# Trailing-stop comparison: orb-v1

**Same entries, two exit rules**, simulated over a 60-day window, 30 symbols. Fixed = orb-v1's current backtest behavior (2R target, stop at the opening-range midpoint). Trailing = research-only: no fixed target, stop ratchets up with price at the same initial distance, never down. Neither mode is live-wired — orb-v1 has no live infrastructure yet (see docs/STRATEGIES.md).

> ⚠️ Same caveats as `pnpm backtest:orb` apply: survivorship bias, signal-level only, scored history (docs/METRICS.md rule #4).

### By symbol: holding days, fixed vs trailing

| Symbol | Fixed n | Fixed avg hold | Fixed exp | Trailing n | Trailing avg hold | Trailing exp | Δ hold (d) |
|---|---|---|---|---|---|---|---|
| AAPL | 15 | 0.1d | 0.23% | 16 | 0.1d | 0.33% | -0.0 |
| AMD | 11 | 0.1d | -0.84% | 13 | 0.1d | -0.37% | -0.1 |
| AMZN | 14 | 0.2d | -0.18% | 15 | 0.1d | -0.08% | -0.1 |
| ANET | 16 | 0.1d | -0.29% | 19 | 0.1d | -0.36% | -0.0 |
| APP | 19 | 0.1d | 0.17% | 19 | 0.1d | 0.29% | -0.0 |
| AVGO | 14 | 0.1d | -0.65% | 15 | 0.0d | -0.44% | -0.1 |
| COIN | 19 | 0.1d | -0.49% | 18 | 0.1d | -0.51% | -0.0 |
| CRM | 18 | 0.1d | -0.31% | 18 | 0.1d | -0.09% | -0.0 |
| DIS | 19 | 0.1d | -0.07% | 23 | 0.1d | -0.04% | -0.0 |
| GOOGL | 11 | 0.1d | 0.37% | 12 | 0.1d | 0.03% | -0.0 |
| HOOD | 18 | 0.1d | 0.73% | 18 | 0.1d | 1.07% | -0.0 |
| INTC | 16 | 0.1d | -1.47% | 18 | 0.1d | -1.31% | -0.0 |
| JPM | 20 | 0.1d | 0.16% | 21 | 0.1d | 0.21% | -0.0 |
| MARA | 17 | 0.1d | 0.18% | 19 | 0.1d | 0.41% | -0.1 |
| META | 14 | 0.1d | 0.15% | 15 | 0.1d | 0.29% | -0.0 |
| MSFT | 13 | 0.2d | 0.17% | 13 | 0.1d | 0.13% | -0.1 |
| MU | 13 | 0.1d | -0.77% | 16 | 0.0d | -0.46% | -0.0 |
| NFLX | 12 | 0.1d | -0.16% | 14 | 0.1d | -0.12% | -0.0 |
| NVDA | 12 | 0.0d | -0.41% | 15 | 0.0d | -0.27% | -0.0 |
| ORCL | 15 | 0.1d | -0.16% | 15 | 0.1d | 0.08% | -0.0 |
| PLTR | 14 | 0.2d | 0.36% | 15 | 0.1d | 0.15% | -0.0 |
| QCOM | 21 | 0.1d | 0.30% | 24 | 0.1d | -0.21% | -0.1 |
| QQQ | 21 | 0.1d | -0.05% | 25 | 0.0d | -0.03% | -0.1 |
| SHOP | 20 | 0.1d | -0.03% | 23 | 0.1d | 0.15% | -0.1 |
| SMCI | 12 | 0.1d | 0.95% | 13 | 0.1d | 0.51% | -0.0 |
| SOFI | 19 | 0.1d | -0.12% | 22 | 0.1d | -0.09% | -0.1 |
| SPY | 26 | 0.1d | -0.11% | 28 | 0.0d | -0.06% | -0.0 |
| TSLA | 15 | 0.1d | 0.66% | 15 | 0.1d | 0.60% | -0.0 |
| UNH | 22 | 0.1d | -0.07% | 23 | 0.1d | -0.11% | -0.1 |
| XOM | 20 | 0.1d | -0.29% | 26 | 0.0d | -0.21% | -0.1 |

## Fixed

# Fixed exit

## Overall (496 trades)

### Scoreboard

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| all | 496 | 36.9% | 32.8% | -0.06% | 0.91 | 1.55 | 0.1d | $-3118 |

MAE winners avg **-0.47%** · MAE losers avg **-1.26%** · MFE losers avg **0.61%** · max drawdown **$9267**

### By strategy

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| orb-v1 | 496 | 36.9% | 32.8% | -0.06% | 0.91 | 1.55 | 0.1d | $-3118 |

### By RSI band at entry

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 496 | 36.9% | 32.8% | -0.06% | 0.91 | 1.55 | 0.1d | $-3118 |

### By distance from MA50

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 496 | 36.9% | 32.8% | -0.06% | 0.91 | 1.55 | 0.1d | $-3118 |

### By relative volume

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 496 | 36.9% | 32.8% | -0.06% | 0.91 | 1.55 | 0.1d | $-3118 |

### By market regime

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 496 | 36.9% | 32.8% | -0.06% | 0.91 | 1.55 | 0.1d | $-3118 |

### By exit reason

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| eod_flatten | 146 | 66.4% | 58.4% | 0.47% | 3.24 | 1.64 | 0.2d | $6718 |
| stop_loss | 264 | 0.0% | 0.0% | -1.16% | 0.00 | – | 0.1d | $-30225 |
| take_profit | 86 | 100.0% | 95.7% | 2.40% | – | – | 0.1d | $20389 |

### By symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| AAPL | 15 | 46.7% | 24.8% | 0.23% | 1.85 | 2.10 | 0.1d | $343 |
| AMD | 11 | 9.1% | 1.6% | -0.84% | 0.18 | 1.81 | 0.1d | $-911 |
| AMZN | 14 | 28.6% | 11.7% | -0.18% | 0.60 | 1.51 | 0.2d | $-255 |
| ANET | 16 | 37.5% | 18.5% | -0.29% | 0.68 | 1.13 | 0.1d | $-458 |
| APP | 19 | 36.8% | 19.1% | 0.17% | 1.18 | 2.01 | 0.1d | $340 |
| AVGO | 14 | 14.3% | 4.0% | -0.65% | 0.22 | 1.26 | 0.1d | $-884 |
| COIN | 19 | 26.3% | 11.8% | -0.49% | 0.59 | 1.65 | 0.1d | $-924 |
| CRM | 18 | 27.8% | 12.5% | -0.31% | 0.62 | 1.61 | 0.1d | $-551 |
| DIS | 19 | 31.6% | 15.4% | -0.07% | 0.82 | 1.78 | 0.1d | $-136 |
| GOOGL | 11 | 63.6% | 35.4% | 0.37% | 2.55 | 1.46 | 0.1d | $395 |
| HOOD | 18 | 50.0% | 29.0% | 0.73% | 1.96 | 1.95 | 0.1d | $1310 |
| INTC | 16 | 12.5% | 3.5% | -1.47% | 0.13 | 0.91 | 0.1d | $-2342 |
| JPM | 20 | 50.0% | 29.9% | 0.16% | 1.66 | 1.66 | 0.1d | $319 |
| MARA | 17 | 52.9% | 31.0% | 0.18% | 1.13 | 1.00 | 0.1d | $301 |
| META | 14 | 35.7% | 16.3% | 0.15% | 1.36 | 2.46 | 0.1d | $201 |
| MSFT | 13 | 53.8% | 29.1% | 0.17% | 1.67 | 1.43 | 0.2d | $215 |
| MU | 13 | 23.1% | 8.2% | -0.77% | 0.49 | 1.69 | 0.1d | $-980 |
| NFLX | 12 | 41.7% | 19.3% | -0.16% | 0.68 | 0.96 | 0.1d | $-196 |
| NVDA | 12 | 25.0% | 8.9% | -0.41% | 0.46 | 1.39 | 0.0d | $-494 |
| ORCL | 15 | 40.0% | 19.8% | -0.16% | 0.81 | 1.22 | 0.1d | $-242 |
| PLTR | 14 | 57.1% | 32.6% | 0.36% | 1.68 | 1.26 | 0.2d | $508 |
| QCOM | 21 | 42.9% | 24.5% | 0.30% | 1.39 | 1.85 | 0.1d | $611 |
| QQQ | 21 | 38.1% | 20.8% | -0.05% | 0.79 | 1.27 | 0.1d | $-94 |
| SHOP | 20 | 45.0% | 25.8% | -0.03% | 0.95 | 1.17 | 0.1d | $-64 |
| SMCI | 12 | 50.0% | 25.4% | 0.95% | 1.95 | 1.96 | 0.1d | $1132 |
| SOFI | 19 | 36.8% | 19.1% | -0.12% | 0.85 | 1.45 | 0.1d | $-225 |
| SPY | 26 | 30.8% | 16.5% | -0.11% | 0.42 | 0.93 | 0.1d | $-270 |
| TSLA | 15 | 46.7% | 24.8% | 0.66% | 2.53 | 2.92 | 0.1d | $957 |
| UNH | 22 | 31.8% | 16.4% | -0.07% | 0.82 | 1.77 | 0.1d | $-152 |
| XOM | 20 | 25.0% | 11.2% | -0.29% | 0.28 | 0.84 | 0.1d | $-574 |


## Trailing (research)

# Trailing exit

## Overall (546 trades)

### Scoreboard

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| all | 546 | 36.4% | 32.5% | -0.03% | 0.94 | 1.65 | 0.1d | $-1420 |

MAE winners avg **-0.35%** · MAE losers avg **-0.88%** · MFE losers avg **0.48%** · max drawdown **$6679**

### By strategy

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| orb-v1 | 546 | 36.4% | 32.5% | -0.03% | 0.94 | 1.65 | 0.1d | $-1420 |

### By RSI band at entry

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 546 | 36.4% | 32.5% | -0.03% | 0.94 | 1.65 | 0.1d | $-1420 |

### By distance from MA50

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 546 | 36.4% | 32.5% | -0.03% | 0.94 | 1.65 | 0.1d | $-1420 |

### By relative volume

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 546 | 36.4% | 32.5% | -0.03% | 0.94 | 1.65 | 0.1d | $-1420 |

### By market regime

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 546 | 36.4% | 32.5% | -0.03% | 0.94 | 1.65 | 0.1d | $-1420 |

### By exit reason

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| eod_flatten | 64 | 85.9% | 75.4% | 1.54% | 39.45 | 6.47 | 0.2d | $9747 |
| trailing_stop | 482 | 29.9% | 26.0% | -0.23% | 0.56 | 1.31 | 0.0d | $-11167 |

### By symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| AAPL | 16 | 56.3% | 33.2% | 0.33% | 3.52 | 2.74 | 0.1d | $521 |
| AMD | 13 | 30.8% | 12.7% | -0.37% | 0.40 | 0.91 | 0.1d | $-475 |
| AMZN | 15 | 53.3% | 30.1% | -0.08% | 0.70 | 0.61 | 0.1d | $-120 |
| ANET | 19 | 36.8% | 19.1% | -0.36% | 0.46 | 0.79 | 0.1d | $-679 |
| APP | 19 | 36.8% | 19.1% | 0.29% | 1.41 | 2.38 | 0.1d | $552 |
| AVGO | 15 | 6.7% | 1.2% | -0.44% | 0.07 | 1.02 | 0.0d | $-650 |
| COIN | 18 | 27.8% | 12.5% | -0.51% | 0.46 | 1.19 | 0.1d | $-905 |
| CRM | 18 | 27.8% | 12.5% | -0.09% | 0.81 | 2.11 | 0.1d | $-162 |
| DIS | 23 | 30.4% | 15.6% | -0.04% | 0.89 | 2.04 | 0.1d | $-81 |
| GOOGL | 12 | 41.7% | 19.3% | 0.03% | 1.14 | 1.59 | 0.1d | $42 |
| HOOD | 18 | 44.4% | 24.6% | 1.07% | 3.51 | 4.36 | 0.1d | $1923 |
| INTC | 18 | 11.1% | 3.1% | -1.31% | 0.13 | 1.04 | 0.1d | $-2349 |
| JPM | 21 | 57.1% | 36.5% | 0.21% | 2.03 | 1.52 | 0.1d | $439 |
| MARA | 19 | 57.9% | 36.3% | 0.41% | 1.55 | 1.13 | 0.1d | $769 |
| META | 15 | 33.3% | 15.2% | 0.29% | 1.80 | 3.66 | 0.1d | $410 |
| MSFT | 13 | 46.2% | 23.2% | 0.13% | 1.60 | 1.86 | 0.1d | $163 |
| MU | 16 | 18.8% | 6.6% | -0.46% | 0.41 | 1.83 | 0.0d | $-720 |
| NFLX | 14 | 28.6% | 11.7% | -0.12% | 0.67 | 1.69 | 0.1d | $-169 |
| NVDA | 15 | 26.7% | 10.9% | -0.27% | 0.48 | 1.32 | 0.0d | $-400 |
| ORCL | 15 | 33.3% | 15.2% | 0.08% | 1.17 | 2.35 | 0.1d | $123 |
| PLTR | 15 | 46.7% | 24.8% | 0.15% | 1.45 | 1.66 | 0.1d | $219 |
| QCOM | 24 | 33.3% | 18.0% | -0.21% | 0.68 | 1.36 | 0.1d | $-511 |
| QQQ | 25 | 48.0% | 30.0% | -0.03% | 0.71 | 0.78 | 0.0d | $-84 |
| SHOP | 23 | 43.5% | 25.6% | 0.15% | 1.37 | 1.77 | 0.1d | $351 |
| SMCI | 13 | 38.5% | 17.7% | 0.51% | 1.69 | 2.70 | 0.1d | $666 |
| SOFI | 22 | 36.4% | 19.7% | -0.09% | 0.84 | 1.47 | 0.1d | $-194 |
| SPY | 28 | 35.7% | 20.7% | -0.06% | 0.50 | 0.89 | 0.0d | $-169 |
| TSLA | 15 | 46.7% | 24.8% | 0.60% | 2.77 | 3.18 | 0.1d | $880 |
| UNH | 23 | 30.4% | 15.6% | -0.11% | 0.64 | 1.48 | 0.1d | $-258 |
| XOM | 26 | 26.9% | 13.7% | -0.21% | 0.27 | 0.73 | 0.0d | $-553 |