By setup score band
Mean / median forward return + win rate (% positive). Higher bands should produce higher means + higher win rates.
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| Band | Samples | Mean return % | Median return % | Win rate % | Risk / recency (T+30) |
|---|
| T+10 | T+30 | T+60 | T+10 | T+30 | T+60 | T+10 | T+30 | T+60 | Payoff | Downside | Recent |
|---|
| under-4 | 40,186 | -0.43% | -0.95% | -1.55% | -1.12% | -2.73% | -5.04% | 43.2% | 40.1% | 38.1% | 1.25× | -9.76% | 34.0% |
| 4-5 | 56,268 | -0.24% | -0.74% | +0.11% | -1.04% | -2.55% | -3.79% | 43.4% | 40.9% | 40.6% | 1.26× | -9.60% | 36.4% |
| 5-6 | 83,183 | +0.29% | +0.55% | +1.26% | -0.56% | -1.49% | -2.34% | 46.4% | 44.9% | 44.1% | 1.35× | -8.96% | 39.9% |
| 6-7 | 87,900 | +0.55% | +1.18% | +2.15% | -0.30% | -0.81% | -1.44% | 47.9% | 47.2% | 46.8% | 1.35× | -8.76% | 44.3% |
| 7-8 | 76,883 | +0.80% | +1.81% | +3.10% | -0.13% | -0.02% | -0.36% | 49.0% | 49.8% | 49.2% | 1.33× | -8.93% | 48.7% |
| 8-9 | 29,415 | +1.22% | +2.39% | +4.38% | +0.04% | +0.30% | +0.46% | 50.2% | 50.8% | 50.9% | 1.35× | -9.37% | 50.1% |
| 9-10 | 2,435 | +1.97% | +2.04% | +2.85% | +0.46% | +0.48% | -1.68% | 51.5% | 50.9% | 47.3% | 1.26× | -10.50% | 52.8% |
Color: green = better, red = worse. Win rate >50% means more setups in the band closed up than down at that horizon. Payoff = avg win ÷ |avg loss| (>1× = winners ran bigger). Downside = 25th-percentile T+30 (typical bad case). Recent = trailing-365d win rate (is the edge still holding?).
Edge by sector
Where the Stage 2 edge has been strongest. T+30 win rate, median return, payoff asymmetry, downside, and the trailing-365d win rate for every sector — ordered best-first.
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| Sector | Samples | Win% (T+30) | Median % | Payoff | Downside (p25) | Recent Win% |
|---|
| Health Care | 31,372 | 50.8% | +0.25% | 1.32× | -6.97% | 46.6% |
| Energy | 5,684 | 49.9% | -0.01% | 1.51× | -7.60% | 51.4% |
| Utilities | 9,202 | 49.8% | -0.03% | 1.22× | -8.69% | 35.9% |
| Financials | 43,166 | 48.6% | -0.38% | 1.32× | -7.30% | 46.1% |
| Real Estate | 12,069 | 48.6% | -0.38% | 1.25× | -8.24% | 41.5% |
| Industrials | 76,089 | 46.4% | -1.16% | 1.44× | -9.64% | 44.0% |
| Consumer Staples | 24,819 | 46.3% | -1.11% | 1.32× | -8.63% | 45.7% |
| Communication Services | 10,705 | 45.0% | -1.64% | 1.27× | -10.30% | 39.0% |
| Consumer Discretionary | 66,055 | 44.5% | -1.59% | 1.32× | -9.61% | 42.4% |
| Materials | 71,890 | 42.5% | -2.28% | 1.32× | -9.65% | 39.7% |
| Information Technology | 25,219 | 42.4% | -2.90% | 1.36× | -11.64% | 34.4% |
Ordered by T+30 win rate. Payoff = avg win ÷ |avg loss| (>1× means winners ran bigger than losers). Downside = 25th-percentile T+30 (a typical bad case). Recent = trailing-365d win rate.
Regime × Score win-rate matrix
T+30 win rate (% positive) for each combination of market regime and setup score band. Higher cells = better historical odds. Hover for sample size.
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| Regime ↓ / Score → | under-4 | 4-5 | 5-6 | 6-7 | 7-8 | 8-9 | 9-10 |
|---|
| BULL | 38% n=8,466 | 41% n=16,827 | 45% n=31,291 | 48% n=31,770 | 51% n=24,975 | 51% n=10,115 | 52% n=608 |
| NEUTRAL_UP | 33% n=5,311 | 31% n=12,238 | 33% n=13,644 | 36% n=15,711 | 41% n=16,886 | 44% n=9,940 | 42% n=971 |
| TURNING | 59% n=355 | 58% n=1,127 | 61% n=1,919 | 58% n=3,030 | 65% n=4,142 | 65% n=3,167 | 64% n=438 |
| NEUTRAL_DOWN | 35% n=14,123 | 38% n=13,405 | 44% n=20,162 | 47% n=21,399 | 52% n=17,818 | 56% n=3,795 | 55% n=157 |
| CAUTION | 53% n=9,014 | 51% n=8,794 | 53% n=10,142 | 51% n=7,105 | 54% n=4,096 | 56% n=399 | — |
| BEAR | 38% n=2,917 | 44% n=3,877 | 52% n=6,025 | 53% n=8,885 | 50% n=8,966 | 51% n=1,999 | 51% n=261 |
Win rate<40%40-5050-6060-70>70%Hover any cell for sample size + avg return.
Method: for every (stock, date) where setup_score was computed since 2024-01-01, we took the close price on that date and the close at +10/+30/+60 trading days. The forward return is `(close_t / close_0 - 1) × 100`. The regime is `state_5` from `market_analytics` on the entry date. Past performance does not guarantee future results — use these numbers as a calibration of the score's signal quality, not as a forecast.