MOC (аукцион 16:00) → выход 19:00 ET · фильтр TickerDays

Хедж QQQ 1:1 · выход лимиткой по миду 19:00 (окно 60 мин, маркет-fallback) · медианный спред 0.155% · основная выборка 2021-04-23 → 2026-04-08 · чистый OOS 2026-04-13 → 2026-08-03 · собрано 2026-08-04 15:50 ET

Главное: фильтр TickerDays в исходном виде не торгуется — на лимитном выходе −0.059% на сделку (маркетом в бид −0.140%). Работает только перепроданный срез: цена ниже MA20 на 10%+ и закрытие в нижней четверти дневного бара → +0.467% лимиткой, fill 94%.

Лестница исполнения

Конфигурация	N	WR	Last-print	Лимитка	В бид	Fill	Медиана	OOS N	OOS WR	OOS лимитка
Весь фильтр TickerDays	10,829	44.7%	+0.060%	-0.059%	-0.140%	84%	-0.036%	2,226	50.0%	+0.047%
F1 · ниже MA20 на 10%+	992	53.7%	+0.248%	+0.140%	+0.035%	89%	+0.037%	208	67.8%	+0.481%
F2 · закрытие в нижних 25% бара	1,367	53.3%	+0.147%	+0.043%	-0.026%	84%	+0.022%	119	57.1%	+0.120%
C1 · F1 + F2	160	68.1%	+0.540%	+0.467%	+0.385%	94%	+0.189%	23	78.3%	+0.482%
C8 · F1 + ATR>4%	733	56.3%	+0.291%	+0.202%	+0.089%	91%	+0.076%	53	86.8%	+1.261%
C5 · MA20<-5% + bar_pos<0.35	543	55.2%	+0.231%	+0.141%	+0.062%	86%	+0.041%	53	64.2%	+0.282%
Красный интрадей (сам по себе)	3,529	45.9%	+0.055%	-0.060%	-0.135%	81%	-0.031%	930	49.7%	-0.071%

Основная метка — лимитка: заявка на продажу по миду в 19:00, окно 60 мин, при неисполнении маркет-выход к 20:00. Last-print — «бумажный» результат, «в бид» — маркет-продажа. Лимитка возвращает большую часть бумажного эджа, но платит хвостом неисполнений.

Кривая накопленного результата (лимитка, дневное среднее)

Окна наблюдения: короткие и длинные работают в разные стороны

Окно	Нижние 10% N	Перепродан	Верхние 10% N	Перекуплен	Разница
MA10	1082	+0.091%	1082	-0.003%	+0.094%
MA20	1080	+0.136%	1080	+0.025%	+0.111%
MA60	1067	+0.090%	1067	+0.022%	+0.069%
MA120	1048	+0.019%	1048	+0.075%	-0.056%
MA250	1019	+0.001%	1019	+0.119%	-0.118%

На MA10–MA60 перепроданность даёт плюс. На MA120–MA250 знак переворачивается: там лучше те, кто выше средней. Идеальный кандидат — упал за месяц, но в годовом аптренде.

Факторы (на лимитном исполнении)

Положение закрытия внутри дневного бара

Бакет	N	WR	Лимитка
0-15% (на лоях)	793	54.1%	+0.015%
15-35%	1310	50.2%	-0.001%
35-50%	1137	45.0%	-0.076%
50-65%	1377	44.7%	-0.080%
65-85%	2792	43.5%	-0.071%
85-100% (на хаях)	3420	41.1%	-0.076%

Расстояние до MA20

Бакет	N	WR	Лимитка
<-10%	992	53.7%	+0.140%
-10..-5%	1350	48.1%	-0.038%
-5..-2%	1439	43.4%	-0.103%
-2..0%	1130	41.6%	-0.087%
0..2%	1200	37.6%	-0.127%
2..5%	1478	40.9%	-0.134%
5..10%	1630	42.8%	-0.072%
>10%	1565	50.0%	-0.004%

Интрадей-движение (close/open)

Бакет	N	WR	Лимитка
<-5%	176	54.0%	+0.138%
-5..-3%	338	53.8%	+0.078%
-3..-1.5%	787	49.2%	-0.070%
-1.5..0%	2290	43.0%	-0.089%
0..1.5%	3152	42.7%	-0.104%
1.5..3%	1945	42.4%	-0.085%
3..5%	1134	46.0%	-0.004%
>5%	1007	49.2%	+0.062%

Дней роста подряд (включая сегодня)

Бакет	N	WR	Лимитка
0 (красный день)	2618	43.7%	-0.097%
1 зелёный	4379	44.4%	-0.058%
2 зелёных	2016	46.7%	-0.002%
3 зелёных	927	43.5%	-0.060%
4+ зелёных	889	45.3%	-0.086%

Моментум за 20 дней

Бакет	N	WR	Лимитка
<-10%	2259	48.7%	+0.013%
-10..0%	2985	42.9%	-0.083%
0..10%	2768	40.5%	-0.124%
10..25%	1768	44.5%	-0.065%
>25%	957	52.1%	+0.038%

Моментум за 250 дней

Бакет	N	WR	Лимитка
<-20%	2364	44.4%	-0.057%
-20..0%	1470	42.9%	-0.096%
0..25%	1501	40.8%	-0.102%
25..60%	1360	43.2%	-0.107%
>60%	1981	51.9%	+0.055%

RVOL (объём дня / ADV20)

Бакет	N	WR	Лимитка
<0.7	1353	43.2%	-0.056%
0.7-1	3949	44.4%	-0.051%
1-1.5	3825	44.7%	-0.083%
1.5-2	982	47.8%	-0.013%
2-3	482	44.4%	-0.057%
>3	200	44.0%	-0.010%

ATR14 (% от цены)

Бакет	N	WR	Лимитка
<2%	1428	33.8%	-0.222%
2-3%	2787	41.4%	-0.122%
3-4%	2059	45.1%	-0.059%
4-6%	2445	48.0%	-0.004%
>6%	2072	51.9%	+0.073%

Сила дня рынка (QQQ)

Бакет	N	WR	Лимитка
+1..1.5%	4750	44.7%	-0.068%
+1.5..2%	2261	45.7%	-0.046%
+2..3%	2692	43.2%	-0.055%
>+3%	1126	45.8%	-0.060%

ADV20 (ликвидность)

Бакет	N	WR	Лимитка
1-2M	148	16.9%	-0.789%
2-5M	918	27.9%	-0.454%
5-20M	4407	45.8%	-0.051%
>20M	5292	47.5%	+0.026%

Режим рынка

Где SPY относительно ATH

Контекст	N	WR	Лимитка
SPY на новом ATH	1,588	45.5%	-0.049%
SPY в 1% от ATH	2,940	46.5%	-0.028%
SPY 1-5% ниже ATH	2,617	47.6%	-0.004%
SPY 5-15% ниже	3,410	43.2%	-0.086%
SPY >15% ниже (медвежий)	1,862	40.4%	-0.138%

Новый ATH — худший контекст. Сегодня SPY именно на ATH.

Сетап × ATH

Срез	N	WR	Лимитка
C1 · SPY на ATH	25	60.0%	+0.273%
C1 · SPY не на ATH	135	69.6%	+0.502%
Перепродан без «у лоя» · SPY на ATH	60	40.0%	-0.225%

На ATH-днях условие «закрытие у лоя» обязательно: без него срез уходит в минус.

История стака (point-in-time, строго до дня сделки)

Прошлая история тикера, окно 24 мес	N	WR	Лимитка	Медиана
Нет истории	520	31.0%	-0.388%	-0.225%
Минусовая (N≥2, сумма≤0)	3,792	41.3%	-0.092%	-0.048%
Плюсовая (N≥2, сумма>0)	6,124	48.6%	+0.006%	-0.011%
Сильная (N≥4, сумма>0, WR≥60)	2,261	48.9%	+0.030%	-0.009%

Считается только по событиям тикера до текущего дня — свой день не виден. Отсев минусовых стаков — рабочий фильтр.

Цена лимитки: adverse selection

Конфигурация	Fill	Исполнилось N	Средн.	Не исполнилось N	Средн.	Просадка
Весь фильтр	84.1%	9,104	+0.045%	1,725	-0.608%	-0.653%
F1 ниже MA20 -10%	88.8%	881	+0.231%	111	-0.586%	-0.818%
C1	94.4%	151	+0.526%	9	-0.522%	-1.048%
C8	91.4%	670	+0.274%	63	-0.567%	-0.842%
C8 + плюсовой стак	92.1%	440	+0.300%	38	-0.324%	-0.624%

Заявка не сводится ровно тогда, когда цена уходит вниз — эти сделки закрываются маркетом к 20:00 и дают минус. Чем уже сетап, тем выше fill и меньше хвост.

Разбор по каждому стаку

Тикер	N	WR	Средн. лимитка	Сумма	Last-print
CVNA	42	64.3%	+0.977%	+41.04%	+1.140%
SMCI	75	60.0%	+0.427%	+32.01%	+0.477%
RIVN	205	46.3%	+0.139%	+28.50%	+0.149%
PLTR	194	55.7%	+0.136%	+26.36%	+0.180%
BABA	246	60.6%	+0.090%	+22.24%	+0.118%
XPEV	171	57.3%	+0.125%	+21.45%	+0.160%
IONQ	107	57.0%	+0.180%	+19.23%	+0.264%
HOOD	129	55.0%	+0.130%	+16.77%	+0.199%
SOFI	93	65.6%	+0.179%	+16.64%	+0.211%
JD	164	58.5%	+0.100%	+16.34%	+0.152%
RKLB	59	62.7%	+0.262%	+15.45%	+0.325%
COIN	163	51.5%	+0.095%	+15.44%	+0.109%
ASTS	59	61.0%	+0.255%	+15.03%	+0.283%
NBIS	52	63.5%	+0.242%	+12.60%	+0.230%
SNDK	18	72.2%	+0.678%	+12.21%	+0.700%
CRWV	34	64.7%	+0.335%	+11.40%	+0.537%
NVDA	243	54.3%	+0.043%	+10.36%	+0.072%
MRVL	48	56.2%	+0.192%	+9.21%	+0.264%
TSM	134	52.2%	+0.067%	+8.98%	+0.100%
MSTR	66	51.5%	+0.124%	+8.19%	+0.155%
UBER	109	49.5%	+0.075%	+8.16%	+0.089%
MU	141	53.9%	+0.053%	+7.51%	+0.084%
AMD	253	54.1%	+0.028%	+7.07%	+0.048%
CRDO	8	62.5%	+0.821%	+6.57%	+0.875%
NVO	67	47.8%	+0.095%	+6.37%	+0.220%
TSLA	251	47.0%	+0.025%	+6.23%	+0.051%
ARM	32	46.9%	+0.194%	+6.19%	+0.227%
IREN	47	48.9%	+0.131%	+6.17%	+0.194%
PDD	120	48.3%	+0.051%	+6.15%	+0.091%
PL	18	66.7%	+0.292%	+5.25%	+0.459%
ET	80	50.0%	+0.065%	+5.21%	+0.108%
RDDT	21	47.6%	+0.219%	+4.61%	+0.328%
RKT	26	57.7%	+0.173%	+4.50%	+0.324%
ORCL	28	42.9%	+0.123%	+3.43%	+0.167%
AG	33	63.6%	+0.104%	+3.42%	+0.220%
CDE	18	61.1%	+0.186%	+3.35%	+0.118%
BIDU	37	59.5%	+0.074%	+2.75%	+0.157%
FCX	70	58.6%	+0.038%	+2.67%	+0.091%
AA	28	50.0%	+0.095%	+2.65%	+0.188%
PFE	137	47.4%	+0.019%	+2.56%	+0.027%
VG	10	60.0%	+0.251%	+2.51%	+0.473%
LI	138	50.7%	+0.016%	+2.26%	+0.074%
HAL	16	62.5%	+0.140%	+2.24%	+0.220%
CCJ	12	75.0%	+0.178%	+2.13%	+0.159%
VRT	23	56.5%	+0.085%	+1.96%	+0.203%
NOW	11	54.5%	+0.175%	+1.92%	+0.257%
AVGO	65	50.8%	+0.027%	+1.77%	+0.046%
AGNC	33	57.6%	+0.052%	+1.70%	-0.014%
AFRM	117	51.3%	+0.014%	+1.59%	+0.076%
UNH	16	31.2%	+0.093%	+1.48%	+0.118%
DELL	32	50.0%	+0.044%	+1.42%	+0.089%
NU	58	43.1%	+0.023%	+1.32%	+0.072%
DAL	57	61.4%	+0.023%	+1.29%	+0.030%
NFLX	29	58.6%	+0.040%	+1.16%	+0.064%
MS	8	25.0%	+0.131%	+1.05%	+0.171%
NIO	115	48.7%	+0.009%	+1.01%	+0.051%
TTD	27	48.1%	+0.037%	+0.99%	+0.166%
ANET	9	55.6%	+0.100%	+0.90%	+0.143%
KMI	8	62.5%	+0.096%	+0.77%	+0.091%
PAAS	15	46.7%	+0.047%	+0.71%	+0.075%
PYPL	80	48.8%	+0.007%	+0.55%	+0.040%
GLW	10	50.0%	+0.042%	+0.42%	-0.013%
CVX	21	61.9%	+0.016%	+0.34%	+0.074%
BAC	191	39.8%	+0.002%	+0.29%	+0.012%
DOW	10	60.0%	+0.024%	+0.24%	+0.072%
GE	13	46.2%	+0.006%	+0.08%	+0.063%
GM	49	53.1%	-0.001%	-0.06%	+0.075%
MSFT	174	46.6%	-0.001%	-0.11%	+0.013%
LVS	8	50.0%	-0.025%	-0.20%	+0.153%
C	45	37.8%	-0.005%	-0.22%	+0.028%
JPM	8	37.5%	-0.028%	-0.22%	+0.018%
INTC	219	36.5%	-0.001%	-0.24%	+0.020%
KVUE	9	55.6%	-0.038%	-0.34%	-0.013%
BMY	8	37.5%	-0.044%	-0.35%	-0.069%
GOOG	137	47.4%	-0.003%	-0.43%	+0.022%
DVN	40	47.5%	-0.011%	-0.46%	+0.050%
APA	12	41.7%	-0.050%	-0.60%	+0.183%
CMG	12	33.3%	-0.059%	-0.71%	-0.043%
SNOW	24	50.0%	-0.030%	-0.72%	-0.005%
QCOM	9	44.4%	-0.083%	-0.75%	-0.037%
MRK	11	36.4%	-0.071%	-0.79%	-0.056%
WMT	16	37.5%	-0.052%	-0.83%	-0.036%
PINS	37	45.9%	-0.025%	-0.91%	+0.032%
WFC	30	56.7%	-0.033%	-1.00%	-0.012%
SLB	10	40.0%	-0.100%	-1.00%	-0.027%
VZ	46	52.2%	-0.024%	-1.11%	-0.020%
EPD	16	37.5%	-0.076%	-1.22%	+0.064%
HL	19	47.4%	-0.066%	-1.26%	-0.044%
EQX	10	30.0%	-0.127%	-1.27%	+0.009%
DKNG	104	45.2%	-0.013%	-1.34%	-0.008%
LUV	16	43.8%	-0.085%	-1.35%	-0.043%
MO	10	30.0%	-0.141%	-1.41%	-0.017%
NKE	36	44.4%	-0.041%	-1.46%	-0.003%
SBUX	11	36.4%	-0.141%	-1.55%	-0.137%
BA	49	46.9%	-0.032%	-1.58%	-0.003%
B	23	47.8%	-0.075%	-1.72%	-0.058%
HPE	15	53.3%	-0.117%	-1.75%	+0.025%
CRWD	9	11.1%	-0.214%	-1.92%	-0.191%
ROKU	22	54.5%	-0.092%	-2.02%	+0.005%
DIS	34	35.3%	-0.060%	-2.03%	-0.025%
WDC	15	46.7%	-0.137%	-2.06%	+0.169%
CSCO	27	40.7%	-0.080%	-2.15%	-0.013%
LITE	9	44.4%	-0.254%	-2.29%	-0.287%
ARCC	8	25.0%	-0.293%	-2.35%	-0.110%
MRNA	32	40.6%	-0.076%	-2.43%	-0.032%
OWL	9	66.7%	-0.305%	-2.75%	+0.225%
CRCL	21	47.6%	-0.132%	-2.78%	-0.201%
SHOP	71	35.2%	-0.040%	-2.81%	-0.006%
CHWY	8	25.0%	-0.352%	-2.82%	-0.284%
FHN	8	37.5%	-0.387%	-3.10%	+0.516%
CMCSA	10	20.0%	-0.322%	-3.22%	-0.098%
SE	27	40.7%	-0.120%	-3.23%	+0.061%
OXY	134	49.3%	-0.027%	-3.63%	-0.016%
GOOGL	166	44.0%	-0.022%	-3.71%	-0.005%
TWLO	10	30.0%	-0.373%	-3.73%	-0.267%
AMZN	188	34.0%	-0.022%	-4.08%	-0.019%
TTE	10	30.0%	-0.411%	-4.11%	+0.246%
SCHW	17	41.2%	-0.251%	-4.26%	-0.131%
FIG	16	50.0%	-0.279%	-4.46%	-0.183%
TEVA	16	31.2%	-0.279%	-4.47%	-0.087%
XOM	78	41.0%	-0.058%	-4.49%	-0.029%
UAL	48	39.6%	-0.096%	-4.62%	-0.012%
WMB	8	0.0%	-0.584%	-4.67%	+0.069%
PCG	16	31.2%	-0.294%	-4.70%	+0.209%
AR	8	25.0%	-0.600%	-4.80%	+0.002%
F	233	40.3%	-0.021%	-4.90%	-0.015%
ON	8	37.5%	-0.639%	-5.11%	-0.220%
VST	15	33.3%	-0.357%	-5.36%	-0.302%
SAN	8	25.0%	-0.716%	-5.73%	-0.172%
IBN	8	12.5%	-0.748%	-5.98%	-0.073%
BUD	10	30.0%	-0.627%	-6.27%	+0.061%
WBD	49	44.9%	-0.129%	-6.34%	-0.086%
KGC	17	35.3%	-0.388%	-6.60%	-0.252%
NEM	35	40.0%	-0.200%	-7.01%	-0.104%
BHP	38	31.6%	-0.189%	-7.18%	+0.175%
T	140	42.1%	-0.053%	-7.38%	-0.038%
META	138	50.0%	-0.057%	-7.81%	-0.050%
CPNG	32	46.9%	-0.259%	-8.28%	-0.096%
BBVA	9	11.1%	-0.958%	-8.62%	-0.198%
RBLX	83	43.4%	-0.106%	-8.78%	-0.055%
ZTO	9	0.0%	-0.992%	-8.92%	+0.152%
HSBC	11	9.1%	-0.826%	-9.08%	-0.126%
BE	31	54.8%	-0.295%	-9.16%	+0.296%
PBR	189	46.6%	-0.049%	-9.20%	+0.035%
VOD	15	20.0%	-0.630%	-9.45%	+0.001%
NVS	9	0.0%	-1.057%	-9.51%	-0.022%
AAPL	245	34.3%	-0.042%	-10.27%	-0.030%
TCOM	21	33.3%	-0.525%	-11.02%	-0.119%
ING	12	16.7%	-0.948%	-11.38%	-0.086%
VALE	172	44.8%	-0.069%	-11.82%	+0.058%
HMY	34	41.2%	-0.348%	-11.83%	-0.124%
FUTU	77	41.6%	-0.155%	-11.95%	-0.106%
BTI	58	25.9%	-0.221%	-12.85%	-0.042%
PHG	10	0.0%	-1.376%	-13.76%	-0.133%
ERIC	17	0.0%	-0.834%	-14.18%	-0.177%
BP	177	42.4%	-0.086%	-15.25%	+0.017%
UBS	18	11.1%	-0.867%	-15.61%	+0.051%
GFI	63	34.9%	-0.256%	-16.15%	+0.086%
GSK	44	29.5%	-0.372%	-16.38%	-0.038%
SNY	18	16.7%	-0.934%	-16.81%	-0.009%
PBR.A	65	41.5%	-0.264%	-17.15%	+0.145%
RIO	54	24.1%	-0.326%	-17.59%	-0.041%
STLA	64	28.1%	-0.293%	-18.76%	-0.135%
UL	23	8.7%	-0.818%	-18.81%	-0.198%
BEKE	59	33.9%	-0.319%	-18.82%	-0.031%
GME	68	41.2%	-0.279%	-19.00%	-0.237%
AU	32	25.0%	-0.669%	-21.42%	-0.183%
CCL	203	42.4%	-0.108%	-21.87%	-0.084%
DB	37	24.3%	-0.604%	-22.36%	+0.128%
STM	51	25.5%	-0.440%	-22.41%	+0.089%
SHEL	64	17.2%	-0.374%	-23.96%	-0.047%
BCS	28	10.7%	-0.863%	-24.16%	-0.099%
EQNR	44	13.6%	-0.727%	-31.97%	-0.010%
MT	40	15.0%	-0.822%	-32.88%	+0.008%

Только тикеры с N≥8. Сумма — накопленный процент по всем сделкам этого имени.

Кандидаты на 2026-08-04

Тикер	Цена	День	Интрадей	В баре	MA20	RVOL	ATR	AH $vol	Свежесть	Ист. 24м	Сетап	Вердикт
APTV	47.80	-16.5%	-5.2%	11%	-17.8%	5.7	2.9%	$0.01M	269 мин	+0.83 (N=1)	C1	снят (ликвидность AH, история стака)
SHAZ	56.44	+7.8%	+4.5%	74%	-11.4%	0.6	14.6%	—	—	—	C8	снят (ликвидность AH, история стака)
STM	54.33	+4.1%	+0.2%	78%	-10.7%	0.6	5.0%	$0.44M	53 мин	-12.71 (N=27)	C8	снят (ликвидность AH, история стака)
RBLX	37.42	+2.0%	+2.1%	62%	-26.3%	1.6	6.3%	$1.01M	51 мин	-0.72 (N=4)	C8	снят (история стака)
RDDT	160.61	+3.8%	+4.6%	82%	-11.8%	0.8	6.7%	$7.76M	44 мин	+2.75 (N=20)	C8	брать

Ограничения, которые надо держать в голове:
• Концентрация: без трёх лучших тикеров средний C1 падает +0.47% → +0.29%.
• Медиана сделки C1 +0.20% лимиткой — результат заметно тянут выигрыши.
• Хвост неисполнения: worst trade лимиткой −3.26% против −1.57% маркетом.
• Частота ~1 имя в день, 85 сигнальных дней за 5.5 лет.
• Вселенная — фиксированные 854 тикера с AH-историей, возможен survivorship-сдвиг.
• Вход на всей истории смоделирован 16:00-принтом; сверка с аукционом Datum (2024-04+): медиана расхождения 0.000%, |разница|>0.5% у 5.9% событий.