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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 25757
Trade dates 80
Excluded downtrends 14374
Best stable plateau n/a
Best balanced range 4.0–4.3
Best 0.5 range 4.0–4.5
Best 0.1 bin -2.3–-2.2
Best bucket 4 - 4.5
Best threshold opp > 3
Best Top-N Top 10
Window 2026-05-21 → 2026-09-18

Study results

2026-09-18 · 120D window

25757 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 not ready

Walk-forward OOS must find a consensus Opp ≥ 0 plateau with positive lifts and bootstrap confidence. Until then projections will not auto-filter Opp.

Block-bootstrap 95% lower bound of combined lift is not positive.

Best balanced range: 4.0–4.3 · Best 0.5 range: 4.0–4.5 (in-sample diagnostics only)

Baseline avg return +0.07%
Baseline win rate 49.4%
Baseline runup +2.91%
Baseline drawdown -2.65%

Median return curve (reliable Opp span, step 0.1)

-2.8–-2.7 · n=21 · median -0.31% -2.7–-2.6 · n=26 · median -0.82% -2.6–-2.5 · n=23 · median -1.03% -2.5–-2.4 · n=37 · median -0.18% -2.4–-2.3 · n=21 · median -0.81% -2.3–-2.2 · n=28 · median +1.16% -2.2–-2.1 · n=41 · median -0.42% -2.1–-2.0 · n=39 · median -0.69% -2.0–-1.9 · n=56 · median -0.98% -1.9–-1.8 · n=56 · median +0.87% -1.8–-1.7 · n=52 · median +0.07% -1.7–-1.6 · n=68 · median -0.44% -1.6–-1.5 · n=61 · median +0.02% -1.5–-1.4 · n=87 · median +0.01% -1.4–-1.3 · n=96 · median +0.23% -1.3–-1.2 · n=105 · median -0.86% -1.2–-1.1 · n=135 · median +0.33% -1.1–-1.0 · n=161 · median -0.36% -1.0–-0.9 · n=168 · median +0.17% -0.9–-0.8 · n=191 · median -0.13% -0.8–-0.7 · n=224 · median -0.16% -0.7–-0.6 · n=254 · median -0.06% -0.6–-0.5 · n=254 · median -0.13% -0.5–-0.4 · n=309 · median +0.09% -0.4–-0.3 · n=383 · median -0.08% -0.3–-0.2 · n=363 · median -0.06% -0.2–-0.1 · n=444 · median +0.15% -0.1–0.0 · n=518 · median -0.09% 0.0–0.1 · n=572 · median +0.28% 0.1–0.2 · n=587 · median -0.22% 0.2–0.3 · n=655 · median +0.19% 0.3–0.4 · n=763 · median +0.2% 0.4–0.5 · n=782 · median +0.19% 0.5–0.6 · n=789 · median +0.02% 0.6–0.7 · n=843 · median -0.11% 0.7–0.8 · n=804 · median +0.06% 0.8–0.9 · n=814 · median 0% 0.9–1.0 · n=814 · median -0.12% 1.0–1.1 · n=826 · median -0.05% 1.1–1.2 · n=833 · median +0.17% 1.2–1.3 · n=731 · median -0.19% 1.3–1.4 · n=695 · median -0.02% 1.4–1.5 · n=672 · median +0.06% 1.5–1.6 · n=618 · median -0.32% 1.6–1.7 · n=677 · median -0.19% 1.7–1.8 · n=603 · median +0.16% 1.8–1.9 · n=596 · median -0.02% 1.9–2.0 · n=512 · median -0.42% 2.0–2.1 · n=481 · median -0.21% 2.1–2.2 · n=487 · median +0.19% 2.2–2.3 · n=470 · median -0.42% 2.3–2.4 · n=419 · median -0.39% 2.4–2.5 · n=394 · median -0.14% 2.5–2.6 · n=360 · median -0.02% 2.6–2.7 · n=341 · median -0.34% 2.7–2.8 · n=375 · median -0.02% 2.8–2.9 · n=320 · median +0.1% 2.9–3.0 · n=283 · median +0.14% 3.0–3.1 · n=302 · median -0.15% 3.1–3.2 · n=221 · median -0.04% 3.2–3.3 · n=243 · median +0.26% 3.3–3.4 · n=188 · median +0.36% 3.4–3.5 · n=180 · median +0.4% 3.5–3.6 · n=173 · median -0.06% 3.6–3.7 · n=139 · median +0.17% 3.7–3.8 · n=160 · median +0.07% 3.8–3.9 · n=131 · median +0.27% 3.9–4.0 · n=133 · median -0.02% 4.0–4.1 · n=123 · median +0.45% 4.1–4.2 · n=104 · median +0.86% 4.2–4.3 · n=98 · median +0.66% 4.3–4.4 · n=111 · median -0.19% 4.4–4.5 · n=86 · median -0.2% 4.5–4.6 · n=64 · median +0.33% 4.6–4.7 · n=80 · median -0.22% 4.7–4.8 · n=63 · median -1.45% 4.8–4.9 · n=62 · median +0.01% 4.9–5.0 · n=64 · median -0.82% 5.0–5.1 · n=46 · median +0.21% 5.1–5.2 · n=45 · median -0.66% 5.2–5.3 · n=42 · median -0.41% 5.3–5.4 · n=47 · median -0.65% 5.4–5.5 · n=45 · median -0.81% 5.5–5.6 · n=33 · median +0.11% 5.6–5.7 · n=32 · median -0.84% 5.7–5.8 · n=28 · median -0.93% 5.8–5.9 · n=24 · median -0.22% -3-2-10123456 -1.4%-0.7%0%+0.7%+1.5%

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: -2.3–-2.2 (+1.16%, n=28) · Best balanced range: 4.0–4.3 (+0.58%, n=324) · Best 0.5 range: 4.0–4.5 (+0.39%, n=522)

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 4391 +0.20% -0.07% 48.6% +3.32% -2.89%
0 - 1 7423 +0.10% +0.05% 50.6% +2.88% -2.52%
1 - 2 6763 -0.04% -0.06% 49% +2.74% -2.60%
2 - 2.5 2251 -0.17% -0.18% 47.2% +2.50% -2.60%
2.5 - 3 1679 +0.06% -0.05% 49% +2.68% -2.46%
3 - 3.5 1134 +0.39% +0.19% 52% +2.93% -2.36%
3.5 - 4 736 +0.49% +0.07% 51% +2.99% -2.34%
4 - 4.5 522 +0.63% +0.39% 54.8% +3.25% -2.58%
4.5 - 5 333 -1.08% -0.40% 45.6% +2.46% -3.98%
5+ 525 +0.07% -0.39% 46.3% +4.47% -4.08%

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 25757 -0.03% -7.52% 49.4% -2.65% 25226 0.00% -5.00% 49.9% -3.52% 24683 +0.01% -4.64% 50% -4.19% 23841 +0.12% -1.98% 50.9% -4.97% 20982 +0.57% +2.18% 53.1% -6.76%
< 0 20D 4391 -0.07% -10.88% 48.6% -2.89% 4273 +0.03% -3.49% 50.2% -3.89% 4151 -0.04% -6.44% 49.7% -4.58% 4003 +0.17% -0.72% 51.4% -5.32% 3374 +0.59% +2.43% 53.3% -6.95%
0 - 1 20D 7423 +0.05% -0.80% 50.6% -2.52% 7310 +0.10% +0.04% 50.9% -3.34% 7207 +0.23% +3.28% 51.9% -4.02% 7032 +0.45% +6.34% 53.3% -4.75% 6546 +1.39% +12.51% 56.9% -6.37%
1 - 2 20D 6763 -0.06% -10.04% 49% -2.60% 6628 -0.07% -8.53% 49.4% -3.46% 6517 +0.10% -1.40% 50.9% -4.06% 6333 +0.27% +1.80% 51.9% -4.81% 5727 +1.04% +8.10% 55.2% -6.55%
2 - 2.5 20D 2251 -0.18% -20.12% 47.2% -2.60% 2198 -0.13% -11.55% 48.3% -3.44% 2133 -0.18% -11.48% 48% -4.21% 2027 -0.01% -5.25% 49.7% -4.97% 1743 +0.15% -3.11% 50.7% -6.78%
2.5 - 3 3D 1679 -0.05% -9.20% 49% -2.46% 1633 -0.09% -9.54% 49% -3.28% 1590 -0.45% -21.20% 44.6% -4.06% 1516 -0.43% -15.84% 46.2% -5.05% 1259 -0.65% -13.19% 46% -6.84%
3 - 3.5 3D 1134 +0.19% +10.96% 52% -2.36% 1105 +0.16% +3.06% 51.8% -3.05% 1065 -0.05% -6.80% 49.3% -3.66% 1001 -0.45% -16.34% 45.7% -4.43% 799 -0.83% -15.46% 45.1% -6.44%
3.5 - 4 5D 736 +0.07% +0.88% 51% -2.34% 721 +0.14% +2.06% 52.7% -3.20% 697 +0.02% -4.28% 50.6% -3.75% 657 -0.41% -15.33% 47.5% -4.38% 496 -0.29% -8.65% 47.8% -6.15%
4 - 4.5 3D 522 +0.39% +27.76% 54.8% -2.58% 515 +0.22% +6.09% 51.5% -3.25% 496 +0.02% -4.28% 50.2% -3.81% 472 -0.46% -16.59% 45.6% -4.74% 369 -1.85% -28.31% 38.5% -7.37%
4.5 - 5 7D 333 -0.40% -38.60% 45.6% -3.98% 323 -0.57% -33.73% 47.4% -4.96% 314 +0.03% -3.92% 50.3% -5.45% 298 -0.45% -16.34% 46.3% -6.43% 237 -2.02% -30.45% 38.4% -9.66%
5+ 5D 525 -0.39% -37.76% 46.3% -4.08% 520 -0.58% -34.23% 43.3% -5.64% 513 -1.30% -51.80% 40.2% -6.86% 502 -1.25% -36.50% 42% -8.13% 432 -3.13% -44.44% 36.1% -12.56%

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 18577 -0.02% -6.68% 49.5% -2.64% 18211 +0.03% -3.49% 50.2% -3.51% 17875 +0.13% -0.32% 51% -4.16% 17368 +0.32% +3.06% 52.3% -4.90% 15647 +1.09% +8.73% 55.5% -6.56%
opp > 1 20D 13930 -0.06% -10.04% 49.1% -2.64% 13630 -0.06% -8.02% 49.3% -3.50% 13312 -0.09% -8.24% 49.1% -4.17% 12795 -0.06% -6.51% 49.4% -4.98% 11052 +0.13% -3.36% 50.7% -6.93%
opp > 2 5D 7176 -0.06% -10.04% 49.2% -2.67% 7011 -0.05% -7.52% 49.3% -3.54% 6804 -0.23% -13.28% 47.4% -4.27% 6469 -0.34% -13.57% 47% -5.14% 5331 -0.72% -14.07% 45.9% -7.32%
opp > 3 3D 3246 +0.05% -0.80% 50.6% -2.84% 3180 +0.02% -3.99% 50.1% -3.73% 3081 -0.15% -10.40% 48.3% -4.42% 2927 -0.53% -18.36% 45.5% -5.30% 2330 -1.37% -22.26% 42.3% -7.98%
opp > 5 5D 523 -0.38% -36.92% 46.5% -4.08% 518 -0.58% -34.23% 43.4% -5.65% 511 -1.32% -52.52% 40.1% -6.88% 500 -1.27% -37.00% 42% -8.16% 430 -3.13% -44.44% 36% -12.60%

Top-N performance

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
all 25757 +0.07% -0.03% 49.4% +2.91% -2.65%
Top 3 240 +0.63% +0.28% 52.5% +3.46% -2.75%
Top 5 400 +0.47% +0.21% 52.8% +3.49% -2.74%
Top 10 800 +0.42% +0.29% 53% +3.42% -2.78%
Top 20 1600 +0.30% +0.12% 51.9% +3.27% -2.88%
Top 50 4000 +0.19% +0.06% 50.8% +3.18% -2.93%

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 4366 +2.00% 5% -0.06% +2.00% 58.7% 51.5% 17.6% -0.08%
0 - 1 7317 +2.00% 4% +0.05% +2.00% 60% 51.6% 16.9% +0.05%
1 - 2 6631 +2.00% 2.5% -0.01% +0.95% 55.3% 47.7% 27.1% -0.07%
2 - 2.5 2208 +2.00% 5% -0.09% +0.79% 56.6% 46% 14.4% -0.19%
2.5 - 3 1650 +2.00% 5% 0.00% +1.06% 58% 47.2% 10.2% -0.06%
3 - 3.5 1107 +2.00% 5% +0.11% +0.89% 57.9% 45.4% 15.4% +0.12%
3.5 - 4 711 +2.00% 5% -0.10% +0.38% 54.9% 41.4% 14.9% +0.05%
4 - 4.5 490 +2.00% 5% +0.05% +0.56% 56.5% 40.2% 16.1% +0.29%
4.5 - 5 302 +2.00% 5% -0.52% +0.03% 50.7% 38.1% 23.5% -0.37%
5+ 491 +2.00% 5% -0.36% -0.13% 49.1% 36.7% 30.5% -0.60%

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% 686 58 4 - 4.5 +0.20% -0.39% 45.2% 7.3% 34.4% 58.3% 1.41 +0.20% -3.00% -0.06%
+8.50% -3.00% 686 58 4 - 4.5 +0.18% -0.39% 45.2% 7.6% 34.4% 58% 1.39 +0.18% -3.00% -0.06%
+8.00% -3.00% 686 58 4 - 4.5 +0.15% -0.39% 45.2% 8.2% 34.4% 57.4% 1.36 +0.15% -3.00% -0.06%
+7.50% -3.00% 686 58 4 - 4.5 +0.14% -0.37% 45.3% 8.7% 34.4% 56.9% 1.34 +0.14% -3.00% -0.06%
+9.00% -3.50% 686 58 4 - 4.5 +0.14% -0.28% 46.1% 7.4% 30% 62.5% 1.29 +0.14% -3.50% -0.06%
+7.00% -3.00% 686 58 4 - 4.5 +0.12% -0.35% 45.5% 9.3% 34.3% 56.4% 1.32 +0.12% -3.00% -0.06%
+8.50% -3.50% 686 58 4 - 4.5 +0.11% -0.28% 46.1% 7.7% 30% 62.2% 1.27 +0.11% -3.50% -0.06%
+8.00% -3.50% 686 58 4 - 4.5 +0.09% -0.28% 46.1% 8.3% 30% 61.7% 1.25 +0.09% -3.50% -0.06%
+9.00% -4.00% 686 58 4 - 4.5 +0.09% -0.20% 47.1% 7.6% 26.2% 66.2% 1.2 +0.09% -4.00% -0.06%
+6.50% -3.00% 686 58 4 - 4.5 +0.08% -0.35% 45.5% 10.2% 34.3% 55.5% 1.28 +0.08% -3.00% -0.06%
+7.50% -3.50% 686 58 4 - 4.5 +0.07% -0.25% 46.2% 8.9% 30% 61.1% 1.23 +0.07% -3.50% -0.06%
+8.50% -4.00% 686 58 4 - 4.5 +0.07% -0.20% 47.1% 7.9% 26.2% 65.9% 1.18 +0.07% -4.00% -0.06%
+7.00% -3.50% 686 58 4 - 4.5 +0.06% -0.25% 46.4% 9.5% 29.9% 60.6% 1.21 +0.06% -3.50% -0.06%
+4.00% -3.00% 686 58 4 - 4.5 +0.05% -0.12% 48.7% 21.1% 32.1% 46.8% 1.11 +0.05% -3.00% -0.06%
+6.00% -3.00% 686 58 4 - 4.5 +0.05% -0.35% 45.5% 11.4% 34.3% 54.4% 1.25 +0.05% -3.00% -0.06%
+9.00% -5.00% 686 58 4 - 4.5 +0.05% -0.11% 48.4% 7.9% 20.4% 71.7% 1.11 +0.05% -5.00% -0.06%
+8.00% -4.00% 686 58 4 - 4.5 +0.04% -0.20% 47.1% 8.5% 26.2% 65.3% 1.16 +0.04% -4.00% -0.06%
+9.00% -4.50% 686 58 4 - 4.5 +0.04% -0.18% 47.4% 7.7% 23.3% 69% 1.14 +0.04% -4.50% -0.06%
+8.50% -5.00% 686 58 4 - 4.5 +0.03% -0.11% 48.4% 8.2% 20.4% 71.4% 1.09 +0.03% -5.00% -0.06%
+3.50% -3.00% 686 58 4 - 4.5 +0.02% -0.05% 49.6% 23.9% 31.3% 44.8% 1.04 +0.02% -3.00% -0.06%
+4.50% -3.00% 686 58 4 - 4.5 +0.02% -0.24% 46.8% 18.1% 33.2% 48.7% 1.16 +0.02% -3.00% -0.06%
+5.50% -3.00% 686 58 4 - 4.5 +0.02% -0.35% 45.6% 12.7% 34.3% 53.1% 1.21 +0.02% -3.00% -0.06%
+6.50% -3.50% 686 58 4 - 4.5 +0.02% -0.25% 46.4% 10.5% 29.9% 59.6% 1.17 +0.02% -3.50% -0.06%
+7.50% -4.00% 686 58 4 - 4.5 +0.02% -0.18% 47.2% 9% 26.2% 64.7% 1.14 +0.02% -4.00% -0.06%
+8.50% -4.50% 686 58 4 - 4.5 +0.02% -0.18% 47.4% 8% 23.3% 68.7% 1.13 +0.02% -4.50% -0.06%
+4.00% -3.50% 686 58 4 - 4.5 +0.01% -0.04% 49.7% 21.9% 27.6% 50.6% 1.02 +0.01% -3.50% -0.06%
+5.00% -3.00% 686 58 4 - 4.5 +0.01% -0.31% 46.1% 14.9% 34% 51.2% 1.18 +0.01% -3.00% -0.06%
+7.00% -4.00% 686 58 4 - 4.5 +0.01% -0.18% 47.4% 9.6% 26.1% 64.3% 1.12 +0.01% -4.00% -0.06%
+8.00% -5.00% 686 58 4 - 4.5 +0.01% -0.11% 48.4% 9% 20.4% 70.6% 1.08 +0.01% -5.00% -0.06%
+3.50% -3.50% 686 58 4 - 4.5 0.00% +0.10% 51% 25.2% 26.5% 48.3% 0.96 0.00% -3.50% -0.06%
+6.00% -3.50% 686 58 4 - 4.5 -0.01% -0.25% 46.4% 11.8% 29.9% 58.3% 1.15 -0.01% -3.50% -0.06%
+7.50% -5.00% 686 58 4 - 4.5 -0.01% -0.11% 48.5% 9.6% 20.4% 70% 1.05 -0.01% -5.00% -0.06%
+8.00% -4.50% 686 58 4 - 4.5 -0.01% -0.18% 47.4% 8.6% 23.3% 68.1% 1.1 -0.01% -4.50% -0.06%
+4.50% -3.50% 686 58 4 - 4.5 -0.02% -0.16% 48% 18.8% 28.6% 52.6% 1.07 -0.02% -3.50% -0.06%
+7.00% -5.00% 686 58 4 - 4.5 -0.02% -0.11% 48.7% 10.2% 20.3% 69.5% 1.04 -0.02% -5.00% -0.06%
+3.00% -3.00% 686 58 4 - 4.5 -0.03% +0.02% 50.3% 28.7% 30.9% 40.4% 0.96 -0.03% -3.00% -0.06%
+6.50% -4.00% 686 58 4 - 4.5 -0.03% -0.18% 47.4% 10.6% 26.1% 63.3% 1.09 -0.03% -4.00% -0.06%
+7.50% -4.50% 686 58 4 - 4.5 -0.03% -0.17% 47.5% 9.2% 23.3% 67.5% 1.08 -0.03% -4.50% -0.06%
+3.50% -4.00% 686 58 4 - 4.5 -0.04% +0.18% 51.9% 25.7% 22.9% 51.5% 0.9 -0.04% -4.00% -0.06%
+5.50% -3.50% 686 58 4 - 4.5 -0.04% -0.24% 46.6% 13.3% 29.7% 57% 1.11 -0.04% -3.50% -0.06%
+7.00% -4.50% 686 58 4 - 4.5 -0.04% -0.16% 47.7% 9.8% 23.2% 67.1% 1.07 -0.04% -4.50% -0.06%
+3.00% -3.50% 686 58 4 - 4.5 -0.05% +0.18% 51.7% 30% 26.1% 43.9% 0.89 -0.05% -3.50% -0.06%
+4.00% -4.00% 686 58 4 - 4.5 -0.05% +0.03% 50.4% 22.2% 24.1% 53.8% 0.94 -0.05% -4.00% -0.06%
+5.00% -3.50% 686 58 4 - 4.5 -0.05% -0.23% 47.1% 15.5% 29.4% 55.1% 1.08 -0.05% -3.50% -0.06%
+6.00% -4.00% 686 58 4 - 4.5 -0.06% -0.18% 47.4% 12.1% 26.1% 61.8% 1.06 -0.06% -4.00% -0.06%
+6.50% -5.00% 686 58 4 - 4.5 -0.06% -0.11% 48.7% 11.4% 20.3% 68.4% 1.01 -0.06% -5.00% -0.06%
+3.50% -5.00% 686 58 4 - 4.5 -0.07% +0.31% 53.2% 26.8% 17.2% 56% 0.83 -0.07% -5.00% -0.06%
+4.00% -5.00% 686 58 4 - 4.5 -0.08% +0.16% 51.7% 23.3% 18.2% 58.5% 0.88 -0.08% -5.00% -0.06%
+4.50% -4.00% 686 58 4 - 4.5 -0.08% -0.11% 48.7% 19.1% 25.1% 55.8% 0.99 -0.08% -4.00% -0.06%
+6.50% -4.50% 686 58 4 - 4.5 -0.08% -0.16% 47.7% 10.9% 23.2% 65.9% 1.04 -0.08% -4.50% -0.06%
+3.50% -4.50% 686 58 4 - 4.5 -0.09% +0.22% 52.2% 25.9% 20.1% 53.9% 0.86 -0.09% -4.50% -0.06%
+5.50% -4.00% 686 58 4 - 4.5 -0.09% -0.17% 47.7% 13.6% 25.9% 60.5% 1.03 -0.09% -4.00% -0.06%
+3.00% -4.00% 686 58 4 - 4.5 -0.10% +0.29% 52.6% 30.5% 22.6% 46.9% 0.83 -0.10% -4.00% -0.06%
+4.00% -4.50% 686 58 4 - 4.5 -0.10% +0.06% 50.7% 22.4% 21.1% 56.4% 0.9 -0.10% -4.50% -0.06%
+5.00% -4.00% 686 58 4 - 4.5 -0.10% -0.15% 48.1% 15.7% 25.7% 58.6% 1 -0.10% -4.00% -0.06%
+6.00% -5.00% 686 58 4 - 4.5 -0.10% -0.11% 48.7% 12.8% 20.3% 66.9% 0.98 -0.10% -5.00% -0.06%
+6.00% -4.50% 686 58 4 - 4.5 -0.11% -0.16% 47.7% 12.4% 23.2% 64.4% 1.01 -0.11% -4.50% -0.06%
+3.00% -5.00% 686 58 4 - 4.5 -0.12% +0.36% 54.1% 31.8% 16.8% 51.5% 0.77 -0.12% -5.00% -0.06%
+4.50% -5.00% 686 58 4 - 4.5 -0.12% +0.01% 50% 20.3% 19.2% 60.5% 0.92 -0.12% -5.00% -0.06%
+5.50% -5.00% 686 58 4 - 4.5 -0.12% -0.08% 49% 14.4% 20.1% 65.5% 0.95 -0.12% -5.00% -0.06%
+3.00% -4.50% 686 58 4 - 4.5 -0.14% +0.31% 53.1% 30.9% 19.7% 49.4% 0.79 -0.14% -4.50% -0.06%
+4.50% -4.50% 686 58 4 - 4.5 -0.14% -0.11% 49% 19.4% 22.2% 58.5% 0.94 -0.14% -4.50% -0.06%
+5.00% -5.00% 686 58 4 - 4.5 -0.14% -0.06% 49.4% 16.6% 19.8% 63.6% 0.93 -0.14% -5.00% -0.06%
+5.50% -4.50% 686 58 4 - 4.5 -0.14% -0.15% 48% 13.8% 23% 63.1% 0.98 -0.14% -4.50% -0.06%
+5.00% -4.50% 686 58 4 - 4.5 -0.15% -0.12% 48.4% 16% 22.7% 61.2% 0.95 -0.15% -4.50% -0.06%

Threshold performance

Filter n Avg return Median return 歷史相似情境上漲比例 Avg runup Avg drawdown
all 25757 +0.07% -0.03% 49.4% +2.91% -2.65%
opp > 1 13930 +0.02% -0.06% 49.1% +2.80% -2.64%
opp > 2 7176 +0.08% -0.06% 49.2% +2.86% -2.67%
opp > 3 3246 +0.25% +0.05% 50.6% +3.19% -2.84%
opp > 5 523 +0.08% -0.38% 46.5% +4.48% -4.08%
opp > 7 69 -0.79% -3.70% 37.7% +6.82% -5.74%
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 1623 1150 -1.21% 69.9% 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% / 5%
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 0.283 -0.08% +130.51% +180.59% +81.80%
2026-06-23 US.CRWD Information Technology 2.023 +0.75% -74.26% +1.74% -75.27%
2026-06-24 US.CRWD Information Technology 2.341 +0.94% -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.