Strategy Radar Screening
Scoring rules live in code: , , , , trade count, data provenance, and cost-aware assumptions determine candidate status.
Every backtest enters at the top; only candidates that clear the score, drawdown, and trade-count gates reach the bottom.
Under the current risk-on regime (stress score 4/100), each candidate also carries a stress-adjusted score that penalizes high drawdown and downside volatility, and rewards benchmark-relative resilience, smoother equity, and higher data quality. The base score is unchanged.
Methodology / Assumptions
- Scores combine return, Sharpe, drawdown, win rate, trade count, and data-provenance penalties.
- Candidate thresholds are explicit: high score with bounded drawdown and enough trades can reach radar candidate status.
- Hard rejection rules penalize severe drawdown, negative Sharpe, weak evidence, or poor data quality.
- Stress-adjusted score is a regime-aware re-weighting for research only; the base score and admission rules are unchanged.
- Radar gates mean worthy of simulated observation review, not an instruction to trade.
Are these strategies actually diversified?
Low overlap. Average pairwise correlation is 10%; the 5 strategies provide close to 3.6 independent bets — a genuinely diversified set. Watch the most correlated pair (EMA Continuation Signal · CAT vs Quality Momentum Breakout · CAT, 58%).
| Leg | CAT | WMT | AAPL | JNJ | CAT |
|---|---|---|---|---|---|
| CAT | 1.00 | 0.09 | 0.02 | -0.06 | 0.58 |
| WMT | 0.09 | 1.00 | 0.09 | 0.11 | 0.05 |
| AAPL | 0.02 | 0.09 | 1.00 | 0.01 | 0.07 |
| JNJ | -0.06 | 0.11 | 0.01 | 1.00 | 0.01 |
| CAT | 0.58 | 0.05 | 0.07 | 0.01 | 1.00 |
| Strategy | Mkt β | Mom β | Vol β | Dominant |
|---|---|---|---|---|
EMA Continuation Signal CAT | 0.09 | 0.08 | -0.05 | Momentum |
Low-Volatility Rotation WMT | 0.07 | 0.02 | 0.06 | Market |
Defensive Trend Pullback AAPL | 0.03 | 0.00 | 0.01 | Market |
ATR Channel Expansion JNJ | 0.03 | -0.01 | 0.09 | Low-vol |
Quality Momentum Breakout CAT | 0.02 | 0.04 | -0.03 | Momentum |
EMA Continuation Signal
CAT · Eligible for simulated observation review
- Composite score 80
- Sharpe is above 1
- Max drawdown is within the -25% threshold
- Meets simulated-observation admission rules
Low-Volatility Rotation
WMT · Eligible for simulated observation review
- Composite score 80
- Sharpe is above 1
- Max drawdown is within the -25% threshold
- Meets simulated-observation admission rules
Defensive Trend Pullback
AAPL · Keep collecting signal and stability evidence
- Composite score 77
- Sharpe is above 1
- Max drawdown is within the -25% threshold
ATR Channel Expansion
JNJ · Keep collecting signal and stability evidence
- Composite score 75
- Sharpe is above 1
- Max drawdown is within the -25% threshold
Quality Momentum Breakout
CAT · Keep collecting signal and stability evidence
- Composite score 74
- Sharpe is above 1
- Max drawdown is within the -25% threshold
- Fewer than 5 completed trades