# Backtest: vwap-mr-v1

**Design-only strategy, backtest-only.** Not wired into `pnpm trade`. 60-day window over 30 symbols. Volatility scale = daily ATR14, held fixed across the window (not rolling). Every trade resolves same-session (stop / target / EOD-flatten) — no overnight hold, no censoring.

> ⚠️ Same caveats as `pnpm backtest` apply: survivorship-biased, signal-level only (fixed $10k/trade, no portfolio simulation), scored history — a sanity check, not evidence (docs/METRICS.md rule #4).

## Overall (267 trades)

### Scoreboard

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| all | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | $-2966 |

MAE winners avg **-0.96%** · MAE losers avg **-2.38%** · MFE losers avg **0.60%** · max drawdown **$7646**

### By strategy

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| vwap-mr-v1 | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | $-2966 |

### By RSI band at entry

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | $-2966 |

### By distance from MA50

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | $-2966 |

### By relative volume

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | $-2966 |

### By market regime

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | $-2966 |

### By exit reason

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| eod_flatten | 181 | 47.5% | 40.4% | -0.12% | 0.80 | 0.88 | $-2163 |
| stop_loss | 33 | 0.0% | 0.0% | -3.79% | 0.00 | – | $-12206 |
| take_profit | 53 | 100.0% | 93.2% | 2.20% | – | – | $11403 |

### By symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Total P&L |
|---|---|---|---|---|---|---|---|
| AAPL | 12 | 33.3% | 13.8% | -0.41% | 0.25 | 0.50 | $-487 |
| AMD | 14 | 57.1% | 32.6% | 0.13% | 1.13 | 0.83 | $220 |
| AMZN | 5 | 40.0% | 11.8% | -0.39% | 0.29 | 0.44 | $-193 |
| ANET | 8 | 75.0% | 40.9% | 0.29% | 1.47 | 0.49 | $232 |
| APP | 9 | 55.6% | 26.7% | -0.83% | 0.45 | 0.36 | $-716 |
| AVGO | 9 | 77.8% | 45.3% | 0.87% | 2.36 | 0.68 | $759 |
| COIN | 1 | 100.0% | 20.7% | 2.80% | – | – | $280 |
| CRM | 2 | 50.0% | 9.5% | 0.25% | 18.64 | 18.40 | $49 |
| DIS | 5 | 60.0% | 23.1% | -0.08% | 0.85 | 0.56 | $-39 |
| GOOGL | 8 | 62.5% | 30.6% | -0.09% | 0.84 | 0.50 | $-64 |
| HOOD | 13 | 46.2% | 23.2% | 0.02% | 1.02 | 1.18 | $24 |
| INTC | 8 | 50.0% | 21.5% | 0.17% | 1.13 | 1.13 | $137 |
| JPM | 9 | 55.6% | 26.7% | 0.12% | 1.37 | 1.11 | $105 |
| MARA | 13 | 53.8% | 29.1% | -0.45% | 0.70 | 0.60 | $-590 |
| META | 11 | 54.5% | 28.0% | -0.09% | 0.85 | 0.71 | $-92 |
| MSFT | 5 | 20.0% | 3.6% | 0.25% | 4.19 | 16.91 | $123 |
| MU | 18 | 50.0% | 29.0% | -0.07% | 0.97 | 0.96 | $-92 |
| NFLX | 3 | 33.3% | 6.1% | -0.91% | 0.31 | 0.61 | $-272 |
| NVDA | 5 | 60.0% | 23.1% | 0.61% | 18.38 | 12.16 | $305 |
| ORCL | 9 | 77.8% | 45.3% | 0.33% | 1.48 | 0.42 | $291 |
| PLTR | 8 | 37.5% | 13.7% | -0.16% | 0.69 | 1.15 | $-125 |
| QCOM | 6 | 50.0% | 18.8% | -0.15% | 0.85 | 0.85 | $-94 |
| QQQ | 19 | 57.9% | 36.3% | -0.10% | 0.79 | 0.56 | $-174 |
| SHOP | 4 | 0.0% | 0.0% | -1.22% | 0.00 | – | $-486 |
| SMCI | 16 | 43.8% | 23.1% | -0.71% | 0.61 | 0.78 | $-1144 |
| SOFI | 10 | 40.0% | 16.8% | -0.21% | 0.72 | 1.08 | $-213 |
| SPY | 15 | 66.7% | 41.7% | 0.00% | 0.99 | 0.50 | $-3 |
| TSLA | 5 | 40.0% | 11.8% | -0.87% | 0.54 | 0.82 | $-429 |
| UNH | 14 | 50.0% | 26.8% | -0.03% | 0.93 | 0.92 | $-43 |
| XOM | 3 | 33.3% | 6.1% | -0.79% | 0.15 | 0.31 | $-233 |