{
 "dataset": "ClaudeQuantAlgo raw-scanner hypothetical backtest",
 "disclaimer": "HYPOTHETICAL/SIMULATED results — no real trades. Past performance (real or simulated) does not indicate future results. Research/education only, not financial advice.",
 "window": {
  "from": "2026-01-02",
  "to": "2026-07-09"
 },
 "universe": [
  "NVDA",
  "TSLA",
  "AMD",
  "PLTR",
  "SMCI",
  "MU",
  "META",
  "ORCL",
  "MARA",
  "RIOT",
  "COIN",
  "HOOD",
  "SOFI",
  "RIVN",
  "LCID",
  "OPEN",
  "OKLO",
  "RKLB",
  "ACHR",
  "PLUG",
  "AAL",
  "DAL",
  "UAL",
  "BBIO",
  "IONS",
  "QGEN",
  "LASR",
  "AVAV",
  "OUST",
  "HIVE",
  "BBAI",
  "WEN",
  "AMC",
  "GME",
  "IONQ",
  "RGTI",
  "JOBY",
  "CELH",
  "UPST",
  "AFRM"
 ],
 "rules": "close-to-close >=|5%| on >=2x 30d avg volume -> next-open entry; TP1 +16% underlying (half), TP2 +40% (rest), stop -20%, time-stop 5 sessions; premium proxy 2.5x; stop checked before TP; stops fill at worse of open/level, TPs fill at the level never better",
 "headline": {
  "trades": 161,
  "win_rate_pct": 46.6,
  "profit_factor": 0.82,
  "expectancy_pct": -2.01,
  "net_units": -323
 },
 "by_month": {
  "2026-01": {
   "trades": 19,
   "wins": 7,
   "pnl": -4.6
  },
  "2026-02": {
   "trades": 33,
   "wins": 16,
   "pnl": -37.7
  },
  "2026-03": {
   "trades": 20,
   "wins": 6,
   "pnl": -126.1
  },
  "2026-04": {
   "trades": 21,
   "wins": 13,
   "pnl": 107.6
  },
  "2026-05": {
   "trades": 34,
   "wins": 17,
   "pnl": 73
  },
  "2026-06": {
   "trades": 23,
   "wins": 9,
   "pnl": -309.5
  },
  "2026-07": {
   "trades": 11,
   "wins": 7,
   "pnl": -26.1
  }
 },
 "variant_grid": [
  {
   "cell": "A_baseline",
   "change": "published rules (validation cell — must match backtest.js)",
   "trades": 161,
   "win_rate": 46.6,
   "profit_factor": 0.82,
   "net": -323,
   "h1": -170,
   "h2": -153
  },
  {
   "cell": "B_long_only",
   "change": "momentum longs only",
   "trades": 102,
   "win_rate": 42.2,
   "profit_factor": 0.7,
   "net": -367.4,
   "h1": -252.3,
   "h2": -115.1
  },
  {
   "cell": "C_short_only",
   "change": "momentum shorts only",
   "trades": 59,
   "win_rate": 54.2,
   "profit_factor": 1.08,
   "net": 44.4,
   "h1": 82.3,
   "h2": -37.9
  },
  {
   "cell": "D_fade_both",
   "change": "MEAN-REVERSION: trade against every signal",
   "trades": 161,
   "win_rate": 54,
   "profit_factor": 1.22,
   "net": 330.4,
   "h1": 193,
   "h2": 137.4
  },
  {
   "cell": "E_fade_pops",
   "change": "short the +5% pops only",
   "trades": 102,
   "win_rate": 58.8,
   "profit_factor": 1.41,
   "net": 361.5,
   "h1": 279.5,
   "h2": 82
  },
  {
   "cell": "F_fade_dumps",
   "change": "buy the -5% dumps only",
   "trades": 59,
   "win_rate": 45.8,
   "profit_factor": 0.95,
   "net": -31.1,
   "h1": -86.5,
   "h2": 55.4
  },
  {
   "cell": "G_pullback",
   "change": "limit at signal close, wait 2 sessions (trigger-zone style)",
   "trades": 143,
   "win_rate": 42,
   "profit_factor": 0.62,
   "net": -737.8,
   "h1": -524,
   "h2": -213.8
  },
  {
   "cell": "H_pullback_short",
   "change": "pullback entries, shorts only",
   "trades": 53,
   "win_rate": 49.1,
   "profit_factor": 0.65,
   "net": -261.8,
   "h1": -215.8,
   "h2": -46
  },
  {
   "cell": "I_chg8",
   "change": "bigger shock: |8%| signal",
   "trades": 103,
   "win_rate": 45.6,
   "profit_factor": 0.82,
   "net": -197.4,
   "h1": -111.4,
   "h2": -86
  },
  {
   "cell": "J_chg10",
   "change": "bigger shock: |10%| signal",
   "trades": 78,
   "win_rate": 41,
   "profit_factor": 0.69,
   "net": -310.9,
   "h1": -191.1,
   "h2": -119.8
  },
  {
   "cell": "K_rvol3",
   "change": "heavier volume: 3x",
   "trades": 56,
   "win_rate": 35.7,
   "profit_factor": 0.77,
   "net": -159.3,
   "h1": -326.4,
   "h2": 167.2
  },
  {
   "cell": "L_rvol5",
   "change": "heavier volume: 5x",
   "trades": 17,
   "win_rate": 41.2,
   "profit_factor": 0.8,
   "net": -31.5,
   "h1": -45.4,
   "h2": 13.9
  },
  {
   "cell": "M_sess3",
   "change": "shorter hold: 3-session time-stop",
   "trades": 161,
   "win_rate": 46,
   "profit_factor": 0.83,
   "net": -267.9,
   "h1": -369.7,
   "h2": 101.8
  },
  {
   "cell": "N_sess10",
   "change": "longer hold: 10-session time-stop",
   "trades": 161,
   "win_rate": 50.3,
   "profit_factor": 0.8,
   "net": -485.4,
   "h1": -302.2,
   "h2": -183.2
  },
  {
   "cell": "O_tight_exits",
   "change": "tight geometry: TP1 8 / TP2 20 / stop 10",
   "trades": 161,
   "win_rate": 47.2,
   "profit_factor": 0.85,
   "net": -230.6,
   "h1": -262,
   "h2": 31.4
  },
  {
   "cell": "P_asym_exits",
   "change": "asymmetric: TP1 16 / TP2 40 / stop 10",
   "trades": 161,
   "win_rate": 43.5,
   "profit_factor": 0.78,
   "net": -386.3,
   "h1": -321.4,
   "h2": -65
  },
  {
   "cell": "Q_runner",
   "change": "runner: TP2 60, 10-session hold",
   "trades": 161,
   "win_rate": 50.3,
   "profit_factor": 0.81,
   "net": -463.4,
   "h1": -302.2,
   "h2": -161.2
  },
  {
   "cell": "R_short_chg8",
   "change": "gen2: shorts only + |8%| shock",
   "trades": 33,
   "win_rate": 51.5,
   "profit_factor": 0.82,
   "net": -70.7,
   "h1": 80.2,
   "h2": -150.9
  },
  {
   "cell": "S_short_sess3",
   "change": "gen2: shorts only + 3-session hold",
   "trades": 59,
   "win_rate": 45.8,
   "profit_factor": 0.69,
   "net": -186,
   "h1": -150.3,
   "h2": -35.7
  },
  {
   "cell": "T_fadepop_rvol3",
   "change": "gen2: short the pops + 3x volume",
   "trades": 35,
   "win_rate": 74.3,
   "profit_factor": 1.53,
   "net": 155.5,
   "h1": 259.3,
   "h2": -103.8
  },
  {
   "cell": "U_pullshort_tight",
   "change": "gen2: pullback shorts + tight exits",
   "trades": 53,
   "win_rate": 43.4,
   "profit_factor": 0.71,
   "net": -171.2,
   "h1": -125.4,
   "h2": -45.8
  }
 ],
 "disclosures": [
  "HYPOTHETICAL BACKTEST — simulated results on historical data; no real trades were placed.",
  "Universe chosen with hindsight (names the desk trades today) — survivorship/selection bias is real and unquantified.",
  "No slippage, commissions, spreads, or IV effects modeled; premium proxy approximates short-dated ATM option behavior at 2.5x underlying moves.",
  "Same-day stop/TP ambiguity resolved AGAINST the strategy (stop first); stops take adverse gap fills, TPs never fill better than the level.",
  "Signals may overlap on the same ticker (a follow-through move fires again while a prior simulated trade is open); trades are equal-weighted per signal, which a fixed-capital single-position account could not replicate.",
  "Equity curve books each trade's blended P&L on its final exit date (TP1 halves realized earlier are deferred to that date), so max drawdown is an approximation of the true mark-to-market path.",
  "Past (simulated) performance does not indicate future results. Research/education only."
 ]
}