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Loading strategy results and provider provenance. If provider keys are unavailable, FactorForge will use clearly labeled fallback/demo data.
Identifies symbols near recent highs where volatility compression and healthy participation create a higher-quality breakout setup.
breakout thesis: treat MCD as research evidence only when factor evidence, trend structure, and risk-adjusted backtest behavior align. The current model reads the setup as low-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 MCD 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.
Downside risk or evidence quality is below the bar for simulated 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.
near 60d high + volatility contraction + healthy volume breakout; observed after completed bar
Quality Momentum Breakout on MCD produced a adjusted real-data backtest annualized return of -0.8%, Sharpe -0.63, and max drawdown -3.8%.
The strategy currently behaves more like an observation rule with limited return elasticity, useful as a pre-radar baseline.
Trade count is low; sample size is limited. Trade sample is limited; statistical confidence is low; Risk-adjusted return is weak
Add more real data and samples before using this rule in simulated paper observation.
Suitability for paper observation during selloff conditions: hold — review drawdown first.
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 |
|---|---|---|---|---|---|---|
| 2024-09-16 | 2024-11-18 | 45d | -1.6% | -$318 | $2 | holding period |
| 2025-09-05 | 2025-10-03 | 20d | -5.9% | -$1,164 | $2 | near 60d high + volatility contraction + healthy volume breakout |
| 2026-02-05 | 2026-04-08 | 42d | -5.1% | -$997 | $2 | near 60d high + volatility contraction + healthy volume breakout |