# 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). 6-month window (daily bars fetched from 2024-10-25 for MA200/ATR lookback; only bars from 2026-01-19 onward are simulated).

Final equity **$10,088.14** (+0.88%) from 52 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

```
2026-01-20 13:26  BUY   1 AAPL @ $249.34  (vwap-mr-v1)  cost $249.34  stop $245.03  target $251.54
2026-01-20 15:34  SELL  1 AAPL @ $245.03  (vwap-mr-v1)  stop_loss  -$4.31 (-1.73%)  equity → $9,995.70
2026-01-20 15:39  BUY   1 AAPL @ $244.95  (vwap-mr-v1)  cost $244.95  stop $240.80  target $249.37
2026-01-20 15:59  SELL  1 AAPL @ $246.73  (vwap-mr-v1)  eod_flatten  +$1.78 (+0.72%)  equity → $9,997.47
2026-01-20  SIGNAL  swing-dip-v1 qualifies at close ($246.72) — order queued for tomorrow's open (limit $247.22)
2026-01-21  BUY   4 AAPL @ $247.22  (swing-dip-v1)  cost $988.88  stop $237.09  target $259.06
2026-01-27  SELL  4 AAPL @ $259.06  (swing-dip-v1)  take_profit  +$47.36 (+4.79%)  equity → $10,044.83
2026-02-02 10:33  BUY   1 AAPL @ $265.27  (orb-v1)  cost $265.27  stop $261.63  target $272.51
2026-02-02 15:59  SELL  1 AAPL @ $269.95  (orb-v1)  eod_flatten  +$4.69 (+1.77%)  equity → $10,049.52
2026-02-03 09:55  BUY   1 AAPL @ $270.97  (orb-v1)  cost $270.97  stop $269.01  target $274.72
2026-02-03 10:12  SELL  1 AAPL @ $269.01  (orb-v1)  stop_loss  -$1.96 (-0.72%)  equity → $10,047.56
2026-02-04 09:46  BUY   1 AAPL @ $277.01  (orb-v1)  cost $277.01  stop $274.67  target $281.75
2026-02-04 10:17  SELL  1 AAPL @ $274.67  (orb-v1)  stop_loss  -$2.34 (-0.84%)  equity → $10,045.22
2026-02-06 09:56  BUY   1 AAPL @ $279.89  (orb-v1)  cost $279.89  stop $278.51  target $282.73
2026-02-06 10:55  SELL  1 AAPL @ $278.51  (orb-v1)  stop_loss  -$1.38 (-0.49%)  equity → $10,043.84
2026-02-11 10:21  BUY   1 AAPL @ $276.78  (orb-v1)  cost $276.78  stop $275.63  target $279.16
2026-02-11 10:52  SELL  1 AAPL @ $279.16  (orb-v1)  take_profit  +$2.38 (+0.86%)  equity → $10,046.22
2026-02-11 10:55  BUY   1 AAPL @ $279.72  (orb-v1)  cost $279.72  stop $275.63  target $287.93
2026-02-11 14:45  SELL  1 AAPL @ $275.63  (orb-v1)  stop_loss  -$4.09 (-1.46%)  equity → $10,042.13
2026-02-12 10:58  BUY   1 AAPL @ $268.43  (vwap-mr-v1)  cost $268.43  stop $262.60  target $271.87
2026-02-12 12:52  SELL  1 AAPL @ $262.60  (vwap-mr-v1)  stop_loss  -$5.82 (-2.17%)  equity → $10,036.30
2026-02-12 12:54  BUY   1 AAPL @ $262.34  (vwap-mr-v1)  cost $262.34  stop $256.57  target $268.79
2026-02-12 15:59  SELL  1 AAPL @ $261.65  (vwap-mr-v1)  eod_flatten  -$0.69 (-0.26%)  equity → $10,035.61
2026-02-13 15:29  BUY   1 AAPL @ $256.06  (vwap-mr-v1)  cost $256.06  stop $249.58  target $259.35
2026-02-13 15:59  SELL  1 AAPL @ $255.76  (vwap-mr-v1)  eod_flatten  -$0.31 (-0.12%)  equity → $10,035.31
2026-02-17 10:22  BUY   1 AAPL @ $260.81  (orb-v1)  cost $260.81  stop $257.59  target $267.34
2026-02-17 15:59  SELL  1 AAPL @ $263.93  (orb-v1)  eod_flatten  +$3.12 (+1.20%)  equity → $10,038.43
2026-02-20 10:02  BUY   1 AAPL @ $261.52  (orb-v1)  cost $261.52  stop $259.21  target $265.87
2026-02-20 15:59  SELL  1 AAPL @ $264.72  (orb-v1)  eod_flatten  +$3.20 (+1.22%)  equity → $10,041.63
2026-02-23 10:25  BUY   1 AAPL @ $267.39  (orb-v1)  cost $267.39  stop $265.14  target $271.11
2026-02-23 11:09  SELL  1 AAPL @ $265.14  (orb-v1)  stop_loss  -$2.25 (-0.84%)  equity → $10,039.38
2026-02-24 09:49  BUY   1 AAPL @ $274.58  (orb-v1)  cost $274.58  stop $270.97  target $281.75
2026-02-24 15:59  SELL  1 AAPL @ $272.19  (orb-v1)  eod_flatten  -$2.39 (-0.87%)  equity → $10,036.99
2026-02-27 14:33  BUY   1 AAPL @ $265.50  (vwap-mr-v1)  cost $265.50  stop $259.24  target $268.68
2026-02-27 15:59  SELL  1 AAPL @ $264.07  (vwap-mr-v1)  eod_flatten  -$1.43 (-0.54%)  equity → $10,035.57
2026-03-02 10:18  BUY   1 AAPL @ $264.10  (orb-v1)  cost $264.10  stop $261.73  target $268.81
2026-03-02 15:59  SELL  1 AAPL @ $264.71  (orb-v1)  eod_flatten  +$0.60 (+0.23%)  equity → $10,036.17
2026-03-16 09:50  BUY   1 AAPL @ $252.37  (orb-v1)  cost $252.37  stop $251.09  target $254.99
2026-03-16 15:59  SELL  1 AAPL @ $252.82  (orb-v1)  eod_flatten  +$0.45 (+0.18%)  equity → $10,036.62
2026-03-17 09:48  BUY   1 AAPL @ $254.55  (orb-v1)  cost $254.55  stop $253.30  target $256.97
2026-03-17 15:06  SELL  1 AAPL @ $253.30  (orb-v1)  stop_loss  -$1.25 (-0.49%)  equity → $10,035.37
2026-03-24 10:29  BUY   1 AAPL @ $252.88  (orb-v1)  cost $252.88  stop $250.84  target $257.20
2026-03-24 15:59  SELL  1 AAPL @ $251.76  (orb-v1)  eod_flatten  -$1.12 (-0.44%)  equity → $10,034.25
2026-03-26 09:52  BUY   1 AAPL @ $252.54  (orb-v1)  cost $252.54  stop $251.66  target $254.39
2026-03-26 10:04  SELL  1 AAPL @ $254.39  (orb-v1)  take_profit  +$1.85 (+0.73%)  equity → $10,036.10
2026-03-26 10:06  BUY   1 AAPL @ $254.62  (orb-v1)  cost $254.62  stop $251.66  target $260.69
2026-03-26 15:59  SELL  1 AAPL @ $252.87  (orb-v1)  eod_flatten  -$1.75 (-0.69%)  equity → $10,034.35
2026-03-27 09:49  BUY   1 AAPL @ $255.24  (orb-v1)  cost $255.24  stop $253.91  target $257.92
2026-03-27 10:37  SELL  1 AAPL @ $253.91  (orb-v1)  stop_loss  -$1.33 (-0.52%)  equity → $10,033.02
2026-03-27 13:24  BUY   1 AAPL @ $250.89  (vwap-mr-v1)  cost $250.89  stop $245.50  target $253.62
2026-03-27 15:59  SELL  1 AAPL @ $248.70  (vwap-mr-v1)  eod_flatten  -$2.19 (-0.87%)  equity → $10,030.83
2026-04-06 09:52  BUY   1 AAPL @ $259.12  (orb-v1)  cost $259.12  stop $257.36  target $262.47
2026-04-06 15:59  SELL  1 AAPL @ $258.87  (orb-v1)  eod_flatten  -$0.25 (-0.09%)  equity → $10,030.59
2026-04-07 10:55  BUY   1 AAPL @ $246.48  (vwap-mr-v1)  cost $246.48  stop $240.97  target $249.31
2026-04-07 12:03  SELL  1 AAPL @ $249.31  (vwap-mr-v1)  take_profit  +$2.83 (+1.15%)  equity → $10,033.41
2026-04-08 10:10  BUY   1 AAPL @ $259.38  (orb-v1)  cost $259.38  stop $257.53  target $262.93
2026-04-08 11:30  SELL  1 AAPL @ $257.53  (orb-v1)  stop_loss  -$1.85 (-0.71%)  equity → $10,031.56
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 → $10,029.94
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 → $10,029.19
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 → $10,031.52
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 → $10,033.31
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 → $10,033.47
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 → $10,036.80
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 → $10,036.90
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 → $10,040.63
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 → $10,043.69
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 → $10,041.98
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 → $10,043.18
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 → $10,040.79
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 → $10,039.93
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 → $10,041.18
2026-05-15 10:53  BUY   1 AAPL @ $300.57  (orb-v1)  cost $300.57  stop $297.57  target $306.63
2026-05-15 15:59  SELL  1 AAPL @ $300.19  (orb-v1)  eod_flatten  -$0.38 (-0.13%)  equity → $10,040.80
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 → $10,038.04
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 → $10,036.28
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 → $10,037.67
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 → $10,039.26
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 → $10,036.33
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  target $288.97
2026-06-30  SELL  3 AAPL @ $288.97  (swing-dip-v1)  take_profit  +$41.49 (+5.03%)  equity → $10,077.82
2026-06-30 10:01  BUY   1 AAPL @ $285.23  (orb-v1)  cost $285.23  stop $282.77  target $289.92
2026-06-30 15:59  SELL  1 AAPL @ $289.24  (orb-v1)  eod_flatten  +$4.01 (+1.41%)  equity → $10,081.83
2026-07-01 10:46  BUY   1 AAPL @ $294.28  (orb-v1)  cost $294.28  stop $291.94  target $298.96
2026-07-01 15:59  SELL  1 AAPL @ $294.42  (orb-v1)  eod_flatten  +$0.14 (+0.05%)  equity → $10,081.97
2026-07-02 09:58  BUY   1 AAPL @ $302.06  (orb-v1)  cost $302.06  stop $297.51  target $311.25
2026-07-02 15:59  SELL  1 AAPL @ $308.24  (orb-v1)  eod_flatten  +$6.18 (+2.04%)  equity → $10,088.14
```

# Trade scoreboard

## Overall (52 trades)

### Scoreboard

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| all | 52 | 48.1% | 35.1% | 0.18% | 2.70 | 1.61 | 0.3d | $88 |

MAE winners avg **-0.36%** · MAE losers avg **-0.90%** · MFE losers avg **0.34%** · max drawdown **$20**

### By strategy

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| orb-v1 | 36 | 50.0% | 34.5% | 0.13% | 1.42 | 1.41 | 0.2d | $13 |
| swing-dip-v1 | 2 | 100.0% | 34.2% | 4.91% | – | – | 5.0d | $89 |
| vwap-mr-v1 | 14 | 35.7% | 16.3% | -0.36% | 0.35 | 0.65 | 0.1d | $-14 |

### 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% | 5.03% | – | – | 4.0d | $41 |
| rsi<20 | 1 | 100.0% | 20.7% | 4.79% | – | – | 6.0d | $47 |
| unknown | 50 | 46.0% | 33.0% | -0.01% | 0.99 | 1.14 | 0.1d | $-1 |

### By distance from MA50

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| -10..-5% vs MA50 | 2 | 100.0% | 34.2% | 4.91% | – | – | 5.0d | $89 |
| unknown | 50 | 46.0% | 33.0% | -0.01% | 0.99 | 1.14 | 0.1d | $-1 |

### By relative volume

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| relvol 1.2-2 | 1 | 100.0% | 20.7% | 4.79% | – | – | 6.0d | $47 |
| relvol>2 | 1 | 100.0% | 20.7% | 5.03% | – | – | 4.0d | $41 |
| unknown | 50 | 46.0% | 33.0% | -0.01% | 0.99 | 1.14 | 0.1d | $-1 |

### By market regime

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| SPY>MA200 | 2 | 100.0% | 34.2% | 4.91% | – | – | 5.0d | $89 |
| unknown | 50 | 46.0% | 33.0% | -0.01% | 0.99 | 1.14 | 0.1d | $-1 |

### By exit reason

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| eod_flatten | 29 | 58.6% | 40.7% | 0.25% | 2.19 | 1.50 | 0.2d | $20 |
| stop_loss | 15 | 0.0% | 0.0% | -0.86% | 0.00 | – | 0.1d | $-35 |
| take_profit | 8 | 100.0% | 67.6% | 1.88% | – | – | 1.3d | $103 |

### By symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| AAPL | 52 | 48.1% | 35.1% | 0.18% | 2.70 | 1.61 | 0.3d | $88 |

### By strategy + symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| orb-v1 · AAPL | 36 | 50.0% | 34.5% | 0.13% | 1.42 | 1.41 | 0.2d | $13 |
| swing-dip-v1 · AAPL | 2 | 100.0% | 34.2% | 4.91% | – | – | 5.0d | $89 |
| vwap-mr-v1 · AAPL | 14 | 35.7% | 16.3% | -0.36% | 0.35 | 0.65 | 0.1d | $-14 |