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Opp score study

Find which Opp score range actually worked.

Replay completed projection rows and search continuous Opp score ranges against actual forward outcomes. Primary result is a walk-forward OOS stable Opp plateau; balanced and 0.5 ranges remain secondary diagnostics.

Rows with outcomes 26237
Trade dates 80
Excluded downtrends 13906
Best stable plateau 3.2–3.7
Best balanced range 4.0–4.3
Best 0.5 range 3.8–4.3
Best 0.1 bin -1.9–-1.8
Best bucket 4 - 4.5
Best threshold opp > 3
Best Top-N Top 3
Window 2026-05-13 → 2026-09-10

Study results

2026-09-10 · 120D window

26237 rows with outcomes 1507 awaiting horizon Outcome horizon follows each projection row

Uses the same long-term downtrend exclusion as projection picks (200D MA down, deep drawdown below long MA, or 120D decline below long MA).

Primary finding

Best stable Opp plateau

Walk-forward OOS consensus over Opp ≥ 0 (width 0.5–2.0). Train folds only use outcomes completed before each test date. Half-open [start, end).

3.2–3.7
OOS median return +0.1%
OOS avg return +0.21%
OOS win rate 51.8%
Plateau score 0.160
Median lift +0.14%
Avg lift +0.22%
Win-rate lift +2.4pp
Fold stability 87%
OOS sample 654
OOS test dates 56
Width 0.5
95% lift LB 0.034
Search span -3–6
Minimum sample 20

Best balanced range: 4.0–4.3 · Best 0.5 range: 3.8–4.3 (in-sample diagnostics only)

Baseline avg return +0.15%
Baseline win rate 50.7%
Baseline runup +2.95%
Baseline drawdown -2.64%

Median return curve (reliable Opp span, step 0.1)

-2.9–-2.8 · n=22 · median -1.72% -2.8–-2.7 · n=16 · median +0.19% -2.7–-2.6 · n=21 · median -0.41% -2.6–-2.5 · n=20 · median -0.98% -2.5–-2.4 · n=32 · median +0.05% -2.4–-2.3 · n=17 · median -0.81% -2.3–-2.2 · n=32 · median +1.04% -2.2–-2.1 · n=36 · median -0.33% -2.1–-2.0 · n=39 · median -1.31% -2.0–-1.9 · n=53 · median -0.56% -1.9–-1.8 · n=39 · median +1.42% -1.8–-1.7 · n=45 · median +0.04% -1.7–-1.6 · n=66 · median +0.2% -1.6–-1.5 · n=58 · median +0.01% -1.5–-1.4 · n=84 · median +0.21% -1.4–-1.3 · n=86 · median +0.16% -1.3–-1.2 · n=97 · median -0.65% -1.2–-1.1 · n=114 · median +0.44% -1.1–-1.0 · n=144 · median -0.31% -1.0–-0.9 · n=160 · median +0.37% -0.9–-0.8 · n=187 · median +0.14% -0.8–-0.7 · n=207 · median +0.4% -0.7–-0.6 · n=244 · median -0.2% -0.6–-0.5 · n=242 · median +0.59% -0.5–-0.4 · n=312 · median +0.29% -0.4–-0.3 · n=350 · median -0.13% -0.3–-0.2 · n=391 · median +0.16% -0.2–-0.1 · n=420 · median +0.14% -0.1–0.0 · n=527 · median +0.13% 0.0–0.1 · n=583 · median +0.34% 0.1–0.2 · n=581 · median -0.3% 0.2–0.3 · n=678 · median +0.26% 0.3–0.4 · n=792 · median +0.36% 0.4–0.5 · n=793 · median +0.21% 0.5–0.6 · n=847 · median +0.05% 0.6–0.7 · n=867 · median -0.12% 0.7–0.8 · n=851 · median +0.01% 0.8–0.9 · n=866 · median 0% 0.9–1.0 · n=836 · median -0.06% 1.0–1.1 · n=881 · median +0.04% 1.1–1.2 · n=856 · median +0.23% 1.2–1.3 · n=782 · median -0.06% 1.3–1.4 · n=731 · median 0% 1.4–1.5 · n=714 · median -0.02% 1.5–1.6 · n=645 · median -0.13% 1.6–1.7 · n=727 · median -0.05% 1.7–1.8 · n=620 · median +0.1% 1.8–1.9 · n=608 · median +0.06% 1.9–2.0 · n=548 · median +0.13% 2.0–2.1 · n=489 · median -0.16% 2.1–2.2 · n=508 · median +0.29% 2.2–2.3 · n=485 · median -0.25% 2.3–2.4 · n=413 · median -0.17% 2.4–2.5 · n=421 · median -0.07% 2.5–2.6 · n=386 · median +0.21% 2.6–2.7 · n=335 · median -0.14% 2.7–2.8 · n=363 · median +0.06% 2.8–2.9 · n=326 · median +0.2% 2.9–3.0 · n=305 · median -0.02% 3.0–3.1 · n=298 · median +0.3% 3.1–3.2 · n=223 · median +0.35% 3.2–3.3 · n=228 · median +0.5% 3.3–3.4 · n=195 · median +0.55% 3.4–3.5 · n=168 · median +0.16% 3.5–3.6 · n=174 · median -0.16% 3.6–3.7 · n=145 · median +0.48% 3.7–3.8 · n=151 · median +0.07% 3.8–3.9 · n=120 · median +0.37% 3.9–4.0 · n=132 · median -0.09% 4.0–4.1 · n=119 · median +0.47% 4.1–4.2 · n=89 · median +1.09% 4.2–4.3 · n=102 · median +0.83% 4.3–4.4 · n=97 · median -0.23% 4.4–4.5 · n=84 · median -0.24% 4.5–4.6 · n=60 · median +0.03% 4.6–4.7 · n=70 · median +0.05% 4.7–4.8 · n=63 · median -0.97% 4.8–4.9 · n=56 · median -0.3% 4.9–5.0 · n=66 · median -0.72% 5.0–5.1 · n=44 · median +0.95% 5.1–5.2 · n=57 · median -0.37% 5.2–5.3 · n=50 · median +0.18% 5.3–5.4 · n=48 · median -0.73% 5.4–5.5 · n=39 · median -1.25% 5.5–5.6 · n=40 · median -0.89% 5.6–5.7 · n=34 · median -0.74% 5.7–5.8 · n=30 · median -0.7% 5.8–5.9 · n=29 · median +0.44% -3-2-10123456 -1.7%-0.9%0%+0.9%+1.7%

Curve uses Opp bins of width 0.1. Leading/trailing bins below min sample are trimmed. Main line connects n ≥ min sample only. Shaded band is the walk-forward OOS stable Opp plateau when qualified. · edges trimmed (n < min sample) · balanced width 0.3–2 · range -3–6 · step 0.1 · min sample 20 · Best 0.1 bin: -1.9–-1.8 (+1.42%, n=39) · Best stable plateau: 3.2–3.7 (+0.1%, n=654) · Best balanced range: 4.0–4.3 (+0.69%, n=309) · Best 0.5 range: 3.8–4.3 (+0.48%, n=561)

Secondary analyses (buckets, hold, TP/SL)

Opp score buckets

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
< 0 4205 +0.30% +0.07% 50.7% +3.41% -2.88%
0 - 1 7694 +0.12% +0.09% 51.1% +2.88% -2.54%
1 - 2 7112 +0.03% +0.02% 50.2% +2.72% -2.54%
2 - 2.5 2316 -0.05% -0.06% 49.1% +2.52% -2.54%
2.5 - 3 1715 +0.19% +0.07% 51% +2.73% -2.47%
3 - 3.5 1112 +0.78% +0.36% 55.1% +3.36% -2.41%
3.5 - 4 722 +0.63% +0.10% 51.2% +3.24% -2.46%
4 - 4.5 491 +0.65% +0.47% 56.2% +3.33% -2.84%
4.5 - 5 315 -0.98% -0.30% 46.7% +2.65% -3.97%
5+ 555 -0.07% -0.39% 46.7% +4.40% -4.35%

Holding period study

Buy-and-hold at fixed holding days. Best hold = highest annualized net return (median × 252/H − 5% pa), assuming capital is continuously redeployed. Independent of the projection-horizon baseline and TP/SL filter.

Filter Best hold 3D 5D 7D 10D 20D
n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown
all 20D 26237 +0.06% +0.04% 50.7% -2.64% 25676 +0.19% +4.58% 52% -3.47% 25115 +0.21% +2.56% 52% -4.13% 24252 +0.34% +3.57% 52.6% -4.91% 21331 +1.23% +10.50% 56.4% -6.59%
< 0 20D 4205 +0.07% +0.88% 50.7% -2.88% 4136 +0.26% +8.10% 52.6% -3.83% 4044 +0.18% +1.48% 51.3% -4.54% 3868 +0.49% +7.35% 53.2% -5.27% 3221 +1.22% +10.37% 56.4% -6.53%
0 - 1 20D 7694 +0.09% +2.56% 51.1% -2.54% 7557 +0.17% +3.57% 52% -3.35% 7468 +0.37% +8.32% 53.2% -4.01% 7312 +0.52% +8.10% 54% -4.74% 6812 +1.67% +16.04% 58.3% -6.31%
1 - 2 20D 7112 +0.02% -3.32% 50.2% -2.54% 6938 +0.13% +1.55% 51.3% -3.36% 6817 +0.22% +2.92% 52.1% -3.96% 6629 +0.38% +4.58% 53% -4.73% 5992 +1.57% +14.78% 58.4% -6.37%
2 - 2.5 20D 2316 -0.06% -10.04% 49.1% -2.54% 2240 +0.15% +2.56% 52.1% -3.28% 2174 +0.16% +0.76% 51.8% -4.03% 2084 +0.21% +0.29% 51.6% -4.81% 1800 +1.16% +9.62% 56.4% -6.34%
2.5 - 3 5D 1715 +0.07% +0.88% 51% -2.47% 1653 +0.16% +3.06% 52.2% -3.22% 1598 -0.11% -8.96% 48.7% -3.94% 1516 -0.04% -6.01% 49.6% -4.89% 1268 +0.12% -3.49% 50.9% -6.58%
3 - 3.5 3D 1112 +0.36% +25.24% 55.1% -2.41% 1084 +0.48% +19.19% 56.2% -3.02% 1031 +0.28% +5.08% 53.8% -3.68% 963 +0.20% +0.04% 51.4% -4.42% 775 +0.48% +1.05% 52.1% -6.41%
3.5 - 4 5D 722 +0.10% +3.40% 51.2% -2.46% 708 +0.36% +13.14% 55.5% -3.19% 671 +0.38% +8.68% 53.4% -3.62% 621 +0.43% +5.84% 53.8% -4.27% 464 +0.67% +3.44% 54.3% -6.36%
4 - 4.5 3D 491 +0.47% +34.48% 56.2% -2.84% 490 +0.31% +10.62% 53.3% -3.47% 468 +0.06% -2.84% 50.9% -4.08% 438 -0.24% -11.05% 48.4% -4.86% 330 -0.69% -13.69% 45.8% -7.73%
4.5 - 5 7D 315 -0.30% -30.20% 46.7% -3.97% 315 -0.18% -14.07% 48.3% -4.87% 300 +0.28% +5.08% 53.7% -5.40% 285 -0.40% -15.08% 46.7% -6.48% 220 -2.14% -31.96% 39.5% -10.27%
5+ 10D 555 -0.39% -37.76% 46.7% -4.35% 555 -0.45% -27.68% 44.5% -5.84% 544 -0.92% -38.12% 42.8% -6.95% 536 -0.55% -18.86% 46.1% -8.12% 449 -2.77% -39.90% 39.2% -12.81%

Threshold holding periods

Same fixed holding-day grid for common Opp thresholds. Best hold ranks by annualized net return after 5% pa carry.

Filter Best hold 3D 5D 7D 10D 20D
n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown n Median return Ann. net 歷史相似情境上漲比例 Avg drawdown
opp < 2 20D 19011 +0.06% +0.04% 50.7% -2.62% 18631 +0.18% +4.07% 51.9% -3.46% 18329 +0.28% +5.08% 52.4% -4.11% 17809 +0.47% +6.84% 53.4% -4.85% 16025 +1.53% +14.28% 58% -6.38%
opp > 1 20D 14329 +0.04% -1.64% 50.5% -2.63% 13974 +0.16% +3.06% 51.9% -3.43% 13594 +0.14% +0.04% 51.5% -4.09% 13064 +0.24% +1.05% 51.7% -4.90% 11290 +0.96% +7.10% 55.2% -6.77%
opp > 2 5D 7221 +0.06% +0.04% 50.9% -2.72% 7041 +0.20% +5.08% 52.4% -3.50% 6782 +0.06% -2.84% 50.9% -4.21% 6439 +0.07% -3.24% 50.4% -5.07% 5304 +0.27% -1.60% 51.5% -7.21%
opp > 3 3D 3193 +0.17% +9.28% 52.1% -2.98% 3150 +0.25% +7.60% 52.7% -3.81% 3012 +0.09% -1.76% 51.2% -4.49% 2841 0.00% -5.00% 49.9% -5.36% 2237 -0.40% -10.04% 47.8% -8.26%
opp > 5 10D 553 -0.38% -36.92% 46.8% -4.35% 553 -0.45% -27.68% 44.7% -5.85% 542 -0.93% -38.48% 42.8% -6.97% 534 -0.56% -19.11% 46.1% -8.14% 448 -2.76% -39.78% 39.3% -12.82%

Top-N performance

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
all 26237 +0.15% +0.06% 50.7% +2.95% -2.64%
Top 3 240 +0.51% +0.33% 53.8% +3.40% -2.94%
Top 5 400 +0.39% +0.32% 54.5% +3.51% -2.96%
Top 10 800 +0.36% +0.23% 52.9% +3.49% -3.00%
Top 20 1600 +0.34% +0.22% 52.6% +3.41% -3.06%
Top 50 4000 +0.32% +0.16% 52.3% +3.37% -3.04%

TP/SL @ 3D

Walk-forward grid search by Opp bucket at the selected TP/SL horizon. Opp scores still come from each row's projection setting. Each test day uses only prior completed rows to pick TP/SL, then applies it to that day. Same-bar TP and SL assume stop-loss first.

Bucket n TP SL Avg return Median return 歷史相似情境上漲比例 TP hit SL hit Baseline median
< 0 4181 +2.00% 5% 0.00% +2.00% 60.6% 52.7% 16.8% +0.08%
0 - 1 7603 +2.00% 5% +0.06% +2.00% 60.8% 52% 14.8% +0.09%
1 - 2 6986 +2.00% 5% +0.03% +1.27% 57.4% 48.9% 22% +0.03%
2 - 2.5 2272 +2.00% 5% -0.05% +1.00% 57.9% 46.8% 11% -0.06%
2.5 - 3 1693 +2.00% 5% +0.06% +1.16% 59.3% 48% 10% +0.09%
3 - 3.5 1085 +3.00% 5% +0.26% +1.28% 60.6% 47.1% 9.8% +0.41%
3.5 - 4 698 +2.00% 4% -0.03% +0.71% 56.7% 45.8% 16.5% +0.15%
4 - 4.5 468 +2.00% 5% +0.16% +0.73% 57.7% 41.7% 16.5% +0.46%
4.5 - 5 294 +2.00% 5% -0.56% +0.06% 51.7% 38.8% 22.4% -0.32%
5+ 530 +2.00% 4% -0.36% +0.11% 50.2% 39.8% 32.5% -0.26%

Rolling best bucket TP/SL @ 3D

Walk-forward Opp bucket filter at 3D. Each test day uses only prior completed rows to pick the best Opp bucket by median baseline return, then runs a fine TP/SL grid on that day's matching rows. Same-bar TP and SL assume stop-loss first.
+9.00% -3.00% 1164 71 3 - 3.5 +0.30% -0.13% 48.1% 6.8% 31.4% 61.9% 1.37 +0.30% -3.00% +0.21%
+9.00% -4.00% 1164 71 3 - 3.5 +0.30% +0.06% 50.8% 7.2% 22.9% 69.9% 1.2 +0.30% -4.00% +0.21%
+9.00% -5.00% 1164 71 3 - 3.5 +0.30% +0.18% 52.1% 7.6% 16.8% 75.6% 1.13 +0.30% -5.00% +0.21%
+9.00% -3.50% 1164 71 3 - 3.5 +0.29% -0.05% 49.3% 7% 27.1% 65.9% 1.27 +0.29% -3.50% +0.21%
+8.50% -3.00% 1164 71 3 - 3.5 +0.28% -0.13% 48.1% 7% 31.4% 61.7% 1.34 +0.28% -3.00% +0.21%
+9.00% -4.50% 1164 71 3 - 3.5 +0.28% +0.10% 51.3% 7.5% 19.3% 73.2% 1.16 +0.28% -4.50% +0.21%
+8.50% -4.00% 1164 71 3 - 3.5 +0.27% +0.06% 50.8% 7.4% 22.9% 69.8% 1.18 +0.27% -4.00% +0.21%
+8.50% -5.00% 1164 71 3 - 3.5 +0.27% +0.18% 52.1% 7.8% 16.8% 75.4% 1.11 +0.27% -5.00% +0.21%
+8.00% -3.00% 1164 71 3 - 3.5 +0.26% -0.13% 48.1% 7.6% 31.4% 61% 1.32 +0.26% -3.00% +0.21%
+8.50% -3.50% 1164 71 3 - 3.5 +0.26% -0.05% 49.3% 7.2% 27.1% 65.7% 1.25 +0.26% -3.50% +0.21%
+8.00% -4.00% 1164 71 3 - 3.5 +0.25% +0.06% 50.8% 8.2% 22.9% 69% 1.16 +0.25% -4.00% +0.21%
+8.00% -5.00% 1164 71 3 - 3.5 +0.25% +0.18% 52.1% 8.8% 16.8% 74.5% 1.1 +0.25% -5.00% +0.21%
+8.50% -4.50% 1164 71 3 - 3.5 +0.25% +0.10% 51.3% 7.6% 19.3% 73% 1.14 +0.25% -4.50% +0.21%
+7.00% -3.00% 1164 71 3 - 3.5 +0.24% -0.11% 48.4% 9.1% 31.2% 59.7% 1.29 +0.24% -3.00% +0.21%
+7.50% -3.00% 1164 71 3 - 3.5 +0.24% -0.12% 48.2% 8.2% 31.4% 60.5% 1.3 +0.24% -3.00% +0.21%
+8.00% -3.50% 1164 71 3 - 3.5 +0.24% -0.05% 49.3% 8% 27.1% 64.9% 1.23 +0.24% -3.50% +0.21%
+7.50% -5.00% 1164 71 3 - 3.5 +0.23% +0.19% 52.1% 9.3% 16.8% 74% 1.08 +0.23% -5.00% +0.21%
+8.00% -4.50% 1164 71 3 - 3.5 +0.23% +0.10% 51.3% 8.4% 19.3% 72.3% 1.12 +0.23% -4.50% +0.21%
+7.00% -3.50% 1164 71 3 - 3.5 +0.22% -0.04% 49.6% 9.5% 26.9% 63.7% 1.2 +0.22% -3.50% +0.21%
+7.00% -4.00% 1164 71 3 - 3.5 +0.22% +0.07% 51% 9.6% 22.7% 67.7% 1.13 +0.22% -4.00% +0.21%
+7.00% -5.00% 1164 71 3 - 3.5 +0.22% +0.20% 52.3% 10.2% 16.6% 73.2% 1.07 +0.22% -5.00% +0.21%
+7.50% -3.50% 1164 71 3 - 3.5 +0.22% -0.04% 49.4% 8.5% 27.1% 64.4% 1.21 +0.22% -3.50% +0.21%
+7.50% -4.00% 1164 71 3 - 3.5 +0.22% +0.06% 50.9% 8.7% 22.9% 68.5% 1.14 +0.22% -4.00% +0.21%
+7.50% -4.50% 1164 71 3 - 3.5 +0.21% +0.10% 51.4% 8.9% 19.3% 71.7% 1.1 +0.21% -4.50% +0.21%
+6.00% -3.00% 1164 71 3 - 3.5 +0.20% -0.11% 48.6% 11.3% 30.9% 57.8% 1.24 +0.20% -3.00% +0.21%
+6.50% -3.00% 1164 71 3 - 3.5 +0.20% -0.11% 48.4% 9.6% 31.2% 59.2% 1.26 +0.20% -3.00% +0.21%
+7.00% -4.50% 1164 71 3 - 3.5 +0.20% +0.10% 51.5% 9.9% 19.2% 71% 1.09 +0.20% -4.50% +0.21%
+6.50% -4.00% 1164 71 3 - 3.5 +0.19% +0.07% 51% 10.5% 22.7% 66.8% 1.1 +0.19% -4.00% +0.21%
+6.50% -5.00% 1164 71 3 - 3.5 +0.19% +0.20% 52.3% 11.2% 16.6% 72.3% 1.04 +0.19% -5.00% +0.21%
+3.50% -3.50% 1164 71 3 - 3.5 +0.18% +0.25% 53.4% 26.4% 24.1% 49.6% 1.01 +0.18% -3.50% +0.21%
+3.50% -4.00% 1164 71 3 - 3.5 +0.18% +0.36% 54.7% 27.1% 20.4% 52.6% 0.96 +0.18% -4.00% +0.21%
+6.00% -4.00% 1164 71 3 - 3.5 +0.18% +0.10% 51.3% 12.3% 22.5% 65.2% 1.1 +0.18% -4.00% +0.21%
+6.00% -5.00% 1164 71 3 - 3.5 +0.18% +0.21% 52.6% 13% 16.5% 70.5% 1.03 +0.18% -5.00% +0.21%
+3.50% -3.00% 1164 71 3 - 3.5 +0.17% +0.14% 51.8% 25.2% 28.6% 46.2% 1.08 +0.17% -3.00% +0.21%
+3.50% -5.00% 1164 71 3 - 3.5 +0.17% +0.48% 56% 28.2% 14.5% 57.3% 0.9 +0.17% -5.00% +0.21%
+4.00% -3.00% 1164 71 3 - 3.5 +0.17% +0.07% 50.9% 20.4% 29.3% 50.3% 1.12 +0.17% -3.00% +0.21%
+4.00% -3.50% 1164 71 3 - 3.5 +0.17% +0.20% 52.3% 21.4% 24.8% 53.8% 1.05 +0.17% -3.50% +0.21%
+6.00% -3.50% 1164 71 3 - 3.5 +0.17% -0.01% 49.8% 11.8% 26.6% 61.6% 1.16 +0.17% -3.50% +0.21%
+6.50% -3.50% 1164 71 3 - 3.5 +0.17% -0.04% 49.6% 10.1% 26.9% 63.1% 1.16 +0.17% -3.50% +0.21%
+6.50% -4.50% 1164 71 3 - 3.5 +0.17% +0.10% 51.5% 10.8% 19.2% 70% 1.06 +0.17% -4.50% +0.21%
+4.00% -4.00% 1164 71 3 - 3.5 +0.16% +0.26% 53.5% 21.9% 21.1% 57% 0.99 +0.16% -4.00% +0.21%
+4.00% -5.00% 1164 71 3 - 3.5 +0.16% +0.36% 54.8% 23% 15.2% 61.8% 0.93 +0.16% -5.00% +0.21%
+4.50% -3.00% 1164 71 3 - 3.5 +0.16% -0.01% 49.8% 17% 29.9% 53.1% 1.16 +0.16% -3.00% +0.21%
+4.50% -3.50% 1164 71 3 - 3.5 +0.16% +0.09% 51.2% 17.9% 25.4% 56.7% 1.09 +0.16% -3.50% +0.21%
+5.50% -3.00% 1164 71 3 - 3.5 +0.16% -0.10% 48.8% 12.2% 30.8% 57% 1.2 +0.16% -3.00% +0.21%
+6.00% -4.50% 1164 71 3 - 3.5 +0.16% +0.13% 51.8% 12.6% 19% 68.4% 1.05 +0.16% -4.50% +0.21%
+3.50% -4.50% 1164 71 3 - 3.5 +0.15% +0.42% 55.2% 27.5% 16.9% 55.6% 0.92 +0.15% -4.50% +0.21%
+4.50% -4.00% 1164 71 3 - 3.5 +0.15% +0.21% 52.4% 18.4% 21.7% 59.9% 1.02 +0.15% -4.00% +0.21%
+4.50% -5.00% 1164 71 3 - 3.5 +0.15% +0.29% 53.7% 19.5% 15.8% 64.7% 0.96 +0.15% -5.00% +0.21%
+5.00% -3.00% 1164 71 3 - 3.5 +0.15% -0.08% 49.1% 14.3% 30.6% 55.2% 1.17 +0.15% -3.00% +0.21%
+5.50% -3.50% 1164 71 3 - 3.5 +0.15% +0.02% 50.1% 12.9% 26.5% 60.7% 1.12 +0.15% -3.50% +0.21%
+5.50% -4.00% 1164 71 3 - 3.5 +0.15% +0.10% 51.5% 13.4% 22.3% 64.3% 1.06 +0.15% -4.00% +0.21%
+5.50% -5.00% 1164 71 3 - 3.5 +0.15% +0.21% 52.8% 14.2% 16.3% 69.5% 1 +0.15% -5.00% +0.21%
+3.00% -3.00% 1164 71 3 - 3.5 +0.14% +0.22% 52.7% 31.4% 28.2% 40.4% 1.02 +0.14% -3.00% +0.21%
+3.00% -3.50% 1164 71 3 - 3.5 +0.14% +0.34% 54.3% 32.6% 23.7% 43.7% 0.95 +0.14% -3.50% +0.21%
+4.00% -4.50% 1164 71 3 - 3.5 +0.14% +0.30% 54% 22.3% 17.6% 60.1% 0.95 +0.14% -4.50% +0.21%
+5.00% -3.50% 1164 71 3 - 3.5 +0.14% +0.04% 50.4% 15% 26.2% 58.8% 1.1 +0.14% -3.50% +0.21%
+5.00% -4.00% 1164 71 3 - 3.5 +0.14% +0.14% 51.9% 15.5% 22.2% 62.3% 1.04 +0.14% -4.00% +0.21%
+5.00% -5.00% 1164 71 3 - 3.5 +0.14% +0.23% 53.2% 16.4% 16.2% 67.4% 0.97 +0.14% -5.00% +0.21%
+4.50% -4.50% 1164 71 3 - 3.5 +0.13% +0.22% 52.9% 18.8% 18.2% 63% 0.98 +0.13% -4.50% +0.21%
+5.50% -4.50% 1164 71 3 - 3.5 +0.13% +0.18% 52.1% 13.7% 18.8% 67.4% 1.02 +0.13% -4.50% +0.21%
+3.00% -4.00% 1164 71 3 - 3.5 +0.12% +0.47% 55.4% 33.2% 20.3% 46.6% 0.89 +0.12% -4.00% +0.21%
+3.00% -5.00% 1164 71 3 - 3.5 +0.12% +0.60% 56.8% 34.5% 14.3% 51.2% 0.84 +0.12% -5.00% +0.21%
+5.00% -4.50% 1164 71 3 - 3.5 +0.12% +0.21% 52.4% 15.9% 18.6% 65.5% 1 +0.12% -4.50% +0.21%
+3.00% -4.50% 1164 71 3 - 3.5 +0.11% +0.52% 56% 33.8% 16.8% 49.5% 0.86 +0.11% -4.50% +0.21%

Threshold performance

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
all 26237 +0.15% +0.06% 50.7% +2.95% -2.64%
opp > 1 14329 +0.12% +0.04% 50.5% +2.85% -2.63%
opp > 2 7221 +0.21% +0.06% 50.9% +2.98% -2.72%
opp > 3 3193 +0.40% +0.17% 52.1% +3.44% -2.98%
opp > 5 553 -0.07% -0.38% 46.8% +4.41% -4.35%
opp > 7 69 -0.88% -3.70% 37.7% +6.71% -5.77%
opp > 10 3 -4.80% -4.71% 0% +2.31% -5.95%

Owned-position Opp exit-risk study

Walk-forward search over min hold days, Opp peak drop, Opp floor, and confirm days. Alerts publish only when a rule passes out-of-sample gates; otherwise selectedRule stays null.

Selected rule 持有 ≥5 日 · Opp 自峰值跌 ≥0.5 · 現值 ≤3 · 連續 3 日
Train dates 50
Test dates 22
Candidates 240

已選門檻：最少持有 5 交易日 · 峰值跌 ≥ 0.5 · Opp ≤ 3 · 連續 3 日確認。版本 opp-exit-risk-v1。

規則 訓練 n 驗證 n 驗證剩餘報酬中位 驗證負報酬命中 結果
持有 ≥5 日 · Opp 自峰值跌 ≥0.5 · 現值 ≤3 · 連續 3 日 1567 1095 -1.13% 71.1% 通過

賣出提醒研究建議

涵蓋 Opp 低位、止賺止蝕、3／5／7 交易日里程碑與短期急升。僅通過 OOS gate 的片段會標為研究建議；其餘為可覆寫預設值。系統只提醒「請檢視持倉」，不會自動賣出。

賣出提醒版本 sell-alert-rec-v1
發布狀態 部分／全部通過
Opp floor 2
止賺／止蝕 3% / 6%
里程碑日 3/5/7
短期急升 2日 +7%

研究建議（通過：oppFloor, tpSl, milestones）。可逐項覆寫；僅作風險提示，非買賣建議。

Example winners and losers

Completed projection rows in the selected window, sorted by actual forward return.

Date Symbol Sector Opp Median Actual Runup Drawdown
2026-06-11 US.DD Materials -0.503 -0.46% +207.69% +213.71% +0.62%
2026-06-12 US.DD Materials -0.395 -0.44% +198.07% +207.62% +0.56%
2026-06-15 US.DD Materials 0.396 -0.10% +194.87% +205.84% +192.95%
2026-08-14 US.MRNA Health Care 1.456 +0.19% +175.39% +179.00% -1.88%
2026-08-18 US.MRNA Health Care 0.477 -0.01% +130.51% +180.59% +81.80%
2026-06-23 US.CRWD Information Technology 2.005 +0.75% -74.26% +1.74% -75.27%
2026-06-24 US.CRWD Information Technology 2.303 +0.89% -72.40% +2.93% -74.98%
2026-06-25 US.CRWD Information Technology 2.647 +1.06% -71.89% -71.81% -75.19%
2026-07-30 US.MNST Consumer Staples 0.22 -0.19% -51.78% -0.26% -52.67%
2026-08-06 US.MNST Consumer Staples 0.306 -0.35% -51.65% -0.28% -52.13%

Opp score study is observational and uses archived projection rows only. It helps evaluate ranking filters, not predict or recommend trades.