Loading market data
Loading strategy results and provider provenance. If provider keys are unavailable, FactorForge will use clearly labeled fallback/demo data.
Loading strategy results and provider provenance. If provider keys are unavailable, FactorForge will use clearly labeled fallback/demo data.
Uses EMA20 plus ATR expansion, volume confirmation, and a long-term trend filter to detect controlled range expansion.
breakout thesis: treat HON as research evidence only when factor evidence, trend structure, and risk-adjusted backtest behavior align. The current model reads the setup as medium-confidence research evidence, not a live trading instruction.
The ranking model weighs annualized return, Sharpe, drawdown containment, trade sample size, data quality, and cost-aware execution. This strategy is strongest when its signal frequency is sufficient and drawdown remains inside the radar threshold.
Deterministic template memo. Set DEEPSEEK_API_KEY to enable LLM-written narrative.
Benchmark and excess are measured against a passive hold of HON over the same window. A long-only, risk-managed rule that trades infrequently is expected to trail a strong benchmark tape — the goal here is risk-adjusted behavior (Sharpe, drawdown), not beating the index.
Deterministic synthesis from the backtest, stress diagnostics, and live regime.
Promising but not yet clear of the gates; run one more research test before observation.
Behavioral tilt from the strategy rules and realized statistics.
Last ~63 sessions · strategy return split into market vs selection.
Suggested next research test. Validate with walk-forward out-of-sample slices before observation.
close above EMA20 + 1.5 ATR with volume and SMA200 trend filter; observed after completed bar
ATR Channel Expansion on HON produced a adjusted real-data backtest annualized return of +0.2%, Sharpe 0.11, and max drawdown -3.9%.
The strategy currently behaves more like an observation rule with limited return elasticity, useful as a pre-radar baseline.
Risk-adjusted return is weak
Keep it on the radar and expand the evidence set across more symbols and market regimes.
Suitability for paper observation during selloff conditions: suitable.
Stress status tightens automatically when the broad regime is risk-off. Drawdown metrics are deterministic from the backtest equity curve; historical backtests do not represent future returns. Research only — not investment advice.
Calendar split at 2025-08-15 (70% in-sample). Backtest is unchanged — the engine simply re-derives metrics for each window from the same equity curve. Numbers are not refit; this is an honesty check.
Strategy daily return regressed on [Market, Momentum, Low-vol]. Alpha is what's left after these known factors are accounted for — the part the simple factors cannot explain.
A high R² with small alpha means the factors explain most of the return — be skeptical of “edge”. Significant alpha (|t| ≥ 2) with low R² is more interesting evidence that something beyond Market/Momentum/Low-vol is driving the strategy.
Constructive tape: 21/28 names hold their 200-day trend with contained volatility (30% annualized). Risk signals are quiet, but drawdown discipline still applies. Composite stress score is 7/100 (risk-on). Breadth is broad and momentum is leading; short-horizon volatility is running 6% above its 60-day baseline. Conditions support continuation research, but keep stops and position sizing documented in case the regime turns.
Breadth is broad (21/28 above SMA200), momentum is leading at 2.7% avg 20-day, and volatility is elevated (30% annualized). Factor signals are not flashing broad stress, but drawdown discipline still governs observation admission.
3 of 5 screened strategies read as resilient and 0 as under stress. Strategies with positive historical returns but high downside sensitivity should be moved from "candidate" to "watch" until volatility normalizes.
Stress-adjusted scoring repriced 0 of 5 strategies versus their base score, penalizing high drawdown and downside volatility while rewarding benchmark-relative resilience and smoother equity. 2 strategies still clear the radar-candidate gate.
1 simulated observation remain live. Observation continues under stress so the desk can study how admitted rules behave through the drawdown — no orders are routed.
Generated from deterministic engine metrics (regime, breadth, volatility, drawdown, radar scoring). No order instructions. Historical backtests do not represent future returns. Research only — not investment advice.
Entry signals are generated from completed bars and filled at the next bar open. Stop and trailing-stop exits are evaluated on marked daily closes.
| Entry | Exit | Hold | Return | P/L | Fees | Reason |
|---|---|---|---|---|---|---|
| 2024-05-14 | 2024-07-19 | 45d | +6.7% | $1,325 | $2 | holding period |
| 2024-10-10 | 2024-12-13 | 45d | +7.2% | $1,459 | $2 | holding period |
| 2024-12-17 | 2025-01-10 | 15d | -8.5% | -$1,742 | $2 | stop loss |
| 2025-04-30 | 2025-05-01 | 1d | -0.5% | -$91 | $2 | close above EMA20 + 1.5 ATR with volume and SMA200 trend filter |
| 2025-05-06 | 2025-05-07 | 1d | +0.4% | $88 | $2 | close above EMA20 + 1.5 ATR with volume and SMA200 trend filter |
| 2025-05-30 | 2025-08-04 | 44d | -3.8% | -$763 | $2 | close above EMA20 + 1.5 ATR with volume and SMA200 trend filter |
| 2025-10-24 | 2025-10-29 | 3d | -3.5% | -$704 | $2 | close above EMA20 + 1.5 ATR with volume and SMA200 trend filter |
| 2026-01-06 | 2026-01-08 | 2d | -0.8% | -$166 | $2 | close above EMA20 + 1.5 ATR with volume and SMA200 trend filter |
| 2026-01-09 | 2026-03-17 | 45d | +15.0% | $2,961 | $2 | holding period |
| 2026-05-26 | 2026-06-05 | 8d | -8.3% | -$1,689 | $2 | stop loss |