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Failed Silence Fade · weekly control-relative t+5 marks · Model diagnostics
DEAD · 2026-05-25 → 2026-07-06 · 329 trades
One observation is one source/model trade; 329 trades are aggregated into 7 weekly cohorts. Metrics use 52 weekly observations/year. Structural horizon: the last eligible weekly entry is 2026-07-06 and its full five-session exit is 2026-07-13. The next weekly construction cannot complete its full hold by 2026-07-17; the hub span is the Monday label of the entry week. Returns and observation rankings include the model's existing execution costs.
Total return-2.0%Span-true compounded return · not annualized
Annualized CAGR—Suppressed because the observed span is under 180 calendar days
QuantStats Sharpe (i.i.d.)-1.03Annualized at 52 weekly periods/year
QuantStats Sortino-1.38Same 52-period annualization
Entry-cohort t-stat-0.41Weekly-cohort bootstrap · 10,000 draws · 7 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 |
|---|
| MNTS | 2026-06-08 | +41.99% |
| KORU | 2026-06-22 | +29.85% |
| VECO | 2026-06-29 | +26.42% |
| VSH | 2026-06-29 | +25.22% |
| BKSY | 2026-06-22 | +24.01% |
| SLS | 2026-06-08 | +23.13% |
| ASPI | 2026-07-06 | +21.10% |
| CRCL | 2026-06-01 | +20.90% |
| SERV | 2026-06-22 | +20.79% |
| XNDU | 2026-06-01 | +20.18% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| TGTX | 2026-07-06 | -37.31% |
| FSLY | 2026-05-26 | -29.57% |
| FRMI | 2026-06-08 | -27.58% |
| RBRK | 2026-06-22 | -27.54% |
| APGE | 2026-07-06 | -26.48% |
| TWLO | 2026-05-26 | -25.21% |
| TNGX | 2026-07-06 | -23.41% |
| IRDM | 2026-06-22 | -23.27% |
| PURR | 2026-07-06 | -22.80% |
| VSAT | 2026-06-22 | -22.36% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Weekly gross $ | $470,000 | $400,000 | $790,000 |
| Concurrent position count | 47.0 | 40 | 79 |
| Single-name share | — | — | 3.7% · ADSK · 2026-06-29 |
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 (7 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2026-05-25 | $300,000 | 30 | ALB | 3.3% |
| 2026-06-01 | $760,000 | 76 | ABBV | 1.3% |
| 2026-06-08 | $400,000 | 40 | AAL | 2.5% |
| 2026-06-15 | $790,000 | 79 | ABVX | 1.3% |
| 2026-06-22 | $420,000 | 42 | AKAM | 2.4% |
| 2026-06-29 | $270,000 | 27 | ADSK | 3.7% |
| 2026-07-06 | $350,000 | 35 | AAOX | 2.9% |
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 | 5 | -0.8% | -0.13% | 60.0% | -0.42 | +1.25% |
| SPY-down weeks | 2 | -1.2% | -0.62% | 0.0% | -6.53 | -2.44% |