| Strategy | Trades | PF | WR | Net $ | Avg R | Description |
|---|---|---|---|---|---|---|
| BURST_5M | 4 | 2.805 | 50.0% | +232 | +0.116 | 5m z>2.5 vol-burst continuation, ATR trail |
| INTRADAY_MOM | 525 | 0.990 | 38.9% | -595 | -0.002 | Gao intraday momentum: 1st-30min >= +1ATR, hold to close |
| ORB_BREAK | 115 | 0.972 | 42.6% | -139 | -0.002 | Opening-range breakout, vol expansion, OR-low anchor |
| CROSS_SECTION | 179 | 0.942 | 39.1% | -1,177 | -0.013 | Top-3 daily basket by first-40min normalized momentum |
| VWAP_FADE | 2,563 | 0.728 | 47.1% | -43,462 | -0.034 | Fade <0.5ATR below VWAP + 1m z<-2, revert to VWAP |
| SPIKE_REVERT | 15 | 0.328 | 20.0% | -668 | -0.089 | Fade 1m z<-3 vol spikes toward EMA50 |
Verdicts
- BURST_5M: REJECT (PF 2.81, 4 trades)
- INTRADAY_MOM: REJECT (PF 0.99, 525 trades)
- ORB_BREAK: REJECT (PF 0.97, 115 trades)
- CROSS_SECTION: REJECT (PF 0.94, 179 trades)
- VWAP_FADE: REJECT (PF 0.73, 2563 trades)
- SPIKE_REVERT: REJECT (PF 0.33, 15 trades)