{ "generated_at": "2026-07-13T07:09:12.424801+00:00", "tickers": 506, "candidates": 119258, "qualified": 136, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "rewrite_range504_structural_legacy_primary", "range_factor_lookback": 504, "range_factor_min_log": 1.0, "range_factor_min_ratio": 2.7183, "entry_start": null, "entry_end": "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": 136, "wins": 59, "losses": 70, "expired": 7, "hit_rate": 45.7, "avg_r": 0.453, "total_r": 61.62, "net_avg_r": 0.416, "net_total_r": 56.56, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.1, "net_r_per_day": 0.0374, "median_net_r": -1.019, "profit_factor": 1.7, "net_avg_r_ex_top5": 0.284 }, "overall_all": { "total": 119258, "wins": 48142, "losses": 67268, "expired": 3848, "hit_rate": 41.7, "avg_r": -0.039, "total_r": -4689.79, "net_avg_r": -0.094, "net_total_r": -11194.64, "best_r": 7.7, "worst_r": -8.6, "avg_hold_days": 8.3, "net_r_per_day": -0.0114, "median_net_r": -1.036, "profit_factor": 0.85, "net_avg_r_ex_top5": -0.22 }, "by_direction": { "long": { "total": 136, "wins": 59, "losses": 70, "expired": 7, "hit_rate": 45.7, "avg_r": 0.453, "total_r": 61.62, "net_avg_r": 0.416, "net_total_r": 56.56, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.1, "net_r_per_day": 0.0374, "median_net_r": -1.019, "profit_factor": 1.7, "net_avg_r_ex_top5": 0.284 }, "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": 105, "wins": 42, "losses": 58, "expired": 5, "hit_rate": 42.0, "avg_r": 0.308, "total_r": 32.34, "net_avg_r": 0.272, "net_total_r": 28.54, "best_r": 2.89, "worst_r": -3.12, "avg_hold_days": 11.1, "net_r_per_day": 0.0245, "median_net_r": -1.022, "profit_factor": 1.42, "net_avg_r_ex_top5": 0.121 }, { "min_momentum_percentile": 80.0, "total": 136, "wins": 59, "losses": 70, "expired": 7, "hit_rate": 45.7, "avg_r": 0.453, "total_r": 61.62, "net_avg_r": 0.416, "net_total_r": 56.56, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.1, "net_r_per_day": 0.0374, "median_net_r": -1.019, "profit_factor": 1.7, "net_avg_r_ex_top5": 0.284 }, { "min_momentum_percentile": 70.0, "total": 163, "wins": 64, "losses": 88, "expired": 11, "hit_rate": 42.1, "avg_r": 0.333, "total_r": 54.35, "net_avg_r": 0.296, "net_total_r": 48.27, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.0, "net_r_per_day": 0.0269, "median_net_r": -1.021, "profit_factor": 1.48, "net_avg_r_ex_top5": 0.149 }, { "min_momentum_percentile": 60.0, "total": 192, "wins": 74, "losses": 103, "expired": 15, "hit_rate": 41.8, "avg_r": 0.319, "total_r": 61.3, "net_avg_r": 0.282, "net_total_r": 54.11, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.0, "net_r_per_day": 0.0255, "median_net_r": -1.021, "profit_factor": 1.46, "net_avg_r_ex_top5": 0.143 }, { "min_momentum_percentile": 50.0, "total": 217, "wins": 80, "losses": 120, "expired": 17, "hit_rate": 40.0, "avg_r": 0.25, "total_r": 54.27, "net_avg_r": 0.213, "net_total_r": 46.25, "best_r": 3.09, "worst_r": -3.97, "avg_hold_days": 11.1, "net_r_per_day": 0.0191, "median_net_r": -1.022, "profit_factor": 1.33, "net_avg_r_ex_top5": 0.075 }, { "min_momentum_percentile": 0.0, "total": 673, "wins": 213, "losses": 404, "expired": 56, "hit_rate": 34.5, "avg_r": 0.115, "total_r": 77.49, "net_avg_r": 0.079, "net_total_r": 53.32, "best_r": 6.46, "worst_r": -5.16, "avg_hold_days": 11.2, "net_r_per_day": 0.0071, "median_net_r": -1.026, "profit_factor": 1.12, "net_avg_r_ex_top5": -0.083 } ], "gate_ablation": [ { "variant": "all_floors", "total": 136, "wins": 59, "losses": 70, "expired": 7, "hit_rate": 45.7, "avg_r": 0.453, "total_r": 61.62, "net_avg_r": 0.416, "net_total_r": 56.56, "best_r": 3.09, "worst_r": -3.12, "avg_hold_days": 11.1, "net_r_per_day": 0.0374, "median_net_r": -1.019, "profit_factor": 1.7, "net_avg_r_ex_top5": 0.284, "hold_days": 30, "hold_avg_r": 1.034, "hold_net_avg_r": 0.997, "hold_total_r": 140.66 }, { "variant": "no_confidence_floor", "total": 638, "wins": 223, "losses": 365, "expired": 50, "hit_rate": 37.9, "avg_r": 0.21, "total_r": 133.72, "net_avg_r": 0.163, "net_total_r": 104.15, "best_r": 4.05, "worst_r": -3.43, "avg_hold_days": 11.9, "net_r_per_day": 0.0137, "median_net_r": -1.034, "profit_factor": 1.26, "net_avg_r_ex_top5": 0.02, "hold_days": 30, "hold_avg_r": 0.515, "hold_net_avg_r": 0.469, "hold_total_r": 328.69 }, { "variant": "no_rr_floor", "total": 3923, "wins": 1804, "losses": 2021, "expired": 98, "hit_rate": 47.2, "avg_r": 0.11, "total_r": 429.6, "net_avg_r": 0.057, "net_total_r": 222.37, "best_r": 4.05, "worst_r": -6.02, "avg_hold_days": 8.0, "net_r_per_day": 0.0071, "median_net_r": -1.025, "profit_factor": 1.1, "net_avg_r_ex_top5": -0.063, "hold_days": 30, "hold_avg_r": 0.365, "hold_net_avg_r": 0.312, "hold_total_r": 1431.74 }, { "variant": "no_neutral_exclusion", "total": 1517, "wins": 518, "losses": 851, "expired": 148, "hit_rate": 37.8, "avg_r": 0.195, "total_r": 296.23, "net_avg_r": 0.149, "net_total_r": 225.56, "best_r": 4.07, "worst_r": -4.08, "avg_hold_days": 12.7, "net_r_per_day": 0.0117, "median_net_r": -1.033, "profit_factor": 1.24, "net_avg_r_ex_top5": 0.009, "hold_days": 30, "hold_avg_r": 0.533, "hold_net_avg_r": 0.486, "hold_total_r": 808.41 }, { "variant": "momentum_only", "total": 7792, "wins": 3431, "losses": 4067, "expired": 294, "hit_rate": 45.8, "avg_r": 0.113, "total_r": 883.99, "net_avg_r": 0.062, "net_total_r": 484.91, "best_r": 4.07, "worst_r": -6.02, "avg_hold_days": 8.9, "net_r_per_day": 0.007, "median_net_r": -1.026, "profit_factor": 1.11, "net_avg_r_ex_top5": -0.058, "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": 136, "wins": 77, "win_rate": 56.6, "avg_r": 0.154, "total_r": 20.89, "net_avg_r": 0.116, "net_total_r": 15.83, "best_r": 3.65, "worst_r": -3.12, "avg_hold_days": 4.5, "net_r_per_day": 0.0261, "median_net_r": 0.078, "profit_factor": 1.32, "net_avg_r_ex_top5": -0.024 }, { "hold_days": 10, "total": 136, "wins": 76, "win_rate": 55.9, "avg_r": 0.519, "total_r": 70.62, "net_avg_r": 0.482, "net_total_r": 65.56, "best_r": 5.76, "worst_r": -3.12, "avg_hold_days": 7.8, "net_r_per_day": 0.0618, "median_net_r": 0.131, "profit_factor": 2.02, "net_avg_r_ex_top5": 0.257 }, { "hold_days": 21, "total": 136, "wins": 66, "win_rate": 48.5, "avg_r": 0.909, "total_r": 123.56, "net_avg_r": 0.871, "net_total_r": 118.5, "best_r": 9.01, "worst_r": -3.12, "avg_hold_days": 14.2, "net_r_per_day": 0.0615, "median_net_r": -0.395, "profit_factor": 2.55, "net_avg_r_ex_top5": 0.565 }, { "hold_days": 30, "total": 136, "wins": 55, "win_rate": 40.4, "avg_r": 1.034, "total_r": 140.66, "net_avg_r": 0.997, "net_total_r": 135.6, "best_r": 9.85, "worst_r": -3.12, "avg_hold_days": 18.6, "net_r_per_day": 0.0537, "median_net_r": -1.026, "profit_factor": 2.53, "net_avg_r_ex_top5": 0.59 } ], "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": 13610.36, "total_return_pct": 36.1, "cagr_pct": 16.4, "max_drawdown_pct": 11.6, "sharpe": 1.25, "trades": 92, "win_rate": 44.6, "avg_trade_pnl": 39.24, "best_trade_r": 4.49, "worst_trade_r": -2.88, "best_trade_pnl": 454.37, "worst_trade_pnl": -294.77, "avg_hold_days": 10.4, "exit_reasons": { "stop": 49, "target": 37, "time": 6 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -1.7 }, { "year": 2023, "return_pct": 27.4 }, { "year": 2024, "return_pct": 8.7 } ], "start_date": "2022-07-20", "end_date": "2024-07-31" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 16869.88, "total_return_pct": 68.7, "cagr_pct": 29.4, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 76, "win_rate": 39.5, "avg_trade_pnl": 90.39, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1081.09, "worst_trade_pnl": -345.26, "avg_hold_days": 17.6, "exit_reasons": { "stop": 44, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 14.8 } ], "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": 16869.88, "total_return_pct": 68.7, "cagr_pct": 29.4, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 76, "win_rate": 39.5, "avg_trade_pnl": 90.39, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1081.09, "worst_trade_pnl": -345.26, "avg_hold_days": 17.6, "exit_reasons": { "stop": 44, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 14.8 } ], "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": 15311.71, "total_return_pct": 53.1, "cagr_pct": 23.8, "max_drawdown_pct": 10.6, "sharpe": 1.37, "trades": 70, "win_rate": 35.7, "avg_trade_pnl": 75.88, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1027.06, "worst_trade_pnl": -328.0, "avg_hold_days": 17.8, "exit_reasons": { "stop": 43, "time": 27 }, "skipped_book_full": 0, "spy_return_pct": 32.9, "yearly_returns": [ { "year": 2022, "return_pct": -2.4 }, { "year": 2023, "return_pct": 43.0 }, { "year": 2024, "return_pct": 9.7 } ], "start_date": "2022-08-03", "end_date": "2024-07-31" }, { "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": 11693.22, "total_return_pct": 16.9, "cagr_pct": 8.2, "max_drawdown_pct": 12.0, "sharpe": 0.61, "trades": 59, "win_rate": 28.8, "avg_trade_pnl": 28.7, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 828.49, "worst_trade_pnl": -274.38, "avg_hold_days": 16.2, "exit_reasons": { "stop": 40, "time": 19 }, "skipped_book_full": 0, "spy_return_pct": 32.9, "yearly_returns": [ { "year": 2022, "return_pct": -2.4 }, { "year": 2023, "return_pct": 16.0 }, { "year": 2024, "return_pct": 3.3 } ], "start_date": "2022-08-03", "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": 16869.88, "total_return_pct": 68.7, "cagr_pct": 29.4, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 76, "win_rate": 39.5, "avg_trade_pnl": 90.39, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1081.09, "worst_trade_pnl": -345.26, "avg_hold_days": 17.6, "exit_reasons": { "stop": 44, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 14.8 } ], "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": 15847.68, "total_return_pct": 58.5, "cagr_pct": 25.4, "max_drawdown_pct": 13.2, "sharpe": 1.44, "trades": 76, "win_rate": 39.5, "avg_trade_pnl": 76.94, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 968.56, "worst_trade_pnl": -342.83, "avg_hold_days": 17.6, "exit_reasons": { "stop": 44, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 51.0 }, { "year": 2024, "return_pct": 8.6 } ], "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": 16869.88, "total_return_pct": 68.7, "cagr_pct": 29.4, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 76, "win_rate": 39.5, "avg_trade_pnl": 90.39, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1081.09, "worst_trade_pnl": -345.26, "avg_hold_days": 17.6, "exit_reasons": { "stop": 44, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 14.8 } ], "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": 16996.95, "total_return_pct": 70.0, "cagr_pct": 29.8, "max_drawdown_pct": 13.2, "sharpe": 1.58, "trades": 75, "win_rate": 40.0, "avg_trade_pnl": 93.29, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1097.8, "worst_trade_pnl": -345.26, "avg_hold_days": 17.8, "exit_reasons": { "stop": 43, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 15.7 } ], "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": 16869.76, "total_return_pct": 68.7, "cagr_pct": 29.4, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 76, "win_rate": 39.5, "avg_trade_pnl": 90.39, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1081.08, "worst_trade_pnl": -345.26, "avg_hold_days": 17.6, "exit_reasons": { "stop": 44, "time": 32 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 52.1 }, { "year": 2024, "return_pct": 14.8 } ], "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": 16898.4, "total_return_pct": 69.0, "cagr_pct": 29.5, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 74, "win_rate": 39.2, "avg_trade_pnl": 93.22, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1099.41, "worst_trade_pnl": -351.11, "avg_hold_days": 18.2, "exit_reasons": { "stop": 43, "time": 31 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 13.1 } ], "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": 16898.09, "total_return_pct": 69.0, "cagr_pct": 29.5, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 74, "win_rate": 39.2, "avg_trade_pnl": 93.22, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1099.39, "worst_trade_pnl": -351.18, "avg_hold_days": 18.2, "exit_reasons": { "stop": 43, "time": 31 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 13.1 } ], "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": 16402.12, "total_return_pct": 64.0, "cagr_pct": 27.6, "max_drawdown_pct": 13.2, "sharpe": 1.47, "trades": 73, "win_rate": 38.4, "avg_trade_pnl": 87.7, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1067.09, "worst_trade_pnl": -351.18, "avg_hold_days": 18.0, "exit_reasons": { "stop": 43, "time": 30 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 50.2 }, { "year": 2024, "return_pct": 13.0 } ], "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": 14995.53, "total_return_pct": 50.0, "cagr_pct": 18.1, "max_drawdown_pct": 27.2, "sharpe": 0.74, "trades": 200, "win_rate": 32.0, "avg_trade_pnl": 24.98, "best_trade_r": 10.01, "worst_trade_r": -3.97, "best_trade_pnl": 1124.18, "worst_trade_pnl": -174.51, "avg_hold_days": 16.0, "exit_reasons": { "stop": 131, "time": 69 }, "skipped_book_full": 1, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -25.5 }, { "year": 2023, "return_pct": 101.9 }, { "year": 2024, "return_pct": -0.3 } ], "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": 14760.77, "total_return_pct": 47.6, "cagr_pct": 17.4, "max_drawdown_pct": 26.5, "sharpe": 0.72, "trades": 197, "win_rate": 32.0, "avg_trade_pnl": 24.17, "best_trade_r": 10.01, "worst_trade_r": -3.97, "best_trade_pnl": 1142.78, "worst_trade_pnl": -162.92, "avg_hold_days": 16.1, "exit_reasons": { "stop": 129, "time": 68 }, "skipped_book_full": 1, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -24.7 }, { "year": 2023, "return_pct": 102.3 }, { "year": 2024, "return_pct": -3.1 } ], "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": 16077.47, "total_return_pct": 60.8, "cagr_pct": 21.6, "max_drawdown_pct": 25.2, "sharpe": 0.84, "trades": 181, "win_rate": 33.7, "avg_trade_pnl": 33.58, "best_trade_r": 10.01, "worst_trade_r": -3.97, "best_trade_pnl": 1251.72, "worst_trade_pnl": -193.93, "avg_hold_days": 17.1, "exit_reasons": { "stop": 116, "time": 65 }, "skipped_book_full": 0, "spy_return_pct": 19.0, "yearly_returns": [ { "year": 2022, "return_pct": -23.1 }, { "year": 2023, "return_pct": 119.2 }, { "year": 2024, "return_pct": -4.6 } ], "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": 16898.4, "total_return_pct": 69.0, "cagr_pct": 29.5, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 74, "win_rate": 39.2, "avg_trade_pnl": 93.22, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1099.41, "worst_trade_pnl": -351.11, "avg_hold_days": 18.2, "exit_reasons": { "stop": 43, "time": 31 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 13.1 } ], "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": 19020.34, "total_return_pct": 90.2, "cagr_pct": 37.2, "max_drawdown_pct": 9.6, "sharpe": 1.97, "trades": 84, "win_rate": 39.3, "avg_trade_pnl": 107.39, "best_trade_r": 9.85, "worst_trade_r": -1.12, "best_trade_pnl": 1274.78, "worst_trade_pnl": -207.46, "avg_hold_days": 14.0, "exit_reasons": { "sma50": 32, "stop": 25, "time": 27 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -4.8 }, { "year": 2023, "return_pct": 73.1 }, { "year": 2024, "return_pct": 15.4 } ], "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": 16980.39, "total_return_pct": 69.8, "cagr_pct": 29.8, "max_drawdown_pct": 13.0, "sharpe": 1.57, "trades": 75, "win_rate": 38.7, "avg_trade_pnl": 93.07, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1115.04, "worst_trade_pnl": -350.48, "avg_hold_days": 17.8, "exit_reasons": { "low20": 5, "stop": 41, "time": 29 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 53.1 }, { "year": 2024, "return_pct": 14.8 } ], "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": 16898.4, "total_return_pct": 69.0, "cagr_pct": 29.5, "max_drawdown_pct": 13.2, "sharpe": 1.55, "trades": 74, "win_rate": 39.2, "avg_trade_pnl": 93.22, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1099.41, "worst_trade_pnl": -351.11, "avg_hold_days": 18.2, "exit_reasons": { "stop": 43, "time": 31 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 54.6 }, { "year": 2024, "return_pct": 13.1 } ], "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": 17407.93, "total_return_pct": 74.1, "cagr_pct": 31.4, "max_drawdown_pct": 13.7, "sharpe": 1.69, "trades": 79, "win_rate": 43.0, "avg_trade_pnl": 93.77, "best_trade_r": 9.09, "worst_trade_r": -2.88, "best_trade_pnl": 1159.06, "worst_trade_pnl": -356.82, "avg_hold_days": 16.4, "exit_reasons": { "stop": 33, "time": 19, "trailing_stop": 27 }, "skipped_book_full": 0, "spy_return_pct": 39.5, "yearly_returns": [ { "year": 2022, "return_pct": -3.4 }, { "year": 2023, "return_pct": 57.1 }, { "year": 2024, "return_pct": 14.7 } ], "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": 14139.79, "total_return_pct": 41.4, "cagr_pct": 37.9, "max_drawdown_pct": 15.8, "sharpe": 1.68, "trades": 47, "win_rate": 38.3, "avg_trade_pnl": 88.08, "best_trade_r": 7.48, "worst_trade_r": -2.88, "best_trade_pnl": 906.14, "worst_trade_pnl": -289.38, "avg_hold_days": 19.2, "exit_reasons": { "stop": 25, "time": 22 }, "skipped_book_full": 0, "spy_return_pct": 24.1, "yearly_returns": [ { "year": 2023, "return_pct": 23.1 }, { "year": 2024, "return_pct": 14.8 } ], "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": 9991.76, "return_pct": -0.08 }, { "date": "2023-07-06", "equity": 9886.31, "return_pct": -1.14 }, { "date": "2023-07-07", "equity": 9974.98, "return_pct": -0.25 }, { "date": "2023-07-10", "equity": 10130.73, "return_pct": 1.31 }, { "date": "2023-07-11", "equity": 10310.91, "return_pct": 3.11 }, { "date": "2023-07-12", "equity": 10361.64, "return_pct": 3.62 }, { "date": "2023-07-13", "equity": 10820.12, "return_pct": 8.2 }, { "date": "2023-07-14", "equity": 10684.06, "return_pct": 6.84 }, { "date": "2023-07-17", "equity": 10703.11, "return_pct": 7.03 }, { "date": "2023-07-18", "equity": 10857.3, "return_pct": 8.57 }, { "date": "2023-07-19", "equity": 11302.62, "return_pct": 13.03 }, { "date": "2023-07-20", "equity": 10702.95, "return_pct": 7.03 }, { "date": "2023-07-21", "equity": 10584.82, "return_pct": 5.85 }, { "date": "2023-07-24", "equity": 10570.88, "return_pct": 5.71 }, { "date": "2023-07-25", "equity": 10559.02, "return_pct": 5.59 }, { "date": "2023-07-26", "equity": 10659.28, "return_pct": 6.59 }, { "date": "2023-07-27", "equity": 10527.09, "return_pct": 5.27 }, { "date": "2023-07-28", "equity": 10777.27, "return_pct": 7.77 }, { "date": "2023-07-31", "equity": 10847.48, "return_pct": 8.47 }, { "date": "2023-08-01", "equity": 10895.65, "return_pct": 8.96 }, { "date": "2023-08-02", "equity": 10764.31, "return_pct": 7.64 }, { "date": "2023-08-03", "equity": 10670.14, "return_pct": 6.7 }, { "date": "2023-08-04", "equity": 10484.87, "return_pct": 4.85 }, { "date": "2023-08-07", "equity": 10531.9, "return_pct": 5.32 }, { "date": "2023-08-08", "equity": 10597.5, "return_pct": 5.97 }, { "date": "2023-08-09", "equity": 10371.63, "return_pct": 3.72 }, { "date": "2023-08-10", "equity": 10387.09, "return_pct": 3.87 }, { "date": "2023-08-11", "equity": 10526.79, "return_pct": 5.27 }, { "date": "2023-08-14", 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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_legacy_primary", "candidate_count": 119258, "primary_source_counts": { "pivot_point": 118423, "round_number": 65734, "volume_profile": 57626 }, "primary_round_only": 0, "primary_strength_100": 44545, "avg_primary_strength": 77.529, "avg_primary_distance_atr": 2.301, "avg_primary_rejection_count": 7.473, "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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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): +31.4% CAGR, Sharpe 1.69, max drawdown -13.7%." }, { "topic": "exit", "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+1.00R net/trade vs +0.42R for the S/R target exit). The simulated book agrees: +29.4% vs +16.4% 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 +0.69R/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 (+0.42R over 136 setups)." }, { "topic": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +29.2 points (+68.7% vs +39.5%), max drawdown \u221213.2%." }, { "topic": "robustness", "text": "Robustness: expectancy survives removing the top 5% of winners (+0.59R 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 1.55 vs 1.55, CAGR +29.4% vs +29.4%, skipped 0 vs 0." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 0.61 vs 1.55, drawdown 12.0% vs 13.2%, CAGR +8.2% vs +29.4%." }, { "topic": "low_vol_overlay", "candidate": false, "text": "Low-vol overlay stays research-only: Residual 80 + low-vol blend / max 10 Sharpe 1.44 vs 1.55, drawdown 13.2% vs 13.2%, CAGR +25.4% vs +29.4%." }, { "topic": "high_vol_overlay", "candidate": true, "text": "High-vol overlay is a promotion candidate: Residual 80 + high-vol 70 / max 10 Sharpe 1.58 vs 1.55, drawdown 13.2% vs 13.2%, CAGR +29.8% vs +29.4%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }