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N1 + Victory Lap · Same-Ticker Exposure Capped · Model diagnostics
CANDIDATE · 2026-05-05 → 2026-07-16 · 3,042 trades
One observation is one model trade; 3,042 trades feed 50 active daily marks and 41 entry-date cohorts. Metrics use 252 daily observations/year. Returns and observation rankings include the model's existing execution costs.
Total return+42.2%Span-true compounded return · not annualized
Annualized CAGR—Suppressed because the observed span is under 180 calendar days
QuantStats Sharpe (i.i.d.)4.73Annualized at 252 daily periods/year
QuantStats Sortino26.53Same 252-period annualization
Entry-cohort t-stat3.03Entry-date-cohort bootstrap · 10,000 draws · 41 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 | +170.49% |
| BESS | 2026-06-23 | +152.31% |
| ASTI | 2026-06-23 | +133.60% |
| AKTX | 2026-06-23 | +133.21% |
| IMSR | 2026-06-23 | +128.45% |
| ALOY | 2026-06-23 | +127.45% |
| VSA | 2026-06-17 | +124.83% |
| DUOT | 2026-06-23 | +122.58% |
| SOAR | 2026-06-23 | +117.15% |
| GRRR | 2026-06-23 | +116.02% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| SDOT | 2026-06-26 | -197.84% |
| LASE | 2026-06-01 | -194.21% |
| SDOT | 2026-06-02 | -145.65% |
| SDOT | 2026-06-01 | -104.59% |
| FCEL | 2026-05-12 | -55.62% |
| APGE | 2026-06-16 | -54.35% |
| TE | 2026-05-12 | -52.05% |
| STFS | 2026-06-24 | -49.86% |
| ENPH | 2026-05-14 | -44.46% |
| OKTA | 2026-05-27 | -42.22% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Daily gross $ | $1,031,600 | $1,085,000 | $1,995,000 |
| Concurrent position count | 345.4 | 302 | 900 |
| Single-name share | — | — | 100.0% · LLY · 2026-05-05 |
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 (50 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2026-05-05 | $5,000 | 1 | LLY | 100.0% |
| 2026-05-06 | $5,000 | 1 | LLY | 100.0% |
| 2026-05-07 | $15,000 | 3 | CAT | 33.3% |
| 2026-05-08 | $20,000 | 4 | CAT | 25.0% |
| 2026-05-11 | $20,000 | 4 | CAT | 25.0% |
| 2026-05-12 | $275,000 | 55 | AAOI | 1.8% |
| 2026-05-13 | $340,000 | 68 | AAOI | 1.5% |
| 2026-05-14 | $385,000 | 77 | AAOI | 1.3% |
| 2026-05-15 | $455,000 | 91 | AAOI | 1.1% |
| 2026-05-18 | $470,000 | 94 | AAOI | 1.1% |
| 2026-05-19 | $605,000 | 138 | AAOI | 0.8% |
| 2026-05-20 | $680,000 | 174 | AAOI | 0.7% |
| 2026-05-21 | $735,000 | 211 | AAOI | 0.7% |
| 2026-05-22 | $795,000 | 243 | AAL | 0.6% |
| 2026-05-26 | $890,000 | 286 | AAL | 0.6% |
| 2026-05-27 | $1,305,000 | 419 | AAL | 0.4% |
| 2026-05-28 | $1,505,000 | 551 | AA | 0.3% |
| 2026-05-29 | $1,690,000 | 670 | AA | 0.3% |
| 2026-06-01 | $1,875,000 | 792 | AA | 0.3% |
| 2026-06-02 | $1,995,000 | 900 | AA | 0.3% |
| 2026-06-03 | $1,970,000 | 861 | AA | 0.3% |
| 2026-06-04 | $1,850,000 | 779 | AAL | 0.3% |
| 2026-06-05 | $1,725,000 | 710 | AA | 0.3% |
| 2026-06-08 | $1,635,000 | 613 | AA | 0.3% |
| 2026-06-09 | $1,480,000 | 507 | AA | 0.3% |
| 2026-06-10 | $1,525,000 | 457 | AA | 0.3% |
| 2026-06-11 | $1,325,000 | 365 | AA | 0.4% |
| 2026-06-12 | $1,095,000 | 276 | AA | 0.5% |
| 2026-06-15 | $895,000 | 213 | AA | 0.6% |
| 2026-06-16 | $1,065,000 | 256 | AA | 0.5% |
| 2026-06-17 | $770,000 | 177 | AAL | 0.6% |
| 2026-06-18 | $885,000 | 216 | AAL | 0.6% |
| 2026-06-22 | $1,225,000 | 333 | AAL | 0.4% |
| 2026-06-23 | $1,710,000 | 523 | AAL | 0.3% |
| 2026-06-24 | $1,700,000 | 550 | AAL | 0.3% |
| 2026-06-25 | $1,825,000 | 658 | A | 0.3% |
| 2026-06-26 | $1,805,000 | 697 | A | 0.3% |
| 2026-06-29 | $1,670,000 | 637 | A | 0.3% |
| 2026-06-30 | $1,410,000 | 502 | A | 0.4% |
| 2026-07-01 | $1,505,000 | 527 | A | 0.3% |
| 2026-07-02 | $1,375,000 | 476 | A | 0.4% |
| 2026-07-06 | $1,410,000 | 477 | A | 0.4% |
| 2026-07-07 | $1,395,000 | 494 | A | 0.4% |
| 2026-07-08 | $1,340,000 | 443 | A | 0.4% |
| 2026-07-09 | $1,075,000 | 317 | A | 0.5% |
| 2026-07-10 | $835,000 | 212 | A | 0.6% |
| 2026-07-13 | $585,000 | 126 | ABBV | 0.9% |
| 2026-07-14 | $215,000 | 43 | ACMR | 2.3% |
| 2026-07-15 | $150,000 | 30 | ACMR | 3.3% |
| 2026-07-16 | $65,000 | 13 | BIDU | 7.7% |
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 | 8 | +20.8% | +2.47% | 62.5% | 4.14 | +1.21% |
| SPY-down weeks | 3 | +17.7% | +5.75% | 100.0% | 5.80 | -1.81% |