ψ Psi Quant Research

Backtest · 复盘

Universe Backtest

Every 1-XH buy signal across the scanned universe, simulated: enter the bar after the signal, manage adds / adaptive sells / −25% hard stop, record the realised return. This is the aggregate "if you took every signal" view.

As of 2026-11-04 · uniform 92-day window (2026-08-04 → 2026-11-04) · 277 closed trades across 189/244 symbols · exits 2026-08-05 → 2026-11-04.

Per-symbol archives span very different lengths (30-min data is capped at 60 days by the source; hourly reaches further back), so all statistics are restricted to the trailing window above to stay comparable — 507 older trades excluded. Prices are split-adjusted; trades beyond ±100% are quarantined as data artifacts (1 currently, listed below). Since 2026-08-10 the scan universe excludes leveraged / inverse / volatility ETPs (structural decay breaks the rebound thesis; they ran a 22% win rate here) — the live track record keeps their past published trades unchanged.

📊 Aggregate clean closed trades in window

Closed trades
277
Win rate
27%
Avg / trade
-2.2%
Median / trade
-1.7%
Book NAV (cashflow proxy)
+1.0%
best / worst trade
+31.4% / -29.5%
open positions
110

⚔️ Managed tracks · same entries, three managements 203 trades closed on every track

Management Win rate Avg / trade Median Edge vs native NAV proxy
Native adds · adaptive sells · −25% stop, intraday 28% -2.0% -1.6% — -20.2%
Overlay (A) -25% stop / +15% target / 20d, daily closes 46% -0.1% -1.1% +1.88pp +7.1%
V3 confirm (B+C) single leg · buy signal extends hold (≤60d) · same stop/target 51% +0.7% +0.6% +2.71pp +8.4%

All tracks start from the same entry events (same first-leg entry price). Overlay (A) exits: 38 target · 11 stop · 154 horizon. V3 confirm (B+C) exits: 48 target · 19 stop · 136 horizon. V3 = actions B+C from the management-rules audit: a later native buy signal confirms the position — it resets the 20-session clock (total hold ≤ 60) instead of adding capital. Pre-registered comparisons — whichever edge persists as the sample grows becomes the default management.

⚖️ vs S&P 500 & Nasdaq-100 same window · same trade dates

Period return Avg over trade windows Our excess / trade Trades beating it
This backtest (equal-weight, cashflow-anchored proxy) +1.0% -2.2% — —
S&P 500 (SPY) +1.2% -0.2% -2.0% 28% of 272
Nasdaq-100 (QQQ) -1.2% -0.3% -1.9% 30% of 272

"Avg over trade windows" holds the benchmark over exactly the same entry→exit dates as each closed trade — the fair like-for-like comparison. "Excess / trade" = our trade return minus the benchmark over its own window.

📈 Book NAV proxy vs benchmarks 2026-08-03 → 2026-11-04, all normalised to 1.00

1.09× 0.97× Native Overlay V3 SPY QQQ

Equal weight across every simulated position live that day. Entry and terminal marks are anchored to recorded strategy cashflows; intervening days use underlying closes as a proxy because per-leg add/reduce cashflows are unavailable. This is not a true daily MTM reconstruction, but unlike sequential trade compounding its terminal values reconcile to the strategy ledger.

🏆 Top performers by compounded return per symbol, in window

SymbolVariant TradesWin Total
HTZ gogo_v2 1 100% +31.4%
DXYZ gogo_v2 1 100% +21.8%
TRI gogo_v2 2 50% +16.8%
AMD reborn_v3 1 100% +14.1%
AMD gogo_v2 1 100% +12.6%
NKE gogo_v2 2 100% +10.1%
OXY reborn_v3 2 100% +8.6%
V gogo_v2 1 100% +8.5%
CTSH reborn_v3 1 100% +7.3%
MPWR gogo_v2 1 100% +6.5%
HOOD reborn_v3 3 33% +6.3%
PEP gogo_v2 1 100% +5.7%
KLAC gogo_v2 1 100% +4.6%
AXON gogo_v2 1 100% +4.4%
CLSK gogo_v2 1 100% +4.3%

📉 Worst performers

SymbolVariant TradesWin Total
OPEN gogo_v2 3 33% -42.6%
LAES gogo_v2 1 0% -29.5%
BYND gogo_v2 2 0% -28.9%
UAVS gogo_v2 1 0% -26.2%
USAR gogo_v2 1 0% -25.9%
BBAI gogo_v2 1 0% -25.7%
TLRY gogo_v2 1 0% -24.9%
JOBY gogo_v2 2 50% -23.9%
CRCL reborn_v3 3 0% -23.8%
QS gogo_v2 1 0% -19.8%
ALAB reborn_v3 3 0% -19.5%
MELI reborn_v3 2 0% -17.0%
DUOL reborn_v3 4 25% -14.5%
MRVL reborn_v3 2 50% -12.6%
TRI reborn_v3 3 0% -12.0%

🧪 Quarantined |return| > 100% — treated as data artifacts until verified; excluded from every statistic above

MRNA reborn_v3 2026-08-07 → 2026-11-04 +255%

Equal-weight, no transaction costs or slippage. Demonstration of signal behaviour only — not investment advice. The forward-tracked version of these signals (which can't be hindsight-fit) lives on the Live Track Record page.