MOC -> AH Advisor

MOC → AH Advisor · Research Dashboard

Generated 2026-04-23 17:17 · Rules: target-only + 19:00 fallback · pre_v >= 50K · spread 15bps · ADV 2M+

Total Slices

1792

Valid (N>=50)

1680

Best Sharpe

8.56

WF OOS Mean Sh

5.02

WF Years Positive

3/3

★ Winner config: target +3.0% / stop -0.5% — доминирует в 18 из 25 топ-слайсов. Tight stop + wide target + 70%+ выходов через 19:00 fallback. WF OOS все 3 года положительные (Sh 3.37 – 7.70).

⚠ Default config 1.0/2.0 = УБЫТОЧЕН в Tariff_2025Q2 (Sh -1.78) и Current_2026 (Sh -2.74). Широкий стоп -2.0 ловит весь intraday bounce tail. В текущем регим используй только +3.0/-0.5 или +2.5/-0.5.

TOP-25 Slices (Sharpe, N>=50)

Slice	N	Tgt+	Tgt-	WR	Mean	Sharpe	Tgt+ hit	Time exit
S2_nonearn_deep_drop×S3_deep_15_20	60	+3.0	-0.5	56.7%	+0.72%	8.56	17%	47%
S2×HYt×Technology	261	+3.0	-0.5	57.1%	+0.48%	7.05	9%	72%
S2×HY_tight×FALLING_MILD	71	+1.5	-0.5	63.4%	+0.29%	6.98	13%	69%
S2×HY_tight×RANGING	388	+3.0	-0.5	54.4%	+0.37%	5.87	6%	73%
S2_nonearn_deep_drop×S2_moderate_10_15	433	+3.0	-0.5	55.7%	+0.38%	5.76	6%	67%
S2×HYt×Industrials	62	+1.5	-0.5	61.3%	+0.22%	5.20	13%	69%
S2×HYt×Financial	166	+2.5	-0.5	51.8%	+0.26%	5.10	4%	75%
S2×HY_mid×FALLING_HARD	446	+2.5	-0.5	55.4%	+0.26%	4.87	4%	72%
S2×HY_tight×RISING_MILD	287	+3.0	-0.5	55.7%	+0.24%	4.71	2%	79%
S2×HY_mid×RISING_MILD	469	+3.0	-0.5	51.0%	+0.21%	4.16	1%	80%
S2×LARGE_10_50B	2694	+3.0	-0.5	50.4%	+0.20%	3.71	3%	73%
S2×HYt×Basic Materials	54	+0.5	-5.0	64.8%	+0.09%	3.65	52%	48%
S2_NORMAL_DAY	2560	+3.0	-0.5	50.8%	+0.19%	3.64	3%	75%
S2×HYt×Communication Services	53	+3.0	-0.5	52.8%	+0.17%	3.31	6%	81%
S2×HY_tight×RISING_HARD	64	+3.0	-1.5	53.1%	+0.16%	3.25	2%	97%
S2×HY_mid×RISING_HARD	163	+3.0	-0.5	48.5%	+0.16%	3.01	3%	71%
S2×HYt×Consumer Cyclical	129	+3.0	-0.5	55.0%	+0.13%	2.91	2%	78%
S2×MEGA_50_200B	1035	+3.0	-0.5	48.2%	+0.13%	2.59	2%	71%
S2_nonearn_deep_drop×S1_shallow_5_10	3560	+3.0	-0.5	47.8%	+0.12%	2.46	2%	73%
S2×HY_mid×RANGING	785	+3.0	-0.5	47.8%	+0.12%	2.38	2%	74%
S2×HY_wide×RANGING	149	+3.0	-0.5	53.0%	+0.11%	2.36	3%	74%
S2_CLUSTER_DAY	1520	+3.0	-0.5	45.5%	+0.12%	2.20	3%	65%
S2×HY_mid×FALLING_MILD	564	+2.5	-0.5	44.5%	+0.11%	2.07	5%	66%
S2×HY_wide×FALLING_MILD	365	+3.0	-0.5	45.2%	+0.10%	1.93	2%	62%
S6_rel_weakness×S0_minor_0_5	3815	+3.0	-0.5	44.8%	+0.04%	0.90	1%	81%

Slice

Tgt+

Tgt-

Mean

Sharpe

Tgt+ hit

Time exit

S2_nonearn_deep_drop×S3_deep_15_20

+3.0

-0.5

56.7%

+0.72%

8.56

17%

47%

S2×HYt×Technology

261

+3.0

-0.5

57.1%

+0.48%

7.05

72%

S2×HY_tight×FALLING_MILD

+1.5

-0.5

63.4%

+0.29%

6.98

13%

69%

S2×HY_tight×RANGING

388

+3.0

-0.5

54.4%

+0.37%

5.87

73%

S2_nonearn_deep_drop×S2_moderate_10_15

433

+3.0

-0.5

55.7%

+0.38%

5.76

67%

S2×HYt×Industrials

+1.5

-0.5

61.3%

+0.22%

5.20

13%

69%

S2×HYt×Financial

166

+2.5

-0.5

51.8%

+0.26%

5.10

75%

S2×HY_mid×FALLING_HARD

446

+2.5

-0.5

55.4%

+0.26%

4.87

72%

S2×HY_tight×RISING_MILD

287

+3.0

-0.5

55.7%

+0.24%

4.71

79%

S2×HY_mid×RISING_MILD

469

+3.0

-0.5

51.0%

+0.21%

4.16

80%

S2×LARGE_10_50B

2694

+3.0

-0.5

50.4%

+0.20%

3.71

73%

S2×HYt×Basic Materials

+0.5

-5.0

64.8%

+0.09%

3.65

52%

48%

S2_NORMAL_DAY

2560

+3.0

-0.5

50.8%

+0.19%

3.64

75%

S2×HYt×Communication Services

+3.0

-0.5

52.8%

+0.17%

3.31

81%

S2×HY_tight×RISING_HARD

+3.0

-1.5

53.1%

+0.16%

3.25

97%

S2×HY_mid×RISING_HARD

163

+3.0

-0.5

48.5%

+0.16%

3.01

71%

S2×HYt×Consumer Cyclical

129

+3.0

-0.5

55.0%

+0.13%

2.91

78%

S2×MEGA_50_200B

1035

+3.0

-0.5

48.2%

+0.13%

2.59

71%

S2_nonearn_deep_drop×S1_shallow_5_10

3560

+3.0

-0.5

47.8%

+0.12%

2.46

73%

S2×HY_mid×RANGING

785

+3.0

-0.5

47.8%

+0.12%

2.38

74%

S2×HY_wide×RANGING

149

+3.0

-0.5

53.0%

+0.11%

2.36

74%

S2_CLUSTER_DAY

1520

+3.0

-0.5

45.5%

+0.12%

2.20

65%

S2×HY_mid×FALLING_MILD

564

+2.5

-0.5

44.5%

+0.11%

2.07

66%

S2×HY_wide×FALLING_MILD

365

+3.0

-0.5

45.2%

+0.10%

1.93

62%

S6_rel_weakness×S0_minor_0_5

3815

+3.0

-0.5

44.8%

+0.04%

0.90

81%

Sh>=5 win Sh 3-5 good Sh 1-3 ok Sh 0-1 weak Sh<0 loss

Walk-Forward OOS

Test Yr	Train Sh	Config	Test N	Test WR	Mean	Test Sh	Tgt+ hit
2024	3.30	+3.0/-0.5	235	50.2%	+0.23%	3.98	4%
2025	3.78	+3.0/-0.5	275	63.3%	+0.47%	7.70	7%
2026	5.58	+3.0/-0.5	60	48.3%	+0.17%	3.37	2%

Stress Windows

Window	Config	N	WR	Mean	Sharpe	Tgt+ hit
TARIFF_2025Q2	default_1.0/2.0	69	50.7%	-0.11%	-1.78	30%
TARIFF_2025Q2	aggr_2.5/0.5	69	44.9%	+0.22%	3.86	7%
TARIFF_2025Q2	cons_0.5/3.0	69	55.1%	-0.24%	-4.28	46%
CURRENT_2026	default_1.0/2.0	60	50.0%	-0.16%	-2.74	20%
CURRENT_2026	aggr_2.5/0.5	60	48.3%	+0.17%	3.32	3%
CURRENT_2026	cons_0.5/3.0	60	56.7%	-0.13%	-2.78	43%

Decision rules (if-then)

Entry 15:58 MOC, LONG stocks: oc_ret < -5%, mcap 2B–5T, price ≥ 5, pre_v ≥ 50K, S2_nonearn_deep_drop.
Skip day (hard gate): SPY_5d < -1% OR > +3%, SPY_20d_vol > 20, HY = wide, WoM = 5.
Best regime: HY_tight AND (SPY RANGING or RISING_MILD).
Bonus slices: drop −10..−20%, Tech сектор, Industrials (HY_tight).
Exit priority:
1. Price hits +3.0% → EXIT (taker AH).
2. Price hits -0.5% → EXIT.
3. Neither by 19:00 → EXIT at 19:00 fallback.
4. NEVER overnight.
Alt configs: +3.0/-0.5 (winner, tight monitor) · +2.5/-0.5 (slightly looser, Sh~5) · +1.5/-0.5 (max WR for FALLING_MILD/Industrials).
AVOID: +1.0/-2.0 (default v1) и +0.5/-3.0 (conservative v1) — убыточны в 2025Q2 и 2026.

Files

research_results/moc_ah_advisor_slices.csv — все 1792 slice×config комбо
research_results/moc_ah_advisor_top.csv — лучшая конфа на слайс
research_results/moc_ah_advisor_wf.csv — walk-forward OOS
research_results/moc_ah_advisor_stress.csv — стресс-окна
research_results/moc_ah_advisor_playbook.md — рекомендации