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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 JNJ as research evidence only when factor evidence, trend structure, and risk-adjusted backtest behavior align. The current model reads the setup as high-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 JNJ 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. Extend the backtest window or universe to grow the trade sample before any observation admission.
close above EMA20 + 1.5 ATR with volume and SMA200 trend filter; signal date 2026-06-09; executed next open
ATR Channel Expansion on JNJ produced a adjusted real-data backtest annualized return of +2.9%, Sharpe 1.24, and max drawdown -2.6%.
The return and drawdown profile is relatively balanced, suggesting the rule captures trend windows while retaining some defensive behavior in weaker tape.
No major risk flag is currently triggered, but continued validation is still required.
For research review, include this rule in simulated paper observation and check whether future signals preserve the same risk-return profile.
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 |
|---|---|---|---|---|---|---|
| 2024-07-18 | 2024-09-20 | 45d | +6.3% | $1,246 | $2 | holding period |
| 2025-01-28 | 2025-01-29 | 1d | -1.5% | -$308 | $2 | close above EMA20 + 1.5 ATR with volume and SMA200 trend filter |
| 2025-02-14 | 2025-04-02 | 32d | -1.4% | -$283 | $2 | close above EMA20 + 1.5 ATR with volume and SMA200 trend filter |
| 2025-07-17 | 2025-09-19 | 45d | +7.7% | $1,550 | $2 | holding period |
| 2025-09-30 | 2025-12-03 | 45d | +13.9% | $2,834 | $2 | holding period |
| 2025-12-11 | 2026-02-18 | 45d | +16.9% | $3,540 | $2 | holding period |
| 2026-02-18 | 2026-04-23 | 45d | -6.2% | -$1,339 | $2 | holding period |