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signal-platform/reports/daily_reentry_matrix.json
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2026-07-17 16:30:13 +02:00

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{
"generated_at": "2026-07-17T16:26:48.282643+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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},
{
"year": 2024,
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},
{
"year": 2025,
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}
],
"start_date": "2022-06-24",
"end_date": "2025-02-12",
"post_stop_events": 140,
"post_stop_reentries": 57,
"post_stop_states_open_at_end": 83,
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"reentries_within_5_sessions": 10,
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},
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"qualified_checks": 1052,
"emitted_candidates_by_reason": {
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}
}
},
{
"arm": "immediate",
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"starting_capital": 10000.0,
"cost_per_side_pct": 0.1,
"final_equity": 17137.23,
"total_return_pct": 71.4,
"cagr_pct": 43.4,
"max_drawdown_pct": 15.4,
"sharpe": 1.7,
"trades": 182,
"win_rate": 39.0,
"avg_trade_pnl": 39.22,
"best_trade_r": 12.37,
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"best_trade_pnl": 1822.62,
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"avg_hold_days": 14.9,
"exit_reasons": {
"stop": 84,
"time": 37,
"trailing_stop": 61
},
"skipped_book_full": 320,
"spy_return_pct": 27.4,
"yearly_returns": [
{
"year": 2025,
"return_pct": 65.8
},
{
"year": 2026,
"return_pct": 3.4
}
],
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"end_date": "2026-07-02",
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"same_day_reentries": 5,
"next_session_reentries": 2,
"reentries_within_5_sessions": 14,
"avg_reentry_wait_sessions": 37.1,
"reentry_win_rate": 37.5,
"reentry_total_pnl": 557.64
},
"policy": {
"daily_checks": 7766,
"qualified_checks": 181,
"emitted_candidates_by_reason": {
"gate_still_or_again_qualified": 181
}
}
},
{
"arm": "next_session",
"segment": "test",
"split_date": "2025-01-01",
"capacity": 10,
"starting_capital": 10000.0,
"cost_per_side_pct": 0.1,
"final_equity": 14711.19,
"total_return_pct": 47.1,
"cagr_pct": 29.5,
"max_drawdown_pct": 15.1,
"sharpe": 1.25,
"trades": 189,
"win_rate": 34.4,
"avg_trade_pnl": 24.93,
"best_trade_r": 12.37,
"worst_trade_r": -2.98,
"best_trade_pnl": 1610.68,
"worst_trade_pnl": -390.74,
"avg_hold_days": 13.8,
"exit_reasons": {
"stop": 95,
"time": 32,
"trailing_stop": 62
},
"skipped_book_full": 231,
"spy_return_pct": 27.4,
"yearly_returns": [
{
"year": 2025,
"return_pct": 52.2
},
{
"year": 2026,
"return_pct": -3.4
}
],
"start_date": "2025-01-02",
"end_date": "2026-07-02",
"post_stop_events": 95,
"post_stop_reentries": 39,
"post_stop_states_open_at_end": 56,
"turnover": {
"transaction_cost": 627.79,
"reentry_trades": 39,
"same_day_reentries": 0,
"next_session_reentries": 1,
"reentries_within_5_sessions": 11,
"avg_reentry_wait_sessions": 40.3,
"reentry_win_rate": 30.8,
"reentry_total_pnl": 143.82
},
"policy": {
"daily_checks": 10274,
"qualified_checks": 262,
"emitted_candidates_by_reason": {
"stop_day_block_complete": 250
}
}
},
{
"arm": "cooldown_5",
"segment": "test",
"split_date": "2025-01-01",
"capacity": 10,
"starting_capital": 10000.0,
"cost_per_side_pct": 0.1,
"final_equity": 15626.34,
"total_return_pct": 56.3,
"cagr_pct": 34.8,
"max_drawdown_pct": 17.9,
"sharpe": 1.46,
"trades": 181,
"win_rate": 36.5,
"avg_trade_pnl": 31.08,
"best_trade_r": 12.37,
"worst_trade_r": -2.98,
"best_trade_pnl": 1595.96,
"worst_trade_pnl": -176.93,
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},
"skipped_book_full": 230,
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"yearly_returns": [
{
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},
{
"year": 2026,
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}
],
"start_date": "2025-01-02",
"end_date": "2026-07-02",
"post_stop_events": 85,
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"turnover": {
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"same_day_reentries": 0,
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"reentries_within_5_sessions": 1,
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"reentry_win_rate": 40.5,
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},
"policy": {
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"emitted_candidates_by_reason": {
"5_session_cooldown_complete": 229
}
}
},
{
"arm": "gate_reset",
"segment": "test",
"split_date": "2025-01-01",
"capacity": 10,
"starting_capital": 10000.0,
"cost_per_side_pct": 0.1,
"final_equity": 14711.19,
"total_return_pct": 47.1,
"cagr_pct": 29.5,
"max_drawdown_pct": 15.1,
"sharpe": 1.25,
"trades": 189,
"win_rate": 34.4,
"avg_trade_pnl": 24.93,
"best_trade_r": 12.37,
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"best_trade_pnl": 1610.68,
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"time": 32,
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},
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"yearly_returns": [
{
"year": 2025,
"return_pct": 52.2
},
{
"year": 2026,
"return_pct": -3.4
}
],
"start_date": "2025-01-02",
"end_date": "2026-07-02",
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"reentries_within_5_sessions": 11,
"avg_reentry_wait_sessions": 40.3,
"reentry_win_rate": 30.8,
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},
"policy": {
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"qualified_checks": 262,
"emitted_candidates_by_reason": {
"gate_failed_then_requalified": 246
}
}
},
{
"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": 14292.0,
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"time": 29,
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},
"skipped_book_full": 206,
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{
"year": 2025,
"return_pct": 38.4
},
{
"year": 2026,
"return_pct": 3.3
}
],
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"end_date": "2026-07-02",
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"post_stop_states_open_at_end": 65,
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"reentry_trades": 17,
"same_day_reentries": 0,
"next_session_reentries": 0,
"reentries_within_5_sessions": 0,
"avg_reentry_wait_sessions": 51.4,
"reentry_win_rate": 35.3,
"reentry_total_pnl": -121.9
},
"policy": {
"daily_checks": 12523,
"qualified_checks": 414,
"emitted_candidates_by_reason": {
"gate_reset_with_improved_stop_and_rank": 93
}
}
},
{
"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": 14972.91,
"total_return_pct": 49.7,
"cagr_pct": 31.0,
"max_drawdown_pct": 14.6,
"sharpe": 1.36,
"trades": 177,
"win_rate": 35.0,
"avg_trade_pnl": 28.1,
"best_trade_r": 12.03,
"worst_trade_r": -2.98,
"best_trade_pnl": 1519.76,
"worst_trade_pnl": -327.58,
"avg_hold_days": 14.5,
"exit_reasons": {
"stop": 84,
"time": 34,
"trailing_stop": 59
},
"skipped_book_full": 82,
"spy_return_pct": 27.4,
"yearly_returns": [
{
"year": 2025,
"return_pct": 34.6
},
{
"year": 2026,
"return_pct": 11.3
}
],
"start_date": "2025-01-02",
"end_date": "2026-07-02",
"post_stop_events": 84,
"post_stop_reentries": 22,
"post_stop_states_open_at_end": 62,
"turnover": {
"transaction_cost": 548.46,
"reentry_trades": 22,
"same_day_reentries": 0,
"next_session_reentries": 0,
"reentries_within_5_sessions": 0,
"avg_reentry_wait_sessions": 40.5,
"reentry_win_rate": 36.4,
"reentry_total_pnl": -349.15
},
"policy": {
"daily_checks": 11452,
"qualified_checks": 321,
"emitted_candidates_by_reason": {
"two_qualified_post_stop_closes": 118
}
}
}
],
"portfolio_simulations_executed": 90,
"note": "The point-in-time daily setup replay and universe ranking are executed once. All arms reuse the identical production-qualified candidate set. 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."
}