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Failed Radar Event Long Straddles · weekly marks, premium-normalized · Model diagnostics
DEAD · 2024-09-23 → 2026-06-22 · 4,334 trades
One observation is one source/model trade; 4,334 trades are aggregated into 92 weekly cohorts. Metrics use 52 weekly observations/year. Premium-normalized books assume a 10%-of-capital weekly premium budget; per-trade premium returns are shown unscaled in Avg obs. Structural horizon: the last qualifying locally priceable entry is 2026-06-25 and its full 10-session exit is 2026-07-10. Local EOD chain parquet ends 2026-07-10, and later formations either fail the frozen two-sided quote/spread/contract quality rules or require unavailable later exits. All qualifying local holds completing by 2026-07-10 are included; no network data was used. Returns and observation rankings include the model's existing execution costs.
Total return-87.2%Span-true compounded return · not annualized
Annualized CAGR-68.8%Annualized at 52 periods/year · span is 637 calendar days
QuantStats Sharpe (i.i.d.)-17.86Annualized at 52 weekly periods/year
QuantStats Sortino-6.70Same 52-period annualization
Entry-cohort t-stat-23.85Weekly-cohort bootstrap · 10,000 draws · 92 weekly cohorts
Sortino convention: QuantStats Sortino is mean return divided by downside deviation, multiplied by √(periods/year). This differs from plain-downside conventions.
Inference note: overlapping holding periods can make an i.i.d. Sharpe optimistic. The t-stat bootstraps weekly cohorts and preserves every cohort's full marked path.
Best and worst trades
Observation return follows the verified construction; a paired trade is the sum of its equal-notional short and synthetic-control legs.
Top 10 best
| Ticker | Entry date | Return |
|---|
| CRML | 2025-10-01 | +383.33% |
| OPEN | 2025-08-27 | +277.51% |
| SNDK | 2025-09-09 | +238.79% |
| UNH | 2025-08-04 | +205.84% |
| HIMS | 2026-02-25 | +175.98% |
| TSLA | 2024-10-28 | +160.36% |
| MXL | 2026-04-28 | +157.78% |
| SLV | 2025-12-11 | +148.81% |
| OPEN | 2025-08-07 | +142.65% |
| QBTS | 2025-05-12 | +138.33% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| SILJ | 2026-01-30 | -73.59% |
| SATS | 2025-09-02 | -73.32% |
| WU | 2025-10-30 | -73.08% |
| FOUR | 2025-10-31 | -73.02% |
| FN | 2025-01-31 | -72.93% |
| XOVR | 2026-06-01 | -72.73% |
| VG | 2025-08-08 | -72.31% |
| QXO | 2025-01-29 | -72.00% |
| FSLY | 2024-11-05 | -71.43% |
| WU | 2025-10-31 | -70.83% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Weekly gross $ | $471,087 | $445,000 | $1,410,000 |
| Concurrent position count | 47.1 | 44 | 141 |
| Single-name share | — | — | 50.0% · ACLS · 2024-12-23 |
Position count is the number of model trades at each weekly mark; one matched-control basket counts as one paired position. Single-name share aggregates repeated ticker exposure before dividing by weekly gross.
Weekly exposure (92 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2024-09-23 | $280,000 | 28 | ACN | 3.6% |
| 2024-09-30 | $550,000 | 55 | A | 1.8% |
| 2024-10-07 | $400,000 | 40 | ACMR | 2.5% |
| 2024-10-14 | $410,000 | 41 | ACHR | 2.4% |
| 2024-10-21 | $250,000 | 25 | CNC | 4.0% |
| 2024-10-28 | $840,000 | 84 | ACN | 1.2% |
| 2024-11-04 | $480,000 | 48 | AEM | 2.1% |
| 2024-11-11 | $560,000 | 56 | AAOI | 1.8% |
| 2024-11-18 | $200,000 | 20 | AI | 5.0% |
| 2024-11-25 | $260,000 | 26 | A | 3.8% |
| 2024-12-02 | $310,000 | 31 | AAOI | 3.2% |
| 2024-12-09 | $540,000 | 54 | AAOI | 1.9% |
| 2024-12-16 | $280,000 | 28 | ADBE | 3.6% |
| 2024-12-23 | $20,000 | 2 | ACLS | 50.0% |
| 2024-12-30 | $150,000 | 15 | ALK | 6.7% |
| 2025-01-06 | $200,000 | 20 | ALK | 5.0% |
| 2025-01-13 | $330,000 | 33 | ADTN | 3.0% |
| 2025-01-20 | $120,000 | 12 | AAL | 8.3% |
| 2025-01-27 | $480,000 | 48 | AKAM | 2.1% |
| 2025-02-03 | $450,000 | 45 | AMDL | 2.2% |
| 2025-02-10 | $560,000 | 56 | ACLS | 1.8% |
| 2025-02-17 | $320,000 | 32 | ABNB | 3.1% |
| 2025-02-24 | $200,000 | 20 | A | 5.0% |
| 2025-03-03 | $400,000 | 40 | AAOI | 2.5% |
| 2025-03-10 | $280,000 | 28 | ADBE | 3.6% |
| 2025-03-17 | $250,000 | 25 | AEM | 4.0% |
| 2025-03-24 | $80,000 | 8 | BAM | 12.5% |
| 2025-03-31 | $140,000 | 14 | APP | 7.1% |
| 2025-04-07 | $330,000 | 33 | AEM | 3.0% |
| 2025-04-14 | $170,000 | 17 | APA | 5.9% |
| 2025-04-21 | $200,000 | 20 | AG | 5.0% |
| 2025-04-28 | $350,000 | 35 | ACMR | 2.9% |
| 2025-05-05 | $350,000 | 35 | ABNB | 2.9% |
| 2025-05-12 | $320,000 | 32 | AEVA | 3.1% |
| 2025-05-19 | $370,000 | 37 | AAP | 2.7% |
| 2025-05-26 | $400,000 | 40 | AAP | 2.5% |
| 2025-06-02 | $390,000 | 39 | AEO | 2.6% |
| 2025-06-09 | $450,000 | 45 | AEVA | 2.2% |
| 2025-06-16 | $270,000 | 27 | ADBE | 3.7% |
| 2025-06-23 | $220,000 | 22 | ARKK | 4.5% |
| 2025-06-30 | $500,000 | 50 | AEVA | 2.0% |
| 2025-07-07 | $380,000 | 38 | AAOI | 2.6% |
| 2025-07-14 | $310,000 | 31 | ABT | 3.2% |
| 2025-07-21 | $650,000 | 65 | AAL | 1.5% |
| 2025-07-28 | $670,000 | 67 | AAOI | 1.5% |
| 2025-08-04 | $890,000 | 89 | AAOI | 1.1% |
| 2025-08-11 | $620,000 | 62 | ACHR | 1.6% |
| 2025-08-18 | $340,000 | 34 | ADI | 2.9% |
| 2025-08-25 | $520,000 | 52 | AAON | 1.9% |
| 2025-09-01 | $620,000 | 62 | ADSK | 1.6% |
| 2025-09-08 | $770,000 | 77 | ADBE | 1.3% |
| 2025-09-15 | $560,000 | 56 | ADBE | 1.8% |
| 2025-09-22 | $650,000 | 65 | ACN | 1.5% |
| 2025-09-29 | $850,000 | 85 | ABCL | 1.2% |
| 2025-10-06 | $880,000 | 88 | ABCL | 1.1% |
| 2025-10-13 | $530,000 | 53 | ALAB | 1.9% |
| 2025-10-20 | $540,000 | 54 | AA | 1.9% |
| 2025-10-27 | $670,000 | 67 | ADP | 1.5% |
| 2025-11-03 | $700,000 | 70 | A | 1.4% |
| 2025-11-10 | $460,000 | 46 | ABNB | 2.2% |
| 2025-11-17 | $300,000 | 30 | AGX | 3.3% |
| 2025-11-24 | $190,000 | 19 | AR | 5.3% |
| 2025-12-01 | $340,000 | 34 | AA | 2.9% |
| 2025-12-08 | $450,000 | 45 | AAOI | 2.2% |
| 2025-12-15 | $260,000 | 26 | CARR | 3.8% |
| 2025-12-22 | $80,000 | 8 | CL | 12.5% |
| 2025-12-29 | $160,000 | 16 | ABVX | 6.2% |
| 2026-01-05 | $580,000 | 58 | ABVX | 1.7% |
| 2026-01-12 | $490,000 | 49 | ABVX | 2.0% |
| 2026-01-19 | $280,000 | 28 | ABT | 3.6% |
| 2026-01-26 | $630,000 | 63 | APH | 1.6% |
| 2026-02-02 | $760,000 | 76 | APH | 1.3% |
| 2026-02-09 | $610,000 | 61 | AGX | 1.6% |
| 2026-02-16 | $480,000 | 48 | AAP | 2.1% |
| 2026-02-23 | $510,000 | 51 | ADP | 2.0% |
| 2026-03-02 | $650,000 | 65 | AAOI | 1.5% |
| 2026-03-09 | $720,000 | 72 | ALK | 1.4% |
| 2026-03-16 | $440,000 | 44 | ADBE | 2.3% |
| 2026-03-23 | $290,000 | 29 | AG | 3.4% |
| 2026-03-30 | $250,000 | 25 | AGX | 4.0% |
| 2026-04-06 | $410,000 | 41 | ACMR | 2.4% |
| 2026-04-13 | $610,000 | 61 | AEHR | 1.6% |
| 2026-04-20 | $530,000 | 53 | AAP | 1.9% |
| 2026-04-27 | $910,000 | 91 | AMSC | 1.1% |
| 2026-05-04 | $1,410,000 | 141 | A | 0.7% |
| 2026-05-11 | $1,210,000 | 121 | AAOI | 0.8% |
| 2026-05-18 | $590,000 | 59 | ACN | 1.7% |
| 2026-05-25 | $1,180,000 | 118 | A | 0.8% |
| 2026-06-01 | $1,340,000 | 134 | A | 0.7% |
| 2026-06-08 | $730,000 | 73 | AAOI | 1.4% |
| 2026-06-15 | $480,000 | 48 | ADBE | 2.1% |
| 2026-06-22 | $200,000 | 20 | AGX | 5.0% |
SPY weekly regime split
SPY direction is local, read-only daily_ohlc close-to-close by Friday week. The final partial week uses its last available close.
| Regime | Weeks | Model total | Avg model week | Hit rate | Ann. Sharpe | Avg SPY week |
|---|
| SPY-up weeks | 51 | -67.7% | -2.19% | 0.0% | -19.60 | +1.72% |
| SPY-down weeks | 41 | -60.5% | -2.23% | 4.9% | -16.12 | -1.48% |