# Portfolio backtest: AAPL

**Portfolio-level simulation**, not signal-level. One shared $10,000 account, real position sizing (`positionQty`) that compounds as trades close, one open position on AAPL at a time across all 3 strategies (mirrors the real system's cross-strategy exposure check). 3-month window (daily bars fetched from 2025-01-24 for MA200/ATR lookback; only bars from 2026-04-19 onward are simulated).

Final equity **$10,117.91** (+1.18%) from 20 closed round-trips.

> ⚠️ Still scored history — survivorship/single-symbol/no-slippage-beyond-the-modeled-limit-buffer caveats apply, same as every other backtest here (docs/METRICS.md rule #4). Never merge into data/trades.jsonl.

## Timeline

```
2026-04-20 10:09  BUY   1 AAPL @ $273.41  (orb-v1)  cost $273.41  stop $271.78  target $276.82
2026-04-20 11:10  SELL  1 AAPL @ $271.78  (orb-v1)  stop_loss  -$1.63 (-0.60%)  equity → $9,998.37
2026-04-21 11:52  BUY   1 AAPL @ $266.91  (vwap-mr-v1)  cost $266.91  stop $261.03  target $269.93
2026-04-21 15:59  SELL  1 AAPL @ $266.16  (vwap-mr-v1)  eod_flatten  -$0.75 (-0.28%)  equity → $9,997.62
2026-04-22 09:47  BUY   1 AAPL @ $268.74  (orb-v1)  cost $268.74  stop $267.74  target $271.07
2026-04-22 10:17  SELL  1 AAPL @ $271.07  (orb-v1)  take_profit  +$2.33 (+0.87%)  equity → $9,999.95
2026-04-22 10:20  BUY   1 AAPL @ $271.35  (orb-v1)  cost $271.35  stop $267.74  target $278.69
2026-04-22 15:59  SELL  1 AAPL @ $273.14  (orb-v1)  eod_flatten  +$1.79 (+0.66%)  equity → $10,001.74
2026-04-29 10:06  BUY   1 AAPL @ $269.99  (orb-v1)  cost $269.99  stop $268.01  target $273.92
2026-04-29 15:59  SELL  1 AAPL @ $270.15  (orb-v1)  eod_flatten  +$0.16 (+0.06%)  equity → $10,001.90
2026-04-30 10:01  BUY   1 AAPL @ $271.21  (orb-v1)  cost $271.21  stop $269.49  target $274.54
2026-04-30 15:45  SELL  1 AAPL @ $274.54  (orb-v1)  take_profit  +$3.33 (+1.23%)  equity → $10,005.23
2026-05-01 15:20  BUY   1 AAPL @ $280.01  (vwap-mr-v1)  cost $280.01  stop $274.18  target $283.01
2026-05-01 15:59  SELL  1 AAPL @ $280.11  (vwap-mr-v1)  eod_flatten  +$0.10 (+0.04%)  equity → $10,005.33
2026-05-05 10:22  BUY   1 AAPL @ $280.45  (orb-v1)  cost $280.45  stop $278.23  target $284.66
2026-05-05 15:59  SELL  1 AAPL @ $284.18  (orb-v1)  eod_flatten  +$3.73 (+1.33%)  equity → $10,009.06
2026-05-06 09:51  BUY   1 AAPL @ $284.40  (orb-v1)  cost $284.40  stop $282.21  target $289.07
2026-05-06 15:59  SELL  1 AAPL @ $287.46  (orb-v1)  eod_flatten  +$3.06 (+1.08%)  equity → $10,012.12
2026-05-07 10:00  BUY   1 AAPL @ $290.96  (orb-v1)  cost $290.96  stop $289.26  target $294.33
2026-05-07 11:52  SELL  1 AAPL @ $289.26  (orb-v1)  stop_loss  -$1.70 (-0.58%)  equity → $10,010.42
2026-05-07 15:11  BUY   1 AAPL @ $286.21  (vwap-mr-v1)  cost $286.21  stop $279.55  target $289.54
2026-05-07 15:59  SELL  1 AAPL @ $287.40  (vwap-mr-v1)  eod_flatten  +$1.19 (+0.42%)  equity → $10,011.61
2026-05-08 09:47  BUY   1 AAPL @ $294.24  (orb-v1)  cost $294.24  stop $291.85  target $299.23
2026-05-08 13:24  SELL  1 AAPL @ $291.85  (orb-v1)  stop_loss  -$2.39 (-0.81%)  equity → $10,009.22
2026-05-12 10:00  BUY   1 AAPL @ $294.11  (orb-v1)  cost $294.11  stop $293.25  target $295.62
2026-05-12 10:06  SELL  1 AAPL @ $293.25  (orb-v1)  stop_loss  -$0.86 (-0.29%)  equity → $10,008.36
2026-05-12 10:08  BUY   1 AAPL @ $293.92  (orb-v1)  cost $293.92  stop $293.25  target $295.17
2026-05-12 15:53  SELL  1 AAPL @ $295.17  (orb-v1)  take_profit  +$1.25 (+0.43%)  equity → $10,009.62
2026-06-09 10:18  BUY   1 AAPL @ $293.12  (vwap-mr-v1)  cost $293.12  stop $286.38  target $296.63
2026-06-09 15:59  SELL  1 AAPL @ $290.36  (vwap-mr-v1)  eod_flatten  -$2.76 (-0.94%)  equity → $10,006.86
2026-06-11 09:53  BUY   1 AAPL @ $293.78  (orb-v1)  cost $293.78  stop $292.02  target $297.20
2026-06-11 09:59  SELL  1 AAPL @ $292.02  (orb-v1)  stop_loss  -$1.76 (-0.60%)  equity → $10,005.10
2026-06-16 10:24  BUY   1 AAPL @ $297.87  (orb-v1)  cost $297.87  stop $295.23  target $303.15
2026-06-16 15:59  SELL  1 AAPL @ $299.26  (orb-v1)  eod_flatten  +$1.39 (+0.47%)  equity → $10,006.48
2026-06-17 14:59  BUY   1 AAPL @ $294.48  (vwap-mr-v1)  cost $294.48  stop $287.24  target $298.28
2026-06-17 15:59  SELL  1 AAPL @ $296.07  (vwap-mr-v1)  eod_flatten  +$1.59 (+0.54%)  equity → $10,008.08
2026-06-25 09:45  BUY   1 AAPL @ $278.15  (vwap-mr-v1)  cost $278.15  stop $271.16  target $282.67
2026-06-25 15:59  SELL  1 AAPL @ $275.21  (vwap-mr-v1)  eod_flatten  -$2.94 (-1.06%)  equity → $10,005.14
2026-06-25  SIGNAL  swing-dip-v1 qualifies at close ($275.21) — order queued for tomorrow's open (limit $275.76)
2026-06-26  BUY   3 AAPL @ $275.14  (swing-dip-v1)  cost $825.42  stop $259.50  trailing 8.0%
2026-07-06  SELL  3 AAPL @ $312.73  (swing-dip-v1)  time_stop  +$112.77 (+13.66%)  equity → $10,117.91
```

# Trade scoreboard

## Overall (20 trades)

### Scoreboard

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| all | 20 | 60.0% | 38.7% | 0.78% | 8.98 | 2.68 | 0.6d | $118 |

MAE winners avg **-0.23%** · MAE losers avg **-0.88%** · MFE losers avg **0.30%** · max drawdown **$7**

### By strategy

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| orb-v1 | 13 | 61.5% | 35.5% | 0.25% | 2.04 | 1.32 | 0.2d | $9 |
| swing-dip-v1 | 1 | 100.0% | 20.7% | 13.66% | – | – | 10.0d | $113 |
| vwap-mr-v1 | 6 | 50.0% | 18.8% | -0.21% | 0.45 | 0.44 | 0.1d | $-4 |

### By RSI band at entry

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| rsi 30-40 | 1 | 100.0% | 20.7% | 13.66% | – | – | 10.0d | $113 |
| unknown | 19 | 57.9% | 36.3% | 0.10% | 1.35 | 1.00 | 0.1d | $5 |

### By distance from MA50

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| -10..-5% vs MA50 | 1 | 100.0% | 20.7% | 13.66% | – | – | 10.0d | $113 |
| unknown | 19 | 57.9% | 36.3% | 0.10% | 1.35 | 1.00 | 0.1d | $5 |

### By relative volume

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| relvol>2 | 1 | 100.0% | 20.7% | 13.66% | – | – | 10.0d | $113 |
| unknown | 19 | 57.9% | 36.3% | 0.10% | 1.35 | 1.00 | 0.1d | $5 |

### By market regime

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| SPY>MA200 | 1 | 100.0% | 20.7% | 13.66% | – | – | 10.0d | $113 |
| unknown | 19 | 57.9% | 36.3% | 0.10% | 1.35 | 1.00 | 0.1d | $5 |

### By exit reason

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| eod_flatten | 11 | 72.7% | 43.4% | 0.21% | 2.02 | 0.75 | 0.2d | $7 |
| stop_loss | 5 | 0.0% | 0.0% | -0.58% | 0.00 | – | 0.1d | $-8 |
| take_profit | 3 | 100.0% | 43.8% | 0.84% | – | – | 0.2d | $7 |
| time_stop | 1 | 100.0% | 20.7% | 13.66% | – | – | 10.0d | $113 |

### By symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| AAPL | 20 | 60.0% | 38.7% | 0.78% | 8.98 | 2.68 | 0.6d | $118 |

### By strategy + symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| orb-v1 · AAPL | 13 | 61.5% | 35.5% | 0.25% | 2.04 | 1.32 | 0.2d | $9 |
| swing-dip-v1 · AAPL | 1 | 100.0% | 20.7% | 13.66% | – | – | 10.0d | $113 |
| vwap-mr-v1 · AAPL | 6 | 50.0% | 18.8% | -0.21% | 0.45 | 0.44 | 0.1d | $-4 |