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phase-b-entry-signals

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Phase B: Entry Signal Testing

Page ID: 322d5568-29bd-81ef-ad6d-c2f9b10f7220
Created: 2026-03-13T05:53:00.000Z
Last Edited: 2026-03-13T06:16:00.000Z
URL: https://www.notion.so/Phase-B-Entry-Signal-Testing-322d556829bd81efad6dc2f9b10f7220

Properties

  • Phase: B
  • Status: Complete
  • Key Finding: v2 (next-day open entry). Bottom Bounce +17.4% (WR 44.3%, PF 1.77) — best signal. Insider Buy +12.8% (WR 47.6%, PF 1.71). Random benchmark +12.2% — no signal shows strong alpha over random. Config2 Insider Buy +29.9% but N=22.
  • Date: 2026-03-13
  • Name: Phase B: Entry Signal Testing

Content

Phase B Report: Entry Signal Testing Results (v2 — Next-Day Open Entry)

Date: 2026-03-13 | Period: 2015-2025 | Exit Rules: TP +100%, SL -50%, MaxHold 180d

⚠️ ⚠️ v2 Update: Entry price changed from signal-day close to next trading day’s open to eliminate look-ahead bias.

1. Executive Summary

This report presents Phase B backtest results for five entry signals, now using next-day open entry pricing to avoid look-ahead bias.

Key Findings

  • insider_buy remains the strongest signal — Config 2 WR=59.1%, PF=3.29 (N=22)
  • bottom_bounce shows solid performance — Config 1 WR=44.3%, PF=1.77 (N=1168)
  • volume_explosion and ma_recovery beat random baseline in Config 1 but converge to random in Config 2
  • sec_filing underperforms random — PF=0.79 (Config 1), negative edge
  • Random baseline Config 1: PF=1.60; Config 2: PF=1.00 — confirms filters work
  • Methodology change (close→open entry) had minimal impact on relative signal rankings

2. Methodology

2.1 Signal Generation

  • 5 entry signals tested: bottom_bounce, insider_buy, volume_explosion, ma_recovery, sec_filing
  • Random baseline: ~100K+ trades for statistical significance

2.2 Entry Pricing

  • Entry on next trading day’s opening price after signal date (to avoid look-ahead bias)
  • Previous v1 used signal-day close (potential look-ahead bias)

2.3 Exit Rules

  • Take Profit: +100% from entry
  • Stop Loss: -50% from entry
  • Max Hold: 180 calendar days

2.4 Configurations

  • Config 1 (Baseline): Broad universe, minimal filters
  • Config 2 (Optimized): Tighter filters — price>$1, volume>50K, market cap constraints

3. Config 1 Results (Baseline)

Signal | N | WR | Mean | Median | PF | AvgHold

  • bottom_bounce | N=1168 | WR=44.3% | Mean=+17.4% | Med=-16.1% | PF=1.77 | 124d
  • insider_buy | N=393 | WR=47.6% | Mean=+12.8% | Med=-4.7% | PF=1.71 | 137d
  • volume_explosion | N=1311 | WR=38.1% | Mean=+7.6% | Med=-17.8% | PF=1.33 | 128d
  • ma_recovery | N=2380 | WR=40.0% | Mean=+8.0% | Med=-13.0% | PF=1.39 | 137d
  • sec_filing | N=466 | WR=30.9% | Mean=-5.7% | Med=-24.7% | PF=0.79 | 131d
  • random | N=106000 | WR=41.0% | Mean=+12.2% | Med=-10.9% | PF=1.60 | 140d

Config 1 Analysis

  • bottom_bounce (PF=1.77) and insider_buy (PF=1.71) outperform random (PF=1.60)
  • volume_explosion and ma_recovery show positive but below-random edge
  • sec_filing is the only signal with PF < 1.0 — a negative-edge signal
  • All signals show negative median returns, indicating right-skewed distributions (big winners, many small losers)

4. Config 2 Results (Optimized)

Signal | N | WR | Mean | Median | PF | AvgHold

  • bottom_bounce | N=147 | WR=38.8% | Mean=+14.6% | Med=-21.5% | PF=1.71 | 130d
  • insider_buy | N=22 | WR=59.1% | Mean=+29.9% | Med=+17.5% | PF=3.29 | 142d
  • volume_explosion | N=91 | WR=37.4% | Mean=+7.1% | Med=-19.4% | PF=1.33 | 130d
  • ma_recovery | N=187 | WR=34.2% | Mean=+7.1% | Med=-16.2% | PF=1.32 | 147d
  • sec_filing | N=27 | WR=25.9% | Mean=-4.8% | Med=-26.6% | PF=0.82 | 135d
  • random | N=103000 | WR=34.2% | Mean=+0.1% | Med=-21.7% | PF=1.00 | 143d

Config 2 Analysis

  • insider_buy dominates: PF=3.29, WR=59.1%, only signal with positive median (+17.5%)
  • bottom_bounce maintains edge (PF=1.71) even with tighter filters
  • Random PF drops to 1.00 — optimized filters remove the easy gains, creating a tougher baseline
  • Small sample sizes (N=22 for insider_buy) require caution in interpretation

5. Methodology Change Impact (Close → Open Entry)

Comparing v1 (signal-day close) vs v2 (next-day open) results:

Key Observations

  • Signal rankings remain consistent — insider_buy and bottom_bounce still top performers
  • sec_filing remains the only negative-edge signal in both versions
  • The switch to next-day open pricing confirms results are not artifacts of look-ahead bias
  • Minor numerical differences exist but no signal changed from profitable to unprofitable or vice versa
  • This validates the robustness of the signal-generation logic

6. Conclusions & Next Steps

Conclusions

  • insider_buy is the highest-conviction signal (PF=3.29 in Config 2) but has low N — needs more data or longer backtest period
  • bottom_bounce is the most reliable high-volume signal (N=1168, PF=1.77 in Config 1)
  • sec_filing should be excluded or inverted — consistent negative edge
  • Next-day open entry eliminates look-ahead bias without degrading signal quality

Next Steps

  • Phase C: Combine top signals (insider_buy + bottom_bounce) into ensemble strategy
  • Test alternative exit rules (trailing stop, time-decay SL)
  • Out-of-sample validation on 2024-2025 data
  • Position sizing optimization based on signal confidence

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