Допущения: локейты ✓ всегда · 09:30 fill ✓ идеален · stop ✓ market · MOO routing OK · BUT остальные структурные factors остаются
Cumulative: 0.80 × 0.65 × 0.85 × 0.70 × 0.55 × 0.85 × 0.85 = ~0.124 (×0.50 trade count is on top)
| Step | Adjustment | Running $ |
|---|---|---|
| April raw replay | $5,206 | $5,206 / 18d |
| × max_concurrent=2 (8→2 in clusters) | −46% trades | $2,811 |
| − IBKR fees (~$80 round-trip × 14) | −$1,120 | $1,691 |
| − Stop-market spread cost (8 SLs × $75) | −$600 | $1,091 |
| April NET | за 18 дней | $1,091 |
| Annualize × (252/18) | ×14 | $15,274/yr |
| Step | Factor | $/yr |
|---|---|---|
| April annualized | — | $15,274 |
| × 0.80 survivorship bias | −20% | $12,219 |
| × 0.85 Sh cap discount | −15% | $10,386 |
| × 0.85 multiple comparisons | −15% | $8,828 |
| HONEST mid | — | $8,800-12K |
April was high-vol month (8 signals on Apr 8 alone). Average month likely 60-80% of April level. Annualization conservative.
April-like vol regime continues. Только fees + spread + concurrent applied.
+ edge degradation forward (survivorship + Sh cap + multi-comp).
+ regime mid-revert (vol slows in 2H 2026).
Vol regime fully reverts + correlation hits 1-2 squeeze tails.
| Phase | Equity | Position | Original $/yr | HONEST $/yr | ROE | Status |
|---|---|---|---|---|---|---|
| P1 | $10K | $15K | $96K | $10-12K | 100-120% | Realistic |
| P2 | $20K | $30K | $183K | $22-26K | 110-130% | Realistic |
| P3 | $40K | $60K | $325K | $45-55K | 112-138% | Realistic |
| P4 | $80K | $120K | $500K | $70-90K | 88-113% | Liquidity hits |
| P5 | $200K | $250K | $641K | $110-140K | 55-70% | Sub-$1 ticker fees + spread heavier |
| P6 plateau | $400K | $500K | $799K | $140-180K | 35-45% | Capacity wall |
Honest ramp: Year 1 reaches Phase 3 ($40K equity) with ~$30-50K cumulative profit. Phase 6 plateau не $800K/yr но **~$160K/yr** (×5 less than original projection). Total 3 года cumulative: ~$300-400K (vs original $1.4M).
1-2 раза/год -25% day на SHORT pumps. Phase 5+ может стереть 25-30% equity. Не учтено в forecast — может убить $40-60K/yr на Phase 5.
Vol regime cyclical. Если AI mania выдыхается, edge падает 30-50%. 2026 YTD AAOI Sh уже -0.15.
no-news + pm_dvol_z≥3 — это NEW в v2. Backtest v3 их НЕ применял. Может улучшить +5-15% или ухудшить.
Без него все числа = proxy/extrapolation. Real intraday backtest на minute данных закрепит реальный Sh и trade count.
2 недели paper на текущей yaml config → measure real WR/PnL/fee impact. Если соответствует $200-400/day = green light.
Без paper validation легко потерять $3-5K на startup mistakes (routing config, IBKR setup, stop placement issues).
monday_gap_down_bounce + AAOI v6 — diversification. Combined может удвоить Year 1 vs single strategy.