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 2026-09-30 · uniform 92-day window (2026-06-30 → 2026-09-30) · 267 closed trades across 163/244 symbols · exits 2026-07-01 → 2026-09-30.

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 — 379 older trades excluded. Prices are split-adjusted; trades beyond ±100% are quarantined as data artifacts (2 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
267
Win rate
29%
Avg / trade
-1.3%
Median / trade
-1.6%
Book NAV (cashflow proxy)
-8.1%
best / worst trade
+31.4% / -25.6%
open positions
90

⚔️ Managed tracks · same entries, three managements 180 trades closed on every track

Management Win rate Avg / trade Median Edge vs native NAV proxy
Native adds · adaptive sells · −25% stop, intraday 34% -1.0% -1.6% — -14.0%
Overlay (A) -25% stop / +15% target / 20d, daily closes 46% +0.9% -1.2% +1.85pp +1.6%
V3 confirm (B+C) single leg · buy signal extends hold (≤60d) · same stop/target 45% +0.8% -2.0% +1.73pp +4.0%

All tracks start from the same entry events (same first-leg entry price). Overlay (A) exits: 42 target · 10 stop · 128 horizon. V3 confirm (B+C) exits: 48 target · 11 stop · 121 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) -8.1% -1.3% — —
S&P 500 (SPY) +2.9% +0.4% -1.7% 28% of 263
Nasdaq-100 (QQQ) +2.2% +0.4% -1.7% 32% of 263

"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 2026-06-29 → 2026-09-30, all normalised to 1.00

1.06× 0.90× 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%
CRCL gogo_v2 1 100% +21.1%
ABNB reborn_v3 1 100% +18.5%
SMCI gogo_v2 3 67% +17.3%
NVTS gogo_v2 1 100% +15.7%
MRVL gogo_v2 1 100% +11.7%
CRWV gogo_v2 2 50% +11.7%
LAES gogo_v2 1 100% +11.0%
MRVL reborn_v3 1 100% +10.9%
MMM reborn_v3 2 100% +8.6%
SHW reborn_v3 1 100% +7.5%
VRTX reborn_v3 1 100% +6.9%
HOOD reborn_v3 3 33% +6.3%
FAST reborn_v3 1 100% +6.2%

📉 Worst performers

SymbolVariant TradesWin Total
LAC gogo_v2 1 0% -25.2%
CLSK reborn_v3 3 0% -24.3%
OPEN gogo_v2 2 50% -23.2%
RDDT reborn_v3 1 0% -21.4%
JOBY gogo_v2 2 50% -21.0%
ALAB reborn_v3 3 0% -19.5%
MPWR reborn_v3 4 25% -14.5%
LRCX reborn_v3 4 0% -14.2%
MARA gogo_v2 1 0% -13.7%
QS gogo_v2 1 0% -13.5%
MARA reborn_v3 2 0% -11.8%
NBIS reborn_v3 3 0% -11.8%
WDC gogo_v2 1 0% -10.7%
CLSK gogo_v2 1 0% -10.4%
SNPS gogo_v2 1 0% -10.3%

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

BYND gogo_v2 2026-07-27 → 2026-09-24 +1401%
MRNA reborn_v3 2026-08-07 → 2026-09-30 +176%

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.