dennisthiessenandClaude Opus 5
ebe9047403
Three questions answered against snapshot copies, with no production change. Step 1 — how sensitive is the backtest to the ranking universe? Restoring 85 S&P 500 constituents removed between 2021-06 and 2026-07 moves the same window from 2.09 Sharpe / 51.6% CAGR to 1.57 / 38.1%. The failed banks never reached either book (identical best/worst trade R), so this measures universe recomposition, not survivorship bias. The removals list is curated by hand with per-symbol sources; only three explicitly confirmed terminal events get marks, and four unresolved endings are reported as caveats rather than inferred. Step 2 — does a total-return basis change the ranking? Ordered lists differ on 1009 of 1009 evaluated dates, 4.56 replacements per date. The shift correlates with trailing implied yield (mean Spearman +0.79), which is strong evidence consistent with a dividend effect but does not isolate own-yield, since both the stock and benchmark legs change. Step 3a — does that reach P&L? A paired replay reusing one shared candidate set (control reproduces the production row exactly) changes ~30% of entries. Treatment is -3.7pp CAGR and -1.9pp drawdown, with the entire return gap in 2025. A paired moving-block bootstrap (seed 20260907, 5000 replicates, 21/63 blocks, both reported) puts every interval across zero. Decision: production stays unchanged. No schema, no ingestion, no wider sweep. The observed window does not resolve which basis is better, and choosing a threshold now — with -3.7pp on the table — would be fitting the rule to the answer. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01HAH7vVtn7qbcn1EVheecHQ
13004 lines
383 KiB
JSON
13004 lines
383 KiB
JSON
{
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"generated_at": "2026-09-07T11:29:07.772474+00:00",
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"snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\survivorship-a.sqlite",
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"cache": "C:\\Workspace\\signal-platform\\backtest_snapshots\\tr-rank-cache.sqlite",
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"candidates_store": "C:\\Workspace\\signal-platform\\backtest_snapshots\\tr-ab-candidates.pkl",
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"cadence": "weekly",
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"setup candidates (entry/stop/target/rr) generated once and shared",
|
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"execution bars: snapshot nominal closes in both arms",
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"volatility leg: vol_6m from candidate generation, never recomputed",
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"non-momentum gates, max_positions, risk_per_trade, exit policy, re-entry policy"
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],
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{
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|
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"seed": 20260907,
|
|
"replicates": 5000,
|
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|
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"pre_specified": "seed, replicate count and both block lengths were fixed before the run; both are reported",
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"scope": "exploratory uncertainty estimate from the observed window - not out-of-sample validation and not a rollout gate",
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"blocks": {
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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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|
|
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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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|
|
"reentry_date": "2024-06-10"
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
"reentry_date": "2024-06-17"
|
|
},
|
|
{
|
|
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|
|
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|
|
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|
|
"stop_date": "2024-08-02",
|
|
"reentry_date": "2024-08-14"
|
|
},
|
|
{
|
|
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|
|
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|
|
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|
|
"stop_date": "2022-12-08",
|
|
"reentry_date": "2024-08-14"
|
|
},
|
|
{
|
|
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|
|
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|
|
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|
|
"stop_date": "2024-08-05",
|
|
"reentry_date": "2024-08-21"
|
|
},
|
|
{
|
|
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|
|
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|
|
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|
|
"stop_date": "2024-07-25",
|
|
"reentry_date": "2024-09-05"
|
|
},
|
|
{
|
|
"symbol": "VST",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2022-12-30",
|
|
"reentry_date": "2024-09-19"
|
|
},
|
|
{
|
|
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|
|
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|
|
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|
|
"stop_date": "2024-06-17",
|
|
"reentry_date": "2024-10-03"
|
|
},
|
|
{
|
|
"symbol": "PODD",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2023-02-22",
|
|
"reentry_date": "2024-10-10"
|
|
},
|
|
{
|
|
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|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2024-09-18",
|
|
"reentry_date": "2024-10-24"
|
|
},
|
|
{
|
|
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|
|
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|
|
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|
|
"stop_date": "2024-09-11",
|
|
"reentry_date": "2024-11-14"
|
|
},
|
|
{
|
|
"symbol": "EBAY",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2024-12-27",
|
|
"reentry_date": "2025-01-23"
|
|
},
|
|
{
|
|
"symbol": "GM",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2024-12-09",
|
|
"reentry_date": "2025-01-23"
|
|
},
|
|
{
|
|
"symbol": "ZBRA",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2024-11-15",
|
|
"reentry_date": "2025-01-23"
|
|
},
|
|
{
|
|
"symbol": "CVNA",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2024-11-01",
|
|
"reentry_date": "2025-02-13"
|
|
},
|
|
{
|
|
"symbol": "AXON",
|
|
"wait_sessions": 420,
|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2023-07-19",
|
|
"reentry_date": "2025-03-21"
|
|
},
|
|
{
|
|
"symbol": "CVNA",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2025-02-20",
|
|
"reentry_date": "2025-04-11"
|
|
},
|
|
{
|
|
"symbol": "AXON",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2025-03-31",
|
|
"reentry_date": "2025-04-11"
|
|
},
|
|
{
|
|
"symbol": "IBKR",
|
|
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|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2025-04-16",
|
|
"reentry_date": "2025-05-19"
|
|
},
|
|
{
|
|
"symbol": "CIEN",
|
|
"wait_sessions": 23,
|
|
"reason": "gate_failed_then_requalified",
|
|
"stop_date": "2025-06-05",
|
|
"reentry_date": "2025-07-10"
|
|
},
|
|
{
|
|
"symbol": "APP",
|
|
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|
|
"reason": "gate_failed_then_requalified",
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