# Trailing-stop comparison: vwap-mr-v1

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

> ⚠️ Same caveats as `pnpm backtest:vwap-mr` apply: survivorship bias, signal-level only, scored history, and the daily-ATR-as-intraday-proxy simplification (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 | 12 | 0.1d | -0.41% | 14 | 0.1d | -0.37% | -0.0 |
| AMD | 14 | 0.1d | 0.13% | 15 | 0.2d | 0.36% | 0.0 |
| AMZN | 5 | 0.1d | -0.39% | 5 | 0.1d | -0.39% | 0.0 |
| ANET | 8 | 0.1d | 0.29% | 8 | 0.2d | 0.31% | 0.0 |
| APP | 9 | 0.1d | -0.83% | 10 | 0.1d | -0.73% | -0.0 |
| AVGO | 9 | 0.1d | 0.87% | 9 | 0.2d | 0.84% | 0.1 |
| COIN | 1 | 0.2d | 2.80% | 1 | 0.2d | 2.80% | 0.0 |
| CRM | 2 | 0.2d | 0.25% | 2 | 0.2d | 0.25% | 0.0 |
| DIS | 5 | 0.2d | -0.08% | 5 | 0.2d | -0.08% | 0.0 |
| GOOGL | 8 | 0.1d | -0.09% | 8 | 0.1d | -0.04% | 0.0 |
| HOOD | 13 | 0.1d | 0.02% | 15 | 0.2d | -0.72% | 0.0 |
| INTC | 8 | 0.1d | 0.17% | 8 | 0.1d | 1.30% | 0.0 |
| JPM | 9 | 0.1d | 0.12% | 9 | 0.1d | -0.13% | 0.0 |
| MARA | 13 | 0.2d | -0.45% | 14 | 0.2d | -0.66% | -0.0 |
| META | 11 | 0.1d | -0.09% | 11 | 0.1d | -0.02% | 0.0 |
| MSFT | 5 | 0.1d | 0.25% | 5 | 0.1d | 0.10% | 0.0 |
| MU | 18 | 0.1d | -0.07% | 18 | 0.1d | 0.08% | 0.0 |
| NFLX | 3 | 0.2d | -0.91% | 3 | 0.2d | -0.88% | 0.0 |
| NVDA | 5 | 0.2d | 0.61% | 5 | 0.2d | 0.70% | 0.0 |
| ORCL | 9 | 0.1d | 0.33% | 9 | 0.1d | 0.33% | 0.0 |
| PLTR | 8 | 0.1d | -0.16% | 8 | 0.2d | -0.04% | 0.0 |
| QCOM | 6 | 0.2d | -0.15% | 6 | 0.2d | -0.75% | 0.0 |
| QQQ | 19 | 0.1d | -0.10% | 20 | 0.1d | 0.01% | 0.0 |
| SHOP | 4 | 0.2d | -1.22% | 4 | 0.2d | -1.22% | 0.0 |
| SMCI | 16 | 0.1d | -0.71% | 15 | 0.1d | -0.97% | 0.0 |
| SOFI | 10 | 0.1d | -0.21% | 10 | 0.2d | -0.57% | 0.0 |
| SPY | 15 | 0.1d | 0.00% | 15 | 0.1d | 0.08% | 0.0 |
| TSLA | 5 | 0.1d | -0.87% | 5 | 0.2d | -0.28% | 0.0 |
| UNH | 14 | 0.1d | -0.03% | 13 | 0.1d | -0.29% | 0.1 |
| XOM | 3 | 0.1d | -0.79% | 3 | 0.1d | -0.79% | 0.0 |

## Fixed

# Fixed exit

## Overall (267 trades)

### Scoreboard

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| all | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | 0.1d | $-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 | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| vwap-mr-v1 | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | 0.1d | $-2966 |

### By RSI band at entry

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | 0.1d | $-2966 |

### By distance from MA50

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | 0.1d | $-2966 |

### By relative volume

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | 0.1d | $-2966 |

### By market regime

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 267 | 52.1% | 46.1% | -0.12% | 0.87 | 0.80 | 0.1d | $-2966 |

### By exit reason

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| eod_flatten | 181 | 47.5% | 40.4% | -0.12% | 0.80 | 0.88 | 0.2d | $-2163 |
| stop_loss | 33 | 0.0% | 0.0% | -3.79% | 0.00 | – | 0.1d | $-12206 |
| take_profit | 53 | 100.0% | 93.2% | 2.20% | – | – | 0.1d | $11403 |

### By symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| AAPL | 12 | 33.3% | 13.8% | -0.41% | 0.25 | 0.50 | 0.1d | $-487 |
| AMD | 14 | 57.1% | 32.6% | 0.13% | 1.13 | 0.83 | 0.1d | $220 |
| AMZN | 5 | 40.0% | 11.8% | -0.39% | 0.29 | 0.44 | 0.1d | $-193 |
| ANET | 8 | 75.0% | 40.9% | 0.29% | 1.47 | 0.49 | 0.1d | $232 |
| APP | 9 | 55.6% | 26.7% | -0.83% | 0.45 | 0.36 | 0.1d | $-716 |
| AVGO | 9 | 77.8% | 45.3% | 0.87% | 2.36 | 0.68 | 0.1d | $759 |
| COIN | 1 | 100.0% | 20.7% | 2.80% | – | – | 0.2d | $280 |
| CRM | 2 | 50.0% | 9.5% | 0.25% | 18.64 | 18.40 | 0.2d | $49 |
| DIS | 5 | 60.0% | 23.1% | -0.08% | 0.85 | 0.56 | 0.2d | $-39 |
| GOOGL | 8 | 62.5% | 30.6% | -0.09% | 0.84 | 0.50 | 0.1d | $-64 |
| HOOD | 13 | 46.2% | 23.2% | 0.02% | 1.02 | 1.18 | 0.1d | $24 |
| INTC | 8 | 50.0% | 21.5% | 0.17% | 1.13 | 1.13 | 0.1d | $137 |
| JPM | 9 | 55.6% | 26.7% | 0.12% | 1.37 | 1.11 | 0.1d | $105 |
| MARA | 13 | 53.8% | 29.1% | -0.45% | 0.70 | 0.60 | 0.2d | $-590 |
| META | 11 | 54.5% | 28.0% | -0.09% | 0.85 | 0.71 | 0.1d | $-92 |
| MSFT | 5 | 20.0% | 3.6% | 0.25% | 4.19 | 16.91 | 0.1d | $123 |
| MU | 18 | 50.0% | 29.0% | -0.07% | 0.97 | 0.96 | 0.1d | $-92 |
| NFLX | 3 | 33.3% | 6.1% | -0.91% | 0.31 | 0.61 | 0.2d | $-272 |
| NVDA | 5 | 60.0% | 23.1% | 0.61% | 18.38 | 12.16 | 0.2d | $305 |
| ORCL | 9 | 77.8% | 45.3% | 0.33% | 1.48 | 0.42 | 0.1d | $291 |
| PLTR | 8 | 37.5% | 13.7% | -0.16% | 0.69 | 1.15 | 0.1d | $-125 |
| QCOM | 6 | 50.0% | 18.8% | -0.15% | 0.85 | 0.85 | 0.2d | $-94 |
| QQQ | 19 | 57.9% | 36.3% | -0.10% | 0.79 | 0.56 | 0.1d | $-174 |
| SHOP | 4 | 0.0% | 0.0% | -1.22% | 0.00 | – | 0.2d | $-486 |
| SMCI | 16 | 43.8% | 23.1% | -0.71% | 0.61 | 0.78 | 0.1d | $-1144 |
| SOFI | 10 | 40.0% | 16.8% | -0.21% | 0.72 | 1.08 | 0.1d | $-213 |
| SPY | 15 | 66.7% | 41.7% | 0.00% | 0.99 | 0.50 | 0.1d | $-3 |
| TSLA | 5 | 40.0% | 11.8% | -0.87% | 0.54 | 0.82 | 0.1d | $-429 |
| UNH | 14 | 50.0% | 26.8% | -0.03% | 0.93 | 0.92 | 0.1d | $-43 |
| XOM | 3 | 33.3% | 6.1% | -0.79% | 0.15 | 0.31 | 0.1d | $-233 |


## Trailing (research)

# Trailing exit

## Overall (273 trades)

### Scoreboard

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| all | 273 | 47.3% | 41.4% | -0.14% | 0.84 | 0.94 | 0.1d | $-3735 |

MAE winners avg **-0.98%** · MAE losers avg **-2.18%** · MFE losers avg **0.71%** · max drawdown **$7527**

### By strategy

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| vwap-mr-v1 | 273 | 47.3% | 41.4% | -0.14% | 0.84 | 0.94 | 0.1d | $-3735 |

### By RSI band at entry

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 273 | 47.3% | 41.4% | -0.14% | 0.84 | 0.94 | 0.1d | $-3735 |

### By distance from MA50

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 273 | 47.3% | 41.4% | -0.14% | 0.84 | 0.94 | 0.1d | $-3735 |

### By relative volume

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 273 | 47.3% | 41.4% | -0.14% | 0.84 | 0.94 | 0.1d | $-3735 |

### By market regime

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| unknown | 273 | 47.3% | 41.4% | -0.14% | 0.84 | 0.94 | 0.1d | $-3735 |

### By exit reason

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| eod_flatten | 220 | 58.6% | 52.0% | 0.51% | 2.18 | 1.55 | 0.2d | $10961 |
| trailing_stop | 53 | 0.0% | 0.0% | -2.84% | 0.00 | – | 0.1d | $-14696 |

### By symbol

| Bucket | n | Win rate | Wilson 95% low | Expectancy | Profit factor | Payoff | Avg hold | Total P&L |
|---|---|---|---|---|---|---|---|---|
| AAPL | 14 | 35.7% | 16.3% | -0.37% | 0.34 | 0.62 | 0.1d | $-515 |
| AMD | 15 | 53.3% | 30.1% | 0.36% | 1.28 | 1.10 | 0.2d | $552 |
| AMZN | 5 | 40.0% | 11.8% | -0.39% | 0.29 | 0.44 | 0.1d | $-193 |
| ANET | 8 | 75.0% | 40.9% | 0.31% | 1.58 | 0.53 | 0.2d | $245 |
| APP | 10 | 60.0% | 31.3% | -0.73% | 0.50 | 0.33 | 0.1d | $-699 |
| AVGO | 9 | 77.8% | 45.3% | 0.84% | 2.35 | 0.68 | 0.2d | $739 |
| COIN | 1 | 100.0% | 20.7% | 2.80% | – | – | 0.2d | $280 |
| CRM | 2 | 50.0% | 9.5% | 0.25% | 18.64 | 18.40 | 0.2d | $49 |
| DIS | 5 | 60.0% | 23.1% | -0.08% | 0.85 | 0.56 | 0.2d | $-39 |
| GOOGL | 8 | 62.5% | 30.6% | -0.04% | 0.93 | 0.55 | 0.1d | $-26 |
| HOOD | 15 | 26.7% | 10.9% | -0.72% | 0.34 | 0.93 | 0.2d | $-1069 |
| INTC | 8 | 50.0% | 21.5% | 1.30% | 1.99 | 1.99 | 0.1d | $1033 |
| JPM | 9 | 44.4% | 18.9% | -0.13% | 0.62 | 0.78 | 0.1d | $-116 |
| MARA | 14 | 42.9% | 21.4% | -0.66% | 0.58 | 0.77 | 0.2d | $-921 |
| META | 11 | 54.5% | 28.0% | -0.02% | 0.95 | 0.80 | 0.1d | $-27 |
| MSFT | 5 | 20.0% | 3.6% | 0.10% | 2.21 | 8.94 | 0.1d | $47 |
| MU | 18 | 44.4% | 24.6% | 0.08% | 1.05 | 1.31 | 0.1d | $138 |
| NFLX | 3 | 33.3% | 6.1% | -0.88% | 0.30 | 0.59 | 0.2d | $-261 |
| NVDA | 5 | 60.0% | 23.1% | 0.70% | 20.83 | 13.78 | 0.2d | $348 |
| ORCL | 9 | 77.8% | 45.3% | 0.33% | 1.59 | 0.45 | 0.1d | $293 |
| PLTR | 8 | 37.5% | 13.7% | -0.04% | 0.91 | 1.52 | 0.2d | $-35 |
| QCOM | 6 | 50.0% | 18.8% | -0.75% | 0.26 | 0.26 | 0.2d | $-449 |
| QQQ | 20 | 50.0% | 29.9% | 0.01% | 1.05 | 1.03 | 0.1d | $39 |
| SHOP | 4 | 0.0% | 0.0% | -1.22% | 0.00 | – | 0.2d | $-486 |
| SMCI | 15 | 40.0% | 19.8% | -0.97% | 0.48 | 0.72 | 0.1d | $-1447 |
| SOFI | 10 | 30.0% | 10.8% | -0.57% | 0.52 | 1.21 | 0.2d | $-572 |
| SPY | 15 | 53.3% | 30.1% | 0.08% | 1.29 | 1.14 | 0.1d | $108 |
| TSLA | 5 | 40.0% | 11.8% | -0.28% | 0.84 | 1.27 | 0.2d | $-143 |
| UNH | 13 | 38.5% | 17.7% | -0.29% | 0.42 | 0.68 | 0.1d | $-376 |
| XOM | 3 | 33.3% | 6.1% | -0.79% | 0.15 | 0.31 | 0.1d | $-233 |