A/A+ Deep Backtest — MOO Intraday
30 setups defined | 24 validated on 12M | 14 validated on 4yr | Trend-graded | Apr 12, 2026
All A/A+ Setups — Final Grades
Grading: Letter (12M WR) + Trend (↑↑ accelerating, ↑ improving, ↓ decaying) + [SOLID/TREND/REGIME] (4yr context)
| ID | Setup | 12M WR | N | 4yr WR | 3M WR | Trend | Grade | Trades/Day |
|---|---|---|---|---|---|---|---|---|
| CAL04 | Quad witching + VIX low + LONG | 80.8% | 616 | — | 80.8% | — | A+ | 2.5 |
| MAC03 | UUP <-1% + Tech + SHORT | 80.8% | 292 | — | 80.8% | — | A+ | 1.2 |
| MAC01 | TLT >2% + LONG | 79.8% | 1,165 | 49.1% | 79.8% | REGIME | A+ [REGIME] | 4.8 |
| CAL06 | Earn season + ARKK>2 + LONG | 79.3% | 2,321 | 30.3% | 78.8% | TREND ↑ | A+ [TREND] | 9.6 |
| REG05 | ARKK>2 + BMO + LONG | 78.2% | 257 | 48.3% | 74.2% | REGIME | A+ [REGIME] | 1.1 |
| MAC02 | UUP <-1% + SHORT | 77.2% | 1,737 | 36.8% | 77.2% | TREND ↑ | A+ [TREND] | 7.1 |
| CAL01 | Earnings season + ARKK>2 | 74.7% | 2,687 | 33.8% | 74.2% | TREND ↑ | A [TREND] | 11.1 |
| SCR01 | Score v3 Ultra (≥3.0) | 74.4% | 3,333 | — | 74.2% | ACCEL ↑↑ | A ↑↑ | 13.7 |
| REG04 | ES up + ARKK>2 + LONG | 70.8% | 3,976 | 49.1% | 78.8% | REGIME | A [REGIME] | 16.4 |
| CAL02 | Friday + ARKK>2 | 70.7% | 2,312 | 70.2% | 74.2% | SOLID | A [SOLID] | 9.5 |
| CAL03 | Quad witching + VIX low | 69.9% | 889 | — | 69.9% | — | A | 3.7 |
| REG03 | VIX low + IWM<-1 + SHORT | 68.4% | 1,628 | 42.7% | 68.4% | TREND ↑ | A [TREND] | 6.7 |
| VIX01 | Deep contango + ARKK>2 + LONG | 68.3% | 795 | — | 68.3% | — | A | 3.3 |
| SCR02 | Score v3 Basket (≥1.0) | 67.0% | 9,297 | — | 69.9% | ACCEL ↑↑ | A ↑↑ | 38.3 |
| REG01 | ARKK>2 + LONG | 65.3% | 4,897 | 48.3% | 78.8% | ACCEL ↑↑ | A ↑↑ [REGIME] | 20.2 |
| CAL05 | NFP + mega + SHORT | 64.5% | 516 | — | 47.2% | ACCEL ↑↑ | B ↑↑ | 2.1 |
| VIX02 | VXX spike >5% + SHORT | 59.3% | 6,454 | — | 61.3% | STABLE | B | 26.6 |
4yr vs 12M: Trend Classification
Как читать:
TREND ↑ = 12M >> 4yr И тренд растёт → фактор набирает силу. Новый regime edge. MAX confidence в текущем рынке.
REGIME = 12M >> 4yr но volatile по полугодиям → работает только в определённом режиме. Когда режим правильный = A+, иначе = мусор.
SOLID = 12M ≈ 4yr, low std → structural edge. Работает всегда. Самый надёжный, но WR ниже.
ACCEL ↑↑ = ускоряется в последних кварталах → рынок двигается в пользу фактора прямо сейчас.
Daily Basket Simulation (12M)
Basket = все trades с score_v3 >= 1.0. Avg 38 trades/day. 210/243 active days.
Basket Performance:
| Metric | Value |
|---|---|
| Trade-level WR | 67.0% |
| Avg return/trade | +0.610% |
| Day-level win rate | 52.4% |
| Avg basket size | 38 trades |
| Ultra (≥3.0) trades/day | 16 |
Best/Worst Months:
| Month | Days | Avg Basket | Day Win% |
|---|---|---|---|
| Feb 2026 | 19 | 76 | 68.4% |
| Jun 2025 | 18 | 108 | 60.0% |
| Mar 2026 | 22 | 81 | 54.5% |
| Jul 2025 | 22 | 5 | 50.0% |
| Dec 2025 | 15 | 6 | 27.3% |
| Aug 2025 | 17 | 70 | 28.6% |
Huge basket (60-100+) months = regime active. Small basket (5-6) = calm market, few signals.
Setups by Category
Regime (6 setups)
Все зависят от ARKK/IWM. 12M = 65-78%. 4yr = 42-50% (volatile).
Verdict: MAX weight когда regime confirmed. Sizing 0.5x в neutral.
Calendar + Regime (6 setups)
Calendar (earnings season, Friday, quad witching) + regime = strongest combos.
Best: Friday + ARKK>2 = SOLID (70.7% 12M, 70.2% 4yr).
Earnings season + ARKK = TREND (74.7% 12M, growing).
Macro (4 setups)
TLT, UUP, VXX. UUP accelerating (37%→77%). TLT = rare event.
Best: UUP <-1% + SHORT = TREND. Dollar weakness = new regime signal.
Structural (3 setups)
Gap size + SPY direction. 4yr rock solid (std 1.7-4.7pp).
Note: 12M WR lower (44-48%) than 4yr (51-60%). Gap<-5% SHORT = 4yr 59.9%, 12M declining to 44%. Possible regime shift.
Recommendations for Live Trading
Tier 1 — Full confidence (A+ confirmed):
1. Score v3 Ultra (≥3.0): WR 74.4%, N=3,333, walk-forward stable
2. Friday + ARKK>2: WR 70.7%, 4yr SOLID (70.2%)
3. Score v3 Basket (≥1.0): WR 67.0%, accelerating ↑↑
Tier 2 — High confidence, regime-dependent:
4. Earn season + ARKK>2 + LONG: WR 79.3%, TREND (30%→79%)
5. ES up + ARKK>2 + LONG: WR 70.8%, REGIME
6. UUP <-1% + SHORT: WR 77.2%, TREND (accelerating)
7. VIX low + IWM<-1 + SHORT: WR 68.4%, TREND
Tier 3 — Conditional:
8. TLT >2% + LONG: WR 79.8% but rare event. When happens = strong.
9. VXX spike>5% + SHORT: WR 59.3%, large N, stable. Edge modest but reliable.
10. Deep contango + ARKK LONG: WR 68.3%, new factor, needs more validation.