Observed trade reconstruction · 2016–2018
Turn the trade list into a testable system.
First we replay what is known. Then we define the missing entry signal and test it out of sample.
What this proves
The exits are evidence, not yet an algorithm.
The source gives symbol, week, direction, and exit action. It does not give the entry date, price, sizing, signal formula, stop, fees, or whether positions overlap. This baseline uses the first tradable session’s open and last session’s close for each week. Change those assumptions before treating the numbers as investable.
Sector readout
Average return per observed window
Backtest protocol
Next experiment
- 01Define the signalExact conditions known before the week begins.
- 02Freeze assumptionsTiming, sizing, costs, overlap, and short constraints.
- 03Run out of sampleKeep 2019 onward untouched until the rule is locked.
Evidence ledger
Every supplied trade window
| Symbol | Sector | Observed week | Side | Assumed execution | Return | Status |
|---|---|---|---|---|---|---|
| XLI | Industrials | 2018-01-15 → 2018-01-19 | long | $80.47 → $79.69 | -0.97% | Replayable |
| XLI | Industrials | 2018-04-16 → 2018-04-20 | short | $74.53 → $75.60 | -1.44% | Replayable |
| XLI | Industrials | 2018-04-30 → 2018-05-04 | long | $73.39 → $72.26 | -1.54% | Replayable |
| SPY | S&P 500 | 2016-06-13 → 2016-06-17 | long | $209.36 → $206.52 | -1.36% | Replayable |
| SPY | S&P 500 | 2016-06-20 → 2016-06-24 | long | $208.82 → $203.24 | -2.67% | Replayable |
| SPY | S&P 500 | 2016-06-27 → 2016-07-01 | long | $201.59 → $209.92 | +4.13% | Replayable |
| SPY | S&P 500 | 2016-08-08 → 2016-08-12 | short | $218.40 → $218.46 | -0.03% | Replayable |
| SPY | S&P 500 | 2016-08-29 → 2016-09-02 | short | $217.44 → $218.37 | -0.43% | Replayable |
| XLK | Technology | 2016-07-04 → 2016-07-08 | long | $21.62 → $22.07 | +2.06% | Replayable |
| XLK | Technology | 2016-07-18 → 2016-07-22 | long | $22.54 → $22.92 | +1.66% | Replayable |
| XLK | Technology | 2016-08-08 → 2016-08-12 | long | $23.55 → $23.56 | +0.02% | Replayable |
| XLK | Technology | 2018-05-14 → 2018-05-18 | long | $35.06 → $34.44 | Excluded | Needs definition |
| XLK | Technology | 2018-06-18 → 2018-06-22 | long | $35.61 → $35.40 | -0.59% | Replayable |
| XLF | Financials | 2016-07-04 → 2016-07-08 | short | $18.29 → $18.62 | -1.78% | Replayable |
| XLF | Financials | 2016-07-18 → 2016-07-22 | short | $19.11 → $19.24 | -0.64% | Replayable |
| XLF | Financials | 2018-07-02 → 2018-07-06 | long | $26.37 → $26.67 | Excluded | Needs definition |
| XLY | Consumer Discretionary | 2016-08-29 → 2016-09-02 | long | $40.47 → $40.44 | -0.07% | Replayable |
| XLY | Consumer Discretionary | 2016-09-05 → 2016-09-09 | long | $40.44 → $39.22 | -3.03% | Replayable |
| XLY | Consumer Discretionary | 2016-09-12 → 2016-09-16 | long | $39.06 → $39.26 | +0.50% | Replayable |
| XLY | Consumer Discretionary | 2016-09-19 → 2016-09-23 | long | $39.32 → $39.83 | +1.31% | Replayable |
| XLU | Utilities | 2016-09-05 → 2016-09-09 | short | $24.94 → $24.23 | +2.87% | Replayable |
| XLU | Utilities | 2016-09-12 → 2016-09-16 | short | $24.19 → $24.63 | -1.82% | Replayable |
| XLU | Utilities | 2016-09-19 → 2016-09-23 | short | $24.71 → $25.47 | -3.08% | Replayable |
| XLU | Utilities | 2016-10-24 → 2016-10-28 | short | $24.10 → $24.23 | -0.52% | Replayable |
| XLB | Materials | 2016-09-12 → 2016-09-16 | short | $23.58 → $23.38 | +0.85% | Replayable |
| XLB | Materials | 2016-09-19 → 2016-09-23 | short | $23.49 → $23.66 | -0.72% | Replayable |