Second-Derivative Strategy Eval
Static no-CDN report for second_derivative_balanced. This page does not depend on Tailwind, Alpine, Plotly, or any external JavaScript.
Decision
Review
not live-ready
Net Sharpe
1.68
strategy-eval
OOS Sharpe
3.27
split 2025-05-01
Max Corr
0.63
passes <0.8
Equity Curves
Strategy-Eval Metrics
| Metric | Value |
|---|---|
| Gross Sharpe | 1.778 |
| Net Sharpe | 1.677 |
| Net CAGR | +34.65% |
| Net annual vol | +18.79% |
| Net MaxDD | -25.96% |
| Calmar | 1.335 |
| Sortino | 2.368 |
| Win rate | +49.01% |
| Alpha t-stat | 3.445 |
| TC drag | 1.8860% NAV/yr |
| Annual turnover | 18.86 |
| Estimated holding period | 13.4 days |
| Average drawdown | -5.52% |
| Max recovery | 194 days |
P0 / P1 / P2 Gate
| Dimension | Status | Result |
|---|---|---|
| Bias / lookahead | PASS | shift and autocorr checks passed |
| P0 core risk | computed | CAGR net +34.65%, MaxDD -25.96% |
| Stat significance | partial | DSR/PBO need trial panel |
| Factor exposure | computed | alpha annualized +15.39%, R2 0.363 |
| OOS | computed | OOS Sharpe 3.266, IS Sharpe 1.002 |
| Rolling Sharpe | computed | 252d latest 3.175, min -0.361 |
| Portfolio interaction | PASS | max corr 0.632 |
| Paper trading | needs_input | requires paper/live return stream |
| Fill assumptions | needs_input | requires queue position, partial fills, latency, bid/ask spread crossing |
Eval Ranking
| Strategy | Bias | Net Sharpe | Net CAGR | Net MaxDD | OOS Sharpe | Max Corr | Corr Gate | Paper |
|---|---|---|---|---|---|---|---|---|
| Second-Derivative Balanced | PASS | 1.68 | +34.65% | -25.96% | 3.27 | 0.63 | PASS | needs_input |
| Second-Derivative Macro Hedged | PASS | 1.40 | +28.63% | -33.51% | 3.73 | 0.58 | PASS | needs_input |
| Acceleration AI Power Rotation | PASS | 1.38 | +56.95% | -53.69% | 3.15 | 0.56 | PASS | needs_input |
| Vol Compression Breakout | PASS | 1.22 | +16.32% | -15.65% | 2.57 | 0.40 | PASS | needs_input |
Optimization Check
| Strategy | Net Sharpe | Net CAGR | Net MaxDD | OOS Sharpe | Max Corr | Corr Gate | Blend Weights |
|---|---|---|---|---|---|---|---|
| second_derivative_optimized_v3 | 1.46 | +19.82% | -21.65% | 4.01 | 0.54 | PASS | accel 0.3, disp 0.0, vov 0.2, comp 0.2, rate 0.3 |
| second_derivative_optimized_v2 | 1.45 | +16.39% | -16.72% | 3.97 | 0.51 | PASS | accel 0.2, disp 0.0, vov 0.2, comp 0.3, rate 0.3 |
| second_derivative_optimized_v1 | 1.43 | +15.71% | -15.36% | 3.96 | 0.49 | PASS | accel 0.2, disp 0.0, vov 0.3, comp 0.2, rate 0.3 |
Recent Paper Trade Plan ($5,000)
Recent target data uses Alpaca daily bars through 2026-05-29 04:00:00. It is a paper-trading preview, not an order submission.
| Strategy | Symbol | Raw Weight | Paper Weight | Target $ | Est Qty | Latest Close | 5D | 20D | 60D |
|---|---|---|---|---|---|---|---|---|---|
| second_derivative_balanced | GE | +32.00% | +20.00% | $1,000.00 | 3.081759 | $324.49 | +7.16% | +13.25% | -0.77% |
| second_derivative_balanced | WMT | +15.00% | +15.00% | $750.00 | 6.507592 | $115.25 | -4.17% | -12.44% | -6.54% |
| second_derivative_balanced | COST | +15.00% | +15.00% | $750.00 | 0.790281 | $949.03 | -7.67% | -6.19% | -3.33% |
| second_derivative_balanced | MU | +13.29% | +13.29% | $664.65 | 0.697176 | $953.35 | +26.93% | +75.81% | +140.17% |
| second_derivative_balanced | DELL | +5.40% | +5.40% | $270.00 | 0.662918 | $407.29 | +37.96% | +93.73% | +178.03% |
| second_derivative_balanced | HPE | +5.27% | +5.27% | $263.57 | 6.152496 | $42.84 | +14.00% | +49.84% | +99.53% |
| second_derivative_balanced | AMD | +5.23% | +5.23% | $261.53 | 0.518978 | $503.93 | +7.76% | +39.77% | +152.69% |
| second_derivative_balanced | QCOM | +4.93% | +4.93% | $246.44 | 0.970224 | $254.00 | +6.62% | +43.48% | +85.33% |
| second_derivative_balanced | INTC | +3.88% | +3.88% | $193.81 | 1.651408 | $117.36 | -2.08% | +17.76% | +155.46% |
| second_derivative_balanced | CASH | +12.00% | $600.00 | ||||||
| second_derivative_optimized_v3 | GE | +24.00% | +20.00% | $1,000.00 | 3.081759 | $324.49 | +7.16% | +13.25% | -0.77% |
| second_derivative_optimized_v3 | IEF | +10.50% | +10.50% | $525.00 | 5.547337 | $94.64 | +0.80% | -0.13% | -1.94% |
| second_derivative_optimized_v3 | TLT | +10.50% | +10.50% | $525.00 | 6.124234 | $85.72 | +1.25% | +0.15% | -3.47% |
| second_derivative_optimized_v3 | COST | +10.00% | +10.00% | $500.00 | 0.526854 | $949.03 | -7.67% | -6.19% | -3.33% |
| second_derivative_optimized_v3 | WMT | +10.00% | +10.00% | $500.00 | 4.338395 | $115.25 | -4.17% | -12.44% | -6.54% |
| second_derivative_optimized_v3 | XLE | +9.00% | +9.00% | $450.00 | 7.981554 | $56.38 | -5.16% | -4.16% | -0.22% |
| second_derivative_optimized_v3 | MU | +6.00% | +6.00% | $300.00 | 0.314680 | $953.35 | +26.93% | +75.81% | +140.17% |
| second_derivative_optimized_v3 | QQQ | +5.00% | +5.00% | $250.00 | 0.339135 | $737.17 | +2.74% | +9.36% | +21.06% |
| second_derivative_optimized_v3 | SPY | +5.00% | +5.00% | $250.00 | 0.330648 | $756.09 | +1.40% | +4.94% | +10.96% |
| second_derivative_optimized_v3 | PPA | +4.43% | +4.43% | $221.46 | 1.246620 | $177.65 | +4.37% | +7.26% | -0.99% |
| second_derivative_optimized_v3 | UUP | +3.78% | +3.78% | $188.92 | 6.826403 | $27.68 | -0.34% | +0.97% | +0.67% |
| second_derivative_optimized_v3 | XLI | +1.79% | +1.79% | $89.62 | 0.517063 | $173.32 | +0.93% | +0.20% | +0.72% |
| second_derivative_optimized_v3 | CASH | +4.00% | $200.00 |
Recent Rebalance History
| Strategy | Date | Turnover | Symbols | Weight Changes |
|---|---|---|---|---|
| second_derivative_balanced | 2026-04-22 | 1.03 | XBI,INTC,AMD,IEF,XLV,CCJ,SOXX,SMH,OKLO,DELL,HPE,ANET,AVGO | |
| second_derivative_balanced | 2026-04-29 | 0.69 | AMD,ANET,INTC,UNH,XBI,XLV,MRK,SOXX,SMH,MU,HPE,AVGO,NVDA | |
| second_derivative_balanced | 2026-05-06 | 1.12 | MRK,JNJ,MU,HPE,SOXX,SMH,GRID,OKLO,INTC,AMD,QCOM,CAT | |
| second_derivative_balanced | 2026-05-13 | 0.31 | MU,LLY,MRK,SMH,HPE,JNJ,SOXX,INTC,AMD,QCOM,OKLO,VRT,GRID,CAT | |
| second_derivative_balanced | 2026-05-20 | 0.94 | LLY,MU,GE,SMH,AMD,INTC,HPE,NVDA,QCOM | |
| second_derivative_optimized_v3 | 2026-04-22 | 0.54 | DBC,XBI,GSG,USO,AMD,XLE,INTC,XLV,IEF,CCJ,SOXX,SMH,OKLO | DBC:+21.89%,XLV:+5.00%,PFE:-5.00%,XBI:+4.99%,ABBV:-4.98%,CCJ:+4.95%,PAVE:-4.25%,XLE:-2.18%,SMH:-0.43%,INTC:-0.22%,GSG:+0.15%,USO:+0.14%,SOXX:-0.10%,OKLO:+0.06%,IEF:-0.01% |
| second_derivative_optimized_v3 | 2026-04-29 | 0.78 | DBC,SMH,USO,XLE,AMD,SOXX,ANET,UNH,XBI,XLV,MRK,QQQ,GSG,MU,SPY,INTC,GRID | DBC:-13.63%,SMH:+6.13%,ANET:+5.15%,UNH:+5.01%,IEF:-5.00%,XBI:-4.99%,MRK:+4.99%,QQQ:+4.95%,CCJ:-4.95%,MU:+4.35%,OKLO:-4.06%,SPY:+4.01%,GSG:-3.88%,GRID:+3.41%,INTC:-1.78%,SOXX:+0.57%,USO:+0.48%,AMD:-0.41%,XLE:-0.34% |
| second_derivative_optimized_v3 | 2026-05-06 | 0.77 | SOXX,DBC,USO,SMH,JNJ,MRK,GSG,GRID,MU,QQQ,OKLO,HPE,SPY,UUP | JNJ:+10.00%,XLE:-5.66%,AMD:-5.59%,ANET:-5.15%,SOXX:+5.10%,MRK:+5.01%,UNH:-5.01%,XBI:-5.01%,XLV:-5.00%,OKLO:+4.12%,INTC:-3.99%,HPE:+3.73%,GSG:+3.53%,GRID:+3.43%,DBC:-2.48%,MU:+1.65%,USO:+1.35%,UUP:+0.63%,SPY:-0.38%,QQQ:-0.17%,SMH:-0.12% |
| second_derivative_optimized_v3 | 2026-05-13 | 0.43 | DBC,GSG,SMH,LLY,MRK,USO,MU,HPE,SOXX,XLE,JNJ,SPY,QQQ,OKLO,GRID | LLY:+7.50%,XLE:+5.26%,SOXX:-5.19%,JNJ:-5.00%,GRID:-3.73%,USO:-3.30%,DBC:+3.04%,MRK:-2.50%,HPE:+2.17%,GSG:+1.71%,SPY:+1.37%,UUP:-0.63%,OKLO:-0.48%,SMH:-0.44%,QQQ:+0.22%,MU:-0.00% |
| second_derivative_optimized_v3 | 2026-05-20 | 0.75 | LLY,DBC,GE,MU,USO,GSG,XLE,SMH,SPY,QQQ | LLY:+12.50%,GE:+12.00%,MRK:-7.50%,MU:+6.00%,HPE:-5.90%,SOXX:-5.39%,JNJ:-5.00%,SMH:-3.88%,OKLO:-3.64%,USO:+3.36%,GRID:-3.12%,XLE:+2.95%,QQQ:-1.80%,SPY:-0.98%,DBC:+0.47%,GSG:-0.07% |
Backtest Ranking
| Strategy | 3M Return | 3M Sharpe | 3M MaxDD | 1Y Sharpe | 3Y Sharpe | Corr AI | Latest Positions |
|---|---|---|---|---|---|---|---|
| Second-Derivative Macro Hedged | +54.42% | 7.01 | -3.67% | 3.41 | 1.40 | 0.58 | GE:20.00%,MU:20.00%,DBC:13.14%,USO:10.79%,GSG:10.21%,SMH:10.00%,XLE:6.84%,SPY:5.02%,QQQ:4.00% |
| Second-Derivative Balanced | +39.93% | 4.42 | -6.21% | 3.13 | 1.73 | 0.63 | LLY:30.00%,MU:20.95%,GE:16.00%,SMH:8.00%,AMD:5.40%,INTC:5.40%,HPE:5.40%,NVDA:4.69%,QCOM:4.16% |
| Acceleration AI Power Rotation | +84.59% | 5.03 | -11.82% | 2.84 | 1.23 | 0.56 | GE:40.00%,MU:40.00%,SMH:20.00% |
| Vol Compression Breakout | +15.77% | 3.33 | -5.41% | 2.53 | 1.26 | 0.40 | USO:23.92%,GSG:22.44%,SPY:20.08%,DBC:17.57%,QQQ:15.99% |
| Dispersion Acceleration Stockpicker | +27.71% | 2.56 | -12.49% | 1.97 | 1.69 | 0.57 | INTC:18.00%,AMD:18.00%,HPE:18.00%,MU:16.50%,NVDA:15.62%,QCOM:13.88% |
| Rate-Vol Convexity Barbell | +36.60% | 3.27 | -10.76% | 1.63 | 0.38 | -0.00 | DBC:35.00%,XLE:27.36%,USO:19.25%,GSG:18.39% |
| Vol-of-Vol Stabilization | +3.19% | 0.58 | -7.78% | 1.95 | 1.02 | 0.05 | LLY:100.00% |
Interpretation
The strongest eval candidate remains Second-Derivative Balanced. The optimized variants reduce drawdown and recent concentration, but their strategy-eval net Sharpe is lower, so they are conservative alternates rather than replacements. The blockers are paper/fill evidence, DSR/PBO trial-panel evidence, and replacement of placeholder capacity metadata with real ADV/spread inputs.