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signal-platform/reports/daily_reentry_matrix.json
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2026-07-17 17:23:27 +02:00

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{
"generated_at": "2026-07-17T17:22:46.376961+02:00",
"snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/prod.sqlite",
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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}
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{
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{
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{
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}
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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]
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{
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{
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{
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{
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}
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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"stop_date": "2024-05-01",
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{
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{
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"year": 2025,
"return_pct": 47.2
},
{
"year": 2026,
"return_pct": 14.5
}
],
"start_date": "2025-01-02",
"end_date": "2026-07-02",
"post_stop_events": 93,
"post_stop_reentries": 44,
"post_stop_states_open_at_end": 49,
"turnover": {
"transaction_cost": 592.87,
"reentry_trades": 44,
"same_day_reentries": 0,
"next_session_reentries": 2,
"reentries_within_5_sessions": 11,
"avg_reentry_wait_sessions": 38.7,
"reentry_win_rate": 34.1,
"reentry_total_pnl": 691.1
},
"policy": {
"daily_checks": 10368,
"qualified_checks": 230,
"emitted_candidates_by_reason": {
"gate_failed_then_requalified": 221
}
}
},
{
"arm": "gate_reset_improved",
"segment": "test",
"split_date": "2025-01-01",
"capacity": 10,
"starting_capital": 10000.0,
"cost_per_side_pct": 0.1,
"final_equity": 15192.36,
"total_return_pct": 51.9,
"cagr_pct": 32.3,
"max_drawdown_pct": 20.5,
"sharpe": 1.38,
"trades": 172,
"win_rate": 34.3,
"avg_trade_pnl": 30.19,
"best_trade_r": 12.37,
"worst_trade_r": -5.98,
"best_trade_pnl": 1505.39,
"worst_trade_pnl": -199.95,
"avg_hold_days": 14.2,
"exit_reasons": {
"stop": 81,
"time": 29,
"trailing_stop": 62
},
"skipped_book_full": 190,
"spy_return_pct": 27.4,
"yearly_returns": [
{
"year": 2025,
"return_pct": 38.1
},
{
"year": 2026,
"return_pct": 10.0
}
],
"start_date": "2025-01-02",
"end_date": "2026-07-02",
"post_stop_events": 81,
"post_stop_reentries": 21,
"post_stop_states_open_at_end": 60,
"turnover": {
"transaction_cost": 542.05,
"reentry_trades": 21,
"same_day_reentries": 0,
"next_session_reentries": 0,
"reentries_within_5_sessions": 2,
"avg_reentry_wait_sessions": 27.2,
"reentry_win_rate": 42.9,
"reentry_total_pnl": 1192.4
},
"policy": {
"daily_checks": 12640,
"qualified_checks": 330,
"emitted_candidates_by_reason": {
"gate_reset_with_improved_stop_and_rank": 75
}
}
},
{
"arm": "two_session_confirmation",
"segment": "test",
"split_date": "2025-01-01",
"capacity": 10,
"starting_capital": 10000.0,
"cost_per_side_pct": 0.1,
"final_equity": 13543.94,
"total_return_pct": 35.4,
"cagr_pct": 22.5,
"max_drawdown_pct": 18.1,
"sharpe": 1.02,
"trades": 183,
"win_rate": 33.3,
"avg_trade_pnl": 19.37,
"best_trade_r": 12.03,
"worst_trade_r": -5.98,
"best_trade_pnl": 1428.24,
"worst_trade_pnl": -329.41,
"avg_hold_days": 14.0,
"exit_reasons": {
"stop": 89,
"time": 33,
"trailing_stop": 61
},
"skipped_book_full": 145,
"spy_return_pct": 27.4,
"yearly_returns": [
{
"year": 2025,
"return_pct": 28.2
},
{
"year": 2026,
"return_pct": 5.7
}
],
"start_date": "2025-01-02",
"end_date": "2026-07-02",
"post_stop_events": 89,
"post_stop_reentries": 28,
"post_stop_states_open_at_end": 61,
"turnover": {
"transaction_cost": 547.98,
"reentry_trades": 28,
"same_day_reentries": 0,
"next_session_reentries": 0,
"reentries_within_5_sessions": 5,
"avg_reentry_wait_sessions": 25.2,
"reentry_win_rate": 35.7,
"reentry_total_pnl": 208.79
},
"policy": {
"daily_checks": 12410,
"qualified_checks": 298,
"emitted_candidates_by_reason": {
"two_qualified_post_stop_closes": 107
}
}
}
],
"portfolio_simulations_executed": 90
}
},
"portfolio_simulations_executed": 180,
"validation_simulations_executed": 2,
"note": "The expensive point-in-time daily setup replay is executed once. backtest_legacy preserves the existing candidate-rank approximation; live_universe ranks every ticker once per session like production. Both modes remain strictly long-only after ranking and then run the same policy, lookback, cost, capacity, and holdout matrix. Each immediate callback must match its direct no-lockdown simulation exactly. Immediate is the daily no-lockdown baseline; next_session blocks only the stop day; cooldown_5 permits re-entry at wait_sessions=5; gate_reset requires an unqualified close before requalification; gate_reset_improved additionally requires a higher stop and a non-weaker production rank; two_session_confirmation requires two consecutive qualified post-stop closes and excludes the stop day's close. Transaction costs alter cash and position sizing, not just reported P&L."
}