{ "generated_at": "2026-07-12T21:44:10.930062+00:00", "tickers": 506, "candidates": 120604, "qualified": 717, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "legacy_pivots_only", "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": 717, "wins": 258, "losses": 390, "expired": 69, "hit_rate": 39.8, "avg_r": 0.283, "total_r": 202.61, "net_avg_r": 0.236, "net_total_r": 169.12, "best_r": 8.87, "worst_r": -3.26, "avg_hold_days": 11.9, "net_r_per_day": 0.0199, "median_net_r": -1.031, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.076 }, "overall_all": { "total": 120604, "wins": 49065, "losses": 67830, "expired": 3709, "hit_rate": 42.0, "avg_r": -0.032, "total_r": -3852.61, "net_avg_r": -0.087, "net_total_r": -10461.03, "best_r": 9.19, "worst_r": -9.25, "avg_hold_days": 8.2, "net_r_per_day": -0.0105, "median_net_r": -1.036, "profit_factor": 0.86, "net_avg_r_ex_top5": -0.212 }, "by_direction": { "long": { "total": 717, "wins": 258, "losses": 390, "expired": 69, "hit_rate": 39.8, "avg_r": 0.283, "total_r": 202.61, "net_avg_r": 0.236, "net_total_r": 169.12, "best_r": 8.87, "worst_r": -3.26, "avg_hold_days": 11.9, "net_r_per_day": 0.0199, "median_net_r": -1.031, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.076 }, "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": 328, "wins": 126, "losses": 174, "expired": 28, "hit_rate": 42.0, "avg_r": 0.354, "total_r": 116.1, "net_avg_r": 0.312, "net_total_r": 102.3, "best_r": 8.87, "worst_r": -3.12, "avg_hold_days": 11.7, "net_r_per_day": 0.0267, "median_net_r": -1.027, "profit_factor": 1.53, "net_avg_r_ex_top5": 0.141 }, { "min_momentum_percentile": 80.0, "total": 717, "wins": 258, "losses": 390, "expired": 69, "hit_rate": 39.8, "avg_r": 0.283, "total_r": 202.61, "net_avg_r": 0.236, "net_total_r": 169.12, "best_r": 8.87, "worst_r": -3.26, "avg_hold_days": 11.9, "net_r_per_day": 0.0199, "median_net_r": -1.031, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.076 }, { "min_momentum_percentile": 70.0, "total": 1174, "wins": 397, "losses": 671, "expired": 106, "hit_rate": 37.2, "avg_r": 0.196, "total_r": 230.17, "net_avg_r": 0.148, "net_total_r": 173.17, "best_r": 8.87, "worst_r": -3.84, "avg_hold_days": 11.9, "net_r_per_day": 0.0124, "median_net_r": -1.037, "profit_factor": 1.23, "net_avg_r_ex_top5": -0.012 }, { "min_momentum_percentile": 60.0, "total": 1707, "wins": 567, "losses": 982, "expired": 158, "hit_rate": 36.6, "avg_r": 0.177, "total_r": 302.84, "net_avg_r": 0.127, "net_total_r": 217.52, "best_r": 8.87, "worst_r": -3.84, "avg_hold_days": 12.0, "net_r_per_day": 0.0106, "median_net_r": -1.038, "profit_factor": 1.2, "net_avg_r_ex_top5": -0.027 }, { "min_momentum_percentile": 50.0, "total": 2357, "wins": 749, "losses": 1374, "expired": 234, "hit_rate": 35.3, "avg_r": 0.134, "total_r": 314.86, "net_avg_r": 0.083, "net_total_r": 194.98, "best_r": 8.87, "worst_r": -3.97, "avg_hold_days": 12.2, "net_r_per_day": 0.0068, "median_net_r": -1.04, "profit_factor": 1.13, "net_avg_r_ex_top5": -0.069 }, { "min_momentum_percentile": 0.0, "total": 8462, "wins": 2173, "losses": 5381, "expired": 908, "hit_rate": 28.8, "avg_r": -0.056, "total_r": -472.44, "net_avg_r": -0.106, "net_total_r": -894.06, "best_r": 9.19, "worst_r": -6.19, "avg_hold_days": 12.2, "net_r_per_day": -0.0087, "median_net_r": -1.043, "profit_factor": 0.85, "net_avg_r_ex_top5": -0.265 } ], "gate_ablation": [ { "variant": "all_floors", "total": 717, "wins": 258, "losses": 390, "expired": 69, "hit_rate": 39.8, "avg_r": 0.283, "total_r": 202.61, "net_avg_r": 0.236, "net_total_r": 169.12, "best_r": 8.87, "worst_r": -3.26, "avg_hold_days": 11.9, "net_r_per_day": 0.0199, "median_net_r": -1.031, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.076, "hold_days": 30, "hold_avg_r": 0.709, "hold_net_avg_r": 0.663, "hold_total_r": 508.64 }, { "variant": "no_confidence_floor", "total": 742, "wins": 267, "losses": 405, "expired": 70, "hit_rate": 39.7, "avg_r": 0.28, "total_r": 208.06, "net_avg_r": 0.234, "net_total_r": 173.35, "best_r": 8.87, "worst_r": -3.26, "avg_hold_days": 11.8, "net_r_per_day": 0.0198, "median_net_r": -1.032, "profit_factor": 1.39, "net_avg_r_ex_top5": 0.071, "hold_days": 30, "hold_avg_r": 0.711, "hold_net_avg_r": 0.664, "hold_total_r": 527.21 }, { "variant": "no_rr_floor", "total": 4003, "wins": 1847, "losses": 2039, "expired": 117, "hit_rate": 47.5, "avg_r": 0.129, "total_r": 515.26, "net_avg_r": 0.076, "net_total_r": 303.71, "best_r": 8.87, "worst_r": -6.02, "avg_hold_days": 8.2, "net_r_per_day": 0.0092, "median_net_r": -1.021, "profit_factor": 1.13, "net_avg_r_ex_top5": -0.049, "hold_days": 30, "hold_avg_r": 0.382, "hold_net_avg_r": 0.329, "hold_total_r": 1527.9 }, { "variant": "no_neutral_exclusion", "total": 1526, "wins": 515, "losses": 849, "expired": 162, "hit_rate": 37.8, "avg_r": 0.208, "total_r": 316.98, "net_avg_r": 0.161, "net_total_r": 245.67, "best_r": 8.87, "worst_r": -3.88, "avg_hold_days": 12.6, "net_r_per_day": 0.0128, "median_net_r": -1.033, "profit_factor": 1.26, "net_avg_r_ex_top5": 0.009, "hold_days": 30, "hold_avg_r": 0.668, "hold_net_avg_r": 0.621, "hold_total_r": 1019.69 }, { "variant": "momentum_only", "total": 7847, "wins": 3520, "losses": 4036, "expired": 291, "hit_rate": 46.6, "avg_r": 0.124, "total_r": 969.32, "net_avg_r": 0.072, "net_total_r": 567.72, "best_r": 8.87, "worst_r": -6.02, "avg_hold_days": 8.8, "net_r_per_day": 0.0082, "median_net_r": -1.023, "profit_factor": 1.13, "net_avg_r_ex_top5": -0.05, "hold_days": 30, "hold_avg_r": 0.42, "hold_net_avg_r": 0.369, "hold_total_r": 3298.73 } ], "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": 717, "wins": 417, "win_rate": 58.2, "avg_r": 0.213, "total_r": 152.38, "net_avg_r": 0.166, "net_total_r": 118.89, "best_r": 4.65, "worst_r": -3.12, "avg_hold_days": 4.5, "net_r_per_day": 0.0368, "median_net_r": 0.176, "profit_factor": 1.49, "net_avg_r_ex_top5": 0.039 }, { "hold_days": 10, "total": 717, "wins": 370, "win_rate": 51.6, "avg_r": 0.384, "total_r": 275.32, "net_avg_r": 0.337, "net_total_r": 241.83, "best_r": 5.85, "worst_r": -3.12, "avg_hold_days": 7.9, "net_r_per_day": 0.0426, "median_net_r": 0.021, "profit_factor": 1.74, "net_avg_r_ex_top5": 0.15 }, { "hold_days": 21, "total": 717, "wins": 327, "win_rate": 45.6, "avg_r": 0.583, "total_r": 418.33, "net_avg_r": 0.537, "net_total_r": 384.83, "best_r": 10.4, "worst_r": -3.12, "avg_hold_days": 13.9, "net_r_per_day": 0.0387, "median_net_r": -1.027, "profit_factor": 1.93, "net_avg_r_ex_top5": 0.26 }, { "hold_days": 30, "total": 717, "wins": 292, "win_rate": 40.7, "avg_r": 0.709, "total_r": 508.64, "net_avg_r": 0.663, "net_total_r": 475.15, "best_r": 13.27, "worst_r": -3.26, "avg_hold_days": 18.0, "net_r_per_day": 0.0368, "median_net_r": -1.033, "profit_factor": 2.05, "net_avg_r_ex_top5": 0.284 } ], "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": 18190.26, "total_return_pct": 81.9, "cagr_pct": 32.8, "max_drawdown_pct": 19.7, "sharpe": 1.47, "trades": 227, "win_rate": 42.7, "avg_trade_pnl": 36.08, "best_trade_r": 8.87, "worst_trade_r": -2.69, "best_trade_pnl": 1103.0, "worst_trade_pnl": -334.23, "avg_hold_days": 11.2, "exit_reasons": { "stop": 128, "target": 83, "time": 16 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.7 }, { "year": 2023, "return_pct": 13.2 }, { "year": 2024, "return_pct": 45.1 } ], "start_date": "2022-06-28", "end_date": "2024-08-07" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 21591.56, "total_return_pct": 115.9, "cagr_pct": 44.0, "max_drawdown_pct": 19.5, "sharpe": 1.7, "trades": 170, "win_rate": 38.8, "avg_trade_pnl": 68.19, "best_trade_r": 10.83, "worst_trade_r": -1.82, "best_trade_pnl": 1574.42, "worst_trade_pnl": -401.66, "avg_hold_days": 16.8, "exit_reasons": { "stop": 102, "time": 68 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 12.6 }, { "year": 2023, "return_pct": 51.2 }, { "year": 2024, "return_pct": 26.9 } ], "start_date": "2022-06-28", "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": 21591.56, "total_return_pct": 115.9, "cagr_pct": 44.0, "max_drawdown_pct": 19.5, "sharpe": 1.7, "trades": 170, "win_rate": 38.8, "avg_trade_pnl": 68.19, "best_trade_r": 10.83, "worst_trade_r": -1.82, "best_trade_pnl": 1574.42, "worst_trade_pnl": -401.66, "avg_hold_days": 16.8, "exit_reasons": { "stop": 102, "time": 68 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 12.6 }, { "year": 2023, "return_pct": 51.2 }, { "year": 2024, "return_pct": 26.9 } ], "start_date": "2022-06-28", "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": 16448.94, "total_return_pct": 64.5, "cagr_pct": 26.6, "max_drawdown_pct": 17.1, "sharpe": 1.17, "trades": 169, "win_rate": 34.9, "avg_trade_pnl": 38.16, "best_trade_r": 10.83, "worst_trade_r": -1.82, "best_trade_pnl": 1247.34, "worst_trade_pnl": -311.8, "avg_hold_days": 16.6, "exit_reasons": { "stop": 107, "time": 62 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.7 }, { "year": 2023, "return_pct": 20.7 }, { "year": 2024, "return_pct": 23.1 } ], "start_date": "2022-06-28", "end_date": "2024-08-07" }, { "variant": "raw_90_fixed10", "label": "Raw 90 / max 10", "ranking": "raw", "cutoff": 90.0, "filters": [ { "percentile_key": "momentum_percentile", "cutoff": 90.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 17410.23, "total_return_pct": 74.1, "cagr_pct": 30.0, "max_drawdown_pct": 15.4, "sharpe": 1.36, "trades": 132, "win_rate": 35.6, "avg_trade_pnl": 56.14, "best_trade_r": 10.83, "worst_trade_r": -2.54, "best_trade_pnl": 1317.0, "worst_trade_pnl": -330.18, "avg_hold_days": 16.1, "exit_reasons": { "stop": 83, "time": 49 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 7.8 }, { "year": 2023, "return_pct": 32.0 }, { "year": 2024, "return_pct": 22.4 } ], "start_date": "2022-06-28", "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": 21591.56, "total_return_pct": 115.9, "cagr_pct": 44.0, "max_drawdown_pct": 19.5, "sharpe": 1.7, "trades": 170, "win_rate": 38.8, "avg_trade_pnl": 68.19, "best_trade_r": 10.83, "worst_trade_r": -1.82, "best_trade_pnl": 1574.42, "worst_trade_pnl": -401.66, "avg_hold_days": 16.8, "exit_reasons": { "stop": 102, "time": 68 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 12.6 }, { "year": 2023, "return_pct": 51.2 }, { "year": 2024, "return_pct": 26.9 } ], "start_date": "2022-06-28", "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": 13362.89, "total_return_pct": 33.6, "cagr_pct": 14.7, "max_drawdown_pct": 7.0, "sharpe": 1.54, "trades": 67, "win_rate": 44.8, "avg_trade_pnl": 50.19, "best_trade_r": 5.2, "worst_trade_r": -1.68, "best_trade_pnl": 448.79, "worst_trade_pnl": -102.28, "avg_hold_days": 18.3, "exit_reasons": { "stop": 37, "time": 30 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 11.3 }, { "year": 2023, "return_pct": 16.4 }, { "year": 2024, "return_pct": 3.2 } ], "start_date": "2022-06-28", "end_date": "2024-08-07" }, { "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": 11932.29, "total_return_pct": 19.3, "cagr_pct": 9.3, "max_drawdown_pct": 5.3, "sharpe": 1.34, "trades": 35, "win_rate": 45.7, "avg_trade_pnl": 55.21, "best_trade_r": 4.95, "worst_trade_r": -1.16, "best_trade_pnl": 365.04, "worst_trade_pnl": -91.67, "avg_hold_days": 19.7, "exit_reasons": { "stop": 19, "time": 16 }, "skipped_book_full": 0, "spy_return_pct": 43.1, "yearly_returns": [ { "year": 2022, "return_pct": 12.3 }, { "year": 2023, "return_pct": 3.8 }, { "year": 2024, "return_pct": 2.4 } ], "start_date": "2022-06-28", "end_date": "2024-06-25" }, { "variant": "residual80_lowvol_blend_fixed10", "label": "Residual 80 + low-vol blend / max 10", "ranking": "residual_low_vol_blend", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 16688.85, "total_return_pct": 66.9, "cagr_pct": 27.5, "max_drawdown_pct": 23.1, "sharpe": 1.38, "trades": 167, "win_rate": 31.1, "avg_trade_pnl": 40.05, "best_trade_r": 11.89, "worst_trade_r": -1.82, "best_trade_pnl": 1214.32, "worst_trade_pnl": -310.03, "avg_hold_days": 15.8, "exit_reasons": { "stop": 112, "time": 55 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 2.9 }, { "year": 2023, "return_pct": 17.9 }, { "year": 2024, "return_pct": 37.6 } ], "start_date": "2022-06-28", "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": 20773.08, "total_return_pct": 107.7, "cagr_pct": 41.9, "max_drawdown_pct": 17.4, "sharpe": 1.57, "trades": 160, "win_rate": 36.9, "avg_trade_pnl": 67.33, "best_trade_r": 10.83, "worst_trade_r": -1.82, "best_trade_pnl": 1597.05, "worst_trade_pnl": -399.49, "avg_hold_days": 16.6, "exit_reasons": { "stop": 98, "time": 62 }, "skipped_book_full": 0, "spy_return_pct": 35.3, "yearly_returns": [ { "year": 2022, "return_pct": 17.3 }, { "year": 2023, "return_pct": 47.2 }, { "year": 2024, "return_pct": 20.3 } ], "start_date": "2022-07-06", "end_date": "2024-08-07" }, { "variant": "residual80_highvol70_fixed10", "label": "Residual 80 + high-vol 70 / max 10", "ranking": "residual+high_vol_filter", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 }, { "percentile_key": "vol_6m_percentile", "cutoff": 70.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 21925.94, "total_return_pct": 119.3, "cagr_pct": 46.1, "max_drawdown_pct": 18.3, "sharpe": 1.72, "trades": 143, "win_rate": 39.9, "avg_trade_pnl": 83.4, "best_trade_r": 10.81, "worst_trade_r": -1.82, "best_trade_pnl": 1589.63, "worst_trade_pnl": -414.6, "avg_hold_days": 17.5, "exit_reasons": { "stop": 83, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 43.7, "yearly_returns": [ { "year": 2022, "return_pct": 22.8 }, { "year": 2023, "return_pct": 38.1 }, { "year": 2024, "return_pct": 29.3 } ], "start_date": "2022-07-06", "end_date": "2024-07-31" }, { "variant": "residual80_highvol_blend90_10_fixed10", "label": "Residual 80 + high-vol 90/10 blend / max 10", "ranking": "residual_high_vol_blend_90_10", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 22559.01, "total_return_pct": 125.6, "cagr_pct": 47.0, "max_drawdown_pct": 20.8, "sharpe": 1.71, "trades": 170, "win_rate": 36.5, "avg_trade_pnl": 73.88, "best_trade_r": 11.89, "worst_trade_r": -1.82, "best_trade_pnl": 1732.67, "worst_trade_pnl": -435.79, "avg_hold_days": 16.4, "exit_reasons": { "stop": 106, "time": 64 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 8.5 }, { "year": 2023, "return_pct": 66.6 }, { "year": 2024, "return_pct": 24.8 } ], "start_date": "2022-06-28", "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": 20785.54, "total_return_pct": 107.9, "cagr_pct": 41.4, "max_drawdown_pct": 21.8, "sharpe": 1.57, "trades": 170, "win_rate": 38.8, "avg_trade_pnl": 63.44, "best_trade_r": 11.89, "worst_trade_r": -1.82, "best_trade_pnl": 1352.31, "worst_trade_pnl": -394.39, "avg_hold_days": 16.7, "exit_reasons": { "stop": 102, "time": 68 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 9.9 }, { "year": 2023, "return_pct": 53.7 }, { "year": 2024, "return_pct": 23.0 } ], "start_date": "2022-06-28", "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": 21795.73, "total_return_pct": 118.0, "cagr_pct": 44.6, "max_drawdown_pct": 19.1, "sharpe": 1.66, "trades": 171, "win_rate": 37.4, "avg_trade_pnl": 68.98, "best_trade_r": 11.89, "worst_trade_r": -1.82, "best_trade_pnl": 1427.77, "worst_trade_pnl": -416.28, "avg_hold_days": 16.5, "exit_reasons": { "stop": 105, "time": 66 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.4 }, { "year": 2023, "return_pct": 67.8 }, { "year": 2024, "return_pct": 22.1 } ], "start_date": "2022-06-28", "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": 20720.05, "total_return_pct": 107.2, "cagr_pct": 41.2, "max_drawdown_pct": 19.1, "sharpe": 1.57, "trades": 173, "win_rate": 35.8, "avg_trade_pnl": 61.97, "best_trade_r": 9.18, "worst_trade_r": -1.82, "best_trade_pnl": 1383.08, "worst_trade_pnl": -398.5, "avg_hold_days": 16.2, "exit_reasons": { "stop": 109, "time": 64 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 6.6 }, { "year": 2023, "return_pct": 62.8 }, { "year": 2024, "return_pct": 19.5 } ], "start_date": "2022-06-28", "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": 11430.56, "total_return_pct": 14.3, "cagr_pct": 5.3, "max_drawdown_pct": 34.1, "sharpe": 0.32, "trades": 287, "win_rate": 29.3, "avg_trade_pnl": 4.98, "best_trade_r": 9.82, "worst_trade_r": -3.23, "best_trade_pnl": 1086.04, "worst_trade_pnl": -361.04, "avg_hold_days": 15.6, "exit_reasons": { "stop": 195, "time": 92 }, "skipped_book_full": 521, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -0.6 }, { "year": 2022, "return_pct": -30.3 }, { "year": 2023, "return_pct": 75.0 }, { "year": 2024, "return_pct": -5.6 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "highvol80_fixed10", "label": "High-vol 80 / max 10", "ranking": "high_vol", "cutoff": 80.0, "filters": [ { "percentile_key": "vol_6m_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 11972.03, "total_return_pct": 19.7, "cagr_pct": 7.1, "max_drawdown_pct": 33.4, "sharpe": 0.38, "trades": 280, "win_rate": 31.8, "avg_trade_pnl": 7.04, "best_trade_r": 9.82, "worst_trade_r": -3.23, "best_trade_pnl": 879.59, "worst_trade_pnl": -365.11, "avg_hold_days": 15.9, "exit_reasons": { "stop": 185, "time": 95 }, "skipped_book_full": 287, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -0.6 }, { "year": 2022, "return_pct": -29.5 }, { "year": 2023, "return_pct": 71.2 }, { "year": 2024, "return_pct": -0.1 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "highvol90_fixed10", "label": "High-vol 90 / max 10", "ranking": "high_vol", "cutoff": 90.0, "filters": [ { "percentile_key": "vol_6m_percentile", "cutoff": 90.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 10180.71, "total_return_pct": 1.8, "cagr_pct": 0.7, "max_drawdown_pct": 42.5, "sharpe": 0.17, "trades": 282, "win_rate": 28.4, "avg_trade_pnl": 0.64, "best_trade_r": 9.82, "worst_trade_r": -3.23, "best_trade_pnl": 823.19, "worst_trade_pnl": -326.18, "avg_hold_days": 14.9, "exit_reasons": { "stop": 195, "time": 87 }, "skipped_book_full": 147, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -1.4 }, { "year": 2022, "return_pct": -40.2 }, { "year": 2023, "return_pct": 80.5 }, { "year": 2024, "return_pct": -4.3 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "lowvol80_fixed10", "label": "Low-vol 80 / max 10", "ranking": "low_vol", "cutoff": 80.0, "filters": [ { "percentile_key": "low_vol_6m_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 11555.02, "total_return_pct": 15.6, "cagr_pct": 5.8, "max_drawdown_pct": 11.7, "sharpe": 0.56, "trades": 124, "win_rate": 34.7, "avg_trade_pnl": 12.54, "best_trade_r": 8.89, "worst_trade_r": -2.83, "best_trade_pnl": 625.29, "worst_trade_pnl": -138.45, "avg_hold_days": 16.7, "exit_reasons": { "stop": 77, "time": 47 }, "skipped_book_full": 0, "spy_return_pct": 16.8, "yearly_returns": [ { "year": 2021, "return_pct": 0.3 }, { "year": 2022, "return_pct": 12.4 }, { "year": 2023, "return_pct": 2.5 }, { "year": 2024, "return_pct": 0.1 } ], "start_date": "2021-12-28", "end_date": "2024-07-17" } ], "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." }, "exit_policy_variants": { "variants": [ { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "hold", "label": "80/20 entry + 30d hold / initial stop", "description": "Baseline: keep the initial ATR stop and exit at 30 trading days.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 20785.54, "total_return_pct": 107.9, "cagr_pct": 41.4, "max_drawdown_pct": 21.8, "sharpe": 1.57, "trades": 170, "win_rate": 38.8, "avg_trade_pnl": 63.44, "best_trade_r": 11.89, "worst_trade_r": -1.82, "best_trade_pnl": 1352.31, "worst_trade_pnl": -394.39, "avg_hold_days": 16.7, "exit_reasons": { "stop": 102, "time": 68 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 9.9 }, { "year": 2023, "return_pct": 53.7 }, { "year": 2024, "return_pct": 23.0 } ], "start_date": "2022-06-28", "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": 19896.69, "total_return_pct": 99.0, "cagr_pct": 38.5, "max_drawdown_pct": 23.0, "sharpe": 1.54, "trades": 206, "win_rate": 33.0, "avg_trade_pnl": 48.04, "best_trade_r": 10.83, "worst_trade_r": -3.26, "best_trade_pnl": 1224.73, "worst_trade_pnl": -203.15, "avg_hold_days": 13.1, "exit_reasons": { "sma50": 78, "stop": 72, "time": 56 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 2.9 }, { "year": 2023, "return_pct": 45.8 }, { "year": 2024, "return_pct": 32.7 } ], "start_date": "2022-06-28", "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": 20110.58, "total_return_pct": 101.1, "cagr_pct": 39.2, "max_drawdown_pct": 22.4, "sharpe": 1.51, "trades": 171, "win_rate": 36.8, "avg_trade_pnl": 59.13, "best_trade_r": 11.89, "worst_trade_r": -1.82, "best_trade_pnl": 1324.11, "worst_trade_pnl": -375.96, "avg_hold_days": 16.4, "exit_reasons": { "low20": 13, "stop": 97, "time": 61 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.0 }, { "year": 2023, "return_pct": 50.4 }, { "year": 2024, "return_pct": 21.6 } ], "start_date": "2022-06-28", "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": 20785.54, "total_return_pct": 107.9, "cagr_pct": 41.4, "max_drawdown_pct": 21.8, "sharpe": 1.57, "trades": 170, "win_rate": 38.8, "avg_trade_pnl": 63.44, "best_trade_r": 11.89, "worst_trade_r": -1.82, "best_trade_pnl": 1352.31, "worst_trade_pnl": -394.39, "avg_hold_days": 16.7, "exit_reasons": { "stop": 102, "time": 68 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 9.9 }, { "year": 2023, "return_pct": 53.7 }, { "year": 2024, "return_pct": 23.0 } ], "start_date": "2022-06-28", "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": 18238.19, "total_return_pct": 82.4, "cagr_pct": 32.9, "max_drawdown_pct": 25.2, "sharpe": 1.38, "trades": 180, "win_rate": 36.1, "avg_trade_pnl": 45.77, "best_trade_r": 10.83, "worst_trade_r": -3.26, "best_trade_pnl": 1091.05, "worst_trade_pnl": -343.77, "avg_hold_days": 14.9, "exit_reasons": { "stop": 84, "time": 42, "trailing_stop": 54 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 10.2 }, { "year": 2023, "return_pct": 41.7 }, { "year": 2024, "return_pct": 16.8 } ], "start_date": "2022-06-28", "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": 14192.11, "total_return_pct": 41.9, "cagr_pct": 37.6, "max_drawdown_pct": 21.9, "sharpe": 1.4, "trades": 77, "win_rate": 37.7, "avg_trade_pnl": 54.44, "best_trade_r": 10.83, "worst_trade_r": -1.82, "best_trade_pnl": 1034.86, "worst_trade_pnl": -264.01, "avg_hold_days": 18.2, "exit_reasons": { "stop": 43, "time": 34 }, "skipped_book_full": 0, "spy_return_pct": 16.9, "yearly_returns": [ { "year": 2023, "return_pct": 11.9 }, { "year": 2024, "return_pct": 26.9 } ], "start_date": 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}, { "date": "2024-07-31", "equity": 14470.25, "return_pct": 44.7 }, { "date": "2024-08-01", "equity": 14265.34, "return_pct": 42.65 }, { "date": "2024-08-02", "equity": 13999.74, "return_pct": 40.0 }, { "date": "2024-08-05", "equity": 13592.01, "return_pct": 35.92 }, { "date": "2024-08-06", "equity": 13717.33, "return_pct": 37.17 }, { "date": "2024-08-07", "equity": 13625.64, "return_pct": 36.26 } ] } ], "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": "legacy_pivots_only", "candidate_count": 120604, "primary_source_counts": { "pivot_point": 120604 }, "primary_round_only": 0, "primary_strength_100": 81537, "avg_primary_strength": 79.509, "avg_primary_distance_atr": 2.32, "avg_primary_rejection_count": 35.076, "avg_raw_level_count": 38.809, "avg_gate_level_count": 38.809 }, "sr_candidate_audit": [ { "symbol": "ABBV", "date": "2022-06-28", "direction": "long", "qualified": true, "meets_core": true, "momentum_percentile": 89.651416, "strategy_rank": 64.940774, "rr": 2.137669, "primary_prob": 25.19, "primary_sources": [ "pivot_point" ], "primary_strength": 12.0, "primary_rejection_count": 6, "primary_distance_atr": 3.206503, "raw_level_count": 36, "gate_level_count": 36, "outcome": "stop_hit", "net_r": -1.053574, "hold30_r": -1.0 }, { "symbol": "ACGL", "date": "2022-06-28", 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"gate_level_count": 85, "outcome": "stop_hit", "net_r": -1.042601, "hold30_r": -1.0 }, { "symbol": "WFC", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 87.115839, "strategy_rank": 70.674484, "rr": 1.016277, "primary_prob": 43.92, "primary_sources": [ "pivot_point" ], "primary_strength": 76.0, "primary_rejection_count": 28, "primary_distance_atr": 1.524416, "raw_level_count": 47, "gate_level_count": 47, "outcome": "target_hit", "net_r": 0.951507, "hold30_r": -1.143666 }, { "symbol": "WRB", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 87.825059, "strategy_rank": 70.321881, "rr": 1.582156, "primary_prob": 23.35, "primary_sources": [ "pivot_point" ], "primary_strength": 38.0, "primary_rejection_count": 19, "primary_distance_atr": 2.373235, "raw_level_count": 58, "gate_level_count": 58, "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": 97.281324, "strategy_rank": 96.328059, "rr": 1.148536, "primary_prob": 31.45, "primary_sources": [ "pivot_point" ], "primary_strength": 32.0, "primary_rejection_count": 17, "primary_distance_atr": 1.722804, "raw_level_count": 80, "gate_level_count": 80, "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): +32.9% CAGR, Sharpe 1.38, max drawdown -25.2%." }, { "topic": "exit", "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.66R net/trade vs +0.24R for the S/R target exit). The simulated book agrees: +44.0% vs +32.8% CAGR at similar drawdown." }, { "topic": "gate", "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs -0.00R/trade and adds 25 trades." }, { "topic": "gate", "text": "Gate: keep the R:R floor (worth +0.33R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: keep the NEUTRAL exclusion (worth +0.04R/trade under the hold exit)." }, { "topic": "cutoff", "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.31R over 328 setups)." }, { "topic": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +79.6 points (+115.9% vs +36.3%), max drawdown \u221219.5%." }, { "topic": "robustness", "text": "Robustness: expectancy survives removing the top 5% of winners (+0.28R 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 1.70 vs 1.70, CAGR +44.0% vs +44.0%, skipped 0 vs 0." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 1.36 vs 1.70, drawdown 15.4% vs 19.5%, CAGR +30.0% vs +44.0%." }, { "topic": "low_vol_overlay", "candidate": false, "text": "Low-vol overlay stays research-only: Residual 80 + low-vol 50 / max 10 Sharpe 1.54 vs 1.70, drawdown 7.0% vs 19.5%, CAGR +14.7% vs +44.0%." }, { "topic": "high_vol_overlay", "candidate": true, "text": "High-vol overlay is a promotion candidate: Residual 80 + high-vol 70 / max 10 Sharpe 1.72 vs 1.70, drawdown 18.3% vs 19.5%, CAGR +46.1% vs +44.0%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }