Recommended Portfolio
Strategies9
Capital$90,000
P&L$10,993.59
Return12.22%
Sharpe6.108
Max DD$-951.87
Main Strategies
This is the short list. I excluded very high-Sharpe names with only 1-3 trades from the main recommendation set.
| ticker | strategy | sharpe | total_pnl_usd | total_return_pct | max_drawdown_usd | trades | win_rate | exposure_pct | pnl_to_dd |
|---|---|---|---|---|---|---|---|---|---|
| FOXA | mean_reversion | 4.642 | 1175.79 | 11.76 | -185.11 | 25 | 0.800 | 10.49 | 6.351845 |
| WMB | mean_reversion | 4.153 | 817.90 | 8.18 | -292.03 | 22 | 0.909 | 10.11 | 2.800740 |
| HON | mean_reversion | 3.608 | 894.78 | 8.95 | -246.03 | 25 | 0.800 | 10.92 | 3.636874 |
| QCOM | mean_reversion | 2.838 | 939.51 | 9.40 | -315.81 | 33 | 0.636 | 16.69 | 2.974922 |
| INTC | mean_reversion | 2.794 | 4005.00 | 40.05 | -605.58 | 24 | 0.667 | 10.64 | 6.613495 |
| FTV | mean_reversion | 2.611 | 766.32 | 7.66 | -433.62 | 21 | 0.810 | 8.01 | 1.767262 |
| KMI | mean_reversion | 2.563 | 515.64 | 5.16 | -322.66 | 22 | 0.682 | 11.88 | 1.598091 |
| VLTO | mean_reversion | 2.489 | 1070.22 | 10.70 | -365.52 | 29 | 0.759 | 14.96 | 2.927938 |
| MGM | mean_reversion | 2.141 | 808.43 | 8.08 | -466.78 | 25 | 0.720 | 8.53 | 1.731929 |
Recent 1-Month Signal Audit
Signal bar uses only information available at that bar close. P&L starts on the following bar's close-to-close return, so this is not using future bars for signal generation.
| ticker | strategy | signal_time_utc | entry_time_utc | exit_time_utc | hurst156 | z78 | rsi14 | trade_pnl_usd | reason |
|---|---|---|---|---|---|---|---|---|---|
| KMI | mean_reversion | 2026-05-08 19:50:00+00:00 | 2026-05-08 19:55:00+00:00 | 2026-05-08 19:55:00+00:00 | 0.3922 | -1.589 | 29.46 | -9.96 | H=0.392<0.40, z=-1.59<-1.5, RSI=29.5<35 |
| HON | mean_reversion | 2026-05-08 19:10:00+00:00 | 2026-05-08 19:15:00+00:00 | 2026-05-08 19:55:00+00:00 | 0.3980 | -1.897 | 29.53 | 14.23 | H=0.398<0.40, z=-1.90<-1.5, RSI=29.5<35 |
| WMB | mean_reversion | 2026-05-08 19:00:00+00:00 | 2026-05-08 19:05:00+00:00 | 2026-05-08 19:55:00+00:00 | 0.3705 | -1.896 | 30.86 | -68.42 | H=0.371<0.40, z=-1.90<-1.5, RSI=30.9<35 |
| FTV | mean_reversion | 2026-05-08 18:50:00+00:00 | 2026-05-08 18:55:00+00:00 | 2026-05-08 19:55:00+00:00 | 0.3500 | -1.703 | 29.87 | -6.90 | H=0.350<0.40, z=-1.70<-1.5, RSI=29.9<35 |
| FOXA | mean_reversion | 2026-05-08 13:40:00+00:00 | 2026-05-08 13:45:00+00:00 | 2026-05-08 14:40:00+00:00 | 0.3928 | -2.282 | 34.54 | 54.16 | H=0.393<0.40, z=-2.28<-1.5, RSI=34.5<35 |
| INTC | mean_reversion | 2026-05-07 17:15:00+00:00 | 2026-05-07 17:20:00+00:00 | 2026-05-07 19:50:00+00:00 | 0.2035 | -2.100 | 34.55 | 61.25 | H=0.204<0.40, z=-2.10<-1.5, RSI=34.5<35 |
| FTV | mean_reversion | 2026-05-06 15:30:00+00:00 | 2026-05-06 15:35:00+00:00 | 2026-05-06 18:10:00+00:00 | 0.2629 | -2.734 | 26.56 | 31.13 | H=0.263<0.40, z=-2.73<-1.5, RSI=26.6<35 |
| KMI | mean_reversion | 2026-05-06 13:30:00+00:00 | 2026-05-06 13:35:00+00:00 | 2026-05-06 15:30:00+00:00 | 0.3489 | -2.545 | 16.24 | -158.91 | H=0.349<0.40, z=-2.55<-1.5, RSI=16.2<35 |
| FOXA | mean_reversion | 2026-05-05 14:40:00+00:00 | 2026-05-05 14:45:00+00:00 | 2026-05-05 16:10:00+00:00 | 0.3969 | -2.790 | 24.08 | 96.38 | H=0.397<0.40, z=-2.79<-1.5, RSI=24.1<35 |
| FOXA | mean_reversion | 2026-05-04 19:40:00+00:00 | 2026-05-04 19:45:00+00:00 | 2026-05-05 14:40:00+00:00 | 0.3382 | -1.653 | 29.98 | -167.68 | H=0.338<0.40, z=-1.65<-1.5, RSI=30.0<35 |
| INTC | mean_reversion | 2026-05-04 19:35:00+00:00 | 2026-05-04 19:40:00+00:00 | 2026-05-05 13:35:00+00:00 | 0.3690 | -1.514 | 34.60 | 717.93 | H=0.369<0.40, z=-1.51<-1.5, RSI=34.6<35 |
| HON | mean_reversion | 2026-05-04 15:35:00+00:00 | 2026-05-04 15:40:00+00:00 | 2026-05-05 14:00:00+00:00 | 0.1803 | -2.322 | 34.62 | -61.87 | H=0.180<0.40, z=-2.32<-1.5, RSI=34.6<35 |
| WMB | mean_reversion | 2026-05-04 15:00:00+00:00 | 2026-05-04 15:05:00+00:00 | 2026-05-04 17:55:00+00:00 | 0.3101 | -3.640 | 34.01 | 26.91 | H=0.310<0.40, z=-3.64<-1.5, RSI=34.0<35 |
| FOXA | mean_reversion | 2026-05-04 15:00:00+00:00 | 2026-05-04 15:05:00+00:00 | 2026-05-04 16:35:00+00:00 | 0.2576 | -2.472 | 33.47 | 22.39 | H=0.258<0.40, z=-2.47<-1.5, RSI=33.5<35 |
| FOXA | mean_reversion | 2026-05-04 13:40:00+00:00 | 2026-05-04 13:45:00+00:00 | 2026-05-04 14:25:00+00:00 | 0.2698 | -2.325 | 31.91 | 76.87 | H=0.270<0.40, z=-2.33<-1.5, RSI=31.9<35 |
| HON | mean_reversion | 2026-05-04 13:35:00+00:00 | 2026-05-04 13:40:00+00:00 | 2026-05-04 14:30:00+00:00 | 0.2480 | -2.032 | 34.93 | 31.19 | H=0.248<0.40, z=-2.03<-1.5, RSI=34.9<35 |
| KMI | mean_reversion | 2026-05-04 13:30:00+00:00 | 2026-05-04 13:35:00+00:00 | 2026-05-04 15:40:00+00:00 | 0.2733 | -4.458 | 18.70 | 83.10 | H=0.273<0.40, z=-4.46<-1.5, RSI=18.7<35 |
| WMB | mean_reversion | 2026-05-04 13:30:00+00:00 | 2026-05-04 13:35:00+00:00 | 2026-05-04 13:45:00+00:00 | 0.3664 | -2.076 | 31.35 | 64.41 | H=0.366<0.40, z=-2.08<-1.5, RSI=31.3<35 |
| VLTO | mean_reversion | 2026-05-01 18:45:00+00:00 | 2026-05-01 18:50:00+00:00 | 2026-05-04 14:10:00+00:00 | 0.2237 | -1.508 | 31.47 | 20.33 | H=0.224<0.40, z=-1.51<-1.5, RSI=31.5<35 |
| FTV | mean_reversion | 2026-05-01 17:45:00+00:00 | 2026-05-01 17:50:00+00:00 | 2026-05-01 18:30:00+00:00 | 0.3525 | -1.640 | 33.50 | 65.14 | H=0.353<0.40, z=-1.64<-1.5, RSI=33.5<35 |
| FOXA | mean_reversion | 2026-05-01 17:35:00+00:00 | 2026-05-01 17:40:00+00:00 | 2026-05-01 19:15:00+00:00 | 0.2207 | -2.022 | 32.93 | 18.27 | H=0.221<0.40, z=-2.02<-1.5, RSI=32.9<35 |
| MGM | mean_reversion | 2026-05-01 15:10:00+00:00 | 2026-05-01 15:15:00+00:00 | 2026-05-01 17:05:00+00:00 | 0.3688 | -2.250 | 29.99 | 1.71 | H=0.369<0.40, z=-2.25<-1.5, RSI=30.0<35 |
| MGM | mean_reversion | 2026-05-01 13:35:00+00:00 | 2026-05-01 13:40:00+00:00 | 2026-05-01 15:10:00+00:00 | 0.2261 | -2.283 | 33.24 | -156.54 | H=0.226<0.40, z=-2.28<-1.5, RSI=33.2<35 |
| VLTO | mean_reversion | 2026-04-30 19:45:00+00:00 | 2026-04-30 19:50:00+00:00 | 2026-05-01 16:45:00+00:00 | 0.1363 | -2.179 | 31.28 | 30.69 | H=0.136<0.40, z=-2.18<-1.5, RSI=31.3<35 |
| FTV | mean_reversion | 2026-04-30 17:10:00+00:00 | 2026-04-30 17:15:00+00:00 | 2026-04-30 18:45:00+00:00 | 0.3381 | -1.549 | 33.05 | 151.22 | H=0.338<0.40, z=-1.55<-1.5, RSI=33.1<35 |
| FTV | mean_reversion | 2026-04-30 13:35:00+00:00 | 2026-04-30 13:40:00+00:00 | 2026-04-30 16:10:00+00:00 | 0.1050 | -7.216 | 8.82 | 356.29 | H=0.105<0.40, z=-7.22<-1.5, RSI=8.8<35 |
| FOXA | mean_reversion | 2026-04-29 19:55:00+00:00 | 2026-04-30 13:30:00+00:00 | 2026-04-30 13:35:00+00:00 | 0.1907 | -2.333 | 33.81 | 57.95 | H=0.191<0.40, z=-2.33<-1.5, RSI=33.8<35 |
| FTV | mean_reversion | 2026-04-29 19:30:00+00:00 | 2026-04-29 19:35:00+00:00 | 2026-04-30 13:35:00+00:00 | 0.2538 | -2.081 | 32.59 | -282.31 | H=0.254<0.40, z=-2.08<-1.5, RSI=32.6<35 |
| HON | mean_reversion | 2026-04-29 13:45:00+00:00 | 2026-04-29 13:50:00+00:00 | 2026-04-29 16:25:00+00:00 | 0.2303 | -2.407 | 20.04 | -19.31 | H=0.230<0.40, z=-2.41<-1.5, RSI=20.0<35 |
| MGM | mean_reversion | 2026-04-28 19:10:00+00:00 | 2026-04-28 19:15:00+00:00 | 2026-04-29 13:35:00+00:00 | 0.3793 | -1.533 | 25.63 | -211.65 | H=0.379<0.40, z=-1.53<-1.5, RSI=25.6<35 |
| VLTO | mean_reversion | 2026-04-28 18:30:00+00:00 | 2026-04-28 18:35:00+00:00 | 2026-04-29 13:35:00+00:00 | 0.3671 | -2.134 | 29.92 | 675.34 | H=0.367<0.40, z=-2.13<-1.5, RSI=29.9<35 |
| QCOM | mean_reversion | 2026-04-28 13:30:00+00:00 | 2026-04-28 13:35:00+00:00 | 2026-04-28 16:25:00+00:00 | 0.3005 | -2.255 | 25.65 | 153.95 | H=0.300<0.40, z=-2.25<-1.5, RSI=25.7<35 |
| WMB | mean_reversion | 2026-04-27 16:00:00+00:00 | 2026-04-27 16:05:00+00:00 | 2026-04-27 18:05:00+00:00 | 0.3889 | -1.588 | 26.13 | 57.08 | H=0.389<0.40, z=-1.59<-1.5, RSI=26.1<35 |
| VLTO | mean_reversion | 2026-04-27 15:35:00+00:00 | 2026-04-27 15:40:00+00:00 | 2026-04-27 17:40:00+00:00 | 0.3133 | -2.527 | 32.41 | -164.26 | H=0.313<0.40, z=-2.53<-1.5, RSI=32.4<35 |
| FTV | mean_reversion | 2026-04-24 19:30:00+00:00 | 2026-04-24 19:35:00+00:00 | 2026-04-27 13:30:00+00:00 | 0.2930 | -1.795 | 27.93 | 41.98 | H=0.293<0.40, z=-1.80<-1.5, RSI=27.9<35 |
| FOXA | mean_reversion | 2026-04-24 19:30:00+00:00 | 2026-04-24 19:35:00+00:00 | 2026-04-27 14:05:00+00:00 | 0.3945 | -1.655 | 34.37 | 66.24 | H=0.394<0.40, z=-1.65<-1.5, RSI=34.4<35 |
| MGM | mean_reversion | 2026-04-24 13:30:00+00:00 | 2026-04-24 13:35:00+00:00 | 2026-04-24 14:20:00+00:00 | 0.2226 | -4.247 | 25.62 | 186.35 | H=0.223<0.40, z=-4.25<-1.5, RSI=25.6<35 |
| HON | mean_reversion | 2026-04-24 13:30:00+00:00 | 2026-04-24 13:35:00+00:00 | 2026-04-24 15:30:00+00:00 | 0.2466 | -2.329 | 33.60 | 0.61 | H=0.247<0.40, z=-2.33<-1.5, RSI=33.6<35 |
| INTC | mean_reversion | 2026-04-23 19:35:00+00:00 | 2026-04-23 19:40:00+00:00 | 2026-04-24 13:35:00+00:00 | 0.2911 | -1.750 | 23.77 | 2791.31 | H=0.291<0.40, z=-1.75<-1.5, RSI=23.8<35 |
| QCOM | mean_reversion | 2026-04-23 17:45:00+00:00 | 2026-04-23 17:50:00+00:00 | 2026-04-23 19:55:00+00:00 | 0.3598 | -2.571 | 23.22 | 100.76 | H=0.360<0.40, z=-2.57<-1.5, RSI=23.2<35 |