Stock-Intel — Quantitative Strategy Optimization

Generated 2026-11-02 06:10:28 UTC · Multi-year, multi-asset portfolio backtest report

Multi-Asset Portfolio — Inverse Vol Allocation

Holding 3 of 7 qualifying asset(s) · 2020-01-02 → 2026-10-30 · 1717 trading days
Portfolio Basket
GOOGL + META + NVDA
Portfolio CAGR (geometric)
20.16%
Total Return
249.49%
Benchmark (SPY)
155.84%
Sharpe Ratio
1.12
Sortino Ratio
1.38
Max Drawdown
15.47%

Portfolio Cumulative Return vs. Benchmark

Portfolio (inverse vol) SPY Benchmark
StrategyBuy & Hold

Allocation Breakdown

AssetWeight %Individual Sharpe Individual Total Return %Contribution to Return % Slippage %
GOOGL 37.59 0.917 236.37 64.0 0.4069
META 34.78 0.663 142.64 42.12 0.5004
NVDA 27.64 0.826 300.49 55.86 0.5844
Optimal Ticker
GOOGL + META + NVDA
Strategy Name
MultiFactor Portfolio (inverse_vol)
Period
2025-01-06 → 2026-01-07
Total Return
49.65%
CAGR (annualized)
49.65%
Buy & Hold Benchmark
54.77%
Win Rate
75.0%
Profit Factor
∞ (no losing trades)
Total Trades
8
Avg Trade Duration
18.8 d
Sharpe Ratio
1.117
Sortino Ratio
1.379
Max Drawdown
15.47%
Stop Loss
0.0

Execution & Cost Model

MetricValue
Date range tested2025-01-06 → 2026-01-07
Universe scannedAAPL, MSFT, NVDA, AMZN, GOOGL, META, SPY
Dynamic slippage (ATR/volume-scaled)0.1299%
Latency (execution simulation)116.5 ms (signal → order routing)
Per-bar stop-loss floorCap single-bar loss at 0.0%
Trailing stop3× ATR (close-to-close)

Equity Curve (cumulative return)

Strategy Buy & Hold Benchmark
StrategyBuy & Hold

Full Parameter Sweep (Top 10)

Ranked by Profit Factor, then Sharpe Ratio.

#TickerStrategyStop LossProfit Factor SharpeSortinoWin Rate %Total Return % CAGR %Max Drawdown %Status
1 GOOGL Momentum 0.02 ∞ (no losing trades) 2.74 4.862 75.0 49.65 49.65 4.83 OK
2 GOOGL Momentum 0.05 ∞ (no losing trades) 2.597 4.113 75.0 47.74 47.74 5.58 OK
3 GOOGL Momentum 0.08 ∞ (no losing trades) 2.597 4.113 75.0 47.74 47.74 5.58 OK
4 META Momentum 0.02 ∞ (no losing trades) 2.255 5.901 70.0 68.29 68.29 7.84 OK
5 NVDA Momentum 0.02 ∞ (no losing trades) 1.589 2.204 50.0 25.14 25.14 6.17 OK
6 GOOGL MultiFactor 0.02 ∞ (no losing trades) 0.956 1.505 100.0 11.79 11.79 9.22 OK
7 NVDA Momentum 0.02 ∞ (no losing trades) 0.863 0.968 37.5 10.91 10.91 5.91 OK
8 GOOGL MultiFactor 0.05 ∞ (no losing trades) 0.779 1.077 100.0 9.89 9.89 9.22 OK
9 GOOGL MultiFactor 0.08 ∞ (no losing trades) 0.779 1.077 100.0 9.89 9.89 9.22 OK
10 AMZN MultiFactor 0.02 ∞ (no losing trades) 0.751 1.365 100.0 7.21 7.21 10.51 OK