MOC → AH Phase 1 Research

MOC → AH Strategy — Phase 1 Research

5-year AH hourly data (2020-10 → 2026-04) · 250K events · 10,257 setup matches · Entry MOC (p_1600) · Exits at 17:00/18:00/19:00
Rules: target +0.8% / stop -1.5% / time exit 19:00 · Spread cost 15bp one-way

🎯 Production Edge

Setup S2 (non-earnings deep drop >5%) × HY_tight × SPY RANGING/RISING_MILD

N = 825 events · WR 59.6% · mean net +0.21% · Sharpe 2.59

Optimal config: target 0.5% / stop 3.0% → 45% trades take profit by 19:00 (29% уже к 17:00)

Walk-forward stable: train WR ~51 → test WR 52-55 across 2024, 2025, 2026

❌ Dead Edges (do NOT trade)

S5 Gap-up fade SHORT — WR 35.5% · Sharpe -2.37 · fade plays lose in all regimes (Q1 2026 exception не доверять)

Anything on HY_wide regime — WR drops 5-10pt, mean flips negative

FALLING_HARD / FALLING_MILD SPY phase — mean negative, skip day

S4 small-cap deep drop — <20 events after proper priority routing → insufficient sample

Per-Setup Summary (all regimes)

S2 Non-earnings deep drop >5%

N5327

WR52.0%

Mean net+0.034%

Sharpe 🟡0.37

🎯 Target hit: 27.6% 🛑 Stop: 7.5% ⏱ 19:00 exit: 64.8%

S3 σ-normalized drop <-2

N3081

WR44.8%

Mean net+0.087%

Sharpe 🟢1.02

🎯 Target hit: 10.0% 🛑 Stop: 1.3% ⏱ 19:00 exit: 88.6%

S5 Gap-up fade SHORT (σ>+3)

N1824

WR35.5%

Mean net-0.253%

Sharpe 🔴-2.37

🎯 Target hit: 14.1% 🛑 Stop: 7.9% ⏱ 19:00 exit: 78.0%

S6 Relative weakness <-3% vs SPY

N5329

WR46.7%

Mean net+0.004%

Sharpe 🟡0.06

🎯 Target hit: 16.7% 🛑 Stop: 3.8% ⏱ 19:00 exit: 79.5%

Setup × SPY Phase (trade / skip gate)

setup	spy_phase	N	wr	mean_net_ret	median_net_ret	sharpe	target_hit_1700	target_hit_1800	target_hit_1900	target_hit_ANY	stop_hit	time_exit	mean_r17	mean_r18	mean_r19
S2_nonearn_deep_drop	FALLING_HARD	959.00	48.70	-0.11	-0.03	-1.16	13.35	9.18	5.63	28.15	10.74	61.11	0.04	0.13	0.05
S2_nonearn_deep_drop	FALLING_MILD	1357.00	49.89	-0.01	-0.00	-0.06	15.62	7.37	5.01	28.00	9.65	62.34	0.15	0.14	0.13
S2_nonearn_deep_drop	RANGING	1720.00	53.43	0.11	0.06	1.24	15.87	6.57	4.36	26.80	5.87	67.33	0.25	0.24	0.26
S2_nonearn_deep_drop	RISING_HARD	299.00	51.84	0.05	0.03	0.48	15.05	8.70	4.01	27.76	6.35	65.89	0.13	0.15	0.11
S2_nonearn_deep_drop	RISING_MILD	979.00	55.77	0.11	0.09	1.24	15.02	8.48	4.80	28.29	4.60	67.11	0.18	0.25	0.27
S3_sigma_drop	FALLING_HARD	433.00	44.34	0.08	-0.06	1.27	6.70	3.00	4.39	14.09	1.15	84.76	0.16	0.18	0.20
S3_sigma_drop	FALLING_MILD	753.00	43.96	0.05	-0.05	0.61	4.91	3.85	1.46	10.23	1.99	87.78	0.17	0.17	0.16
S3_sigma_drop	RANGING	1160.00	45.43	0.06	-0.03	0.61	4.31	2.93	1.29	8.53	1.47	90.00	0.16	0.18	0.18
S3_sigma_drop	RISING_HARD	114.00	56.14	0.25	0.06	3.59	7.02	5.26	7.02	19.30	0.00	80.70	0.29	0.33	0.39
S3_sigma_drop	RISING_MILD	621.00	43.00	0.17	-0.05	1.66	4.03	2.42	1.61	8.05	0.64	91.30	0.29	0.31	0.33
S5_gapup_fade	FALLING_HARD	180.00	32.22	-0.58	-0.43	-3.99	9.44	5.00	6.11	20.56	26.11	53.33	-0.10	-0.30	-0.44
S5_gapup_fade	FALLING_MILD	369.00	35.50	-0.23	-0.19	-2.65	5.42	4.34	2.71	12.47	3.25	84.28	-0.13	-0.01	-0.07
S5_gapup_fade	RANGING	673.00	34.47	-0.17	-0.15	-1.86	6.98	3.57	1.93	12.48	6.09	81.43	0.02	-0.05	-0.09
S5_gapup_fade	RISING_HARD	174.00	45.98	-0.09	-0.10	-0.64	11.49	8.05	2.30	21.84	7.47	70.69	0.06	0.14	-0.03
S5_gapup_fade	RISING_MILD	428.00	34.35	-0.32	-0.15	-3.21	7.01	2.34	2.80	12.15	7.48	80.37	-0.14	-0.19	-0.20
S6_rel_weakness	FALLING_HARD	362.00	54.70	0.21	0.07	3.27	12.15	6.35	8.01	26.52	2.49	70.99	0.20	0.26	0.33
S6_rel_weakness	FALLING_MILD	966.00	44.51	0.01	-0.06	0.09	8.80	4.97	5.18	18.94	6.21	74.84	0.16	0.11	0.11
S6_rel_weakness	RANGING	2009.00	46.74	0.00	-0.04	0.07	7.42	5.13	4.28	16.82	3.29	79.89	0.10	0.11	0.12
S6_rel_weakness	RISING_HARD	522.00	43.49	-0.12	-0.08	-1.35	7.28	4.79	2.87	14.94	5.75	79.31	0.02	0.01	-0.02
S6_rel_weakness	RISING_MILD	1460.00	47.26	-0.01	-0.03	-0.11	5.82	3.90	3.56	13.29	2.40	84.32	0.10	0.11	0.12

setup

spy_phase

mean_net_ret

median_net_ret

sharpe

target_hit_1700

target_hit_1800

target_hit_1900

target_hit_ANY

stop_hit

time_exit

mean_r17

mean_r18

mean_r19

S2_nonearn_deep_drop

FALLING_HARD

959.00

48.70

-0.11

-0.03

-1.16

13.35

9.18

5.63

28.15

10.74

61.11

0.04

0.13

0.05

S2_nonearn_deep_drop

FALLING_MILD

1357.00

49.89

-0.01

-0.00

-0.06

15.62

7.37

5.01

28.00

9.65

62.34

0.15

0.14

0.13

S2_nonearn_deep_drop

RANGING

1720.00

53.43

0.11

0.06

1.24

15.87

6.57

4.36

26.80

5.87

67.33

0.25

0.24

0.26

S2_nonearn_deep_drop

RISING_HARD

299.00

51.84

0.05

0.03

0.48

15.05

8.70

4.01

27.76

6.35

65.89

0.13

0.15

0.11

S2_nonearn_deep_drop

RISING_MILD

979.00

55.77

0.11

0.09

1.24

15.02

8.48

4.80

28.29

4.60

67.11

0.18

0.25

0.27

S3_sigma_drop

FALLING_HARD

433.00

44.34

0.08

-0.06

1.27

6.70

3.00

4.39

14.09

1.15

84.76

0.16

0.18

0.20

S3_sigma_drop

FALLING_MILD

753.00

43.96

0.05

-0.05

0.61

4.91

3.85

1.46

10.23

1.99

87.78

0.17

0.16

S3_sigma_drop

RANGING

1160.00

45.43

0.06

-0.03

0.61

4.31

2.93

1.29

8.53

1.47

90.00

0.16

0.18

S3_sigma_drop

RISING_HARD

114.00

56.14

0.25

0.06

3.59

7.02

5.26

7.02

19.30

0.00

80.70

0.29

0.33

0.39

S3_sigma_drop

RISING_MILD

621.00

43.00

0.17

-0.05

1.66

4.03

2.42

1.61

8.05

0.64

91.30

0.29

0.31

0.33

S5_gapup_fade

FALLING_HARD

180.00

32.22

-0.58

-0.43

-3.99

9.44

5.00

6.11

20.56

26.11

53.33

-0.10

-0.30

-0.44

S5_gapup_fade

FALLING_MILD

369.00

35.50

-0.23

-0.19

-2.65

5.42

4.34

2.71

12.47

3.25

84.28

-0.13

-0.01

-0.07

S5_gapup_fade

RANGING

673.00

34.47

-0.17

-0.15

-1.86

6.98

3.57

1.93

12.48

6.09

81.43

0.02

-0.05

-0.09

S5_gapup_fade

RISING_HARD

174.00

45.98

-0.09

-0.10

-0.64

11.49

8.05

2.30

21.84

7.47

70.69

0.06

0.14

-0.03

S5_gapup_fade

RISING_MILD

428.00

34.35

-0.32

-0.15

-3.21

7.01

2.34

2.80

12.15

7.48

80.37

-0.14

-0.19

-0.20

S6_rel_weakness

FALLING_HARD

362.00

54.70

0.21

0.07

3.27

12.15

6.35

8.01

26.52

2.49

70.99

0.20

0.26

0.33

S6_rel_weakness

FALLING_MILD

966.00

44.51

0.01

-0.06

0.09

8.80

4.97

5.18

18.94

6.21

74.84

0.16

0.11

S6_rel_weakness

RANGING

2009.00

46.74

0.00

-0.04

0.07

7.42

5.13

4.28

16.82

3.29

79.89

0.10

0.11

0.12

S6_rel_weakness

RISING_HARD

522.00

43.49

-0.12

-0.08

-1.35

7.28

4.79

2.87

14.94

5.75

79.31

0.02

0.01

-0.02

S6_rel_weakness

RISING_MILD

1460.00

47.26

-0.01

-0.03

-0.11

5.82

3.90

3.56

13.29

2.40

84.32

0.10

0.11

0.12

Setup × HY Credit Regime

setup	hy_regime	N	wr	mean_net_ret	median_net_ret	sharpe	target_hit_1700	target_hit_1800	target_hit_1900	target_hit_ANY	stop_hit	time_exit	mean_r17	mean_r18	mean_r19
S2_nonearn_deep_drop	mid	3210.00	52.12	0.04	0.04	0.49	14.77	7.98	4.64	27.38	6.01	66.60	0.15	0.20	0.19
S2_nonearn_deep_drop	tight	998.00	57.31	0.21	0.15	2.30	18.04	7.01	5.71	30.76	5.61	63.63	0.30	0.33	0.39
S2_nonearn_deep_drop	wide	1119.00	46.92	-0.15	-0.05	-1.51	13.49	7.60	4.47	25.56	13.58	60.86	0.09	0.04	-0.02
S3_sigma_drop	mid	1661.00	44.79	0.11	-0.04	1.20	4.94	3.67	2.17	10.78	1.20	88.02	0.20	0.22	0.24
S3_sigma_drop	tight	880.00	47.16	0.11	-0.03	1.37	4.09	2.50	1.59	8.18	0.80	91.02	0.24	0.26	0.24
S3_sigma_drop	wide	540.00	41.11	-0.01	-0.08	-0.12	5.74	2.59	2.41	10.74	2.59	86.67	0.11	0.09	0.09
S5_gapup_fade	mid	875.00	37.94	-0.22	-0.15	-2.03	8.00	4.91	2.86	15.77	6.97	77.26	-0.03	-0.07	-0.07
S5_gapup_fade	tight	575.00	36.17	-0.16	-0.15	-1.53	6.96	2.43	2.43	11.83	5.22	82.96	0.03	0.00	-0.05
S5_gapup_fade	wide	374.00	28.88	-0.47	-0.36	-4.56	6.42	4.28	2.94	13.64	14.44	71.93	-0.25	-0.22	-0.46
S6_rel_weakness	mid	3287.00	46.79	-0.01	-0.04	-0.13	6.72	5.14	4.26	16.12	3.77	80.10	0.09	0.10	0.12
S6_rel_weakness	tight	1225.00	47.92	0.01	-0.02	0.19	7.35	4.33	4.33	16.00	2.94	81.06	0.11	0.14	0.14
S6_rel_weakness	wide	817.00	44.68	0.05	-0.07	0.52	11.02	4.28	4.90	20.20	4.90	74.91	0.18	0.11	0.09

setup

hy_regime

mean_net_ret

median_net_ret

sharpe

target_hit_1700

target_hit_1800

target_hit_1900

target_hit_ANY

stop_hit

time_exit

mean_r17

mean_r18

mean_r19

S2_nonearn_deep_drop

mid

3210.00

52.12

0.04

0.49

14.77

7.98

4.64

27.38

6.01

66.60

0.15

0.20

0.19

S2_nonearn_deep_drop

tight

998.00

57.31

0.21

0.15

2.30

18.04

7.01

5.71

30.76

5.61

63.63

0.30

0.33

0.39

S2_nonearn_deep_drop

wide

1119.00

46.92

-0.15

-0.05

-1.51

13.49

7.60

4.47

25.56

13.58

60.86

0.09

0.04

-0.02

S3_sigma_drop

mid

1661.00

44.79

0.11

-0.04

1.20

4.94

3.67

2.17

10.78

1.20

88.02

0.20

0.22

0.24

S3_sigma_drop

tight

880.00

47.16

0.11

-0.03

1.37

4.09

2.50

1.59

8.18

0.80

91.02

0.24

0.26

0.24

S3_sigma_drop

wide

540.00

41.11

-0.01

-0.08

-0.12

5.74

2.59

2.41

10.74

2.59

86.67

0.11

0.09

S5_gapup_fade

mid

875.00

37.94

-0.22

-0.15

-2.03

8.00

4.91

2.86

15.77

6.97

77.26

-0.03

-0.07

S5_gapup_fade

tight

575.00

36.17

-0.16

-0.15

-1.53

6.96

2.43

11.83

5.22

82.96

0.03

0.00

-0.05

S5_gapup_fade

wide

374.00

28.88

-0.47

-0.36

-4.56

6.42

4.28

2.94

13.64

14.44

71.93

-0.25

-0.22

-0.46

S6_rel_weakness

mid

3287.00

46.79

-0.01

-0.04

-0.13

6.72

5.14

4.26

16.12

3.77

80.10

0.09

0.10

0.12

S6_rel_weakness

tight

1225.00

47.92

0.01

-0.02

0.19

7.35

4.33

16.00

2.94

81.06

0.11

0.14

S6_rel_weakness

wide

817.00

44.68

0.05

-0.07

0.52

11.02

4.28

4.90

20.20

4.90

74.91

0.18

0.11

0.09

Year-by-Year Stability

setup	year	N	wr	mean_net_ret	median_net_ret	sharpe	target_hit_1700	target_hit_1800	target_hit_1900	target_hit_ANY	stop_hit	time_exit	mean_r17	mean_r18	mean_r19
S2_nonearn_deep_drop	2020	196.00	56.12	0.13	0.16	1.66	15.82	12.76	5.61	34.18	8.16	57.65	0.18	0.38	0.30
S2_nonearn_deep_drop	2021	712.00	56.18	0.05	0.12	0.55	16.99	9.83	5.76	32.58	9.41	58.01	0.17	0.24	0.14
S2_nonearn_deep_drop	2022	1334.00	49.70	-0.02	-0.00	-0.18	12.37	6.60	4.87	23.84	4.80	71.36	0.07	0.11	0.14
S2_nonearn_deep_drop	2023	533.00	43.71	-0.03	-0.07	-0.38	12.76	5.25	1.88	19.89	4.50	75.61	0.16	0.16	0.13
S2_nonearn_deep_drop	2024	725.00	52.69	0.16	0.05	1.60	14.07	7.31	6.21	27.59	5.66	66.76	0.22	0.27	0.32
S2_nonearn_deep_drop	2025	1342.00	53.13	-0.01	0.06	-0.11	16.47	7.82	4.92	29.21	11.25	59.54	0.19	0.15	0.16
S2_nonearn_deep_drop	2026	485.00	55.46	0.11	0.12	1.22	20.00	8.66	3.71	32.37	7.84	59.79	0.29	0.31	0.22
S3_sigma_drop	2020	78.00	64.10	0.43	0.19	5.61	10.26	7.69	7.69	25.64	0.00	74.36	0.48	0.54	0.55
S3_sigma_drop	2021	516.00	47.67	0.17	-0.02	2.04	5.23	3.49	2.13	10.85	0.78	88.37	0.27	0.30	0.30
S3_sigma_drop	2022	373.00	41.82	0.03	-0.08	0.23	3.75	2.68	1.34	7.77	1.34	90.88	0.11	0.13	0.17
S3_sigma_drop	2023	464.00	36.64	-0.02	-0.09	-0.36	2.80	2.59	1.08	6.47	2.16	91.38	0.10	0.11	0.13
S3_sigma_drop	2024	706.00	45.61	0.14	-0.04	1.21	5.52	2.41	1.84	9.77	0.99	89.24	0.22	0.28	0.27
S3_sigma_drop	2025	727.00	44.84	0.04	-0.04	0.62	4.54	3.16	2.20	9.90	1.79	88.31	0.18	0.16	0.15
S3_sigma_drop	2026	217.00	51.15	0.10	0.01	2.43	6.91	5.07	3.23	15.21	0.92	83.87	0.20	0.17	0.18
S5_gapup_fade	2020	41.00	53.66	-0.47	0.07	-3.51	14.63	7.32	2.44	24.39	19.51	56.10	-0.40	-0.55	-0.61
S5_gapup_fade	2021	233.00	33.05	-0.33	-0.19	-2.75	7.73	4.72	1.29	13.73	6.87	79.40	-0.10	-0.17	-0.12
S5_gapup_fade	2022	230.00	45.65	0.08	-0.07	0.66	10.43	6.09	6.52	23.04	4.35	72.61	0.26	0.20	0.22
S5_gapup_fade	2023	256.00	29.30	-0.35	-0.15	-3.00	5.08	2.73	1.95	9.77	5.47	84.77	-0.17	-0.11	-0.22
S5_gapup_fade	2024	409.00	33.99	-0.32	-0.15	-2.80	6.36	3.42	2.44	12.22	9.29	78.48	-0.09	-0.16	-0.25
S5_gapup_fade	2025	519.00	31.21	-0.30	-0.22	-3.63	6.36	4.05	2.12	12.52	8.86	78.61	-0.13	-0.09	-0.22
S5_gapup_fade	2026	136.00	50.00	-0.04	0.00	-0.56	10.29	2.21	3.68	16.18	9.56	74.26	0.18	0.11	0.11
S6_rel_weakness	2020	219.00	56.62	0.13	0.06	2.55	6.85	8.22	6.39	21.46	1.37	77.17	0.21	0.25	0.29
S6_rel_weakness	2021	943.00	50.05	0.05	0.00	0.89	7.42	6.47	3.82	17.71	3.18	79.11	0.10	0.19	0.19
S6_rel_weakness	2022	1056.00	42.99	-0.03	-0.09	-0.40	6.53	3.88	3.88	14.30	3.88	81.82	0.09	0.07	0.10
S6_rel_weakness	2023	641.00	38.85	-0.07	-0.09	-1.68	4.06	2.65	3.28	9.98	1.72	88.30	0.03	0.06	0.07
S6_rel_weakness	2024	705.00	49.36	-0.01	-0.01	-0.10	7.38	4.68	4.96	17.02	4.40	78.58	0.05	0.08	0.10
S6_rel_weakness	2025	1199.00	51.63	0.04	0.02	0.49	10.59	5.59	4.67	20.85	4.59	74.56	0.18	0.13	0.13
S6_rel_weakness	2026	566.00	39.58	-0.04	-0.14	-0.41	7.42	3.53	5.30	16.25	5.12	78.62	0.10	0.06	0.04

setup

year

mean_net_ret

median_net_ret

sharpe

target_hit_1700

target_hit_1800

target_hit_1900

target_hit_ANY

stop_hit

time_exit

mean_r17

mean_r18

mean_r19

S2_nonearn_deep_drop

2020

196.00

56.12

0.13

0.16

1.66

15.82

12.76

5.61

34.18

8.16

57.65

0.18

0.38

0.30

S2_nonearn_deep_drop

2021

712.00

56.18

0.05

0.12

0.55

16.99

9.83

5.76

32.58

9.41

58.01

0.17

0.24

0.14

S2_nonearn_deep_drop

2022

1334.00

49.70

-0.02

-0.00

-0.18

12.37

6.60

4.87

23.84

4.80

71.36

0.07

0.11

0.14

S2_nonearn_deep_drop

2023

533.00

43.71

-0.03

-0.07

-0.38

12.76

5.25

1.88

19.89

4.50

75.61

0.16

0.13

S2_nonearn_deep_drop

2024

725.00

52.69

0.16

0.05

1.60

14.07

7.31

6.21

27.59

5.66

66.76

0.22

0.27

0.32

S2_nonearn_deep_drop

2025

1342.00

53.13

-0.01

0.06

-0.11

16.47

7.82

4.92

29.21

11.25

59.54

0.19

0.15

0.16

S2_nonearn_deep_drop

2026

485.00

55.46

0.11

0.12

1.22

20.00

8.66

3.71

32.37

7.84

59.79

0.29

0.31

0.22

S3_sigma_drop

2020

78.00

64.10

0.43

0.19

5.61

10.26

7.69

25.64

0.00

74.36

0.48

0.54

0.55

S3_sigma_drop

2021

516.00

47.67

0.17

-0.02

2.04

5.23

3.49

2.13

10.85

0.78

88.37

0.27

0.30

S3_sigma_drop

2022

373.00

41.82

0.03

-0.08

0.23

3.75

2.68

1.34

7.77

1.34

90.88

0.11

0.13

0.17

S3_sigma_drop

2023

464.00

36.64

-0.02

-0.09

-0.36

2.80

2.59

1.08

6.47

2.16

91.38

0.10

0.11

0.13

S3_sigma_drop

2024

706.00

45.61

0.14

-0.04

1.21

5.52

2.41

1.84

9.77

0.99

89.24

0.22

0.28

0.27

S3_sigma_drop

2025

727.00

44.84

0.04

-0.04

0.62

4.54

3.16

2.20

9.90

1.79

88.31

0.18

0.16

0.15

S3_sigma_drop

2026

217.00

51.15

0.10

0.01

2.43

6.91

5.07

3.23

15.21

0.92

83.87

0.20

0.17

0.18

S5_gapup_fade

2020

41.00

53.66

-0.47

0.07

-3.51

14.63

7.32

2.44

24.39

19.51

56.10

-0.40

-0.55

-0.61

S5_gapup_fade

2021

233.00

33.05

-0.33

-0.19

-2.75

7.73

4.72

1.29

13.73

6.87

79.40

-0.10

-0.17

-0.12

S5_gapup_fade

2022

230.00

45.65

0.08

-0.07

0.66

10.43

6.09

6.52

23.04

4.35

72.61

0.26

0.20

0.22

S5_gapup_fade

2023

256.00

29.30

-0.35

-0.15

-3.00

5.08

2.73

1.95

9.77

5.47

84.77

-0.17

-0.11

-0.22

S5_gapup_fade

2024

409.00

33.99

-0.32

-0.15

-2.80

6.36

3.42

2.44

12.22

9.29

78.48

-0.09

-0.16

-0.25

S5_gapup_fade

2025

519.00

31.21

-0.30

-0.22

-3.63

6.36

4.05

2.12

12.52

8.86

78.61

-0.13

-0.09

-0.22

S5_gapup_fade

2026

136.00

50.00

-0.04

0.00

-0.56

10.29

2.21

3.68

16.18

9.56

74.26

0.18

0.11

S6_rel_weakness

2020

219.00

56.62

0.13

0.06

2.55

6.85

8.22

6.39

21.46

1.37

77.17

0.21

0.25

0.29

S6_rel_weakness

2021

943.00

50.05

0.05

0.00

0.89

7.42

6.47

3.82

17.71

3.18

79.11

0.10

0.19

S6_rel_weakness

2022

1056.00

42.99

-0.03

-0.09

-0.40

6.53

3.88

14.30

3.88

81.82

0.09

0.07

0.10

S6_rel_weakness

2023

641.00

38.85

-0.07

-0.09

-1.68

4.06

2.65

3.28

9.98

1.72

88.30

0.03

0.06

0.07

S6_rel_weakness

2024

705.00

49.36

-0.01

-0.10

7.38

4.68

4.96

17.02

4.40

78.58

0.05

0.08

0.10

S6_rel_weakness

2025

1199.00

51.63

0.04

0.02

0.49

10.59

5.59

4.67

20.85

4.59

74.56

0.18

0.13

S6_rel_weakness

2026

566.00

39.58

-0.04

-0.14

-0.41

7.42

3.53

5.30

16.25

5.12

78.62

0.10

0.06

0.04

Walk-Forward 4yr Train / 1yr OOS

test_year	setup	N_train	wr_train	mean_train	N_test	wr_test	mean_test
2024	S2_nonearn_deep_drop	2775.00	50.67	0.01	725.00	52.69	0.16
2024	S6_rel_weakness	2859.00	45.44	-0.00	705.00	49.36	-0.01
2024	S5_gapup_fade	760.00	36.71	-0.22	409.00	33.99	-0.32
2024	S3_sigma_drop	1431.00	43.47	0.08	706.00	45.61	0.14
2025	S2_nonearn_deep_drop	3304.00	50.79	0.03	1342.00	53.13	-0.01
2025	S6_rel_weakness	3345.00	45.53	-0.01	1199.00	51.63	0.04
2025	S5_gapup_fade	1128.00	35.11	-0.25	519.00	31.21	-0.30
2025	S3_sigma_drop	2059.00	43.42	0.09	727.00	44.84	0.04
2026	S2_nonearn_deep_drop	3934.00	50.61	0.02	485.00	55.46	0.11
2026	S6_rel_weakness	3601.00	46.38	-0.01	566.00	39.58	-0.04
2026	S5_gapup_fade	1414.00	34.02	-0.25	136.00	50.00	-0.04
2026	S3_sigma_drop	2270.00	42.91	0.06	217.00	51.15	0.10

test_year

setup

N_train

wr_train

mean_train

N_test

wr_test

mean_test

2024

S2_nonearn_deep_drop

2775.00

50.67

0.01

725.00

52.69

0.16

2024

S6_rel_weakness

2859.00

45.44

-0.00

705.00

49.36

-0.01

2024

S5_gapup_fade

760.00

36.71

-0.22

409.00

33.99

-0.32

2024

S3_sigma_drop

1431.00

43.47

0.08

706.00

45.61

0.14

2025

S2_nonearn_deep_drop

3304.00

50.79

0.03

1342.00

53.13

-0.01

2025

S6_rel_weakness

3345.00

45.53

-0.01

1199.00

51.63

0.04

2025

S5_gapup_fade

1128.00

35.11

-0.25

519.00

31.21

-0.30

2025

S3_sigma_drop

2059.00

43.42

0.09

727.00

44.84

0.04

2026

S2_nonearn_deep_drop

3934.00

50.61

0.02

485.00

55.46

0.11

2026

S6_rel_weakness

3601.00

46.38

-0.01

566.00

39.58

-0.04

2026

S5_gapup_fade

1414.00

34.02

-0.25

136.00

50.00

-0.04

2026

S3_sigma_drop

2270.00

42.91

0.06

217.00

51.15

0.10

🎯 Target/Stop Sensitivity (top 10 by Sharpe)

target_pct	stop_pct	N	wr	mean_net	sharpe	target_hit	stop_hit	time_exit	early_exit_17	early_exit_18
0.50	3.00	825.00	59.64	0.21	2.59	44.97	1.45	53.58	29.21	11.27
0.60	3.00	825.00	58.67	0.21	2.56	40.85	1.45	57.70	25.09	11.27
1.00	3.00	825.00	56.36	0.22	2.56	24.36	1.45	74.18	14.79	6.79
1.20	3.00	825.00	55.88	0.22	2.55	20.12	1.45	78.42	11.52	6.55
0.80	3.00	825.00	56.85	0.21	2.52	31.03	1.45	67.52	19.64	7.03
1.50	3.00	825.00	55.52	0.22	2.50	14.67	1.45	83.88	7.52	4.85
0.40	3.00	825.00	60.24	0.20	2.49	50.55	1.45	48.00	35.03	10.06
0.50	1.00	825.00	59.15	0.20	2.43	44.73	8.61	46.67	32.61	13.21
0.60	1.00	825.00	58.18	0.20	2.41	40.61	8.73	50.67	28.48	13.33
1.00	1.00	825.00	55.88	0.20	2.40	24.12	8.97	66.91	18.18	8.97

📊 Exit Timing Distribution (best config)

S2 × HY_tight × RANGING/RISING_MILD · target 0.5% / stop 3.0%

🎯 Target hit: 45% (29% exits at 17:00, 11% at 18:00, 5% at 19:00)
🛑 Stop hit: 1.5% (very rare — wide stop absorbs noise)
⏱ Time exit 19:00: 54% (majority drift flat, positive carry)
Total WR: 60% (target hits + time exits that stayed positive)

Playbook Rules (production)

Hard gate (skip entire day)

SPY_5d < -1% или > +3%
SPY_20d_vol > 20
HY_wide (top quartile 60d)
WoM = 5 (last week of month)

Entry criteria (per ticker at MOC)

oc_ret < -5% (daily close-to-open)
mcap ≥ $2B (exclude micro/spec)
Not earnings day (separate S1 for mega)
price ≥ $5, pre_vol ≥ 20K

Position rules

Entry: market-on-close print
Target: +0.5% (monitor every minute 16:00-19:00)
Stop: -3.0% (hard)
Time exit: 19:00 ET
Sector cap: max 3 per sector (Q2 2025 Energy lesson)

Open Items

Per-minute AH data — current research is hourly. Pull Datum 1-min AH bars for sample events to find optimal EXACT minute exit (not just hour)
S1 mega-cap earnings crash — only 16 events in 5yr — need expanded earnings calendar coverage
Live shadow mode — run screener today (Apr 23) against current basket, validate on live AH prints
Index hedge ETF behavior — user's basket includes SOXL/TQQQ shorts as hedges; research does not cover these
Sector dispersion detector — Q2 2025 Energy concentration kill — need news-shock filter