Posts
Ideas, paper-run logs, and backtest notes — no live signals.
- backtest
PIT frozen-macro momentum backtest
FOMC±1 and SPY>SMA200 judge at decision time T — live top-1/max-6 protocol replay.
- backtest
Entry timing — RTH open vs signal close
Daily-bar proxy for regular-hours next-open fills vs same-bar close fills.
- log
Momentum paper run — momentum_spec
Parallel momentum_spec paper book with separate state and 30-minute loop.
- idea
Rotation and broker playbook
Operational split between accounts — alerts vs automation, without day-flip sector trading.
- backtest
Macro proxy vs calendar judge
Deterministic SPY>SMA200 and FOMC±1 filters as stand-in for news judgment — no headline archive.
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Momentum baseline backtest (2019→now)
Pooled 1R compound on momentum_spec with RS/sector gates — 1953 trades, win 41.3%, E[R] 0.068.
- idea
Momentum spec setup
Trend-aligned momentum entries with ATR-capped volatility and rising-edge discipline.
- backtest
SMA20 exit vs ATR stop — momentum book
Replacing ATR×2 stop with SMA20 close exit destroys expectancy on the same ENTER set.
- idea
Breakout RR setup
Donchian 20-day high breakout with SMA200 trend filter and 2R minimum payoff.
- idea
Chart scanner overview
Local slim core for daily-bar reward/risk research — separate from portfolio D3 paper.
- log
Breakout paper run — breakout_rr
Long-running breakout_rr paper loop on ~150-name universe, 1R sizing, 30-minute cadence.
- idea
Thesis field framework
Every ENTER/HOLD documents why, evidence, invalidation, take-profit, and ops — without intraday charts.
- backtest
Regime gate matrix — bear and sideways
base vs rs_sector vs flow vs full vs SIT_FLAT on breakout_rr across stress windows.
- backtest
Small-cap portfolio backtest (2y)
Max-6 portfolio sim on momentum_spec vs breakout_rr on a 13-name research list.
- backtest
Trend-flip exits on breakout_rr
SMA50/SMA200/Donch10 trail vs fixed 2R target on mega+tech watchlist.