Basket: SPY, QQQ, IWM, EFA, EEM, XLK, XLF, XLE, XLV, XLI, XLP, XLU, XLY, SMH, ITB, XBI, GDX, TLT, IEF, LQD, HYG, TIP, VNQ, GLD, SLV, USO, DBC, UUP | 20y daily | fees 5 bps/side maker, 15 bps + 3 bps half-spread taker |
next-open fills via validated data/alpaca/trend.py machinery.
Rule-family aggregates (all cells reported in etf_trend_grid.csv)
| rule | w | rw | median net bps | mean | #pos/#syms | #both-halves |
|---|
| dual | 200 | 60.0 | +7,189 | +8,242 | 28/28 | 20 |
| dual | 200 | 120.0 | +7,168 | +10,065 | 28/28 | 24 |
| dual | 100 | 60.0 | +6,875 | +8,455 | 27/28 | 23 |
| dual | 300 | 120.0 | +6,802 | +9,082 | 27/28 | 20 |
| dual | 100 | 120.0 | +6,450 | +7,602 | 28/28 | 22 |
| dual | 300 | 60.0 | +5,606 | +7,387 | 28/28 | 21 |
| dual | 100 | 20.0 | +5,478 | +6,343 | 25/28 | 20 |
| dual | 200 | 20.0 | +4,498 | +5,229 | 26/28 | 19 |
| dual | 300 | 20.0 | +3,348 | +4,699 | 27/28 | 15 |
Cells positive on BOTH halves: 340/448
| symbol | rule | w | rw | trades | net bps | compounded % | maxDD % | cal bps | val bps |
|---|
| SMH | dual | 200 | 60.0 | 135 | +28,986 | +680.0 | -26.6 | +7,433 | +21,553 |
| SMH | roc | 60 | - | 143 | +29,732 | +683.9 | -32.0 | +8,555 | +21,177 |
| SMH | dual | 300 | 60.0 | 121 | +29,202 | +716.0 | -32.0 | +9,002 | +20,200 |
| SMH | ma | 100 | - | 116 | +33,258 | +1013.7 | -32.9 | +13,235 | +20,023 |
| SMH | roc | 20 | - | 249 | +20,866 | +379.2 | -44.8 | +1,565 | +19,301 |
| SMH | dual | 100 | 60.0 | 151 | +28,679 | +738.8 | -33.9 | +9,448 | +19,231 |
| SMH | ma | 200 | - | 60 | +31,459 | +794.3 | -19.6 | +12,926 | +18,533 |
| SMH | ma | 300 | - | 41 | +33,026 | +885.3 | -18.7 | +15,460 | +17,566 |
| SMH | dual | 100 | 120.0 | 120 | +29,626 | +773.1 | -36.4 | +12,299 | +17,327 |
| SMH | ma | 50 | - | 208 | +19,061 | +320.9 | -36.4 | +2,007 | +17,054 |
| SMH | dual | 100 | 20.0 | 210 | +21,743 | +481.3 | -33.5 | +4,827 | +16,916 |
| XLK | ma | 50 | - | 180 | +20,000 | +445.0 | -22.7 | +3,310 | +16,690 |
| SMH | dual | 200 | 20.0 | 196 | +19,016 | +345.1 | -31.2 | +2,373 | +16,642 |
| XLK | ma | 200 | - | 51 | +26,907 | +677.0 | -12.9 | +11,422 | +15,486 |
| SMH | dual | 300 | 20.0 | 189 | +19,451 | +365.8 | -33.0 | +4,072 | +15,379 |
| XLK | roc | 20 | - | 225 | +19,629 | +415.9 | -31.1 | +4,435 | +15,194 |
| SMH | dual | 300 | 120.0 | 63 | +30,229 | +742.3 | -21.2 | +15,527 | +14,703 |
| SMH | dual | 200 | 120.0 | 72 | +28,547 | +683.3 | -18.9 | +13,864 | +14,683 |
| ITB | ma | 200 | - | 85 | +14,490 | +129.9 | -40.1 | +215 | +14,275 |
| XLK | dual | 200 | 60.0 | 102 | +17,088 | +329.5 | -17.1 | +2,988 | +14,100 |
| QQQ | roc | 20 | - | 215 | +23,385 | +690.3 | -23.6 | +9,308 | +14,077 |
| XLK | roc | 60 | - | 116 | +16,858 | +304.7 | -20.8 | +2,875 | +13,983 |
| QQQ | ma | 200 | - | 59 | +26,325 | +595.5 | -16.3 | +12,643 | +13,682 |
| QQQ | ma | 50 | - | 160 | +19,364 | +427.2 | -13.5 | +5,718 | +13,646 |
| XLK | dual | 300 | 60.0 | 106 | +14,907 | +247.4 | -18.9 | +1,289 | +13,618 |
| SMH | roc | 120 | - | 90 | +29,272 | +626.8 | -26.8 | +15,668 | +13,604 |
| GLD | dual | 200 | 120.0 | 75 | +22,700 | +458.1 | -21.1 | +9,204 | +13,496 |
| SLV | ma | 300 | - | 62 | +18,985 | +158.9 | -49.0 | +5,597 | +13,388 |
| QQQ | dual | 200 | 120.0 | 70 | +28,645 | +753.1 | -13.2 | +15,398 | +13,247 |
| XLK | dual | 200 | 20.0 | 198 | +15,009 | +251.4 | -21.0 | +1,832 | +13,177 |
Taker stress on top 8 survivors
| symbol | rule | w | rw | maker net | taker net | taker both-halves? |
|---|
| SMH | dual | 200 | 60.0 | +28,986 | +25,405 | YES |
| SMH | roc | 60 | - | +29,732 | +25,942 | YES |
| SMH | dual | 300 | 60.0 | +29,202 | +25,984 | YES |
| SMH | ma | 100 | - | +33,258 | +30,159 | YES |
| SMH | roc | 20 | - | +20,866 | +14,346 | no |
| SMH | dual | 100 | 60.0 | +28,679 | +24,684 | YES |
| SMH | ma | 200 | - | +31,459 | +29,819 | YES |
| SMH | ma | 300 | - | +33,026 | +31,876 | YES |
ALL DONE