Asym Pump Engine v2 — 12 + 24 месяцев forecast (max detail)

Daily simulation 504 trading days · clean math (без slippage) · экспоненциальные фазы $150 → $10K max loss · с liquidity caps · 4 сценария + multi-strategy upside

Старт $10K 7 phase ramps 504 trading days (24m) organic_pump only base + multi-strat upside Apr 27, 2026

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Year 1 profit (clean)

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Year 2 profit (plateau)

При condition капитал доступен

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Peak phase Year 1

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ROE Year 1

From $10K → ?

Equity curve · 12 месяцев · log scale

Цветные полосы внизу = фазы. Каждая фаза удваивает max_loss / position size когда equity достигает phase threshold.

Расчётная база (откуда цифры)

Per-trade math

WR = 25.2% · win = +7% · loss = −1%
E = 0.252 × 7% + 0.748 × (−1%) = +0.96%/trade
+ time-stop ~+0% adj → mean PnL ≈ +0.968%

Position = max_loss × 100 (since SL = 1%)
$150 × 100 = $15,000 nominal

$/trade = position × 0.968%
$15,000 × 0.00968 = $145.20

$/year = trades × $/trade × liquidity_factor
660 × $145 × 1.00 = $95,832 (Phase 1)

Source backtest данные (organic_pump v3)

Period	2023-04 → 2026-04 (3y)
Total trades v3	1,625
v2 trades/yr est.	550-770 (mid 660)
WR	25.2%
Mean PnL/trade clean	+0.968%
R:R	7:1 (TP $7 / SL $1)
Profit Factor	2.30
Per-trade Sharpe	4.49
Daily Sharpe (clean)	7.58
Bootstrap CI mean	[+0.71%, +1.41%]
WF audit	10/10 windows pass

7 фаз — exponential ramp definition

Phase	Max Loss	Position $	Equity trigger	Required pm_dvol	% сигналов qualify	Effective trades/yr	$/trade avg	$/yr at phase	Daily $

Месячный P&L Year 1 (12 месяцев)

Month-by-month breakdown

М	Phase	Daily $	Trades	Месяц $	Equity end

Year 2 (M13-M24) · plateau view

Year 2 month-by-month

М	Phase	Месяц $	Equity end

Position size & max loss growth

Daily P&L by phase + Liquidity capacity

Кумулятивный profit · 4 сценария · 24 месяца

Optimistic (clean)

Без slippage, без variance, без DD halts. Идеальный compounding.

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Year 1 / Year 2

Realistic (×0.65)

Slippage 30bps, variance ±15%, DD halts ~5% дней.

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Year 1 / Year 2

Conservative (×0.40)

Slip 100bps на больших positions, регим decay, активные halts.

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Year 1 / Year 2

Adverse (×0.15)

Squeeze tail event (-25% day), regime decay, потеря 1-2 фаз.

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Year 1 / Year 2

Phase transition timeline (день/месяц/equity)

Phase	День trigger	Месяц	Equity при triggere	Max loss	Position	Daily P&L	Trades/yr	% qualify

Детальная статистика Year 1

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Сделок Y1

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Avg P&L/день

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Лучший месяц

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Средний месяц

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Фаза в M12

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Дней без trades

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Avg daily Year 1

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Avg daily Year 2

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Best day P&L

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Trades в peak phase

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Cumulative Y3 (plateau)

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Days до 1st mil

Sensitivity analysis · WR × Mean PnL

Если backtest numbers сместятся ±20%, как изменится Year 1 profit при текущих фазах? (clean math, no slip)

WR \ Mean PnL	+0.50% (−48%)	+0.70% (−28%)	+0.97% baseline	+1.20% (+24%)	+1.40% (+45%)

Multi-strategy upside · с monday_bounce + AAOI

Combined portfolio (3 plugins parallel)

Strategy	Side	Daily $/$1K size	Daily $/$15K (Phase 1)	Annual $/Phase 1	Source
organic_pump (LIVE)	SHORT	$25	$380	$95,832	v3 backtest, Sh 7.58 clean
monday_gap_down_bounce	LONG	$8	$120	$30,240	4y validate Sh 2.25 proxy
aaoi_v6 (regime-gated)	SHORT	$5	$75	$18,900	4y validate Sh 1.49, gated
COMBINED Phase 1	DIVERSIFIED	$38	$575	$144,972	+51% vs base
COMBINED Phase 6 plateau	DIVERSIFIED	—	—	$1.2M/yr	scaled with capacity

Combined = LONG + 2 SHORT diversification. Уменьшает single-strategy concentration risk. monday_bounce помогает в bear regime когда organic_pump weakens.

Риск-сценарии

Squeeze tail event

SHORT-only basket подвержен AI-mania pumps. 1-2 раза в год -25%+ день. Phase 5 ($250K position): убыток до $62K = 25-30% equity wipe → откат на 1-2 фазы. Year 1 cumulative ↓ 20-30%.

Regime decay

Pump fade паттерны cyclic. 2026 YTD AAOI Sh −0.15. Если organic_pump decay'ит — daily Sh падает 6.5 → 2-3, P&L cuts in half. Backstop: monday_bounce LONG diversifies.

DD halts

Daily DD ≤−5% engine halt. Phase 4+: один плохой день блокирует следующий. Year 1: 5-10% потерянных торговых дней → 5-10% cumulative cut.

Liquidity wall раньше

Если pump universe сжимается → Phase 6 capacity wall на $200K вместо $400K. Plateau ниже на 30-40%.

Margin call risk

Phase 5+ требует Portfolio Margin ($110K min equity). До PM upgrade Reg-T 4:1 ограничивает. Может задержать P5 на 1-2 месяца.

Single-strategy concentration

Базовая projection — только organic_pump. Diversify через monday_bounce + AAOI (4-8 hr build) снижает риск 30-40%.

Drawdown analysis

Worst-case daily DD (по фазам)

Phase	3 SL подряд	% от equity	Действие
P1	$450	4.5%	В рамках −5% DD halt
P2	$900	4.5%	В рамках
P3	$1,800	4.5%	В рамках
P4	$3,600	4.5%	В рамках
P5	$7,500	3.75%	В рамках
P6	$15,000	3.75%	В рамках

3 SL подряд = max_loss × 3 (max_concurrent=3). Не превышает −5% DD halt threshold.

Squeeze tail risk (−25% adverse day)

Phase	Position	Loss на squeeze	% equity hit
P1	$15K	$3,750	37.5%
P2	$30K	$7,500	37.5%
P3	$60K	$15,000	37.5%
P4	$120K	$30,000	37.5%
P5	$250K	$62,500	31.2%
P6	$500K	$125,000	31.2%

Squeeze = price gaps through SL. Stop фактический ≈ −25% (vs target −1%). Hits 1-2 раза/год. Каждое event = откат 1-2 фазы.

Capital ramp deployment plan

Этап	Equity	Max loss	Position	Что происходит	Halt threshold
Paper (2 weeks)	—	—	—	Shadow trade alongside M14, daily reconcile vs backtest	−
Phase 1 ($1K BP)	$10K	$10	$1K	Tiny size, validate routing+slippage. 1 неделя.	−$300 (3% of $10K)
Phase 1 ($5K BP)	$10K	$50	$5K	Half size, monitor weekly Sharpe. 2 недели.	−$500 (5%)
Phase 1 full ($10K)	$10K	$150	$15K	FULL size — start exponential ramp.	−$500 (5%)
Phase 2-3	$20-40K	$300-600	$30-60K	Auto-trigger при equity threshold. ~M2-M3.	−5% daily
Phase 4-5	$80-200K	$1.2-2.5K	$120-250K	BP requires $20-40K cash. M3-M5.	−5% daily
Phase 5+ ⚠	$200K+	$2.5K+	$250K+	Portfolio Margin upgrade требуется (IBKR $110K min)	−5% daily
Phase 6 plateau	$400-800K	$5-10K	$500K-$1M	Capacity wall. M5-M9.	−5% daily

Допущения модели (полный список)

Mean PnL/trade: +0.968% (clean from v3 backtest, bootstrap CI [+0.71, +1.41])
Trades/yr base: 660 (после v2 фильтров: no-news + pm_dvol_z≥3, оценка 30-50% reduction от raw 1095)
Trading days/yr: 252 (без отпусков/праздников)
Slippage: 0 bps (clean — по запросу пользователя)
Compounding: equity растёт каждый день, position size фиксирован per phase
Phase trigger: equity достигает phase threshold (растёт ×2 каждые 2 фазы)
Liquidity cap: position ≤ 5% pm_dvol → required pm_dvol = position × 20
Trade count factor: P1 100%, P2 95%, P3 85%, P4 65%, P5 40%, P6 25%, P7 10%
Variance: игнорируется в clean — реалистичные scaled by 0.65 / 0.40 / 0.15
DD halts: игнорируются в clean (−5% daily / −8% weekly триггеры)
Squeeze events: игнорируются в clean (1-2 раз/yr, −25% day на SHORT)
Year 2: assume Phase 6 plateau (capacity-capped, не растёт)
Multi-strategy upside (+51%): assume monday_bounce + AAOI deploy successfully после organic_pump