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GS-VRV Weekly Short-Rich-Vol · weekly marks, premium-normalized · Model diagnostics
CANDIDATE · 2024-08-05 → 2026-06-08 · 968 trades
One observation is one source/model trade; 968 trades are aggregated into 81 weekly cohorts. Metrics use 52 weekly observations/year. Premium-normalized books assume a 10%-of-capital weekly premium budget; per-trade premium returns are shown unscaled in Avg obs. Structural horizon: the last qualifying locally priceable entry is 2026-06-08 and its full 21-session exit is 2026-07-09. Local EOD chain parquet ends 2026-07-10, and later formations either fail the frozen two-sided quote/spread/contract quality rules or require unavailable later exits. All qualifying local holds completing by 2026-07-10 are included; no network data was used. Returns and observation rankings include the model's existing execution costs.
Total return+3,502.1%Span-true compounded return · not annualized
Annualized CAGR898.3%Annualized at 52 periods/year · span is 672 calendar days
QuantStats Sharpe (i.i.d.)15.29Annualized at 52 weekly periods/year
QuantStats Sortino112.22Same 52-period annualization
Entry-cohort t-stat19.16Weekly-cohort bootstrap · 10,000 draws · 81 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 |
|---|
| DJT | 2024-11-04 | +90.19% |
| WDAY | 2024-11-25 | +89.77% |
| SNAP | 2025-01-21 | +86.47% |
| NKE | 2026-06-08 | +85.21% |
| IBIT | 2026-06-08 | +84.76% |
| PATH | 2024-08-26 | +84.43% |
| GOOG | 2024-10-28 | +84.21% |
| HON | 2025-01-21 | +84.01% |
| DG | 2024-11-25 | +84.00% |
| ADBE | 2025-12-08 | +83.84% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| SNAP | 2026-01-05 | -135.04% |
| PINS | 2026-01-12 | -129.69% |
| GOOGL | 2025-10-27 | -121.60% |
| MSOS | 2024-10-14 | -116.82% |
| SHOP | 2024-10-14 | -110.22% |
| KSS | 2025-10-27 | -109.33% |
| TJX | 2025-07-21 | -109.06% |
| VTI | 2026-03-30 | -107.92% |
| MSFT | 2026-03-30 | -106.55% |
| LCID | 2025-10-20 | -103.81% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Weekly gross $ | $119,506 | $60,000 | $570,000 |
| Concurrent position count | 12.0 | 6 | 57 |
| Single-name share | — | — | 100.0% · PATH · 2024-08-26 |
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 (81 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2024-08-05 | $50,000 | 5 | DIS | 20.0% |
| 2024-08-26 | $10,000 | 1 | PATH | 100.0% |
| 2024-09-02 | $30,000 | 3 | DJT | 33.3% |
| 2024-09-09 | $30,000 | 3 | DJT | 33.3% |
| 2024-09-16 | $20,000 | 2 | DJT | 50.0% |
| 2024-09-23 | $30,000 | 3 | AMC | 33.3% |
| 2024-09-30 | $150,000 | 15 | AMC | 6.7% |
| 2024-10-07 | $260,000 | 26 | ABT | 3.8% |
| 2024-10-14 | $300,000 | 30 | AAP | 3.3% |
| 2024-10-21 | $210,000 | 21 | AMC | 4.8% |
| 2024-10-28 | $550,000 | 55 | ABBV | 1.8% |
| 2024-11-04 | $180,000 | 18 | ABNB | 5.6% |
| 2024-11-11 | $80,000 | 8 | AMC | 12.5% |
| 2024-11-18 | $90,000 | 9 | ADBE | 11.1% |
| 2024-11-25 | $40,000 | 4 | DG | 25.0% |
| 2024-12-02 | $40,000 | 4 | AXSM | 25.0% |
| 2024-12-30 | $20,000 | 2 | FICO | 50.0% |
| 2025-01-13 | $60,000 | 6 | AMC | 16.7% |
| 2025-01-20 | $60,000 | 6 | AKAM | 16.7% |
| 2025-01-27 | $80,000 | 8 | AMC | 12.5% |
| 2025-02-03 | $210,000 | 21 | AMC | 4.8% |
| 2025-02-10 | $50,000 | 5 | AMC | 20.0% |
| 2025-02-17 | $20,000 | 2 | KR | 50.0% |
| 2025-02-24 | $50,000 | 5 | DG | 20.0% |
| 2025-03-03 | $140,000 | 14 | AMC | 7.1% |
| 2025-03-10 | $20,000 | 2 | DG | 50.0% |
| 2025-03-31 | $30,000 | 3 | HON | 33.3% |
| 2025-04-07 | $120,000 | 12 | ALB | 8.3% |
| 2025-04-28 | $10,000 | 1 | DOCS | 100.0% |
| 2025-05-26 | $10,000 | 1 | AI | 100.0% |
| 2025-06-02 | $30,000 | 3 | AGX | 33.3% |
| 2025-06-09 | $10,000 | 1 | GE | 100.0% |
| 2025-06-16 | $10,000 | 1 | LEN | 100.0% |
| 2025-06-23 | $20,000 | 2 | FDX | 50.0% |
| 2025-06-30 | $40,000 | 4 | GE | 25.0% |
| 2025-07-07 | $200,000 | 20 | BMY | 5.0% |
| 2025-07-14 | $330,000 | 33 | AXP | 3.0% |
| 2025-07-21 | $380,000 | 38 | AMZN | 2.6% |
| 2025-07-28 | $570,000 | 57 | ACLS | 1.8% |
| 2025-08-04 | $260,000 | 26 | AA | 3.8% |
| 2025-08-11 | $110,000 | 11 | ADBE | 9.1% |
| 2025-08-18 | $160,000 | 16 | ADBE | 6.2% |
| 2025-08-25 | $120,000 | 12 | ADBE | 8.3% |
| 2025-09-01 | $130,000 | 13 | ADBE | 7.7% |
| 2025-09-08 | $60,000 | 6 | ACN | 16.7% |
| 2025-09-15 | $50,000 | 5 | ACN | 20.0% |
| 2025-09-22 | $240,000 | 24 | ACN | 4.2% |
| 2025-09-29 | $440,000 | 44 | AKAM | 2.3% |
| 2025-10-06 | $450,000 | 45 | AAL | 2.2% |
| 2025-10-13 | $470,000 | 47 | ABNB | 2.1% |
| 2025-10-20 | $480,000 | 48 | AAP | 2.1% |
| 2025-10-27 | $160,000 | 16 | AMC | 6.2% |
| 2025-11-03 | $160,000 | 16 | AFRM | 6.2% |
| 2025-11-10 | $10,000 | 1 | TGT | 100.0% |
| 2025-11-17 | $50,000 | 5 | ADBE | 20.0% |
| 2025-11-24 | $20,000 | 2 | COST | 50.0% |
| 2025-12-01 | $70,000 | 7 | ABVX | 14.3% |
| 2025-12-08 | $20,000 | 2 | ADBE | 50.0% |
| 2025-12-15 | $10,000 | 1 | NKE | 100.0% |
| 2025-12-29 | $20,000 | 2 | LCID | 50.0% |
| 2026-01-05 | $50,000 | 5 | GM | 20.0% |
| 2026-01-12 | $120,000 | 12 | AAPL | 8.3% |
| 2026-01-19 | $100,000 | 10 | AAPL | 10.0% |
| 2026-01-26 | $100,000 | 10 | AAP | 10.0% |
| 2026-02-02 | $410,000 | 41 | AAP | 2.4% |
| 2026-02-09 | $90,000 | 9 | CELH | 11.1% |
| 2026-02-16 | $50,000 | 5 | CELH | 20.0% |
| 2026-02-23 | $50,000 | 5 | DJT | 20.0% |
| 2026-03-02 | $70,000 | 7 | DLO | 14.3% |
| 2026-03-09 | $30,000 | 3 | PDD | 33.3% |
| 2026-03-16 | $40,000 | 4 | JNJ | 25.0% |
| 2026-03-23 | $20,000 | 2 | JNJ | 50.0% |
| 2026-03-30 | $50,000 | 5 | CYTK | 20.0% |
| 2026-04-06 | $30,000 | 3 | FISV | 33.3% |
| 2026-04-13 | $30,000 | 3 | ABVX | 33.3% |
| 2026-04-20 | $60,000 | 6 | DIS | 16.7% |
| 2026-04-27 | $220,000 | 22 | AMKR | 4.5% |
| 2026-05-04 | $90,000 | 9 | AEO | 11.1% |
| 2026-05-11 | $10,000 | 1 | PATH | 100.0% |
| 2026-05-18 | $10,000 | 1 | PATH | 100.0% |
| 2026-06-08 | $20,000 | 2 | IBIT | 50.0% |
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 | 56 | +717.9% | +3.86% | 82.1% | 10.36 | +1.75% |
| SPY-down weeks | 41 | +340.4% | +3.71% | 80.5% | 10.79 | -1.52% |