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N1 Bull-Confirmation Fade · Control-Hedged Paper Form · Model diagnostics
PAPER · 2026-05-19 → 2026-07-13 · 2,630 trades
One observation is one model trade; 2,630 trades feed 37 active daily marks and 30 entry-date cohorts. Metrics use 252 daily observations/year. Structural horizon: the last eligible N1 entry is 2026-07-07 and its full five-session mark ends 2026-07-13. Live resolved-true outcomes through 2026-07-10 were evaluated; no later eligible bull-majority event has a complete locally marked hold by 2026-07-17. Returns and observation rankings include the model's existing execution costs.
Total return+33.6%Span-true compounded return · not annualized
Annualized CAGR—Suppressed because the observed span is under 180 calendar days
QuantStats Sharpe (i.i.d.)5.33Annualized at 252 daily periods/year
QuantStats Sortino17.71Same 252-period annualization
Entry-cohort t-stat3.30Entry-date-cohort bootstrap · 10,000 draws · 30 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 |
|---|
| WOK | 2026-06-17 | +124.94% |
| BESS | 2026-06-23 | +95.38% |
| VSA | 2026-06-17 | +91.21% |
| ALOY | 2026-06-23 | +90.29% |
| QMCO | 2026-06-17 | +84.22% |
| KLAC | 2026-06-03 | +83.79% |
| AKTX | 2026-06-23 | +80.94% |
| LASE | 2026-06-08 | +80.44% |
| PCT | 2026-06-05 | +80.43% |
| QMCO | 2026-06-23 | +80.32% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| SDOT | 2026-06-02 | -571.91% |
| SDOT | 2026-06-01 | -334.43% |
| SDOT | 2026-06-26 | -317.15% |
| LASE | 2026-06-01 | -234.11% |
| SLS | 2026-06-23 | -79.93% |
| VELO | 2026-06-05 | -73.98% |
| STFS | 2026-06-24 | -65.29% |
| APGE | 2026-06-16 | -57.71% |
| MRVL | 2026-05-28 | -51.12% |
| BB | 2026-06-23 | -48.57% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Daily gross $ | $1,777,027 | $1,915,000 | $3,685,000 |
| Concurrent position count | 355.4 | 383 | 737 |
| Single-name share | — | — | 3.3% · CRWD · 2026-05-22 |
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 (37 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2026-05-19 | $160,000 | 32 | ACMR | 3.1% |
| 2026-05-20 | $315,000 | 63 | ALAB | 3.2% |
| 2026-05-21 | $480,000 | 96 | CRWD | 3.1% |
| 2026-05-22 | $610,000 | 122 | CRWD | 3.3% |
| 2026-05-26 | $690,000 | 138 | CRWD | 2.9% |
| 2026-05-27 | $1,480,000 | 296 | STM | 1.7% |
| 2026-05-28 | $2,125,000 | 425 | HPE | 1.2% |
| 2026-05-29 | $2,675,000 | 535 | HPE | 0.9% |
| 2026-06-01 | $3,240,000 | 648 | CSCO | 0.8% |
| 2026-06-02 | $3,685,000 | 737 | AMD | 0.7% |
| 2026-06-03 | $3,490,000 | 698 | AMD | 0.7% |
| 2026-06-04 | $3,085,000 | 617 | AMD | 0.8% |
| 2026-06-05 | $2,750,000 | 550 | CLSK | 0.9% |
| 2026-06-08 | $2,280,000 | 456 | AMD | 0.9% |
| 2026-06-09 | $1,875,000 | 375 | BB | 1.1% |
| 2026-06-10 | $1,745,000 | 349 | OKTA | 1.1% |
| 2026-06-11 | $1,350,000 | 270 | OKTA | 1.5% |
| 2026-06-12 | $970,000 | 194 | FROG | 1.5% |
| 2026-06-15 | $745,000 | 149 | DELL | 1.3% |
| 2026-06-16 | $1,005,000 | 201 | ADEA | 1.0% |
| 2026-06-17 | $620,000 | 124 | C | 1.6% |
| 2026-06-18 | $765,000 | 153 | MS | 2.0% |
| 2026-06-22 | $1,340,000 | 268 | MS | 1.5% |
| 2026-06-23 | $2,265,000 | 453 | MS | 1.1% |
| 2026-06-24 | $2,405,000 | 481 | GS | 1.0% |
| 2026-06-25 | $2,945,000 | 589 | APH | 0.8% |
| 2026-06-26 | $3,115,000 | 623 | DELL | 0.8% |
| 2026-06-29 | $2,810,000 | 562 | DELL | 0.9% |
| 2026-06-30 | $2,095,000 | 419 | BAC | 1.0% |
| 2026-07-01 | $2,200,000 | 440 | HIMS | 1.1% |
| 2026-07-02 | $1,935,000 | 387 | HIMS | 1.3% |
| 2026-07-06 | $2,010,000 | 402 | MRNA | 1.2% |
| 2026-07-07 | $2,125,000 | 425 | JNJ | 1.2% |
| 2026-07-08 | $1,915,000 | 383 | IBRX | 1.0% |
| 2026-07-09 | $1,290,000 | 258 | ABNB | 1.2% |
| 2026-07-10 | $775,000 | 155 | ABCL | 1.3% |
| 2026-07-13 | $385,000 | 77 | ABBV | 1.3% |
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 | 6 | +19.1% | +3.02% | 66.7% | 5.54 | +1.18% |
| SPY-down weeks | 3 | +12.1% | +3.97% | 100.0% | 5.53 | -1.81% |