PM → MOO 9:10 Backtest (Full 6m) v2.2 · ABC

2025-11-17 – 2026-05-11 | 120 days | $1K/pos | Top 15 | PMVol≥50K | Grade≥B+ | 100% SELL | ETF tier 0.5/1/1.5x (capped)
Raw (no hedge)
$+2,059
Total P&L
52%
Win Days
62W / 58L
Days
$+17.2
Avg / Day
1.86
Sharpe
$-1,517
Max DD
QQQ Hedged (1:1)
$+2,667
Total P&L
52%
Win Days
62W / 58L
Days
$+22.2
Avg / Day
2.47
Sharpe
$-1,419
Max DD

ETF-tier breakdown (capped 1.5x)

CALM (0.5x)
$-425
N=34 · $-12.5/d · Sh -5.30 · WR 38%
NORMAL (1.0x)
$+1,405
N=52 · $+27.0/d · Sh 3.89 · WR 58%
DISPERSION (1.5x)
$+1,687
N=34 · $+49.6/d · Sh 3.55 · WR 56%

Quartile breakdown — regime stability check

QuartilePeriodDaysPnL_HSharpe (×√252)WR_H
Q12025-11-17 .. 2025-12-3030$-697-3.0843%
Q22025-12-31 .. 2026-02-1230$+1,0083.6967%
Q32026-02-13 .. 2026-03-2730$+1,4474.8243%
Q42026-03-30 .. 2026-05-1130$+9093.6653%

Audit summary (audit_v22_fixes.py)

Statistical
Bootstrap 95% CI Sharpe[3.37, 9.22]
P(Sharpe > 0)100%
Monte Carlo null directionp < 0.0001
Lag-1 autocorrelation+0.050 (n.s.)
Per-sub-strategy (BH FDR=0.10)
VWAP (N=679)p=0.31 NO
Mom5m (N=1154)p=0.36 NO
BBt (N=75)p=0.76 NO
RSI (N=436)p=0.84 NO
Walk-forward (IS Nov-Feb vs OOS Mar-May)
IS Sharpe8.43
OOS Sharpe5.00
OOS / IS ratio0.59 (MARGINAL)
Holdout (last 30d) ratio0.86 (PASS)
Risk
Top-5 ticker concentration28% (OK)
Unique tickers410
Max win streak11d
Max loss streak3d

Cumulative P&L ($)

Daily P&L ($) — Hedged

Daily Breakdown

DateNTierWRWR_HP&LP&L_HCum_H
backtest_910_v22.py | Scorer v2.2 (post-ABC) | audit_v22_fixes.py: 8/10 PASS, 1 MARGINAL (OOS ratio 0.59), 1 INFO (per-strategy BH 0/4)