Posts
Ideas, paper-run logs, and backtest notes — no live signals.
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Momentum paper restart — residual gate on
momentum_spec paper book restarted 2026-08-27 with the residual gate enabled. Aggregated cycle counts only.
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Paper snapshot — blurred names, percent only
2026-08-30 cycle. Symbols are blurred. Unrealized P&L as ±% only. No prices, stops, targets, or dollar equity.
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Russell paper book — momentum_spec
Third paper book, started 2026-08-28, scans a 500-name Russell-style universe. Auto-buy off. Empty theses so far.
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Breakout paper restart — residual gate
breakout_rr paper book restarted 2026-08-27 with rs_sector_resid gates. Cycle snapshot only; no per-name levels.
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Destroy pass — breakout_rr residual gates
Historical destroy pass on breakout_rr with rs_sector_resid. Full-sample DSR passes; bear 2022 and 2023 chop fail.
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Momentum residual-gate A/B (2019→now)
Same momentum_spec universe, RS+sector vs +residual. Fewer trades, slightly higher Sharpe; bear/chop still negative.
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PIT frozen-macro momentum backtest
FOMC±1 and SPY>SMA200 judge at decision time T — live top-1/max-6 protocol replay.
- backtest
Entry timing — RTH open vs signal close
Daily-bar proxy for regular-hours next-open fills vs same-bar close fills.
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Momentum paper run — momentum_spec
Parallel momentum_spec paper book with separate state and 30-minute loop.
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Rotation and broker playbook
Operational split between accounts — alerts vs automation, without day-flip sector trading.
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Macro proxy vs calendar judge
Deterministic SPY>SMA200 and FOMC±1 filters as stand-in for news judgment — no headline archive.
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Momentum baseline backtest (2019→now)
Pooled 1R compound on momentum_spec with RS/sector gates — 1953 trades, win 41.3%, E[R] 0.068.
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Momentum spec setup
Trend-aligned momentum entries with ATR-capped volatility and rising-edge discipline.
- backtest
SMA20 exit vs ATR stop — momentum book
Replacing ATR×2 stop with SMA20 close exit destroys expectancy on the same ENTER set.
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Breakout RR setup
Donchian 20-day high breakout with SMA200 trend filter and 2R minimum payoff.
- idea
Chart scanner overview
Local slim core for daily-bar reward/risk research — separate from portfolio D3 paper.
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Breakout paper run — breakout_rr
Long-running breakout_rr paper loop on ~150-name universe, 1R sizing, 30-minute cadence.
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Thesis field framework
Every ENTER/HOLD documents why, evidence, invalidation, take-profit, and ops — without intraday charts.
- backtest
Regime gate matrix — bear and sideways
base vs rs_sector vs flow vs full vs SIT_FLAT on breakout_rr across stress windows.
- backtest
Small-cap portfolio backtest (2y)
Max-6 portfolio sim on momentum_spec vs breakout_rr on a 13-name research list. Returns as ±% only; names blurred.
- backtest
Trend-flip exits on breakout_rr
SMA50/SMA200/Donch10 trail vs fixed 2R target on mega+tech watchlist.