Portfolio Value
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Program Total Return
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$100k NAV · dollar-neutral L/S
Long P&L
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— longs
Short P&L
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— shorts
APEX v1 — Dollar-neutral long/short equity, accumulating weekly tranches ·
Capital recycles week to week (compounding book) ·
Returns measured on deployed capital · Equal-weight, 5 bps execution slippage
What you are looking at: APEX v1 is the alpha signal on a minimal-risk shell — weekly
entries, equal-weight, fixed 10-trading-day hold (Mon open → 2nd Fri close), no stop-loss and no intraweek risk controls.
Volatility and drawdowns on this board are expected for an unmanaged book; they are not the end-state product.
The live window is a signal-verification phase — early tranches on simulated capital,
Alpaca paper from tranche 3 onward — while the
Sentinel overlay (in development) is validated out-of-sample before it touches production.
Why allocators should read these numbers carefully
- Sample size. Live track is only a handful of trading days — far below the 12–24 months most allocators require. Annualized Sharpe/vol here are preliminary (see Probabilistic Sharpe + Path Inspector below). The research thesis rests on 2016–2025 out-of-sample backtest evidence in Signal Research, not this live window alone.
- Execution model. Tranches 1–2 use Polygon / AlphaVantage / FMP API marks on simulated capital. From tranche 3 onward the book trades on Alpaca paper with broker fills and position marks on open tranches; closed Alpaca tranches reconcile to recorded exits. Early simulated weeks are a falsification baseline, not proof of live capacity.
- Volatility is intentionally unmanaged today. Concentrated weekly L/S with no intraperiod controls can produce very high ann. vol and multi-percent weekly drawdowns even when the signal edge is real. That is the problem Sentinel is engineered to compress — not evidence the signal is broken.
- Dollar-neutral ≠ factor-neutral. Early beta to SPY can look elevated (and noisy at small n) when the book clusters in crowded factors (e.g. AI/semis). Sentinel prices marginal portfolio risk via a factor covariance model, not single-ticker vol alone.
Sentinel overlay — in development (advisory-only until gated)
Sentinel v1 is a variance / tail / drawdown safety rail on top of the APEX book — not a
return-raiser. It will not auto-trade until a pre-registered out-of-sample gate passes. Planned
capabilities that directly address what you see on this board:
- Cluster & tail controls — same-day correlated-print cap (limits cluster blowups); conformal CVaR tail monitor (early stress alerts before drawdowns compound).
- Factor-aware risk pricing — marginal covariance sizing (Σ=BFBᵀ+D), not own-vol; basis-risk monitoring so dollar-neutrality moves toward factor-neutrality.
- Target-weight engine — CRRA growth objective with CVaR constraint, no-trade band, and event jump caps; resize tiers instead of blind trims.
- Exit-alpha layer — path-geometry screens, risk-gated trails, and forecast-vol de-risking (Exit-Alpha Lab) to harvest regime-B gains without cutting recoveries.
Status: core engine + cluster cap + tail monitor built; full validation gate (J2) and advisory dashboard (K1) in progress. Until Sentinel ships, APEX v1 numbers reflect signal quality under minimal risk management — the honest baseline we are improving from.
APEX Performance Metrics
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Stochastic Path Inspector — distribution of outcomes
Your live curve is one realized path drawn from a distribution of futures that share the same edge.
This resamples the strategy's own realized daily returns into thousands of forward paths
(default: stationary block bootstrap, which preserves serial correlation and fat tails — the
path-risk counterpart to the HAC / Newey-West Sharpe above). It surfaces the sequence / path risk
a single Sharpe number hides: the drawdown distribution, risk of ruin, and time-to-recovery.
Simulating paths…
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Percentile fan (5–95%) + sample paths · click any path to inspect day-by-day returns
Path inspector
Terminal —
Max drawdown —
click another path or an archetype to compare
Strategy Breakdown — Combined vs Long vs Short
| Metric | Combined | Long book | Short book |
|---|---|---|---|
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Portfolio Value Over Time
API vendor marks on early tranches · Alpaca paper from tranche 3 onward
Long vs Short Basket
Long basket vs short basket · equal-weight · dollar-neutral per tranche · position win rate = tickers in profit / tickers in leg (not daily hit rate)
Open & Closed Positions
| Symbol | Side | Week | Entry | Exit | Exit date | P&L $ | Return % | Score | Status |
|---|---|---|---|---|---|---|---|---|---|
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All Tranches — click a row to view its full metrics
| Tranche | G(t) | G band | Execution | Ops alert | Book | Book closed | Long P&L | Short P&L | Net P&L | Net return | Status |
|---|---|---|---|---|---|---|---|---|---|---|---|
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Realized Tranche Results — 10 trading-day hold (no stop)
Each tranche enters at the Monday open (5 bps entry slippage) and exits at the
2nd-Friday close (10 trading sessions) — no intraperiod stop.
Exit fills include 5 bps adverse slippage (≈10 bps round-trip).
Trading days, not calendar days. Book closed = all positions sold at maturity.
| Tranche | Entry | +10td scheduled | Book closed | Days in book | Positions | Long P&L | Short P&L | Net P&L | Net return | Exit-slip drag |
|---|---|---|---|---|---|---|---|---|---|---|
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Ch13 G-only regime gate — counterfactual (production is ungated)
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Signal Research — Forward-Return Decay & Rank IC
Each weekly signal is an independent cohort: forward return of its picks at
+5 / +10 / +15 / +20 trading days after the signal Monday, plus rank IC.
Only cohorts on/after 2026-06-01 — pre-June telegram weeks are excluded (unreliable decision logging).
A horizon shows — until that many trading days have passed for that cohort (we started tracking 1 Jun).
Equal-weight per ticker. Decay means are not annualisable (overlapping cohorts).
Convention: +Hd is a close-to-close measurement — H trading-day steps after the signal-Monday close (so +10d for the 1 Jun cohort = the next Monday, 15 Jun). This differs from the live tranche, which enters at Monday's open and exits the 2nd-Friday close = 10 sessions of exposure (≈ the +9d close-to-close point).
Convention: +Hd is a close-to-close measurement — H trading-day steps after the signal-Monday close (so +10d for the 1 Jun cohort = the next Monday, 15 Jun). This differs from the live tranche, which enters at Monday's open and exits the 2nd-Friday close = 10 sessions of exposure (≈ the +9d close-to-close point).
Decay curve (mean across cohorts)
| Horizon | Matured | Long-Short % | Long leg % | Short leg % | Rank IC | Cohorts IC>0 | Hit rate |
|---|---|---|---|---|---|---|---|
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Per-cohort (long-short return % / rank IC)
| Signal date | Source | Picks | +5d | +10d | +15d | +20d |
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