Asymmetric R:R dip — 10R lock + stall 10d
Promoted version asym-rr-dip-stall10-v1. Evidence: equity_curve_asym_rr_dip_c_stall10. Research window 2018-01-01 → 2026-07-20.
Portfolio CAGR40.0%
Sharpe1.45
Max DD25.9%
E[R] (PF)1.053
Trades378
Win rate16.9%
Live candidates
Exact candidates0
Prices through—
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Ranktightest stop first
Exact match on T_DIP_ENTRY_ANY. Ranked by tightest structural stop.
Indicative shares assume $100k book and 1% risk with a 1.5% stop floor. Not an order ticket.
Merit column stays blank while monthly merit features lag daily prices.
Logic
EntryT_DIP_ENTRY_ANY — touch+bounce dip pool (channel dip, shakeout, reclaim variants) inside broader strength context from coverage atoms.
Stopsupport_level (invalidation_level), floored at min_stop_pct = 1.5% for fee-viable risk.
10R lockAt +10R (risk unit = entry − initial stop), ratchet stop to lock floor (lock_r). No trims.
RunnerAfter lock, EMA21 close-break exits remaining size (ema_trail_exit).
StallAfter lock, if no new bar high for 10 trading bars → exit at close (stall_exit).
Sizing / rankrisk_based 1% equity, max 10 positions, 10 bps slip, $0.0035/sh min $0.35. stop_distance_pct ascending (tightest structural stop first).
Expected R by exit (portfolio)
| Reason | n | % | avg R | contrib E[R] |
|---|---|---|---|---|
stop_loss | 313 | 82.8% | -1.08 | -0.898 |
lock_r_stop | 54 | 14.3% | +9.94 | +1.420 |
stall_exit | 4 | 1.1% | +20.60 | +0.218 |
ema_trail_exit | 4 | 1.1% | +26.16 | +0.277 |
end_of_data | 3 | 0.8% | +4.45 | +0.035 |
| ALL | 378 | 100% | E[R] = 1.053 | |
Equity curve
No equity curve data is available for this run.
Stage 3: n=1875, hit 13.9%, avg fwd 1.7%. Run asym_rr_dip_c_stall10_stage3.
- R = trade_return / max(stop_distance_pct, 1.5%). Stage 3 stop_loss avgR = -1.00.
- Stall is post-lock only; it realises large winners earlier when highs stall, freeing capital.
- Baseline LOCK+EMA was 38.1% CAGR / E[R] 1.038; stall-10 beats it on portfolio without cutting Stage 3 expectancy.
- Merit scores deferred: merit_feature_values max as_of is monthly and lagged (2026-04) vs daily prices.
- expectancy_r in headline is true R (return/risk). Engine summary payoff E[R]=1.18 uses win/loss avg ratio.