Admin Panel
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Users are defined in
auth.js and baked into the deployment. To add or remove a user, update _HARDCODED_USERS in auth.js and re-upload to cPanel.
Position Sizing
Starting CapitalA$1,000,000
Position SizeA$100,000 (10%)
Max Concurrent4 positions
Max Exposure40% deployed
Cash Floor60% always cash
CommissionA$10 per side
Slippage0.1% adverse fill
ExecutionT+1 (next open)
Signal Engine
Min Confidence65%
Base Lookback20 days (WFO per-ticker)
Base Entry Z1.5σ (WFO per-ticker)
Base Exit Z0.3σ (WFO per-ticker)
Stop Z3.0σ (hard stop)
Trend Filter200-day MA (enabled)
Composite45% price + 55% macro
Macro InputsDXY · US10Y real · VIX · GLD vol
Watchlist & Exit Logic
Active TickersEVN · NST · CMM · GMD · PRU
InactiveRRL · WGX (poor signal fit)
DelistedDEG · GOR
Take Profit|z| < exit_z (per-ticker)
Stop Loss|z| > 3.0 (hard)
Backtest PeriodApr 2023 → Mar 2026
Lookahead BiasNone
| Ticker | Company | Lookback | Entry Z | Exit Z | Stop Z | WFO Windows | Backtest Trades | Win Rate | Total P&L |
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Sharpe Ratio Interpretation
Portfolio Sharpe is structurally penalised by idle cash. With 4 slots × A$100K = A$400K max deployed out of A$1M, ~60% of capital earns 0% while being benchmarked against a 4.3% risk-free rate. This compresses Sharpe independently of signal quality.
Moving from A$25K/6-slot (–1.07 Sharpe) to A$100K/4-slot (+0.35 Sharpe) confirmed this: same signals, 3.5× better Sharpe from reduced cash drag. Path to >1.0 target: increase signal frequency or add tickers to fill slots more consistently.
Moving from A$25K/6-slot (–1.07 Sharpe) to A$100K/4-slot (+0.35 Sharpe) confirmed this: same signals, 3.5× better Sharpe from reduced cash drag. Path to >1.0 target: increase signal frequency or add tickers to fill slots more consistently.
Sizing Evolution & Design Rationale
A$25K / max 6 (old): +5.98% total · +1.95% ann · 75% WR · –2.5% DD
A$100K / max 4 (current): +21.1% total · +6.6% ann · 65.8% WR · –7.6% DD
The 60% cash floor is intentional: preserves dry powder for high-conviction signals, limits correlated drawdown across positions, and provides a buffer for live trading friction not captured in simulation. Target 10% annual return requires continued signal frequency improvement.
A$100K / max 4 (current): +21.1% total · +6.6% ann · 65.8% WR · –7.6% DD
The 60% cash floor is intentional: preserves dry powder for high-conviction signals, limits correlated drawdown across positions, and provides a buffer for live trading friction not captured in simulation. Target 10% annual return requires continued signal frequency improvement.
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