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MC3S-b optX · Full Options Direction/EV · Frozen OOS · Model diagnostics
CANDIDATE · 2025-09-26 → 2026-07-16 · 550 trades
One observation is one model trade; 550 trades feed 201 active daily marks and 128 entry-date cohorts. Metrics use 252 daily observations/year. Strict one-look MC3S-b OOS book. Purged first-year train; OOS begins 2025-09-25. Last complete 44-session entry is 2026-05-13 and marks through 2026-07-16; later signals lack a complete local hold. Plain-NumPy depth-2 gradient boosting, 200 rounds, lr=0.05. Returns and observation rankings include the model's existing execution costs.
Total return-19.4%Span-true compounded return · not annualized
Annualized CAGR-23.7%Annualized at 252 periods/year · span is 293 calendar days
QuantStats Sharpe (i.i.d.)-1.70Annualized at 252 daily periods/year
QuantStats Sortino-2.26Same 252-period annualization
Entry-cohort t-stat-3.44Entry-date-cohort bootstrap · 10,000 draws · 128 entry-date 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 entry-date 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 |
|---|
| BB | 2026-04-23 | +64.93% |
| BB | 2026-05-06 | +56.11% |
| VG | 2025-10-06 | +48.21% |
| CL | 2025-12-10 | +48.08% |
| PLNT | 2026-01-12 | +43.50% |
| DLTR | 2025-10-10 | +40.54% |
| DVN | 2026-01-15 | +39.74% |
| INTU | 2026-01-14 | +38.43% |
| ALB | 2025-11-14 | +38.34% |
| A | 2026-01-09 | +38.11% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| CELC | 2025-10-14 | -75.32% |
| CELC | 2025-10-15 | -73.51% |
| UMC | 2026-03-13 | -69.28% |
| HPE | 2026-03-27 | -68.95% |
| NOK | 2026-03-12 | -63.04% |
| PENG | 2026-05-07 | -57.67% |
| CL | 2025-12-24 | -54.62% |
| OXY | 2026-01-02 | -51.64% |
| NOK | 2026-03-04 | -51.16% |
| PENG | 2026-05-08 | -50.52% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Daily gross $ | $894,008 | $1,026,157 | $1,324,955 |
| Concurrent position count | 120.4 | 140 | 170 |
| Single-name share | — | — | 48.6% · CF · 2025-09-26 |
Position count is the number of model trades at each daily mark; one matched-control basket counts as one paired position. Single-name share aggregates repeated ticker exposure before dividing by daily gross.
Daily exposure (201 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2025-09-26 | $32,344 | 5 | CF | 48.6% |
| 2025-09-29 | $58,636 | 10 | CF | 26.8% |
| 2025-09-30 | $72,946 | 12 | CF | 21.6% |
| 2025-10-01 | $106,531 | 17 | CF | 14.8% |
| 2025-10-02 | $157,715 | 22 | PFE | 10.7% |
| 2025-10-03 | $187,649 | 27 | CART | 10.1% |
| 2025-10-06 | $233,473 | 32 | CART | 8.1% |
| 2025-10-07 | $256,034 | 36 | CART | 7.4% |
| 2025-10-08 | $313,091 | 41 | ENB | 9.6% |
| 2025-10-09 | $342,124 | 46 | ENB | 8.8% |
| 2025-10-10 | $372,087 | 51 | ENB | 8.1% |
| 2025-10-13 | $395,634 | 56 | ENB | 7.6% |
| 2025-10-14 | $423,926 | 59 | ENB | 7.1% |
| 2025-10-15 | $444,468 | 62 | ENB | 6.7% |
| 2025-10-16 | $451,483 | 64 | ENB | 6.6% |
| 2025-10-17 | $451,483 | 64 | ENB | 6.6% |
| 2025-10-20 | $451,483 | 64 | ENB | 6.6% |
| 2025-10-21 | $451,483 | 64 | ENB | 6.6% |
| 2025-10-22 | $460,784 | 66 | ENB | 6.5% |
| 2025-10-23 | $502,257 | 70 | ENB | 6.0% |
| 2025-10-24 | $548,964 | 75 | ENB | 5.5% |
| 2025-10-27 | $607,332 | 79 | ENB | 4.9% |
| 2025-10-28 | $633,786 | 81 | ENB | 4.7% |
| 2025-10-29 | $671,068 | 86 | ENB | 4.5% |
| 2025-10-30 | $704,160 | 91 | ENB | 4.3% |
| 2025-10-31 | $756,344 | 96 | ENB | 4.0% |
| 2025-11-03 | $789,247 | 101 | ENB | 3.8% |
| 2025-11-04 | $789,247 | 101 | ENB | 3.8% |
| 2025-11-05 | $830,729 | 106 | ENB | 3.6% |
| 2025-11-06 | $865,093 | 111 | ENB | 3.5% |
| 2025-11-07 | $900,162 | 116 | ENB | 3.3% |
| 2025-11-10 | $938,948 | 121 | ENB | 3.2% |
| 2025-11-11 | $969,079 | 126 | ENB | 3.1% |
| 2025-11-12 | $997,987 | 131 | ENB | 3.0% |
| 2025-11-13 | $1,026,157 | 135 | ENB | 2.9% |
| 2025-11-14 | $1,059,154 | 140 | ENB | 2.8% |
| 2025-11-17 | $1,089,705 | 145 | ENB | 2.8% |
| 2025-11-18 | $1,105,356 | 147 | ENB | 2.7% |
| 2025-11-19 | $1,141,172 | 152 | ENB | 2.6% |
| 2025-11-20 | $1,175,626 | 157 | ENB | 2.6% |
| 2025-11-21 | $1,175,626 | 157 | ENB | 2.6% |
| 2025-11-24 | $1,175,626 | 157 | ENB | 2.6% |
| 2025-11-25 | $1,175,626 | 157 | ENB | 2.6% |
| 2025-11-26 | $1,219,188 | 162 | ENB | 2.5% |
| 2025-11-28 | $1,240,038 | 162 | ENB | 2.4% |
| 2025-12-01 | $1,213,746 | 157 | ENB | 2.5% |
| 2025-12-02 | $1,199,436 | 155 | ENB | 2.5% |
| 2025-12-03 | $1,198,809 | 155 | ENB | 2.5% |
| 2025-12-04 | $1,187,760 | 155 | ENB | 2.5% |
| 2025-12-05 | $1,193,956 | 155 | ENB | 2.5% |
| 2025-12-08 | $1,179,219 | 155 | ENB | 2.5% |
| 2025-12-09 | $1,185,560 | 155 | ENB | 2.5% |
| 2025-12-10 | $1,186,206 | 155 | KMB | 2.3% |
| 2025-12-11 | $1,189,091 | 155 | KMB | 2.3% |
| 2025-12-12 | $1,187,570 | 155 | KMB | 2.3% |
| 2025-12-15 | $1,201,894 | 155 | WBD | 2.3% |
| 2025-12-16 | $1,203,923 | 157 | WBD | 2.3% |
| 2025-12-17 | $1,224,711 | 159 | WBD | 2.2% |
| 2025-12-18 | $1,288,865 | 162 | TEL | 2.2% |
| 2025-12-19 | $1,288,865 | 162 | TEL | 2.2% |
| 2025-12-22 | $1,288,865 | 162 | TEL | 2.2% |
| 2025-12-23 | $1,288,865 | 162 | TEL | 2.2% |
| 2025-12-24 | $1,324,955 | 165 | CL | 3.2% |
| 2025-12-26 | $1,307,667 | 164 | CL | 3.2% |
| 2025-12-29 | $1,260,960 | 159 | CL | 3.3% |
| 2025-12-30 | $1,202,593 | 155 | CL | 3.5% |
| 2025-12-31 | $1,189,854 | 155 | CL | 3.5% |
| 2026-01-02 | $1,173,440 | 152 | CL | 3.6% |
| 2026-01-05 | $1,160,022 | 150 | CL | 3.6% |
| 2026-01-06 | $1,153,285 | 149 | CL | 3.6% |
| 2026-01-07 | $1,148,283 | 149 | CL | 3.7% |
| 2026-01-08 | $1,189,143 | 154 | CL | 3.5% |
| 2026-01-09 | $1,197,645 | 154 | CL | 3.5% |
| 2026-01-12 | $1,224,167 | 154 | SRAD | 3.8% |
| 2026-01-13 | $1,223,437 | 154 | SRAD | 3.8% |
| 2026-01-14 | $1,231,829 | 154 | SRAD | 3.8% |
| 2026-01-15 | $1,249,006 | 154 | CSGP | 3.9% |
| 2026-01-16 | $1,220,098 | 149 | CSGP | 4.0% |
| 2026-01-20 | $1,191,928 | 145 | CSGP | 4.1% |
| 2026-01-21 | $1,158,931 | 140 | CSGP | 4.2% |
| 2026-01-22 | $1,148,207 | 138 | CSGP | 4.2% |
| 2026-01-23 | $1,158,286 | 140 | CSGP | 4.2% |
| 2026-01-26 | $1,174,288 | 140 | CSGP | 4.2% |
| 2026-01-27 | $1,139,835 | 135 | CSGP | 4.3% |
| 2026-01-28 | $1,162,088 | 140 | CSGP | 4.2% |
| 2026-01-29 | $1,211,944 | 145 | CSGP | 4.0% |
| 2026-01-30 | $1,250,139 | 149 | CSGP | 3.9% |
| 2026-02-02 | $1,247,434 | 149 | CSGP | 3.9% |
| 2026-02-03 | $1,206,767 | 145 | CSGP | 4.0% |
| 2026-02-04 | $1,225,954 | 148 | CSGP | 4.0% |
| 2026-02-05 | $1,286,810 | 153 | CSGP | 3.8% |
| 2026-02-06 | $1,286,493 | 153 | CSGP | 3.8% |
| 2026-02-09 | $1,285,563 | 153 | CSGP | 3.8% |
| 2026-02-10 | $1,279,776 | 153 | CSGP | 3.8% |
| 2026-02-11 | $1,283,391 | 153 | CSGP | 3.8% |
| 2026-02-12 | $1,291,843 | 154 | CSGP | 3.8% |
| 2026-02-13 | $1,266,641 | 154 | CSGP | 3.9% |
| 2026-02-17 | $1,270,144 | 154 | CSGP | 3.8% |
| 2026-02-18 | $1,291,734 | 154 | CSGP | 3.8% |
| 2026-02-19 | $1,284,627 | 154 | CSGP | 3.8% |
| 2026-02-20 | $1,254,306 | 149 | CSGP | 3.9% |
| 2026-02-23 | $1,212,976 | 144 | SRAD | 3.9% |
| 2026-02-24 | $1,141,807 | 139 | SRAD | 4.1% |
| 2026-02-25 | $1,179,585 | 144 | SRAD | 4.0% |
| 2026-02-26 | $1,217,815 | 149 | SRAD | 3.8% |
| 2026-02-27 | $1,247,445 | 154 | SRAD | 3.7% |
| 2026-03-02 | $1,233,638 | 154 | SRAD | 3.8% |
| 2026-03-03 | $1,222,289 | 153 | SRAD | 3.8% |
| 2026-03-04 | $1,261,493 | 158 | SRAD | 3.7% |
| 2026-03-05 | $1,303,242 | 163 | SRAD | 3.6% |
| 2026-03-06 | $1,297,078 | 162 | SRAD | 3.6% |
| 2026-03-09 | $1,305,578 | 165 | SRAD | 3.6% |
| 2026-03-10 | $1,312,487 | 167 | SRAD | 3.6% |
| 2026-03-11 | $1,305,012 | 168 | NOW | 3.3% |
| 2026-03-12 | $1,309,400 | 168 | NOW | 3.3% |
| 2026-03-13 | $1,300,934 | 168 | SKM | 3.5% |
| 2026-03-16 | $1,286,460 | 168 | SKM | 3.5% |
| 2026-03-17 | $1,261,966 | 167 | SKM | 3.6% |
| 2026-03-18 | $1,263,079 | 167 | SKM | 3.6% |
| 2026-03-19 | $1,251,485 | 167 | SKM | 3.6% |
| 2026-03-20 | $1,204,177 | 162 | SKM | 3.8% |
| 2026-03-23 | $1,204,177 | 162 | SKM | 3.8% |
| 2026-03-24 | $1,204,177 | 162 | SKM | 3.8% |
| 2026-03-25 | $1,225,374 | 167 | SKM | 3.7% |
| 2026-03-26 | $1,222,055 | 169 | SKM | 3.7% |
| 2026-03-27 | $1,223,734 | 170 | SKM | 3.7% |
| 2026-03-30 | $1,213,884 | 170 | SKM | 3.7% |
| 2026-03-31 | $1,213,884 | 170 | SKM | 3.7% |
| 2026-04-01 | $1,201,969 | 167 | SKM | 3.8% |
| 2026-04-02 | $1,168,921 | 164 | SKM | 3.9% |
| 2026-04-06 | $1,156,716 | 165 | SKM | 3.9% |
| 2026-04-07 | $1,115,858 | 160 | SKM | 4.1% |
| 2026-04-08 | $1,107,582 | 160 | SKM | 4.1% |
| 2026-04-09 | $1,091,205 | 158 | SKM | 4.2% |
| 2026-04-10 | $1,037,229 | 155 | SKM | 4.4% |
| 2026-04-13 | $1,023,610 | 155 | SKM | 4.4% |
| 2026-04-14 | $987,138 | 151 | SKM | 4.6% |
| 2026-04-15 | $969,283 | 148 | SKM | 4.7% |
| 2026-04-16 | $948,174 | 145 | SKM | 3.9% |
| 2026-04-17 | $910,820 | 140 | SKM | 4.1% |
| 2026-04-20 | $878,320 | 135 | CF | 3.8% |
| 2026-04-21 | $842,898 | 130 | CF | 3.9% |
| 2026-04-22 | $806,132 | 127 | CF | 4.1% |
| 2026-04-23 | $800,979 | 125 | CF | 4.1% |
| 2026-04-24 | $844,537 | 130 | CF | 3.9% |
| 2026-04-27 | $883,776 | 135 | CF | 3.8% |
| 2026-04-28 | $883,776 | 135 | CF | 3.8% |
| 2026-04-29 | $875,122 | 134 | CF | 3.8% |
| 2026-04-30 | $857,425 | 132 | CF | 3.9% |
| 2026-05-01 | $868,315 | 132 | CF | 3.8% |
| 2026-05-04 | $872,322 | 132 | CF | 3.8% |
| 2026-05-05 | $885,586 | 133 | NOK | 4.0% |
| 2026-05-06 | $878,083 | 133 | NOK | 3.8% |
| 2026-05-07 | $863,449 | 133 | NOK | 3.9% |
| 2026-05-08 | $882,345 | 137 | NOK | 3.8% |
| 2026-05-11 | $881,736 | 137 | NOK | 3.8% |
| 2026-05-12 | $884,515 | 137 | NOK | 3.8% |
| 2026-05-13 | $869,350 | 137 | NOK | 3.9% |
| 2026-05-14 | $837,062 | 132 | NOK | 3.1% |
| 2026-05-15 | $804,668 | 127 | NOK | 3.2% |
| 2026-05-18 | $769,159 | 122 | NOK | 3.4% |
| 2026-05-19 | $732,767 | 118 | NOK | 3.6% |
| 2026-05-20 | $697,314 | 113 | NOK | 3.7% |
| 2026-05-21 | $661,731 | 108 | NOK | 3.9% |
| 2026-05-22 | $661,731 | 108 | NOK | 3.9% |
| 2026-05-26 | $661,731 | 108 | NOK | 3.9% |
| 2026-05-27 | $661,731 | 108 | NOK | 3.9% |
| 2026-05-28 | $640,533 | 103 | NOK | 4.1% |
| 2026-05-29 | $624,025 | 98 | NOK | 4.2% |
| 2026-06-01 | $596,616 | 93 | NOK | 4.4% |
| 2026-06-02 | $554,647 | 88 | NOK | 4.7% |
| 2026-06-03 | $554,647 | 88 | NOK | 4.7% |
| 2026-06-04 | $544,309 | 86 | NOK | 4.8% |
| 2026-06-05 | $527,502 | 84 | NOK | 4.9% |
| 2026-06-08 | $501,512 | 79 | NOK | 5.2% |
| 2026-06-09 | $501,512 | 79 | NOK | 5.2% |
| 2026-06-10 | $497,262 | 78 | NOK | 5.2% |
| 2026-06-11 | $494,452 | 77 | NOK | 5.3% |
| 2026-06-12 | $487,571 | 75 | NOK | 5.3% |
| 2026-06-15 | $468,549 | 70 | NOK | 5.6% |
| 2026-06-16 | $465,817 | 69 | NOK | 5.6% |
| 2026-06-17 | $453,328 | 67 | NOK | 5.7% |
| 2026-06-18 | $439,736 | 65 | NOK | 5.9% |
| 2026-06-22 | $439,736 | 65 | NOK | 5.9% |
| 2026-06-23 | $439,736 | 65 | NOK | 5.9% |
| 2026-06-24 | $439,736 | 65 | NOK | 5.9% |
| 2026-06-25 | $426,469 | 63 | NOK | 6.1% |
| 2026-06-26 | $400,858 | 60 | NOK | 6.5% |
| 2026-06-29 | $357,300 | 55 | NOK | 7.3% |
| 2026-06-30 | $318,061 | 50 | NOK | 8.2% |
| 2026-07-01 | $318,061 | 50 | NOK | 8.2% |
| 2026-07-02 | $288,937 | 46 | NOK | 9.0% |
| 2026-07-06 | $268,403 | 43 | CLX | 8.5% |
| 2026-07-07 | $227,884 | 38 | CLX | 10.0% |
| 2026-07-08 | $192,293 | 33 | CLX | 11.9% |
| 2026-07-09 | $166,192 | 30 | DUOL | 7.5% |
| 2026-07-10 | $134,492 | 25 | CLX | 8.5% |
| 2026-07-13 | $107,376 | 20 | CLX | 10.6% |
| 2026-07-14 | $80,930 | 15 | CLX | 14.1% |
| 2026-07-15 | $52,170 | 10 | BSX | 17.5% |
| 2026-07-16 | $22,808 | 5 | SKM | 36.5% |
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 | 24 | -25.0% | -1.17% | 25.0% | -4.31 | +1.54% |
| SPY-down weeks | 19 | +7.5% | +0.39% | 68.4% | 2.62 | -1.26% |