Summary

Backtest Summary - KTY

Generated: 2025-09-24 07:00:42

📊 Buy & Hold Benchmark

Total Return: +9846.54%
Analysis Period: Long-term (Multi-year)
Date Range: {‘start’: Timestamp(‘1996-01-30 00:00:00’), ’end’: Timestamp(‘2025-09-23 00:00:00’), ‘days’: 10829}

This represents the return from buying at the start and holding until the end of the analysis period.

Performance Overview

Best Strategy: trend_momentum

• Symbol: KTY
• Total Return: 2797.60%
• Sharpe Ratio: 0.51
• Max Drawdown: -47.81%
• Final Portfolio Value: $2,897,597

Key Metrics

• Initial Capital: $100,000
• Analysis Date: 2025-09-24
• Portfolio Manager: Active (Extreme returns fix applied)

Period Analysis

This report includes period-based return analysis for the following timeframes:

• 3M Return: Performance over the last 3 months
• 6M Return: Performance over the last 6 months
• 12M Return: Performance over the last 12 months
• 24M Return: Performance over the last 24 months

Period-based analysis helps identify strategy behavior across different market conditions and time horizons.

Recent Trading Signals

📊 Today’s Signals (2025-09-24)

⚪ No new trading signals detected in today’s analysis.

📈 Most Recent Signals by Strategy

• 🟢 Trend Momentum: Last BUY on 2025-09-23

  • 📊 Total Confidence: 37.8%
  • 🟢 Composite: 39.1%
  • 🔵 Conservative: 1.4%
  • 🔴 Aggressive: 36.9%
  • 🟡 Institutional: 53.3%
  • 🟣 Quantitative: 58.6%

• 🟢 Volume Confirmation: Last BUY on 2025-09-23

  • 📊 Total Confidence: 31.2%
  • 🟢 Composite: 32.9%
  • 🔵 Conservative: 0.0%
  • 🔴 Aggressive: 30.1%
  • 🟡 Institutional: 44.9%
  • 🟣 Quantitative: 48.3%

• 🔴 Bollinger Oscillators: Last SELL on 2025-08-27

  • 📊 Total Confidence: 63.0%
  • 🟢 Composite: 64.6%
  • 🔵 Conservative: 0.0%
  • 🔴 Aggressive: 91.2%
  • 🟡 Institutional: 73.1%
  • 🟣 Quantitative: 86.0%

• 🟢 Macd Divergence: Last BUY on 2013-01-11

  • 📊 Total Confidence: 25.4%
  • 🟢 Composite: 7.5%
  • 🔵 Conservative: 16.0%
  • 🔴 Aggressive: 8.9%
  • 🟡 Institutional: 49.5%
  • 🟣 Quantitative: 45.3%

• 🟢 Breakout Momentum: Last BUY on 2025-08-22

  • 📊 Total Confidence: 22.0%
  • 🟢 Composite: 24.3%
  • 🔵 Conservative: 0.0%
  • 🔴 Aggressive: 21.1%
  • 🟡 Institutional: 30.1%
  • 🟣 Quantitative: 34.5%

• 🟢 Mean Reversion Multi Tf: Last BUY on 2020-07-30

  • 📊 Total Confidence: 27.9%
  • 🟢 Composite: 10.3%
  • 🔵 Conservative: 18.2%
  • 🔴 Aggressive: 12.4%
  • 🟡 Institutional: 51.2%
  • 🟣 Quantitative: 47.3%

• 🟢 Relative Strength Rotation: Last BUY on 2025-08-25

  • 📊 Total Confidence: 34.9%
  • 🟢 Composite: 34.7%
  • 🔵 Conservative: 1.4%
  • 🔴 Aggressive: 32.1%
  • 🟡 Institutional: 50.3%
  • 🟣 Quantitative: 56.0%

• 🟢 Gap Trading: Last BUY on 2020-07-02

  • 📊 Total Confidence: 27.6%
  • 🟢 Composite: 34.5%
  • 🔵 Conservative: 0.0%
  • 🔴 Aggressive: 32.7%
  • 🟡 Institutional: 35.3%
  • 🟣 Quantitative: 35.8%

• 🟢 Volatility Expansion: Last BUY on 2020-06-26

  • 📊 Total Confidence: 15.4%
  • 🟢 Composite: 20.5%
  • 🔵 Conservative: 0.0%
  • 🔴 Aggressive: 17.3%
  • 🟡 Institutional: 21.3%
  • 🟣 Quantitative: 18.0%

• 🟢 Momentum Kirkpatrick: Last BUY on 2025-09-01

  • 📊 Total Confidence: 27.7%
  • 🟢 Composite: 27.8%
  • 🔵 Conservative: 0.0%
  • 🔴 Aggressive: 24.3%
  • 🟡 Institutional: 39.9%
  • 🟣 Quantitative: 46.5%

📊 How Confidence Is Calculated

Confidence percentages tell you how much to trust a trading signal based on the strategy’s historical performance.

🎯 Current Method: Composite (Balanced)

• Sharpe Ratio: Up to 20 points (risk-adjusted returns)
• Win Rate: Up to 30 points (percentage of profitable trades)
• Total Return: Up to 50 points (overall profitability)

📈 Available Confidence Methods:

• 🟢 Composite (Balanced): Current method - balanced approach for most traders
• 🔵 Conservative (Risk-Averse): Emphasizes safety and downside protection
• 🔴 Aggressive (Growth-Focused): Prioritizes high returns over risk
• 🟡 Institutional (Modern Portfolio Theory): Professional fund management approach
• 🟣 Quantitative (Statistical): Mathematical and statistical measures

🎯 Confidence Levels:

• 70%+: Strong performer - trust this signal more
• 50-70%: Decent performer - moderate trust
• 30-50%: Weak performer - be cautious
• <30%: Poor performer - low trust

💡 Signal Interpretation

• 🟢 BUY signals: Suggest potential upward price movement
• 🔴 SELL signals: Suggest potential downward price movement
• ⚪ HOLD signals: Suggest maintaining current position
• 📊 Confidence: Higher percentages indicate stronger signal conviction
• 🎯 CONSENSUS: Overall recommendation based on multiple strategy agreement

📚 Detailed Confidence Method Explanations

🟢 Composite (Balanced) - Current Method

Formula: (Sharpe×20) + (WinRate×30) + (Return×50)

Used by: Individual traders, retail investors

Why: Balanced approach that considers risk, consistency, and returns equally. Good for most trading styles.

Example: Strategy with 0.4 Sharpe, 60% win rate, 80% return = (0.4×20) + (0.6×30) + (0.8×50) = 66% confidence

🔵 Conservative (Risk-Averse)

Formula: (Sharpe×25) + (WinRate×35) + (Return×40) - DrawdownPenalty + SafetyBonus

Used by: Pension funds, insurance companies, risk-averse investors

Why: Prioritizes capital preservation over growth. Heavily penalizes strategies with large drawdowns.

Key Features:

• Higher weight on consistency (win rate)
• Penalty for drawdowns >5%
• Bonus for low-risk strategies
• Caps returns at 50% to avoid overvaluing risky strategies

🔴 Aggressive (Growth-Focused)

Formula: (Return×60) + (Sharpe×15) + (WinRate×25) + HighReturnBonus

Used by: Hedge funds, growth investors, aggressive traders

Why: Maximizes returns regardless of risk. Suitable for investors who can tolerate volatility.

Key Features:

• 60% weight on raw returns
• Lower weight on risk adjustment
• Bonus for strategies with >50% returns
• Allows returns up to 200% contribution

🟡 Institutional (Modern Portfolio Theory)

Formula: InfoRatio + Consistency + RiskAdjustedReturn + ReturnComponent + SignificanceBonus

Used by: Mutual funds, pension funds, institutional investors

Why: Based on academic finance theory and institutional requirements. Emphasizes statistical significance.

Key Features:

• Information ratio (like Sharpe but more robust)
• Return-to-drawdown ratio
• Bonus for statistically significant results (>100 trades)
• Follows modern portfolio theory principles

🟣 Quantitative (Statistical)

Formula: CalmarRatio + SterlingRatio + WinRate + Return + SampleSize + StatisticalSignificance

Used by: Quantitative funds, algorithmic trading systems, research institutions

Why: Uses advanced statistical measures and mathematical optimization. Most rigorous approach.

Key Features:

• Calmar ratio (return/max drawdown)
• Sterling ratio (similar to Calmar)
• Sample size adjustment for statistical validity
• T-statistic proxy for significance testing
• Mathematical optimization of weights

🏛️ Financial Industry Context

Goldman Sachs: Uses similar multi-factor scoring for strategy selection

Renaissance Technologies: Employs statistical significance testing like our Quantitative method

Bridgewater: Emphasizes risk parity similar to our Conservative approach

AQR: Uses academic factors like our Institutional method

Two Sigma: Applies quantitative methods similar to our Statistical approach