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 2026-09-04 · uniform 92-day window (2026-06-04 → 2026-09-04) · 291 closed trades across 169/244 symbols · exits 2026-06-08 → 2026-09-04.

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 — 252 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
291
Win rate
30%
Avg / trade
-1.8%
Median / trade
-1.8%
Book NAV (cashflow proxy)
-3.4%
best / worst trade
+45.1% / -27.8%
open positions
72

⚔️ Managed tracks · same entries, three managements 225 trades closed on every track

Management Win rate Avg / trade Median Edge vs native NAV proxy
Native adds · adaptive sells · −25% stop, intraday 33% -1.5% -1.7% — -11.6%
Overlay (A) -25% stop / +15% target / 20d, daily closes 48% -0.6% -0.2% +0.87pp -2.6%
V3 confirm (B+C) single leg · buy signal extends hold (≤60d) · same stop/target 51% -0.3% +0.3% +1.21pp -3.3%

All tracks start from the same entry events (same first-leg entry price). Overlay (A) exits: 46 target · 24 stop · 155 horizon. V3 confirm (B+C) exits: 56 target · 29 stop · 140 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) -3.4% -1.8% — —
S&P 500 (SPY) +2.4% +0.8% -2.6% 26% of 286
Nasdaq-100 (QQQ) -3.3% -0.2% -1.6% 36% of 286

"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 2026-06-03 → 2026-09-04, all normalised to 1.00

1.03× 0.89× 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
U reborn_v3 2 50% +37.5%
MRNA reborn_v3 1 100% +32.4%
TRV reborn_v3 1 100% +22.1%
DXYZ gogo_v2 1 100% +21.8%
BMY gogo_v2 1 100% +19.2%
NVTS gogo_v2 1 100% +15.7%
USB reborn_v3 1 100% +14.3%
MRVL gogo_v2 1 100% +11.7%
INSM gogo_v2 2 100% +11.3%
FIG gogo_v2 1 100% +10.9%
MRVL reborn_v3 1 100% +10.9%
UNP reborn_v3 1 100% +9.7%
GD reborn_v3 1 100% +8.4%
PDD gogo_v2 1 100% +7.8%
MMM reborn_v3 1 100% +7.8%

📉 Worst performers

SymbolVariant TradesWin Total
HTZ gogo_v2 4 25% -47.2%
OKLO gogo_v2 2 0% -27.2%
QUBT gogo_v2 1 0% -25.9%
LAC gogo_v2 1 0% -25.2%
SERV gogo_v2 2 50% -24.8%
CLSK reborn_v3 3 0% -24.3%
JOBY gogo_v2 2 50% -21.0%
RDDT reborn_v3 2 50% -20.1%
RGTI reborn_v3 2 0% -19.6%
IBM reborn_v3 1 0% -18.4%
QUBT reborn_v3 2 0% -17.4%
MPWR gogo_v2 3 0% -17.0%
LI gogo_v2 1 0% -16.6%
SNDK reborn_v3 1 0% -15.9%
MPWR reborn_v3 4 25% -14.5%

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

BYND gogo_v2 2026-07-27 → 2026-09-04 +1665%
MRNA reborn_v3 2026-08-07 → 2026-09-04 +120%

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.