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oiT · Twitter x OI direction · Model diagnostics
CANDIDATE · 2026-04-22 → 2026-07-16 · 14 trades
One observation is one model trade; 14 trades feed 59 active daily marks and 9 entry-date cohorts. Metrics use 252 daily observations/year. MC3S chartered 2026-07-19 with bars frozen pre-result; historical replay is prior evidence, forward paper is the judge. Joint Twitter/OI window starts 2026-04-20 and is severely data-limited. Returns and observation rankings include the model's existing execution costs.
Total return+11.8%Span-true compounded return · not annualized
Annualized CAGR—Suppressed because the observed span is under 180 calendar days
QuantStats Sharpe (i.i.d.)1.92Annualized at 252 daily periods/year
QuantStats Sortino3.03Same 252-period annualization
Entry-cohort t-stat2.14Entry-date-cohort bootstrap · 10,000 draws · 9 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 | 2026-04-22 | +36.58% |
| DUOL | 2026-05-06 | +15.40% |
| NOK | 2026-05-13 | +14.53% |
| SNAP | 2026-05-08 | +11.32% |
| DUOL | 2026-05-07 | +11.10% |
| SOFI | 2026-05-01 | +8.67% |
| SONY | 2026-05-13 | +7.05% |
| NOW | 2026-04-27 | +6.51% |
| META | 2026-05-04 | +0.73% |
| CORZ | 2026-05-08 | -0.94% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| SHOP | 2026-05-08 | -8.82% |
| NOK | 2026-05-05 | -8.29% |
| NOK | 2026-05-04 | -7.68% |
| NOK | 2026-05-06 | -2.40% |
| CORZ | 2026-05-08 | -0.94% |
| META | 2026-05-04 | +0.73% |
| NOW | 2026-04-27 | +6.51% |
| SONY | 2026-05-13 | +7.05% |
| SOFI | 2026-05-01 | +8.67% |
| DUOL | 2026-05-07 | +11.10% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Daily gross $ | $7 | $9 | $9 |
| Concurrent position count | 10.4 | 13 | 14 |
| Single-name share | — | — | 100.0% · BB · 2026-04-22 |
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 (59 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2026-04-22 | $1 | 1 | BB | 100.0% |
| 2026-04-23 | $1 | 1 | BB | 100.0% |
| 2026-04-24 | $1 | 1 | BB | 100.0% |
| 2026-04-27 | $1 | 2 | BB | 56.0% |
| 2026-04-28 | $1 | 2 | BB | 56.0% |
| 2026-04-29 | $1 | 2 | BB | 56.0% |
| 2026-04-30 | $1 | 2 | BB | 56.0% |
| 2026-05-01 | $2 | 3 | BB | 37.8% |
| 2026-05-04 | $3 | 5 | META | 26.3% |
| 2026-05-05 | $4 | 6 | NOK | 31.9% |
| 2026-05-06 | $5 | 8 | NOK | 36.3% |
| 2026-05-07 | $6 | 9 | NOK | 32.5% |
| 2026-05-08 | $8 | 12 | NOK | 25.3% |
| 2026-05-11 | $8 | 12 | NOK | 25.3% |
| 2026-05-12 | $8 | 12 | NOK | 25.3% |
| 2026-05-13 | $9 | 14 | NOK | 27.1% |
| 2026-05-14 | $9 | 14 | NOK | 27.1% |
| 2026-05-15 | $9 | 14 | NOK | 27.1% |
| 2026-05-18 | $9 | 14 | NOK | 27.1% |
| 2026-05-19 | $9 | 14 | NOK | 27.1% |
| 2026-05-20 | $9 | 14 | NOK | 27.1% |
| 2026-05-21 | $9 | 14 | NOK | 27.1% |
| 2026-05-22 | $9 | 14 | NOK | 27.1% |
| 2026-05-26 | $9 | 14 | NOK | 27.1% |
| 2026-05-27 | $9 | 14 | NOK | 27.1% |
| 2026-05-28 | $9 | 14 | NOK | 27.1% |
| 2026-05-29 | $9 | 14 | NOK | 27.1% |
| 2026-06-01 | $9 | 14 | NOK | 27.1% |
| 2026-06-02 | $9 | 14 | NOK | 27.1% |
| 2026-06-03 | $9 | 14 | NOK | 27.1% |
| 2026-06-04 | $9 | 14 | NOK | 27.1% |
| 2026-06-05 | $9 | 14 | NOK | 27.1% |
| 2026-06-08 | $9 | 14 | NOK | 27.1% |
| 2026-06-09 | $9 | 14 | NOK | 27.1% |
| 2026-06-10 | $9 | 14 | NOK | 27.1% |
| 2026-06-11 | $9 | 14 | NOK | 27.1% |
| 2026-06-12 | $9 | 14 | NOK | 27.1% |
| 2026-06-15 | $9 | 14 | NOK | 27.1% |
| 2026-06-16 | $9 | 14 | NOK | 27.1% |
| 2026-06-17 | $9 | 14 | NOK | 27.1% |
| 2026-06-18 | $9 | 14 | NOK | 27.1% |
| 2026-06-22 | $9 | 14 | NOK | 27.1% |
| 2026-06-23 | $9 | 14 | NOK | 27.1% |
| 2026-06-24 | $9 | 14 | NOK | 27.1% |
| 2026-06-25 | $9 | 13 | NOK | 29.3% |
| 2026-06-26 | $9 | 13 | NOK | 29.3% |
| 2026-06-29 | $9 | 13 | NOK | 29.3% |
| 2026-06-30 | $8 | 12 | NOK | 31.3% |
| 2026-07-01 | $8 | 12 | NOK | 31.3% |
| 2026-07-02 | $8 | 12 | NOK | 31.3% |
| 2026-07-06 | $8 | 12 | NOK | 31.3% |
| 2026-07-07 | $7 | 11 | NOK | 33.9% |
| 2026-07-08 | $6 | 9 | NOK | 31.8% |
| 2026-07-09 | $5 | 8 | DUOL | 23.8% |
| 2026-07-10 | $4 | 6 | SONY | 27.5% |
| 2026-07-13 | $3 | 5 | SONY | 32.6% |
| 2026-07-14 | $2 | 2 | SONY | 64.9% |
| 2026-07-15 | $2 | 2 | SONY | 64.9% |
| 2026-07-16 | $2 | 2 | SONY | 64.9% |
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 | 10 | +17.5% | +1.67% | 70.0% | 4.02 | +1.11% |
| SPY-down weeks | 3 | -4.9% | -1.63% | 33.3% | -6.05 | -1.81% |