What the Backtest Portfolio
Looks Like
This is a simulated portfolio, not a live traded book. It shows how a strategy that mechanically follows the top RACS signals would have performed, after realistic transaction costs and execution constraints.
How to Read This Page
Click any card for a plain-English explanation of the key metric.
Small sample. This run of the simulated book closed only 9 trades. Every figure below is directional, not statistically conclusive, until more filing history flows through the pipeline.
Performance by Regime
Trade outcomes grouped by the HMM macro regime active at entry. p-values are raw, pre-FDR-correction.
Top Holdings
Ranked by mean forward return across the trade ledger
| # | CUSIP | Mean Return |
|---|---|---|
| 1 | 82846H405 | +27.49% |
| 2 | 94419L101 | +18.36% |
| 3 | 361008105 | -5.88% |
| 4 | 86384P109 | -11.26% |
| 5 | 19260Q107 | -31.88% |
| 6 | 81730H109 | -46.57% |
Ticker did not resolve for these CUSIPs in this run; see the Provenance gate on the Validation page for the current CUSIP-to-ticker resolution rate.
Fama-French 5-Factor + Momentum Attribution
Regresses trade returns against systematic risk factors to isolate alpha.
8 of 9 ledger trades survived the factor-regression join. A regression needs materially more observations than regressors (6 factors) to produce a stable estimate, so this run does not compute alpha or R².
Capacity Analysis
Simulated AUM scaling: as capital grows, ADV participation limits exclude more positions from the book.
| AUM | Positions | Excluded | Sharpe | Mean Return |
|---|---|---|---|---|
| $10M | 6 | 33% | -0.68 | -12.6% |
| $20M | 5 | 44% | -0.62 | -12.9% |
| $40M | 3 | 67% | not available | not available |
| $79M | 2 | 78% | not available | not available |
| $158M | 2 | 78% | not available | not available |
| $316M | 2 | 78% | not available | not available |
| $631M | 0 | 100% | not available | not available |
| $1259M | 0 | 100% | not available | not available |
| $2512M | 0 | 100% | not available | not available |
| $5012M | 0 | 100% | not available | not available |
Capacity cliff: by $631M AUM, participation limits exclude every current position from this simulated book.
Signal Decay
Information coefficient of the RACS score against forward returns, across holding horizons. Half-life: 5 days.