_trade_pnl": 981.32, "worst_trade_pnl": -158.79, "avg_hold_days": 18.4, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 39.3 }, { "year": 2024, "return_pct": 12.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 14773.17, "total_return_pct": 47.7, "cagr_pct": 21.0, "max_drawdown_pct": 20.5, "sharpe": 1.03, "trades": 96, "win_rate": 33.3, "avg_trade_pnl": 49.72, "best_trade_r": 11.51, "worst_trade_r": -1.35, "best_trade_pnl": 1003.94, "worst_trade_pnl": -168.53, "avg_hold_days": 18.5, "exit_reasons": { "stop": 57, "time": 39 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -3.5 }, { "year": 2023, "return_pct": 41.8 }, { "year": 2024, "return_pct": 8.1 } ], "start_date": "2022-07-20", "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": 13478.87, "total_return_pct": 34.8, "cagr_pct": 15.8, "max_drawdown_pct": 20.4, "sharpe": 0.85, "trades": 90, "win_rate": 33.3, "avg_trade_pnl": 38.65, "best_trade_r": 11.51, "worst_trade_r": -1.35, "best_trade_pnl": 1044.71, "worst_trade_pnl": -154.52, "avg_hold_days": 18.5, "exit_reasons": { "stop": 54, "time": 36 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.5 }, { "year": 2023, "return_pct": 23.7 }, { "year": 2024, "return_pct": 13.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 14912.71, "total_return_pct": 49.1, "cagr_pct": 21.7, "max_drawdown_pct": 23.4, "sharpe": 1.03, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 46.35, "best_trade_r": 7.79, "worst_trade_r": -1.35, "best_trade_pnl": 981.32, "worst_trade_pnl": -158.79, "avg_hold_days": 18.4, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 39.3 }, { "year": 2024, "return_pct": 12.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 9923.65, "total_return_pct": -0.8, "cagr_pct": null, "max_drawdown_pct": 0.7, "sharpe": -2.9, "trades": 1, "win_rate": 0.0, "avg_trade_pnl": -76.35, "best_trade_r": -1.0, "worst_trade_r": -1.0, "best_trade_pnl": -76.35, "worst_trade_pnl": -76.35, "avg_hold_days": 1.0, "exit_reasons": { "stop": 1 }, "skipped_book_full": 0, "spy_return_pct": 6.0, "yearly_returns": [ { "year": 2024, "return_pct": -0.7 } ], "start_date": "2024-05-24", "end_date": "2024-07-10" }, { "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": 14235.33, "total_return_pct": 42.4, "cagr_pct": 19.0, "max_drawdown_pct": 23.4, "sharpe": 0.94, "trades": 107, "win_rate": 34.6, "avg_trade_pnl": 39.58, "best_trade_r": 7.79, "worst_trade_r": -1.35, "best_trade_pnl": 975.12, "worst_trade_pnl": -151.58, "avg_hold_days": 18.3, "exit_reasons": { "stop": 63, "time": 44 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 46.6 }, { "year": 2024, "return_pct": 1.7 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 14912.71, "total_return_pct": 49.1, "cagr_pct": 21.7, "max_drawdown_pct": 23.4, "sharpe": 1.03, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 46.35, "best_trade_r": 7.79, "worst_trade_r": -1.35, "best_trade_pnl": 981.32, "worst_trade_pnl": -158.79, "avg_hold_days": 18.4, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 39.3 }, { "year": 2024, "return_pct": 12.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 15860.76, "total_return_pct": 58.6, "cagr_pct": 25.5, "max_drawdown_pct": 23.4, "sharpe": 1.17, "trades": 103, "win_rate": 35.9, "avg_trade_pnl": 56.9, "best_trade_r": 9.06, "worst_trade_r": -1.35, "best_trade_pnl": 1045.26, "worst_trade_pnl": -167.64, "avg_hold_days": 18.8, "exit_reasons": { "stop": 58, "time": 45 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 39.3 }, { "year": 2024, "return_pct": 19.3 } ], "start_date": "2022-07-20", "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": 14869.45, "total_return_pct": 48.7, "cagr_pct": 21.6, "max_drawdown_pct": 23.4, "sharpe": 1.02, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 45.94, "best_trade_r": 7.79, "worst_trade_r": -1.35, "best_trade_pnl": 978.48, "worst_trade_pnl": -158.33, "avg_hold_days": 18.4, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 39.6 }, { "year": 2024, "return_pct": 11.6 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 15615.79, "total_return_pct": 56.2, "cagr_pct": 24.5, "max_drawdown_pct": 23.4, "sharpe": 1.11, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 52.98, "best_trade_r": 9.06, "worst_trade_r": -1.35, "best_trade_pnl": 1036.5, "worst_trade_pnl": -166.28, "avg_hold_days": 18.6, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 10, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 40.9 }, { "year": 2024, "return_pct": 16.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 15656.45, "total_return_pct": 56.6, "cagr_pct": 24.7, "max_drawdown_pct": 23.4, "sharpe": 1.1, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 53.36, "best_trade_r": 9.06, "worst_trade_r": -1.35, "best_trade_pnl": 1042.48, "worst_trade_pnl": -166.57, "avg_hold_days": 18.6, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 10, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 42.1 }, { "year": 2024, "return_pct": 15.4 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 14996.83, "total_return_pct": 50.0, "cagr_pct": 22.1, "max_drawdown_pct": 23.4, "sharpe": 1.01, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 47.14, "best_trade_r": 9.06, "worst_trade_r": -1.35, "best_trade_pnl": 996.67, "worst_trade_pnl": -159.56, "avg_hold_days": 18.6, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 10, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 40.8 }, { "year": 2024, "return_pct": 11.6 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 16132.42, "total_return_pct": 61.3, "cagr_pct": 21.7, "max_drawdown_pct": 29.8, "sharpe": 0.8, "trades": 225, "win_rate": 32.9, "avg_trade_pnl": 27.26, "best_trade_r": 9.64, "worst_trade_r": -3.97, "best_trade_pnl": 916.82, "worst_trade_pnl": -264.82, "avg_hold_days": 17.1, "exit_reasons": { "stop": 142, "time": 83 }, "skipped_book_full": 180, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -26.3 }, { "year": 2023, "return_pct": 97.4 }, { "year": 2024, "return_pct": 10.9 } ], "start_date": "2022-03-03", "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": 15839.88, "total_return_pct": 58.4, "cagr_pct": 20.8, "max_drawdown_pct": 29.8, "sharpe": 0.78, "trades": 226, "win_rate": 32.7, "avg_trade_pnl": 25.84, "best_trade_r": 9.64, "worst_trade_r": -3.97, "best_trade_pnl": 916.82, "worst_trade_pnl": -264.82, "avg_hold_days": 17.0, "exit_reasons": { "stop": 143, "time": 83 }, "skipped_book_full": 154, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -26.3 }, { "year": 2023, "return_pct": 97.4 }, { "year": 2024, "return_pct": 8.9 } ], "start_date": "2022-03-03", "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": 16999.64, "total_return_pct": 70.0, "cagr_pct": 24.4, "max_drawdown_pct": 25.3, "sharpe": 0.88, "trades": 214, "win_rate": 35.0, "avg_trade_pnl": 32.71, "best_trade_r": 9.64, "worst_trade_r": -3.97, "best_trade_pnl": 917.64, "worst_trade_pnl": -267.81, "avg_hold_days": 17.8, "exit_reasons": { "stop": 130, "time": 84 }, "skipped_book_full": 164, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -21.0 }, { "year": 2023, "return_pct": 102.7 }, { "year": 2024, "return_pct": 6.3 } ], "start_date": "2022-03-03", "end_date": "2024-08-07" } ], "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": 15615.79, "total_return_pct": 56.2, "cagr_pct": 24.5, "max_drawdown_pct": 23.4, "sharpe": 1.11, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 52.98, "best_trade_r": 9.06, "worst_trade_r": -1.35, "best_trade_pnl": 1036.5, "worst_trade_pnl": -166.28, "avg_hold_days": 18.6, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 10, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 40.9 }, { "year": 2024, "return_pct": 16.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 18181.16, "total_return_pct": 81.8, "cagr_pct": 34.2, "max_drawdown_pct": 25.4, "sharpe": 1.51, "trades": 138, "win_rate": 32.6, "avg_trade_pnl": 59.28, "best_trade_r": 27.38, "worst_trade_r": -1.07, "best_trade_pnl": 3464.49, "worst_trade_pnl": -201.16, "avg_hold_days": 11.9, "exit_reasons": { "sma50": 76, "stop": 30, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -5.3 }, { "year": 2023, "return_pct": 40.0 }, { "year": 2024, "return_pct": 37.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 15480.91, "total_return_pct": 54.8, "cagr_pct": 24.0, "max_drawdown_pct": 24.6, "sharpe": 1.1, "trades": 106, "win_rate": 35.8, "avg_trade_pnl": 51.71, "best_trade_r": 9.06, "worst_trade_r": -1.35, "best_trade_pnl": 1041.14, "worst_trade_pnl": -164.78, "avg_hold_days": 18.6, "exit_reasons": { "low20": 13, "stop": 55, "time": 38 }, "skipped_book_full": 10, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 39.3 }, { "year": 2024, "return_pct": 16.4 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 15615.79, "total_return_pct": 56.2, "cagr_pct": 24.5, "max_drawdown_pct": 23.4, "sharpe": 1.11, "trades": 106, "win_rate": 34.9, "avg_trade_pnl": 52.98, "best_trade_r": 9.06, "worst_trade_r": -1.35, "best_trade_pnl": 1036.5, "worst_trade_pnl": -166.28, "avg_hold_days": 18.6, "exit_reasons": { "stop": 61, "time": 45 }, "skipped_book_full": 10, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.5 }, { "year": 2023, "return_pct": 40.9 }, { "year": 2024, "return_pct": 16.1 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "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": 20916.13, "total_return_pct": 109.2, "cagr_pct": 43.8, "max_drawdown_pct": 24.1, "sharpe": 1.75, "trades": 117, "win_rate": 41.9, "avg_trade_pnl": 93.3, "best_trade_r": 27.38, "worst_trade_r": -1.35, "best_trade_pnl": 3719.63, "worst_trade_pnl": -218.27, "avg_hold_days": 16.4, "exit_reasons": { "stop": 45, "time": 22, "trailing_stop": 50 }, "skipped_book_full": 10, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -5.2 }, { "year": 2023, "return_pct": 48.4 }, { "year": 2024, "return_pct": 48.8 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" } ], "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": 13536.3, "total_return_pct": 35.4, "cagr_pct": 32.4, "max_drawdown_pct": 17.1, "sharpe": 1.3, "trades": 59, "win_rate": 32.2, "avg_trade_pnl": 59.94, "best_trade_r": 7.9, "worst_trade_r": -1.17, "best_trade_pnl": 890.75, "worst_trade_pnl": -144.14, "avg_hold_days": 18.9, "exit_reasons": { "stop": 34, "time": 25 }, "skipped_book_full": 0, "spy_return_pct": 24.1, "yearly_returns": [ { "year": 2023, "return_pct": 20.7 }, { "year": 2024, "return_pct": 12.1 } ], "start_date": "2023-07-03", "end_date": "2024-07-31", "equity_curve": [ { "date": "2023-07-03", "equity": 10000.0, "return_pct": 0.0 }, { "date": "2023-07-05", "equity": 9990.01, "return_pct": -0.1 }, { "date": "2023-07-06", "equity": 9868.93, "return_pct": -1.31 }, { "date": "2023-07-07", "equity": 9939.11, "return_pct": -0.61 }, { "date": "2023-07-10", "equity": 10235.25, "return_pct": 2.35 }, { "date": "2023-07-11", "equity": 10376.99, "return_pct": 3.77 }, { "date": "2023-07-12", "equity": 10489.99, "return_pct": 4.9 }, { "date": "2023-07-13", "equity": 11060.13, "return_pct": 10.6 }, { "date": "2023-07-14", "equity": 10919.58, "return_pct": 9.2 }, { "date": "2023-07-17", "equity": 11032.45, "return_pct": 10.32 }, { "date": "2023-07-18", "equity": 11210.05, "return_pct": 12.1 }, { "date": "2023-07-19", "equity": 11334.68, "return_pct": 13.35 }, { "date": "2023-07-20", "equity": 10761.67, "return_pct": 7.62 }, { "date": "2023-07-21", "equity": 10546.95, "return_pct": 5.47 }, { "date": "2023-07-24", "equity": 10482.3, "return_pct": 4.82 }, { "date": "2023-07-25", "equity": 10550.75, "return_pct": 5.51 }, { "date": "2023-07-26", "equity": 10549.46, "return_pct": 5.49 }, { "date": "2023-07-27", "equity": 10530.88, "return_pct": 5.31 }, { "date": "2023-07-28", "equity": 10897.93, "return_pct": 8.98 }, { "date": "2023-07-31", "equity": 11123.1, "return_pct": 11.23 }, { "date": "2023-08-01", "equity": 11046.99, "return_pct": 10.47 }, { "date": "2023-08-02", "equity": 11347.26, "return_pct": 13.47 }, { "date": "2023-08-03", "equity": 11283.94, "return_pct": 12.84 }, { "date": "2023-08-04", "equity": 11212.84, "return_pct": 12.13 }, { "date": "2023-08-07", "equity": 11292.06, "return_pct": 12.92 }, { "date": "2023-08-08", "equity": 11289.78, "return_pct": 12.9 }, { "date": "2023-08-09", "equity": 10813.41, "return_pct": 8.13 }, { "date": "2023-08-10", "equity": 10748.11, "return_pct": 7.48 }, { "date": "2023-08-11", "equity": 10606.69, "return_pct": 6.07 }, { "date": 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"2024-07-23", "equity": 14027.91, "return_pct": 40.28 }, { "date": "2024-07-24", "equity": 13710.01, "return_pct": 37.1 }, { "date": "2024-07-25", "equity": 13638.57, "return_pct": 36.39 }, { "date": "2024-07-26", "equity": 13791.32, "return_pct": 37.91 }, { "date": "2024-07-29", "equity": 13799.43, "return_pct": 37.99 }, { "date": "2024-07-30", "equity": 13729.51, "return_pct": 37.3 }, { "date": "2024-07-31", "equity": 13952.68, "return_pct": 39.53 } ] } ], "note": "Portfolio monitor runs supported named strategies across cached lookbacks. Local snapshot backtests remain the research surface for broad variant sweeps." }, "holdout": null, "min_rr_sweep": null, "sr_variant_diagnostics": { "variant": "rewrite_range504_structural_primary2", "candidate_count": 119258, "primary_source_counts": { "pivot_point": 118379, "round_number": 64540, "volume_profile": 57770 }, "primary_round_only": 0, "primary_strength_100": 44323, "avg_primary_strength": 77.558, "avg_primary_distance_atr": 2.303, "avg_primary_rejection_count": 7.51, "avg_raw_level_count": 15.029, "avg_gate_level_count": 14.065, "avg_range_504_log": 0.547, "range_factor_pass": 8535 }, "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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"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": 84.569378, "strategy_rank": 81.931261, "rr": 0.788555, "primary_prob": 43.55, "primary_sources": [ "pivot_point" ], "primary_strength": 36.0, "primary_rejection_count": 1, "primary_distance_atr": 1.182832, "raw_level_count": 16, "gate_level_count": 14, "range_504_log": 1.402514, "range_504_ratio": 4.06541, "range_factor_pass": true, "outcome": "target_hit", "net_r": 0.727958, "hold30_r": -1.0 }, { "symbol": "NRG", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 97.84689, "strategy_rank": 91.583515, "rr": 1.192722, "primary_prob": 30.73, "primary_sources": [ "pivot_point" ], "primary_strength": 34.0, "primary_rejection_count": 1, "primary_distance_atr": 1.789084, "raw_level_count": 16, "gate_level_count": 15, "range_504_log": 1.063056, 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"raw_level_count": 16, "gate_level_count": 14, "range_504_log": 0.500595, "range_504_ratio": 1.649703, "range_factor_pass": false, "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": 80.741627, "strategy_rank": 66.829401, "rr": 0.693015, "primary_prob": 60.18, "primary_sources": [ "pivot_point", "round_number", "volume_profile" ], "primary_strength": 100.0, "primary_rejection_count": 7, "primary_distance_atr": 1.039522, "raw_level_count": 16, "gate_level_count": 16, "range_504_log": 0.89403, "range_504_ratio": 2.444964, "range_factor_pass": false, "outcome": "stop_hit", "net_r": -1.071297, "hold30_r": -1.0 }, { "symbol": "PGR", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 95.813397, "strategy_rank": 71.973913, "rr": 1.55928, "primary_prob": 27.75, "primary_sources": [ "pivot_point", 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1.568142, "primary_prob": 36.0, "primary_sources": [ "pivot_point", "round_number", "volume_profile" ], "primary_strength": 100.0, "primary_rejection_count": 7, "primary_distance_atr": 2.352213, "raw_level_count": 16, "gate_level_count": 16, "range_504_log": 0.85518, "range_504_ratio": 2.351797, "range_factor_pass": false, "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": 91.507177, "strategy_rank": 87.790107, "rr": 1.004092, "primary_prob": 38.49, "primary_sources": [ "pivot_point" ], "primary_strength": 47.0, "primary_rejection_count": 2, "primary_distance_atr": 1.506138, "raw_level_count": 16, "gate_level_count": 14, "range_504_log": 0.821052, "range_504_ratio": 2.272889, "range_factor_pass": false, "outcome": "stop_hit", "net_r": -1.039302, "hold30_r": -1.0 }, { "symbol": "RL", "date": "2024-06-25", "direction": "long", "qualified": false, 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3.040738, "raw_level_count": 16, "gate_level_count": 16, "range_504_log": 0.771554, "range_504_ratio": 2.163125, "range_factor_pass": false, "outcome": "target_hit", "net_r": 1.988592, "hold30_r": 0.585276 }, { "symbol": "TT", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 94.497608, "strategy_rank": 78.284364, "rr": 0.806554, "primary_prob": 39.68, "primary_sources": [ "pivot_point" ], "primary_strength": 20.0, "primary_rejection_count": 0, "primary_distance_atr": 1.209831, "raw_level_count": 16, "gate_level_count": 12, "range_504_log": 1.024515, "range_504_ratio": 2.785743, "range_factor_pass": true, "outcome": "stop_hit", "net_r": -1.054905, "hold30_r": -1.0 }, { "symbol": "URI", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 81.578947, "strategy_rank": 82.558724, "rr": 2.395647, "primary_prob": 25.07, "primary_sources": [ "pivot_point", "round_number" ], "primary_strength": 100.0, "primary_rejection_count": 5, "primary_distance_atr": 3.593471, "raw_level_count": 16, "gate_level_count": 16, "range_504_log": 1.155861, "range_504_ratio": 3.176758, "range_factor_pass": true, "outcome": "target_hit", "net_r": 2.354941, "hold30_r": 0.671828 }, { "symbol": "VLO", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 88.277512, "strategy_rank": 81.1976, "rr": 1.02749, "primary_prob": 48.39, "primary_sources": [ "pivot_point", "round_number", "volume_profile" ], "primary_strength": 100.0, "primary_rejection_count": 7, "primary_distance_atr": 1.541235, "raw_level_count": 16, "gate_level_count": 16, "range_504_log": 0.645231, "range_504_ratio": 1.906427, "range_factor_pass": false, "outcome": "target_hit", "net_r": 0.980094, "hold30_r": -1.450012 }, { "symbol": "VRT", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 99.521531, 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"hold30_r": -1.0 }, { "symbol": "WFC", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 87.440191, "strategy_rank": 71.232, "rr": 0.670856, "primary_prob": 61.13, "primary_sources": [ "pivot_point" ], "primary_strength": 100.0, "primary_rejection_count": 11, "primary_distance_atr": 1.006285, "raw_level_count": 16, "gate_level_count": 15, "range_504_log": 0.573501, "range_504_ratio": 1.774468, "range_factor_pass": false, "outcome": "target_hit", "net_r": 0.606086, "hold30_r": -1.143666 }, { "symbol": "WRB", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 88.038278, "strategy_rank": 70.791472, "rr": 1.576522, "primary_prob": 35.85, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 100.0, "primary_rejection_count": 7, "primary_distance_atr": 2.364784, "raw_level_count": 16, "gate_level_count": 15, "range_504_log": 0.474386, "range_504_ratio": 1.607027, "range_factor_pass": false, "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": 97.368421, "strategy_rank": 96.367919, "rr": 0.870834, "primary_prob": 50.18, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 84.0, "primary_rejection_count": 6, "primary_distance_atr": 1.306251, "raw_level_count": 16, "gate_level_count": 16, "range_504_log": 1.184049, "range_504_ratio": 3.267579, "range_factor_pass": true, "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): +43.8% CAGR, Sharpe 1.75, max drawdown -24.1%." }, { "topic": "exit", "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+1.02R net/trade vs +0.38R for the S/R target exit). The simulated book agrees: +21.7% vs +20.4% CAGR at similar drawdown." }, { "topic": "gate", "text": "Gate: keep the confidence floor (worth +0.53R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: keep the R:R floor (worth +0.71R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: keep the NEUTRAL exclusion (worth +0.51R/trade under the hold exit)." }, { "topic": "cutoff", "text": "Residual-momentum cutoff: 80 has the best per-trade net (+0.38R over 297 setups)." }, { "topic": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +9.6 points (+49.1% vs +39.5%), max drawdown \u221223.4%." }, { "topic": "robustness", "text": "Robustness: expectancy survives removing the top 5% of winners (+0.55R 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 1.03 vs 1.03, CAGR +21.7% vs +21.7%, skipped 0 vs 0." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 0.85 vs 1.03, drawdown 20.4% vs 23.4%, CAGR +15.8% vs +21.7%." }, { "topic": "low_vol_overlay", "candidate": false, "text": "Low-vol overlay stays research-only: Residual 80 + low-vol blend / max 10 Sharpe 0.94 vs 1.03, drawdown 23.4% vs 23.4%, CAGR +19.0% vs +21.7%." }, { "topic": "high_vol_overlay", "candidate": true, "text": "High-vol overlay is a promotion candidate: Residual 80 + high-vol 70 / max 10 Sharpe 1.17 vs 1.03, drawdown 23.4% vs 23.4%, CAGR +25.5% vs +21.7%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }