Stock-Intel — Quantitative Strategy Optimization

Generated 2026-11-01 17:22:27 UTC · Walk-forward backtest report
Optimal Ticker
META
Strategy Name
Momentum
Period
2023-01-03 → 2024-01-03
Total Return
68.29%
CAGR (annualized)
68.29%
Buy & Hold Benchmark
109.19%
Win Rate
70.0%
Profit Factor
∞ (no losing trades)
Total Trades
10
Avg Trade Duration
18.5 d
Sharpe Ratio
2.255
Sortino Ratio
5.901
Max Drawdown
7.84%
Stop Loss
0.02

Execution & Cost Model

MetricValue
Date range tested2023-01-03 → 2024-01-03
Universe scannedAAPL, MSFT, NVDA, AMZN, GOOGL, META, SPY
Dynamic slippage (ATR/volume-scaled)0.1401%
Latency (execution simulation)124.8 ms (signal → order routing)
Per-bar stop-loss floorCap single-bar loss at 2.0%
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 META Momentum 0.02 ∞ (no losing trades) 2.255 5.901 70.0 68.29 68.29 7.84 OK
2 NVDA Momentum 0.02 ∞ (no losing trades) 0.863 0.968 37.5 10.91 10.91 5.91 OK
3 AMZN MultiFactor 0.02 ∞ (no losing trades) 0.751 1.365 100.0 7.21 7.21 10.51 OK
4 NVDA Momentum 0.05 ∞ (no losing trades) 0.637 0.518 37.5 8.38 8.38 7.95 OK
5 NVDA Momentum 0.08 ∞ (no losing trades) 0.637 0.518 37.5 8.38 8.38 7.95 OK
6 GOOGL Momentum 0.02 ∞ (no losing trades) 0.597 0.504 12.5 5.03 5.03 4.08 OK
7 AMZN MultiFactor 0.05 ∞ (no losing trades) 0.395 0.418 100.0 4.21 4.21 13.51 OK
8 AMZN MultiFactor 0.08 ∞ (no losing trades) 0.318 0.308 100.0 3.5 3.5 14.23 OK
9 GOOGL Momentum 0.05 ∞ (no losing trades) 0.271 0.147 12.5 2.49 2.49 6.62 OK
10 GOOGL Momentum 0.08 ∞ (no losing trades) 0.271 0.147 12.5 2.49 2.49 6.62 OK