Open · formula shown
gen0194
gen0194 — this was the first useable strategy found by the engine, it uses an old naming scheme.
This is a simulated paper portfolio — no real money is being traded here. This is not investment advice.
- Capital
- $1,000,000
- Rebalance
- 42d
- Costs
- 5/5 bps
- Live since
- Jun 4, 2026
Lifecycle
Training → out-of-sample → live
The curve is 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
Live
Forward paper-trading
Live (paper)
since Jun 4, 2026Real forward tracking since the live date using the Yahoo Finance API, and the same cost model as the backtests.
- CAGR
- -99.3%
- Sharpe
- -4.46
- Max DD
- -17.3%
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
- +24.8%
- Total return
- +270.4%
- Volatility
- 39.0%
- Sharpe
- 0.77
- Calmar
- 0.50
- Max DD
- -49.4%
- Max DD length
- 285d
- Best year
- +78.8%
- Worst year
- -3.7%
- Worst 3y CAGR
- +5.6%
- Worst 5y CAGR
- +23.0%
- Min rolling Sharpe
- 0.34
- Beta vs S&P 500
- 1.00
- Corr vs S&P 500
- 0.53
- Alpha (ann.)
- +13.8%
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
- +20.0%
- Total return
- +3648.7%
- Volatility
- 24.8%
- Sharpe
- 0.86
- Calmar
- 0.37
- Max DD
- -54.6%
- Max DD length
- 775d
- Best year
- +71.4%
- Worst year
- -36.2%
- Worst 3y CAGR
- -2.0%
- Worst 5y CAGR
- +8.9%
- Min rolling Sharpe
- 0.09
- Beta vs S&P 500
- 1.17
- Corr vs S&P 500
- 0.89
- Alpha (ann.)
- +12.7%
Combined · training + OOS
Jan 1, 2000 – Dec 1, 2025Combined figures are computed end to end, not stitched from the halves.
- CAGR
- +20.7%
- Total return
- +12886.2%
- Volatility
- 28.2%
- Sharpe
- 0.81
- Calmar
- 0.38
- Max DD
- -54.7%
- Max DD length
- 775d
- Best year
- +71.3%
- Worst year
- -36.2%
- Worst 3y CAGR
- -6.1%
- Worst 5y CAGR
- +0.1%
- Min rolling Sharpe
- -0.09
- Beta vs S&P 500
- 1.13
- Corr vs S&P 500
- 0.77
- Alpha (ann.)
- +11.0%
Capacity
Capacity & holdings
- Active share
- 39.7%
- Capacity · liquidity
- $92,061,875
- Capacity · impact
- $1,227,492
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 basket
- UMAC5.0%
- NVTS4.7%
- UMC4.7%
- ERAS4.5%
- WULF4.5%
- LPTH4.4%
- VISN4.3%
- NOK4.2%
- SAN4.2%
- ALM4.0%
- POET3.5%
- NXE3.5%
- SVM3.4%
- CX3.2%
- LWLG3.2%
- BW3.1%
- OSS2.9%
- AXTI2.5%
- CRVS2.4%
- RCAT2.4%
- CIFR2.3%
- ERIC2.2%
- ONDS2.1%
- TTI2.0%
- APLD1.8%
- QUBT1.8%
- TRVI1.7%
- AGNC1.1%
- UEC1.1%
- CORZ1.0%
- QBTS1.0%
- AMPX0.9%
- IAG0.7%
- EQX0.6%
- ASX0.5%
- HBM0.5%
- HL0.5%
- NVDY0.5%
- PBI0.5%
- UUUU0.5%
- RGTI0.5%
- AG0.4%
- PL0.4%
- PTEN0.3%
- SBSW0.2%
- BKD0.2%
- CDE0.2%
- TSSI0.2%
- JOBY0.1%
- ORLA0.1%