52 lines
2.0 KiB
Markdown
52 lines
2.0 KiB
Markdown
# 1-Month Hourly Backtest Analysis - 2026-02-11
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## Summary Results
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- Return: +0.61% ($611.10 on $100k) | CAGR: 7.58%
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- Sharpe: -0.15 (reported), annualized from hourly: 0.26
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- Max Drawdown: -7.52% | Sortino: negative
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- 75 trades: 33W/42L (44% win rate)
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- Avg win: $548.85 vs Avg loss: -$416.69 (1.32:1 ratio -- good)
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- Profit factor: 1.03
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## Problem #1: Whipsaw/Churning (Biggest PnL Drain)
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No cooldown mechanism exists. Phase 1 sells, Phase 2 rebuys same bar.
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- 12 identified whipsaw events: -$7,128
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- 16 same-day roundtrips: 0% win rate, -$7,966
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- 62 sell-then-rebuy events; 84% rebought within 1% of sell price
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- 55 same-day sell-rebuy events
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### Worst offenders:
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- MU: 17 round-trips, 10 losses, 7 wins. Net +$2,062 vs +14% simple hold
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- ASML: 9 trades, 6 losses. Net +$271 vs +7.9% simple hold
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- LLY: 7 trades, 5 losses. Net -$1,450 (LLY was in downtrend)
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## Problem #2: ATR Stop Too Tight (1.5x)
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23 trades exited >2% loss = $12,882 total loss. Many immediately re-entered.
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For hourly bars, 1.5x ATR is roughly 1-sigma noise. Getting stopped on noise.
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## Problem #3: Excessive Turnover
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- Total capital deployed: $1.21M in 22 trading days = 12.1x monthly turnover
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- Annualized: 145x. Slippage: $2,420 (2.4% of capital).
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- Even at 10 bps, this is destructive. Real-world slippage may be higher.
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## Problem #4: Overnight Gap Exposure
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- Two gap-downs >1%: total -$4,360
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- No overnight risk management (positions held through weekend gaps)
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## Holding Period vs Win Rate
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- 0-2h: 6 trades, 0% win rate, -$3,318
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- 2-7h: 10 trades, 0% win rate, -$4,648
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- 14-35h: 19 trades, 32% win rate, -$2,762
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- 35-70h: 11 trades, 46% win rate, -$585
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- 70h+: 29 trades, 76% win rate, +$11,923
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## Sector Concentration
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- Healthcare: 22 trades, 41% WR, -$2,985 (LLY and ISRG biggest losers)
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- Semis: 26 trades, 39% WR, +$2,333 (MU volume, but churning drag)
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- Industrials: 10 trades, 60% WR, +$984 (CAT 100% WR)
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## Position Count vs Returns
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- 5 positions: -4.89% total (worst)
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- 7-8 positions: +2.4% and +1.8% (better)
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- Being invested more fully correlated with better returns in uptrending market
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