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Victory Lap Outright · Model diagnostics
VALIDATED · 2026-05-05 → 2026-07-16 · 399 trades
One observation is one model trade; 399 trades feed 50 active daily marks and 38 entry-date cohorts. Metrics use 252 daily observations/year. Returns and observation rankings include the model's existing execution costs.
Total return+9.1%Span-true compounded return · not annualized
Annualized CAGR—Suppressed because the observed span is under 180 calendar days
QuantStats Sharpe (i.i.d.)1.06Annualized at 252 daily periods/year
QuantStats Sortino2.16Same 252-period annualization
Entry-cohort t-stat1.11Entry-date-cohort bootstrap · 10,000 draws · 38 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 |
|---|
| SOXS | 2026-05-20 | +52.96% |
| FLY | 2026-05-27 | +52.87% |
| AMPG | 2026-06-18 | +46.92% |
| AEVA | 2026-07-01 | +46.86% |
| AXTI | 2026-06-16 | +46.43% |
| DXYZ | 2026-05-27 | +46.11% |
| WOLF | 2026-05-27 | +45.28% |
| PL | 2026-05-27 | +43.36% |
| INOD | 2026-06-17 | +40.19% |
| SATL | 2026-05-27 | +40.14% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| RDW | 2026-05-12 | -77.97% |
| DELL | 2026-05-15 | -73.08% |
| ARM | 2026-05-15 | -69.41% |
| TE | 2026-05-12 | -62.69% |
| ASTS | 2026-05-12 | -59.75% |
| ENPH | 2026-05-14 | -53.95% |
| SEDG | 2026-05-15 | -51.70% |
| FLY | 2026-05-12 | -47.99% |
| FCEL | 2026-05-12 | -45.80% |
| SNOW | 2026-05-19 | -40.72% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Daily gross $ | $877,800 | $785,000 | $1,760,000 |
| Concurrent position count | 87.8 | 78 | 176 |
| 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 | $10,000 | 1 | LLY | 100.0% |
| 2026-05-06 | $10,000 | 1 | LLY | 100.0% |
| 2026-05-07 | $30,000 | 3 | CAT | 33.3% |
| 2026-05-08 | $40,000 | 4 | CAT | 25.0% |
| 2026-05-11 | $40,000 | 4 | CAT | 25.0% |
| 2026-05-12 | $550,000 | 55 | AAOI | 1.8% |
| 2026-05-13 | $680,000 | 68 | AAOI | 1.5% |
| 2026-05-14 | $770,000 | 77 | AAOI | 1.3% |
| 2026-05-15 | $910,000 | 91 | AAOI | 1.1% |
| 2026-05-18 | $940,000 | 94 | AAOI | 1.1% |
| 2026-05-19 | $1,070,000 | 107 | FLY | 1.9% |
| 2026-05-20 | $1,110,000 | 111 | FLY | 1.8% |
| 2026-05-21 | $1,170,000 | 117 | CLSK | 1.7% |
| 2026-05-22 | $1,220,000 | 122 | ASTS | 1.6% |
| 2026-05-26 | $1,480,000 | 148 | ASTS | 1.4% |
| 2026-05-27 | $1,740,000 | 174 | FLY | 1.7% |
| 2026-05-28 | $1,390,000 | 139 | AMAT | 1.4% |
| 2026-05-29 | $1,440,000 | 144 | AMAT | 1.4% |
| 2026-06-01 | $1,580,000 | 158 | AMAT | 1.3% |
| 2026-06-02 | $1,660,000 | 166 | ANET | 1.2% |
| 2026-06-03 | $1,760,000 | 176 | ANET | 1.1% |
| 2026-06-04 | $1,670,000 | 167 | ANET | 1.2% |
| 2026-06-05 | $1,660,000 | 166 | ANET | 1.2% |
| 2026-06-08 | $1,640,000 | 164 | ANET | 1.2% |
| 2026-06-09 | $1,590,000 | 159 | ANET | 1.3% |
| 2026-06-10 | $1,340,000 | 134 | ASML | 1.5% |
| 2026-06-11 | $1,110,000 | 111 | RIVN | 1.8% |
| 2026-06-12 | $1,000,000 | 100 | AAOI | 1.0% |
| 2026-06-15 | $870,000 | 87 | CVS | 2.3% |
| 2026-06-16 | $770,000 | 77 | CVS | 2.6% |
| 2026-06-17 | $660,000 | 66 | CVS | 3.0% |
| 2026-06-18 | $670,000 | 67 | ASML | 3.0% |
| 2026-06-22 | $690,000 | 69 | ASML | 2.9% |
| 2026-06-23 | $740,000 | 74 | ASML | 2.7% |
| 2026-06-24 | $710,000 | 71 | ASML | 2.8% |
| 2026-06-25 | $710,000 | 71 | FRMI | 2.8% |
| 2026-06-26 | $770,000 | 77 | FRMI | 2.6% |
| 2026-06-29 | $800,000 | 80 | A | 1.2% |
| 2026-06-30 | $880,000 | 88 | GLW | 2.3% |
| 2026-07-01 | $1,000,000 | 100 | GLW | 2.0% |
| 2026-07-02 | $870,000 | 87 | GLW | 2.3% |
| 2026-07-06 | $760,000 | 76 | GLW | 2.6% |
| 2026-07-07 | $620,000 | 62 | GLW | 3.2% |
| 2026-07-08 | $560,000 | 56 | OUST | 3.6% |
| 2026-07-09 | $470,000 | 47 | A | 2.1% |
| 2026-07-10 | $460,000 | 46 | A | 2.2% |
| 2026-07-13 | $440,000 | 44 | A | 2.3% |
| 2026-07-14 | $360,000 | 36 | ACMR | 2.8% |
| 2026-07-15 | $300,000 | 30 | ACMR | 3.3% |
| 2026-07-16 | $170,000 | 17 | ACMR | 5.9% |
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 | 8 | -13.2% | -1.70% | 50.0% | -3.27 | +1.21% |
| SPY-down weeks | 3 | +25.7% | +8.15% | 100.0% | 6.90 | -1.81% |