{ "generated_at": "2026-07-13T06:52:56.759543+00:00", "tickers": 506, "candidates": 129469, "qualified": 291, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "rewrite_range504_legacy_primary", "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": 291, "wins": 120, "losses": 151, "expired": 20, "hit_rate": 44.3, "avg_r": 0.335, "total_r": 97.39, "net_avg_r": 0.292, "net_total_r": 84.86, "best_r": 3.09, "worst_r": -6.35, "avg_hold_days": 10.9, "net_r_per_day": 0.0268, "median_net_r": -1.021, "profit_factor": 1.46, "net_avg_r_ex_top5": 0.158 }, "overall_all": { "total": 129469, "wins": 51464, "losses": 73813, "expired": 4192, "hit_rate": 41.1, "avg_r": -0.048, "total_r": -6253.55, "net_avg_r": -0.103, "net_total_r": -13308.62, "best_r": 7.7, "worst_r": -8.6, "avg_hold_days": 8.3, "net_r_per_day": -0.0124, "median_net_r": -1.037, "profit_factor": 0.84, "net_avg_r_ex_top5": -0.23 }, "by_direction": { "long": { "total": 291, "wins": 120, "losses": 151, "expired": 20, "hit_rate": 44.3, "avg_r": 0.335, "total_r": 97.39, "net_avg_r": 0.292, "net_total_r": 84.86, "best_r": 3.09, "worst_r": -6.35, "avg_hold_days": 10.9, "net_r_per_day": 0.0268, "median_net_r": -1.021, "profit_factor": 1.46, "net_avg_r_ex_top5": 0.158 }, "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": 226, "wins": 90, "losses": 122, "expired": 14, "hit_rate": 42.5, "avg_r": 0.273, "total_r": 61.62, "net_avg_r": 0.231, "net_total_r": 52.14, "best_r": 2.89, "worst_r": -6.35, "avg_hold_days": 10.8, "net_r_per_day": 0.0214, "median_net_r": -1.028, "profit_factor": 1.35, "net_avg_r_ex_top5": 0.095 }, { "min_momentum_percentile": 80.0, "total": 291, "wins": 120, "losses": 151, "expired": 20, "hit_rate": 44.3, "avg_r": 0.335, "total_r": 97.39, "net_avg_r": 0.292, "net_total_r": 84.86, "best_r": 3.09, "worst_r": -6.35, "avg_hold_days": 10.9, "net_r_per_day": 0.0268, "median_net_r": -1.021, "profit_factor": 1.46, "net_avg_r_ex_top5": 0.158 }, { "min_momentum_percentile": 70.0, "total": 321, "wins": 127, "losses": 169, "expired": 25, "hit_rate": 42.9, "avg_r": 0.297, "total_r": 95.37, "net_avg_r": 0.254, "net_total_r": 81.61, "best_r": 3.09, "worst_r": -6.35, "avg_hold_days": 10.9, "net_r_per_day": 0.0234, "median_net_r": -1.025, "profit_factor": 1.4, "net_avg_r_ex_top5": 0.116 }, { "min_momentum_percentile": 60.0, "total": 351, "wins": 135, "losses": 187, "expired": 29, "hit_rate": 41.9, "avg_r": 0.271, "total_r": 95.22, "net_avg_r": 0.229, "net_total_r": 80.28, "best_r": 3.09, "worst_r": -6.35, "avg_hold_days": 10.8, "net_r_per_day": 0.0212, "median_net_r": -1.027, "profit_factor": 1.36, "net_avg_r_ex_top5": 0.094 }, { "min_momentum_percentile": 50.0, "total": 383, "wins": 144, "losses": 208, "expired": 31, "hit_rate": 40.9, "avg_r": 0.236, "total_r": 90.35, "net_avg_r": 0.194, "net_total_r": 74.22, "best_r": 3.09, "worst_r": -6.35, "avg_hold_days": 10.8, "net_r_per_day": 0.0179, "median_net_r": -1.027, "profit_factor": 1.3, "net_avg_r_ex_top5": 0.055 }, { "min_momentum_percentile": 0.0, "total": 848, "wins": 279, "losses": 499, "expired": 70, "hit_rate": 35.9, "avg_r": 0.131, "total_r": 111.04, "net_avg_r": 0.093, "net_total_r": 78.47, "best_r": 6.46, "worst_r": -6.35, "avg_hold_days": 11.0, "net_r_per_day": 0.0084, "median_net_r": -1.027, "profit_factor": 1.14, "net_avg_r_ex_top5": -0.065 } ], "gate_ablation": [ { "variant": "all_floors", "total": 291, "wins": 120, "losses": 151, "expired": 20, "hit_rate": 44.3, "avg_r": 0.335, "total_r": 97.39, "net_avg_r": 0.292, "net_total_r": 84.86, "best_r": 3.09, "worst_r": -6.35, "avg_hold_days": 10.9, "net_r_per_day": 0.0268, "median_net_r": -1.021, "profit_factor": 1.46, "net_avg_r_ex_top5": 0.158, "hold_days": 30, "hold_avg_r": 0.803, "hold_net_avg_r": 0.76, "hold_total_r": 233.79 }, { "variant": "no_confidence_floor", "total": 1336, "wins": 403, "losses": 818, "expired": 115, "hit_rate": 33.0, "avg_r": 0.044, "total_r": 59.12, "net_avg_r": -0.006, "net_total_r": -7.82, "best_r": 4.05, "worst_r": -6.35, "avg_hold_days": 11.7, "net_r_per_day": -0.0005, "median_net_r": -1.042, "profit_factor": 0.99, "net_avg_r_ex_top5": -0.154, "hold_days": 30, "hold_avg_r": 0.311, "hold_net_avg_r": 0.261, "hold_total_r": 415.64 }, { "variant": "no_rr_floor", "total": 5444, "wins": 2270, "losses": 2975, "expired": 199, "hit_rate": 43.3, "avg_r": 0.069, "total_r": 378.29, "net_avg_r": 0.015, "net_total_r": 83.55, "best_r": 4.05, "worst_r": -6.35, "avg_hold_days": 8.7, "net_r_per_day": 0.0018, "median_net_r": -1.033, "profit_factor": 1.03, "net_avg_r_ex_top5": -0.111, "hold_days": 30, "hold_avg_r": 0.357, "hold_net_avg_r": 0.303, "hold_total_r": 1945.92 }, { "variant": "no_neutral_exclusion", "total": 2189, "wins": 690, "losses": 1291, "expired": 208, "hit_rate": 34.8, "avg_r": 0.098, "total_r": 215.16, "net_avg_r": 0.049, "net_total_r": 108.33, "best_r": 4.05, "worst_r": -6.35, "avg_hold_days": 12.2, "net_r_per_day": 0.0041, "median_net_r": -1.038, "profit_factor": 1.07, "net_avg_r_ex_top5": -0.094, "hold_days": 30, "hold_avg_r": 0.408, "hold_net_avg_r": 0.359, "hold_total_r": 892.68 }, { "variant": "momentum_only", "total": 9250, "wins": 3875, "losses": 4987, "expired": 388, "hit_rate": 43.7, "avg_r": 0.09, "total_r": 832.07, "net_avg_r": 0.038, "net_total_r": 349.62, "best_r": 4.05, "worst_r": -6.35, "avg_hold_days": 9.2, "net_r_per_day": 0.0041, "median_net_r": -1.03, "profit_factor": 1.06, "net_avg_r_ex_top5": -0.085, "hold_days": 30, "hold_avg_r": 0.405, "hold_net_avg_r": 0.353, "hold_total_r": 3744.64 } ], "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": 291, "wins": 162, "win_rate": 55.7, "avg_r": 0.153, "total_r": 44.56, "net_avg_r": 0.11, "net_total_r": 32.03, "best_r": 5.65, "worst_r": -6.02, "avg_hold_days": 4.5, "net_r_per_day": 0.0247, "median_net_r": 0.096, "profit_factor": 1.28, "net_avg_r_ex_top5": -0.044 }, { "hold_days": 10, "total": 291, "wins": 154, "win_rate": 52.9, "avg_r": 0.392, "total_r": 114.01, "net_avg_r": 0.349, "net_total_r": 101.48, "best_r": 8.86, "worst_r": -6.35, "avg_hold_days": 7.8, "net_r_per_day": 0.0447, "median_net_r": 0.101, "profit_factor": 1.65, "net_avg_r_ex_top5": 0.096 }, { "hold_days": 21, "total": 291, "wins": 127, "win_rate": 43.6, "avg_r": 0.641, "total_r": 186.47, "net_avg_r": 0.598, "net_total_r": 173.93, "best_r": 11.71, "worst_r": -6.35, "avg_hold_days": 13.7, "net_r_per_day": 0.0437, "median_net_r": -1.025, "profit_factor": 1.9, "net_avg_r_ex_top5": 0.237 }, { "hold_days": 30, "total": 291, "wins": 111, "win_rate": 38.1, "avg_r": 0.803, "total_r": 233.79, "net_avg_r": 0.76, "net_total_r": 221.25, "best_r": 11.89, "worst_r": -6.35, "avg_hold_days": 17.7, "net_r_per_day": 0.0429, "median_net_r": -1.032, "profit_factor": 2.06, "net_avg_r_ex_top5": 0.314 } ], "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": 13425.6, "total_return_pct": 34.3, "cagr_pct": 15.4, "max_drawdown_pct": 15.8, "sharpe": 0.99, "trades": 142, "win_rate": 43.7, "avg_trade_pnl": 24.12, "best_trade_r": 2.87, "worst_trade_r": -6.35, "best_trade_pnl": 311.4, "worst_trade_pnl": -625.44, "avg_hold_days": 10.9, "exit_reasons": { "stop": 76, "target": 57, "time": 9 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -2.8 }, { "year": 2023, "return_pct": 17.2 }, { "year": 2024, "return_pct": 17.8 } ], "start_date": "2022-07-20", "end_date": "2024-08-07" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 14932.37, "total_return_pct": 49.3, "cagr_pct": 21.6, "max_drawdown_pct": 18.0, "sharpe": 1.08, "trades": 113, "win_rate": 33.6, "avg_trade_pnl": 43.65, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 849.59, "worst_trade_pnl": -304.57, "avg_hold_days": 16.8, "exit_reasons": { "stop": 72, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 39.4 }, { "year": 2024, "return_pct": 12.0 } ], "start_date": "2022-07-20", "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": 14932.37, "total_return_pct": 49.3, "cagr_pct": 21.6, "max_drawdown_pct": 18.0, "sharpe": 1.08, "trades": 113, "win_rate": 33.6, "avg_trade_pnl": 43.65, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 849.59, "worst_trade_pnl": -304.57, "avg_hold_days": 16.8, "exit_reasons": { "stop": 72, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 39.4 }, { "year": 2024, "return_pct": 12.0 } ], "start_date": "2022-07-20", "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": 13977.32, "total_return_pct": 39.8, "cagr_pct": 18.1, "max_drawdown_pct": 17.0, "sharpe": 0.93, "trades": 107, "win_rate": 31.8, "avg_trade_pnl": 37.17, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 889.59, "worst_trade_pnl": -275.07, "avg_hold_days": 16.1, "exit_reasons": { "stop": 71, "time": 36 }, "skipped_book_full": 0, "spy_return_pct": 25.1, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 22.5 }, { "year": 2024, "return_pct": 18.2 } ], "start_date": "2022-08-03", "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": 14177.99, "total_return_pct": 41.8, "cagr_pct": 18.9, "max_drawdown_pct": 16.1, "sharpe": 1.0, "trades": 92, "win_rate": 32.6, "avg_trade_pnl": 45.41, "best_trade_r": 10.83, "worst_trade_r": -2.88, "best_trade_pnl": 992.97, "worst_trade_pnl": -273.24, "avg_hold_days": 15.8, "exit_reasons": { "stop": 60, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 25.1, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 20.4 }, { "year": 2024, "return_pct": 21.9 } ], "start_date": "2022-08-03", "end_date": "2024-08-07" }, { "variant": "residual_80_fixed15", "label": "Residual 80 / max 15 capacity check", "ranking": "residual", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 15, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14932.37, "total_return_pct": 49.3, "cagr_pct": 21.6, "max_drawdown_pct": 18.0, "sharpe": 1.08, "trades": 113, "win_rate": 33.6, "avg_trade_pnl": 43.65, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 849.59, "worst_trade_pnl": -304.57, "avg_hold_days": 16.8, "exit_reasons": { "stop": 72, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 39.4 }, { "year": 2024, "return_pct": 12.0 } ], "start_date": "2022-07-20", "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": 9159.83, "total_return_pct": -8.4, "cagr_pct": -21.6, "max_drawdown_pct": 8.7, "sharpe": -3.06, "trades": 7, "win_rate": 0.0, "avg_trade_pnl": -120.02, "best_trade_r": -1.0, "worst_trade_r": -6.23, "best_trade_pnl": -61.59, "worst_trade_pnl": -412.45, "avg_hold_days": 5.7, "exit_reasons": { "stop": 7 }, "skipped_book_full": 0, "spy_return_pct": 5.5, "yearly_returns": [ { "year": 2024, "return_pct": -8.4 } ], "start_date": "2024-03-21", "end_date": "2024-07-31" }, { "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": 9935.46, "total_return_pct": -0.6, "cagr_pct": null, "max_drawdown_pct": 1.2, "sharpe": -1.74, "trades": 1, "win_rate": 0.0, "avg_trade_pnl": -64.54, "best_trade_r": -1.0, "worst_trade_r": -1.0, "best_trade_pnl": -64.54, "worst_trade_pnl": -64.54, "avg_hold_days": 10.0, "exit_reasons": { "stop": 1 }, "skipped_book_full": 0, "spy_return_pct": 3.7, "yearly_returns": [ { "year": 2024, "return_pct": -0.6 } ], "start_date": "2024-05-17", "end_date": "2024-07-02" }, { "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": 13965.4, "total_return_pct": 39.7, "cagr_pct": 17.7, "max_drawdown_pct": 18.0, "sharpe": 0.95, "trades": 115, "win_rate": 36.5, "avg_trade_pnl": 34.48, "best_trade_r": 10.83, "worst_trade_r": -6.35, "best_trade_pnl": 929.35, "worst_trade_pnl": -500.26, "avg_hold_days": 16.4, "exit_reasons": { "stop": 71, "time": 44 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 35.4 }, { "year": 2024, "return_pct": 7.9 } ], "start_date": "2022-07-20", "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": 15242.12, "total_return_pct": 52.4, "cagr_pct": 22.8, "max_drawdown_pct": 18.0, "sharpe": 1.12, "trades": 113, "win_rate": 34.5, "avg_trade_pnl": 46.39, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 849.59, "worst_trade_pnl": -304.57, "avg_hold_days": 17.0, "exit_reasons": { "stop": 71, "time": 42 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 39.4 }, { "year": 2024, "return_pct": 14.3 } ], "start_date": "2022-07-20", "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": 16218.41, "total_return_pct": 62.2, "cagr_pct": 26.6, "max_drawdown_pct": 16.2, "sharpe": 1.25, "trades": 106, "win_rate": 35.8, "avg_trade_pnl": 58.66, "best_trade_r": 8.91, "worst_trade_r": -2.88, "best_trade_pnl": 928.51, "worst_trade_pnl": -311.08, "avg_hold_days": 16.9, "exit_reasons": { "stop": 66, "time": 40 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 42.3 }, { "year": 2024, "return_pct": 19.2 } ], "start_date": "2022-07-20", "end_date": "2024-08-07" }, { "variant": "residual80_highvol_blend90_10_fixed10", "label": "Residual 80 + high-vol 90/10 blend / max 10", "ranking": "residual_high_vol_blend_90_10", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 15259.46, "total_return_pct": 52.6, "cagr_pct": 22.9, "max_drawdown_pct": 18.0, "sharpe": 1.09, "trades": 118, "win_rate": 32.2, "avg_trade_pnl": 44.57, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 1069.15, "worst_trade_pnl": -303.89, "avg_hold_days": 16.2, "exit_reasons": { "stop": 77, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 35.3 }, { "year": 2024, "return_pct": 17.9 } ], "start_date": "2022-07-20", "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": 15644.97, "total_return_pct": 56.4, "cagr_pct": 24.4, "max_drawdown_pct": 18.0, "sharpe": 1.15, "trades": 117, "win_rate": 32.5, "avg_trade_pnl": 48.25, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 1087.88, "worst_trade_pnl": -309.22, "avg_hold_days": 16.5, "exit_reasons": { "stop": 76, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 37.7 }, { "year": 2024, "return_pct": 18.8 } ], "start_date": "2022-07-20", "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": 15131.3, "total_return_pct": 51.3, "cagr_pct": 22.4, "max_drawdown_pct": 18.0, "sharpe": 1.07, "trades": 114, "win_rate": 35.1, "avg_trade_pnl": 45.01, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 1055.74, "worst_trade_pnl": -300.15, "avg_hold_days": 16.9, "exit_reasons": { "stop": 72, "time": 42 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 33.6 }, { "year": 2024, "return_pct": 18.4 } ], "start_date": "2022-07-20", "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": 15939.76, "total_return_pct": 59.4, "cagr_pct": 25.5, "max_drawdown_pct": 18.0, "sharpe": 1.19, "trades": 111, "win_rate": 35.1, "avg_trade_pnl": 53.51, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 1089.51, "worst_trade_pnl": -312.81, "avg_hold_days": 16.9, "exit_reasons": { "stop": 70, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 39.0 }, { "year": 2024, "return_pct": 20.0 } ], "start_date": "2022-07-20", "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": 13112.79, "total_return_pct": 31.1, "cagr_pct": 11.8, "max_drawdown_pct": 29.5, "sharpe": 0.54, "trades": 210, "win_rate": 31.0, "avg_trade_pnl": 14.82, "best_trade_r": 10.01, "worst_trade_r": -1.62, "best_trade_pnl": 1042.3, "worst_trade_pnl": -162.92, "avg_hold_days": 15.8, "exit_reasons": { "stop": 140, "time": 70 }, "skipped_book_full": 5, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -27.8 }, { "year": 2023, "return_pct": 91.3 }, { "year": 2024, "return_pct": -5.0 } ], "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": 13802.59, "total_return_pct": 38.0, "cagr_pct": 14.2, "max_drawdown_pct": 29.5, "sharpe": 0.61, "trades": 205, "win_rate": 32.7, "avg_trade_pnl": 18.55, "best_trade_r": 10.01, "worst_trade_r": -1.62, "best_trade_pnl": 1083.27, "worst_trade_pnl": -162.92, "avg_hold_days": 16.2, "exit_reasons": { "stop": 133, "time": 72 }, "skipped_book_full": 3, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -27.8 }, { "year": 2023, "return_pct": 98.8 }, { "year": 2024, "return_pct": -3.8 } ], "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": 14949.49, "total_return_pct": 49.5, "cagr_pct": 18.0, "max_drawdown_pct": 27.5, "sharpe": 0.74, "trades": 189, "win_rate": 33.9, "avg_trade_pnl": 26.19, "best_trade_r": 10.01, "worst_trade_r": -2.49, "best_trade_pnl": 1201.14, "worst_trade_pnl": -366.71, "avg_hold_days": 16.8, "exit_reasons": { "stop": 120, "time": 69 }, "skipped_book_full": 0, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -25.5 }, { "year": 2023, "return_pct": 117.4 }, { "year": 2024, "return_pct": -7.7 } ], "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": 15644.97, "total_return_pct": 56.4, "cagr_pct": 24.4, "max_drawdown_pct": 18.0, "sharpe": 1.15, "trades": 117, "win_rate": 32.5, "avg_trade_pnl": 48.25, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 1087.88, "worst_trade_pnl": -309.22, "avg_hold_days": 16.5, "exit_reasons": { "stop": 76, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 37.7 }, { "year": 2024, "return_pct": 18.8 } ], "start_date": "2022-07-20", "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": 18415.08, "total_return_pct": 84.2, "cagr_pct": 34.7, "max_drawdown_pct": 14.8, "sharpe": 1.6, "trades": 124, "win_rate": 34.7, "avg_trade_pnl": 67.86, "best_trade_r": 11.76, "worst_trade_r": -1.26, "best_trade_pnl": 1226.36, "worst_trade_pnl": -214.68, "avg_hold_days": 14.5, "exit_reasons": { "sma50": 34, "stop": 52, "time": 38 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -5.8 }, { "year": 2023, "return_pct": 53.4 }, { "year": 2024, "return_pct": 27.4 } ], "start_date": "2022-07-20", "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": 15751.42, "total_return_pct": 57.5, "cagr_pct": 24.8, "max_drawdown_pct": 17.8, "sharpe": 1.17, "trades": 117, "win_rate": 31.6, "avg_trade_pnl": 49.16, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 1093.72, "worst_trade_pnl": -308.64, "avg_hold_days": 16.3, "exit_reasons": { "low20": 5, "stop": 74, "time": 38 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 36.9 }, { "year": 2024, "return_pct": 20.4 } ], "start_date": "2022-07-20", "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": 15644.97, "total_return_pct": 56.4, "cagr_pct": 24.4, "max_drawdown_pct": 18.0, "sharpe": 1.15, "trades": 117, "win_rate": 32.5, "avg_trade_pnl": 48.25, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 1087.88, "worst_trade_pnl": -309.22, "avg_hold_days": 16.5, "exit_reasons": { "stop": 76, "time": 41 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 37.7 }, { "year": 2024, "return_pct": 18.8 } ], "start_date": "2022-07-20", "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": 17540.22, "total_return_pct": 75.4, "cagr_pct": 31.5, "max_drawdown_pct": 18.4, "sharpe": 1.46, "trades": 115, "win_rate": 39.1, "avg_trade_pnl": 65.57, "best_trade_r": 10.83, "worst_trade_r": -2.88, "best_trade_pnl": 1169.03, "worst_trade_pnl": -311.95, "avg_hold_days": 15.4, "exit_reasons": { "stop": 53, "time": 27, "trailing_stop": 35 }, "skipped_book_full": 0, "spy_return_pct": 31.4, "yearly_returns": [ { "year": 2022, "return_pct": -4.4 }, { "year": 2023, "return_pct": 39.6 }, { "year": 2024, "return_pct": 31.4 } ], "start_date": "2022-07-20", "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": 13278.64, "total_return_pct": 32.8, "cagr_pct": 29.5, "max_drawdown_pct": 20.4, "sharpe": 1.17, "trades": 77, "win_rate": 32.5, "avg_trade_pnl": 42.58, "best_trade_r": 11.76, "worst_trade_r": -2.88, "best_trade_pnl": 755.5, "worst_trade_pnl": -270.84, "avg_hold_days": 18.1, "exit_reasons": { "stop": 48, "time": 29 }, "skipped_book_full": 0, "spy_return_pct": 16.9, "yearly_returns": [ { "year": 2023, "return_pct": 18.5 }, { "year": 2024, "return_pct": 12.0 } ], "start_date": "2023-07-03", "end_date": "2024-08-07", "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": 9809.68, "return_pct": -1.9 }, { "date": "2023-07-07", "equity": 9888.3, "return_pct": -1.12 }, { "date": "2023-07-10", "equity": 10044.41, "return_pct": 0.44 }, { "date": "2023-07-11", "equity": 10219.9, "return_pct": 2.2 }, { "date": "2023-07-12", "equity": 10270.56, "return_pct": 2.71 }, { "date": "2023-07-13", "equity": 10727.59, "return_pct": 7.28 }, { "date": "2023-07-14", "equity": 10593.19, "return_pct": 5.93 }, { "date": "2023-07-17", "equity": 10616.5, "return_pct": 6.17 }, { "date": "2023-07-18", "equity": 10763.93, "return_pct": 7.64 }, { "date": "2023-07-19", "equity": 11197.23, "return_pct": 11.97 }, { "date": "2023-07-20", "equity": 10587.06, "return_pct": 5.87 }, { "date": "2023-07-21", "equity": 10465.29, "return_pct": 4.65 }, { "date": "2023-07-24", 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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_legacy_primary", "candidate_count": 129469, "primary_source_counts": { "pivot_point": 115870, "round_number": 81820, "volume_profile": 57173 }, "primary_round_only": 12785, "primary_strength_100": 45067, "avg_primary_strength": 72.328, "avg_primary_distance_atr": 2.324, "avg_primary_rejection_count": 6.851, "avg_raw_level_count": 15.001, "avg_gate_level_count": 15.001, "avg_range_504_log": 0.542, "range_factor_pass": 9140 }, "sr_candidate_audit": [ { "symbol": "ABBV", "date": "2022-06-28", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 90.091931, "strategy_rank": 65.113281, "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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"target_hit", "net_r": 1.556931, "hold30_r": -0.324737 }, { "symbol": "WRB", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 88.054608, "strategy_rank": 70.900427, "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": 16, "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": 97.497156, "strategy_rank": 96.477294, "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): +31.5% CAGR, Sharpe 1.46, max drawdown -18.4%." }, { "topic": "exit", "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.76R net/trade vs +0.29R for the S/R target exit). The simulated book agrees: +21.6% vs +15.4% CAGR at similar drawdown." }, { "topic": "gate", "text": "Gate: keep the confidence floor (worth +0.50R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: keep the R:R floor (worth +0.46R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: keep the NEUTRAL exclusion (worth +0.40R/trade under the hold exit)." }, { "topic": "cutoff", "text": "Residual-momentum cutoff: 80 has the best per-trade net (+0.29R over 291 setups)." }, { "topic": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +17.9 points (+49.3% vs +31.4%), max drawdown \u221218.0%." }, { "topic": "robustness", "text": "Robustness: expectancy survives removing the top 5% of winners (+0.31R 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 1.08 vs 1.08, CAGR +21.6% vs +21.6%, skipped 0 vs 0." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.00 vs 1.08, drawdown 16.1% vs 18.0%, CAGR +18.9% vs +21.6%." }, { "topic": "low_vol_overlay", "candidate": false, "text": "Low-vol overlay stays research-only: Residual 80 + low-vol blend / max 10 Sharpe 0.95 vs 1.08, drawdown 18.0% vs 18.0%, CAGR +17.7% vs +21.6%." }, { "topic": "high_vol_overlay", "candidate": true, "text": "High-vol overlay is a promotion candidate: Residual 80 + high-vol 70 / max 10 Sharpe 1.25 vs 1.08, drawdown 16.2% vs 18.0%, CAGR +26.6% vs +21.6%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }