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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 META 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 META 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.
near 60d high + volatility contraction + healthy volume breakout; observed after completed bar
Quality Momentum Breakout on META produced a adjusted real-data backtest annualized return of -0.1%, Sharpe -0.03, and max drawdown -3.2%.
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 |
|---|---|---|---|---|---|---|
| 2024-07-08 | 2024-07-12 | 4d | -8.1% | -$1,619 | $2 | stop loss |
| 2024-09-20 | 2024-11-22 | 45d | +0.5% | $102 | $2 | holding period |
| 2025-02-14 | 2025-02-24 | 5d | -8.1% | -$1,579 | $2 | stop loss |
| 2025-06-03 | 2025-08-07 | 45d | +15.2% | $2,840 | $2 | holding period |