# 1-Month Hourly Backtest Analysis - 2026-02-11

## Summary Results
- Return: +0.61% ($611.10 on $100k) | CAGR: 7.58%
- Sharpe: -0.15 (reported), annualized from hourly: 0.26
- Max Drawdown: -7.52% | Sortino: negative
- 75 trades: 33W/42L (44% win rate)
- Avg win: $548.85 vs Avg loss: -$416.69 (1.32:1 ratio -- good)
- Profit factor: 1.03

## Problem #1: Whipsaw/Churning (Biggest PnL Drain)
No cooldown mechanism exists. Phase 1 sells, Phase 2 rebuys same bar.
- 12 identified whipsaw events: -$7,128
- 16 same-day roundtrips: 0% win rate, -$7,966
- 62 sell-then-rebuy events; 84% rebought within 1% of sell price
- 55 same-day sell-rebuy events

### Worst offenders:
- MU: 17 round-trips, 10 losses, 7 wins. Net +$2,062 vs +14% simple hold
- ASML: 9 trades, 6 losses. Net +$271 vs +7.9% simple hold
- LLY: 7 trades, 5 losses. Net -$1,450 (LLY was in downtrend)

## Problem #2: ATR Stop Too Tight (1.5x)
23 trades exited >2% loss = $12,882 total loss. Many immediately re-entered.
For hourly bars, 1.5x ATR is roughly 1-sigma noise. Getting stopped on noise.

## Problem #3: Excessive Turnover
- Total capital deployed: $1.21M in 22 trading days = 12.1x monthly turnover
- Annualized: 145x. Slippage: $2,420 (2.4% of capital).
- Even at 10 bps, this is destructive. Real-world slippage may be higher.

## Problem #4: Overnight Gap Exposure
- Two gap-downs >1%: total -$4,360
- No overnight risk management (positions held through weekend gaps)

## Holding Period vs Win Rate
- 0-2h: 6 trades, 0% win rate, -$3,318
- 2-7h: 10 trades, 0% win rate, -$4,648
- 14-35h: 19 trades, 32% win rate, -$2,762
- 35-70h: 11 trades, 46% win rate, -$585
- 70h+: 29 trades, 76% win rate, +$11,923

## Sector Concentration
- Healthcare: 22 trades, 41% WR, -$2,985 (LLY and ISRG biggest losers)
- Semis: 26 trades, 39% WR, +$2,333 (MU volume, but churning drag)
- Industrials: 10 trades, 60% WR, +$984 (CAT 100% WR)

## Position Count vs Returns
- 5 positions: -4.89% total (worst)
- 7-8 positions: +2.4% and +1.8% (better)
- Being invested more fully correlated with better returns in uptrending market