PM → MOO 9:10 (Post-Mar31 Regime Probe)
v2.2 · post-Mar31
2026-03-31 – 2026-05-11 | 29 days | $1K/pos | Top 15 | PMVol≥50K | Grade≥B+ | 100% SELL | Capped 1.5x
Raw (no hedge)
$+1,030
Total P&L
55%
Win Days
16W / 13L
Days
$+35.5
Avg / Day
3.89
Sharpe
$-469
Max DD
QQQ Hedged (1:1)
$+981
Total P&L
55%
Win Days
16W / 13L
Days
$+33.8
Avg / Day
4.06
Sharpe
$-400
Max DD
ETF-tier breakdown (capped 1.5x)
CALM (0.5x)
$-35
N=11 · $-3.2/d · Sh -1.31 · WR 36%
NORMAL (1.0x)
$+508
N=12 · $+42.3/d · Sh 5.08 · WR 67%
DISPERSION (1.5x)
$+509
N=6 · $+84.8/d · Sh 6.62 · WR 67%
Sub-regime detection (half-half + key dates)
Phase
Period
Days
PnL_H
Sharpe (×√252)
WR_H
H1 — late tariff turbulence
2026-03-31 .. 2026-04-20
14
$+133
1.72
57%
H2 — relief + stabilization
2026-04-21 .. 2026-05-11
15
$+848
5.62
53%
Regime hypothesis:
April tariff bottom hit ≈Apr 21. H1 covers late-tariff turbulence (Sh 1.72, strategy ambiguous when premarket vol is news-driven). H2 covers relief rally + stabilization. Within H2:
Apr 21-30 stellar
(forced-cover fade pattern reappeared),
May 1-11 mixed
(grinding QQQ rally drags hedge; calm-day 0.5x tier loses money — structural change).
0.5x tier turned negative
in this window (-$69 / Sh -1.48 / WR 50%) vs +$374 / Sh 3.24 on full 120d — the canary for regime drift.
Audit summary (audit_v22_fixes.py)
Statistical
Bootstrap 95% CI Sharpe
[-1.76, 10.51]
P(Sharpe > 0)
96%
Monte Carlo null direction
p < 0.0001
Lag-1 autocorrelation
+0.050 (n.s.)
Per-sub-strategy (BH FDR=0.10)
VWAP (N=679)
p=0.31 NO
Mom5m (N=1154)
p=0.36 NO
BBt (N=75)
p=0.76 NO
RSI (N=436)
p=0.84 NO
Walk-forward (IS Nov-Feb vs OOS Mar-May)
IS Sharpe
8.43
OOS Sharpe
5.00
OOS / IS ratio
0.59 (MARGINAL)
Holdout (last 30d) ratio
0.86 (PASS)
Risk
Top-5 ticker concentration
28% (OK)
Unique tickers
410
Max win streak
11d
Max loss streak
3d
Cumulative P&L ($)
Daily P&L ($) — Hedged
Daily Breakdown
Date
N
Tier
WR
WR_H
P&L
P&L_H
Cum_H