Open · formula shown
gen0194
This is a simulated paper portfolio — no real money is being traded here. This is not investment advice.
- Starting Capital
- $1,000,000
- Rebalance
- 42d
- Costs
- 5/5 bps
- Live since
- Jun 15, 2026
Lifecycle
Training → out-of-sample → live
Capacity-capped account equity
The line is total simulated account value, shaded by phase: the in-sample training window(s) it was fit on, the held-out out-of-sample window, and live paper-trading after the marker. Per-phase stats are in the panels below.
Training (in-sample)Out-of-sampleLive (paper)
Drawdown
Full history is a continuous account: above the estimated capacity ($36,076,014), unsupported capital remains cash. Training and out-of-sample presets use their standalone replay curves so they match the statistics shown below.
Live
Forward paper-trading
Live (paper)
since Jun 15, 2026Real forward tracking since the live date using the Yahoo Finance API, and the same cost model as the backtests.
- CAGR
- -51.6%
- Sharpe
- -4.72
- Max DD
- -10.4%
Backtest
Training, out-of-sample & combined
Three deterministic single-seed runs of the frozen formula: the in-sample training window, the held-out out-of-sample window, and the two combined. Combined figures are computed end to end, not stitched from the halves.
Out-of-sample
Jan 2, 2020 – Dec 1, 2025Never used to train the strategy, the strongest evidence short of live tracking.
- CAGR
- +27.7%
- Total return
- +325.4%
- Volatility
- 39.0%
- Sharpe
- 0.82
- Calmar
- 0.56
- Max DD
- -49.4%
- Max DD length
- 279d
- Best year
- +83.5%
- Worst year
- -1.8%
- Worst 3y CAGR
- +7.8%
- Worst 5y CAGR
- +25.7%
- Min rolling Sharpe
- 0.39
- Beta vs S&P 500
- 1.00
- Corr vs S&P 500
- 0.53
- Alpha (ann.)
- +15.9%
- Information ratio
- 0.48
Training (in-sample)
Jan 1, 2000 – Jan 1, 2020Regime 1 · 2000–2005 · Regime 2 · 2005–2010 · Regime 3 · 2010–2015 · Regime 4 · 2015–2020
The strategy was trained on this period, good returns here are not inherently indicative of quality or future performance.
- CAGR
- +21.2%
- Total return
- +4537.6%
- Volatility
- 24.6%
- Sharpe
- 0.91
- Calmar
- 0.39
- Max DD
- -54.0%
- Max DD length
- 742d
- Best year
- +73.1%
- Worst year
- -35.4%
- Worst 3y CAGR
- -1.1%
- Worst 5y CAGR
- +9.7%
- Min rolling Sharpe
- 0.12
- Beta vs S&P 500
- 1.16
- Corr vs S&P 500
- 0.89
- Alpha (ann.)
- +13.7%
- Information ratio
- 1.31
Combined · training + OOS
Jan 1, 2000 – Dec 1, 2025Combined figures are computed end to end, not stitched from the halves.
- CAGR
- +19.5%
- Total return
- +10090.5%
- Volatility
- 24.6%
- Sharpe
- 0.85
- Calmar
- 0.36
- Max DD
- -54.1%
- Max DD length
- 742d
- Best year
- +73.0%
- Worst year
- -35.5%
- Worst 3y CAGR
- -3.1%
- Worst 5y CAGR
- +4.4%
- Min rolling Sharpe
- -0.07
- Beta vs S&P 500
- 1.01
- Corr vs S&P 500
- 0.80
- Alpha (ann.)
- +10.7%
- Information ratio
- 0.77
Capacity
Capacity & holdings
- Active share
- 39.9%
- Capacity
- $36,076,014
Formula
How it picks stocks
- Selection
- Top 28
- Names are sorted by score; highest scores enter the basket.
- Cadence
- 2 months
- The formula is re-evaluated on each rebalance date.
- Inputs
- 7 indicators
- 3 transforms shape those raw inputs.
- Exit
- Has rule
- A separate gate can force stale holdings out.
Each rebalance, every eligible stock is scored by the expression below. The top 28 highest-scoring names are held, weighted by rank (higher score → larger weight, each capped), refreshed about every 2 months. The exact formula is published verbatim — nothing is hidden for open strategies.
- Point-in-time. Every indicator is computed through the prior trading day, so a rebalance never peeks at the bar it trades on, preventing look-ahead.
- Cross-sectional vs. time-series.
rankcompares a name against every other eligible name that day;z‑scorestandardises a value against its own recent history. - Eligible means a raw price ≥ $10, trailing median dollar volume ≥ $5M, and recent, non-stale data — the same liquidity screen the backtest used.
- Comparisons and logic act as 1 / 0 gates (shown in [ ] brackets) that switch parts of the score on or off. The score's absolute value is meaningless; only the ordering across names selects the basket.
Full expression
Exit rule
Independently of the score, this gate can force a current holding out. If the score still ranks that name back into the target basket, the score wins.
Indicators used
- Beta
- Rolling sensitivity of returns to the market proxy (needs a benchmark).
- Close-in-range
- Where the close sits within the day's high–low range (0–1).
- Dollar volume
- Adjusted close × share volume — a liquidity measure.
- EMA
- Exponential moving average of adjusted close (span = window).
- Mean reversion
- Price relative to its window moving average, minus one.
- Realized vol
- Standard deviation of daily returns over the window.
- Volume surge
- Volume relative to its window average, minus one.
Transforms used
- log
- Signed log compression: sign(x) · ln(1 + |x|).
- rank
- Cross-sectional percentile rank (0–1) of the feature's window-day average, across all eligible names that day.
- z‑score
- Time-series z-score: (value − window mean) ÷ window std — standardised against its own recent history.
Composition
Current allocation
Current account allocation: 29.6% invested, 70.4% cash / uninvested.
- SAN1.5%
- VISN1.4%
- CX1.3%
- SVM1.3%
- ERAS1.3%
- NVDY1.1%
- OSS1.1%
- UMC1.1%
- ALM1.1%
- ERIC1.1%
- LPTH1.1%
- AGNC1.0%
- BB1.0%
- NOK1.0%
- RCAT1.0%
- NXE1.0%
- TTI1.0%
- BW1.0%
- CRVS0.9%
- UEC0.6%
- LWLG0.6%
- POET0.6%
- BKD0.5%
- WULF0.5%
- NVTS0.5%
- TRVI0.5%
- ONDS0.5%
- QUBT0.4%
- CIFR0.4%
- APLD0.4%
- AXTI0.3%
- IAG0.3%
- UMAC0.3%
- ASX0.2%
- QBTS0.2%
- CORZ0.2%
- HIMX0.1%
- PBI0.1%
- EQX0.1%
- JOBY0.1%
- HL0.1%
- RGTI0.1%
- UUUU0.1%
- HBM0.1%
- SBSW0.1%
- AG0.1%
- AMPX0.1%
- PL0.1%
- PTEN0.0%
- VLY0.0%
- CDE0.0%
- Cash / uninvested70.4%