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Victory Lap Paired · 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+3.8%Span-true compounded return · not annualized
Annualized CAGR—Suppressed because the observed span is under 180 calendar days
QuantStats Sharpe (i.i.d.)2.13Annualized at 252 daily periods/year
QuantStats Sortino3.88Same 252-period annualization
Entry-cohort t-stat1.47Entry-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 | +61.08% |
| INTC | 2026-05-12 | +51.49% |
| AXTI | 2026-06-16 | +48.28% |
| ASST | 2026-06-16 | +45.58% |
| SYM | 2026-05-26 | +45.26% |
| LWLG | 2026-05-12 | +42.59% |
| MU | 2026-05-12 | +42.19% |
| LUNR | 2026-05-26 | +41.45% |
| SATL | 2026-05-27 | +40.72% |
| ADBE | 2026-06-01 | +40.58% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| DELL | 2026-05-15 | -66.96% |
| RKLB | 2026-05-12 | -66.42% |
| ARM | 2026-05-15 | -63.17% |
| TE | 2026-05-12 | -58.73% |
| FCEL | 2026-05-12 | -54.68% |
| HIMS | 2026-06-05 | -52.45% |
| FLY | 2026-05-12 | -51.72% |
| ENPH | 2026-05-14 | -46.21% |
| SNOW | 2026-05-19 | -43.61% |
| NBIS | 2026-05-19 | -43.33% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Daily gross $ | $1,755,600 | $1,570,000 | $3,520,000 |
| Concurrent position count | 87.8 | 78 | 176 |
| Single-name share | — | — | 50.0% · 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 | $20,000 | 1 | LLY | 50.0% |
| 2026-05-06 | $20,000 | 1 | LLY | 50.0% |
| 2026-05-07 | $60,000 | 3 | CAT | 16.7% |
| 2026-05-08 | $80,000 | 4 | CAT | 12.5% |
| 2026-05-11 | $80,000 | 4 | CAT | 12.5% |
| 2026-05-12 | $1,100,000 | 55 | ASTX | 2.0% |
| 2026-05-13 | $1,360,000 | 68 | ASTX | 1.6% |
| 2026-05-14 | $1,540,000 | 77 | ASTX | 1.4% |
| 2026-05-15 | $1,820,000 | 91 | ASTX | 1.2% |
| 2026-05-18 | $1,880,000 | 94 | PENG | 1.2% |
| 2026-05-19 | $2,140,000 | 107 | FLY | 1.1% |
| 2026-05-20 | $2,220,000 | 111 | RDW | 1.2% |
| 2026-05-21 | $2,340,000 | 117 | RDW | 1.1% |
| 2026-05-22 | $2,440,000 | 122 | RDW | 1.1% |
| 2026-05-26 | $2,960,000 | 148 | RDW | 1.2% |
| 2026-05-27 | $3,480,000 | 174 | RDW | 1.1% |
| 2026-05-28 | $2,780,000 | 139 | IRDM | 1.1% |
| 2026-05-29 | $2,880,000 | 144 | CLSK | 1.0% |
| 2026-06-01 | $3,160,000 | 158 | IRDM | 1.1% |
| 2026-06-02 | $3,320,000 | 166 | IRDM | 1.0% |
| 2026-06-03 | $3,520,000 | 176 | IRDM | 0.9% |
| 2026-06-04 | $3,340,000 | 167 | IRDM | 1.0% |
| 2026-06-05 | $3,320,000 | 166 | IRDM | 1.0% |
| 2026-06-08 | $3,280,000 | 164 | IRDM | 1.0% |
| 2026-06-09 | $3,180,000 | 159 | FPS | 1.0% |
| 2026-06-10 | $2,680,000 | 134 | FPS | 1.2% |
| 2026-06-11 | $2,220,000 | 111 | FPS | 1.4% |
| 2026-06-12 | $2,000,000 | 100 | FPS | 1.6% |
| 2026-06-15 | $1,740,000 | 87 | FPS | 1.8% |
| 2026-06-16 | $1,540,000 | 77 | CVS | 1.5% |
| 2026-06-17 | $1,320,000 | 66 | CVS | 1.8% |
| 2026-06-18 | $1,340,000 | 67 | ASML | 2.0% |
| 2026-06-22 | $1,380,000 | 69 | ASML | 1.7% |
| 2026-06-23 | $1,480,000 | 74 | ASML | 1.6% |
| 2026-06-24 | $1,420,000 | 71 | ASML | 1.6% |
| 2026-06-25 | $1,420,000 | 71 | FRMI | 1.6% |
| 2026-06-26 | $1,540,000 | 77 | FRMI | 1.5% |
| 2026-06-29 | $1,600,000 | 80 | NUAI | 1.5% |
| 2026-06-30 | $1,760,000 | 88 | NUAI | 1.3% |
| 2026-07-01 | $2,000,000 | 100 | MRNA | 1.2% |
| 2026-07-02 | $1,740,000 | 87 | NUAI | 1.3% |
| 2026-07-06 | $1,520,000 | 76 | GLW | 1.3% |
| 2026-07-07 | $1,240,000 | 62 | GLW | 1.6% |
| 2026-07-08 | $1,120,000 | 56 | OUST | 1.8% |
| 2026-07-09 | $940,000 | 47 | RVMD | 1.8% |
| 2026-07-10 | $920,000 | 46 | WEN | 1.8% |
| 2026-07-13 | $880,000 | 44 | WEN | 1.9% |
| 2026-07-14 | $720,000 | 36 | CMPS | 1.9% |
| 2026-07-15 | $600,000 | 30 | LCID | 2.2% |
| 2026-07-16 | $340,000 | 17 | ACMR | 2.9% |
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 | -0.1% | -0.00% | 37.5% | -0.03 | +1.21% |
| SPY-down weeks | 3 | +3.9% | +1.27% | 100.0% | 16.18 | -1.81% |