Shared agent run on NexusTrade
Point-In-Time Top Five Equity Study
The full research trace: nine point-in-time top-5 equity candidates plus an SPY control, backtested over 2020-2026, swept across 786 evaluations, and taken to a six-fold walk-forward study that rejected the leading candidate.
User: Create and rigorously research one point-in-time, lookahead-safe equity strategy with this thesis: - Universe: broad U.S. stocks (not a frozen hindsight roster). - Every two weeks, dynamically select the top 5 eligible stocks by market capitalization and rebalance them. - Add and systematically sweep momentum mechanisms such as multiple rate-of-change horizons, RSI, and moving-average/trend filters or rank signals. Treat these as candidate mechanisms/parameters to test rather than assuming one is best. - Also test point-in-time fundamental eligibility/ranking mechanisms, including revenue growth, net-income growth, stock rating/quality where genuinely available, and descending market-cap rank. Do not fabricate unavailable ratings or use future filings. - Test position-level stop-loss and take-profit settings. - Primary risk constraint: seek max drawdown below 15% without representing that as guaranteed. Optimize under this constraint with risk-adjusted return and meaningful participation/breadth. - Compare against SPY buy-and-hold over the same windows. - Use a broad systematic sweep, then validate promising configurations with a genuinely out-of-sample walk-forward study. Do not…
Aurora: 1. **Generate Portfolios** — In one bulk call, create a diverse set of point-in-time equity candidates over a broad U.S. stock universe. Every candidate must dynamically select exactly the top 5 eligible stocks by descending market capitalization and rebalance every two weeks; vary momentum mechanisms (multiple rate-of-change horizons, RSI, moving-average/trend filters, and rank signals), point-in-time revenue-growth and net-income-growth eligibility or ranking, and stock-rating/quality inputs only where genuinely available. Include a market-cap-only control and an SPY buy-and-hold benchmark; never freeze a hindsight ticker roster or use future filings. 2. **Backtest Portfolios** — In one bulk call, backtest every candidate and SPY over matched windows, capital, fees, and biweekly cadence, with position-level stop-loss and take-profit settings represented where applicable and detailed participation/breadth evidence enabled. 3. **Read Backtest** — In one bulk read, collect exact portfolio and backtest IDs plus return, max drawdown, Sortino, Sharpe, trade count, participation, distinct names traded, concentration, and comparison with SPY over the same windows. 4. **Audit Backtest Br…
User: Generate Portfolios: Create the following portfolios together as a single bulk batch. Use $100,000 initial capital for each equity portfolio. This is a research-only set: do not deploy or place orders. Every strategy portfolio must use a broad, dynamic U.S. stock universe evaluated point-in-time at each rebalance date, select exactly the top 5 eligible stocks by descending market capitalization, and rebalance every two weeks. Do not freeze a ticker roster and do not use future filings. Fundamental observations must be keyed by their actual filing/publication availability dates; if a stock-rating or quality field is not genuinely available with point-in-time history, omit that mechanism and label it unavailable rather than fabricating it. Apply position-level stop-loss and take-profit exits where specified, using realistic portfolio-position percentages. Include participation and breadth in the backtest configuration where supported. 1. 'Market-Cap Top-5 Control' — dynamic broad U.S. universe; select the five largest eligible stocks by point-in-time market capitalization; equal weight; biweekly rebalance; no momentum or fundamental filter; position stop-loss 15% and take-profit 30%…
Aurora: Created 10 portfolios. - Market-Cap Top-5 Control: portfolioId=6a849f4b02281665dc696269; strategies=Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 - ROC Momentum Top-5: portfolioId=6a849f4b02281665dc696279; strategies=Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → top 10 by 63 Day Rate of Change → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 - Multi-Horizon Momentum: portfolioId=6a849f4c02281665dc696288; strategies=Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → filter (21 Day Rate of Change > Constant 0 and 63 Day Rate of Change > Constant 0 and 252 Day Rate of Change > Constant 0) → top 10 by 21 Day Rate of Change + 63 Day Rate of Change + 252 Day Rate of Change → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 a…
User: Backtest Portfolios: Backtest all ten portfolios in one bulk run from 2020-01-01 through 2026-08-17 using daily bars, $100,000 initial value for each, matched fees and configuration, and SPY buy-and-hold as the comparison baseline: 6a849f4b02281665dc696269 Market-Cap Top-5 Control; 6a849f4b02281665dc696279 ROC Momentum Top-5; 6a849f4c02281665dc696288 Multi-Horizon Momentum; 6a849f4c02281665dc69628f RSI-Trend Momentum; 6a849f4c02281665dc696293 Trend-Rank Momentum; 6a849f4c02281665dc696296 Point-in-Time Revenue Growth; 6a849f4c02281665dc696299 Point-in-Time Net Income Growth; 6a849f4c02281665dc69629f Quality Plus Momentum; 6a849f4c02281665dc6962a2 Fundamental-Momentum Composite; 6a849f4c02281665dc6962a6 SPY Buy-and-Hold Benchmark. Generate detailed participation, breadth, holdings, rebalance, stop-loss, and take-profit events where supported so the point-in-time universe and exits can be audited. Do not deploy or place orders.
Aurora: Started 10 native backtests. Backtest IDs: ["6a849f5cf68259010d385622","6a849f5cf68259010d385624","6a849f5cf68259010d385627","6a849f5cf68259010d385629","6a849f5cf68259010d385626","6a849f5cf68259010d385623","6a849f5cf68259010d385621","6a849f5cf68259010d385625","6a849f5cf68259010d385628","6a849f5cf68259010d38562a"]. Next, call Read Backtest with exactly these backtestIds. Do not run Backtest Portfolios again for the same portfolio and window.
User: Read Backtest: Read these ten completed backtests in one bulk request: 6a849f5cf68259010d385622, 6a849f5cf68259010d385624, 6a849f5cf68259010d385627, 6a849f5cf68259010d385629, 6a849f5cf68259010d385626, 6a849f5cf68259010d385623, 6a849f5cf68259010d385621, 6a849f5cf68259010d385625, 6a849f5cf68259010d385628, and 6a849f5cf68259010d38562a. For each, report total return, annualized return if available, max drawdown, Sortino, Sharpe, trade count, participation rate, median deployment, distinct underlyings traded, concentration, SPY buy-and-hold comparison, and any available holdings, rebalance, stop-loss, and take-profit event summaries. Explicitly flag zero-trade or zero-participation books and any evidence that the dynamic universe or fundamental observations were not point-in-time.
Aurora: Backtests finished (10 complete).
Aurora: ## Deployment posture All nine equity strategies have **median deployment of approximately 100%**, so they were **~always invested**. These results should not be described as sparse timing edges or decisively timed strategies. Their signals mostly determine which stocks are held, not whether the portfolio is invested. SPY’s median deployment was **94.2%**, also effectively buy-and-hold. All results below use the normalized, directly comparable evaluation window: **2020-01-01 to 2026-08-18 — daily bars — `windowKey: 2020-01-01|2026-08-18|Day|SPY`** There are no `warnings` entries, but several structural caveats arise from the metrics and breadth audit. ## Backtest comparison | Strategy | Total return | Annualized return | Alpha vs SPY | Max drawdown | Sortino | Sharpe | Closed trades | Participation | Distinct names | Concentration | |---|---:|---:|---:|---:|---:|---:|---:|---:|---:|---| | **Trend-Rank Momentum** | **475.65%** | **30.18%** | **+314.27%** | 45.99% | **1.29** | 0.90 | 113 | 1.64% | 73 | Top 1: 9.81%; Top 5: 31.28% | | **RSI-Trend Momentum** | 286.94% | 22.62% | +125.55% | **31.07%** | **1.42** | **1.01** | 109 | 0.79% | 35 | Top 1: 13.17%; Top 5: 56.11% | | **Market-…
User: Audit Backtest Breadth: Audit backtestId 6a849f5cf68259010d385622. Report participation, distinct underlyings, resolution attempts, holdings breadth, and whether the dynamic market-cap universe and exits appear to have fired. Audit Backtest Breadth: Audit backtestId 6a849f5cf68259010d385624. Report participation, distinct underlyings, resolution attempts, holdings breadth, and whether the dynamic universe and momentum ranking appear to have fired. Audit Backtest Breadth: Audit backtestId 6a849f5cf68259010d385627. Report participation, distinct underlyings, resolution attempts, holdings breadth, and whether the multi-horizon momentum filters and market-cap selection appear to have fired. Audit Backtest Breadth: Audit backtestId 6a849f5cf68259010d385629. Report participation, distinct underlyings, resolution attempts, holdings breadth, and whether the RSI/trend filters and market-cap selection appear to have fired. Audit Backtest Breadth: Audit backtestId 6a849f5cf68259010d385626. Report participation, distinct underlyings, resolution attempts, holdings breadth, and whether the trend-rank mechanism and dynamic market-cap selection appear to have fired. Audit Backtest Breadth: Audit…
Aurora: Backtest breadth audit for `6a849f5cf68259010d385622` (universe 4449, participation 0.3%, filled 12/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385624` (universe 4449, participation 2.3%, filled 102/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385627` (universe 4449, participation 1.9%, filled 84/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385629` (universe 4449, participation 0.8%, filled 35/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385626` (universe 4449, participation 1.6%, filled 73/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385623` (universe 4449, participation 0.3%, filled 12/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385621` (universe 4449, participation 0.3%, filled 12/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385625` (universe 4449, participation 1.9%, filled 84/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d385628` (universe 4449, participation 2.1%, filled 94/4449).
Aurora: Backtest breadth audit for `6a849f5cf68259010d38562a` (universe 1, participation 100.0%, filled 1/1).
User: Get Sweep Surface: Get the sweep surface for portfolioId 6a849f4b02281665dc696269 (Market-Cap Top-5 Control). Report all applicable momentum, filter, ranking, rebalance, stop-loss, take-profit, sizing, and participation-related axes. Get Sweep Surface: Get the sweep surface for portfolioId 6a849f4b02281665dc696279 (ROC Momentum Top-5). Report all applicable momentum, filter, ranking, rebalance, stop-loss, take-profit, sizing, and participation-related axes. Get Sweep Surface: Get the sweep surface for portfolioId 6a849f4c02281665dc696288 (Multi-Horizon Momentum). Report all applicable momentum, filter, ranking, rebalance, stop-loss, take-profit, sizing, and participation-related axes. Get Sweep Surface: Get the sweep surface for portfolioId 6a849f4c02281665dc69628f (RSI-Trend Momentum). Report all applicable momentum, RSI, trend, ranking, rebalance, stop-loss, take-profit, sizing, and participation-related axes. Get Sweep Surface: Get the sweep surface for portfolioId 6a849f4c02281665dc696293 (Trend-Rank Momentum). Report all applicable trend, momentum, volatility-adjustment, ranking, rebalance, stop-loss, take-profit, sizing, and participation-related axes. Get Sweep Surface: Get…
Aurora: Sweep surface for: Portfolio "Market-Cap Top-5 Control" — 1 strategies. Surfaces present: optionLegs=false, dynamicUniverse=true, closeOption=false, regularBuySell=false. Strategies: - strategyIndex=0 DynamicRebalance: Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 Sweepable fields: Portfolio.Subject, Action.RankSignal, Action.DeploymentPct, UniversePipeline.SelectTopLimit, UniversePipeline.UniversePipelineFilter Default genes the server would derive: Subject (1 values); Select top limit (2 values); Total deployment percent (3 values); Universe filter (2 values); Rank signal (2 values) Pipeline filter stages (replaceable via UniversePipelineFilter + stageIndex): - strategy 0 stage 0: Asset's marketCap > Constant 0 An axis only teaches you something if its values can produce different backtests. Read the signal-density block above before choosing gene values: thresholds outside the measured range, and SelectTop limits above the number of names that carry a signal at once, com…
Aurora: Sweep surface for: Portfolio "ROC Momentum Top-5" — 1 strategies. Surfaces present: optionLegs=false, dynamicUniverse=true, closeOption=false, regularBuySell=false. Strategies: - strategyIndex=0 DynamicRebalance: Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → top 10 by 63 Day Rate of Change → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 Sweepable fields: Portfolio.Subject, Action.RankSignal, Action.DeploymentPct, UniversePipeline.SelectTopLimit, UniversePipeline.UniversePipelineFilter Default genes the server would derive: Subject (1 values); Select top limit (2 values); Total deployment percent (3 values); Universe filter (2 values); Rank signal (2 values) Pipeline filter stages (replaceable via UniversePipelineFilter + stageIndex): - strategy 0 stage 0: Asset's marketCap > Constant 0 An axis only teaches you something if its values can produce different backtests. Read the signal-density block above before choosing gene values: thresholds outside the measured range, and SelectTop limits above the number of names that…
Aurora: Sweep surface for: Portfolio "Multi-Horizon Momentum" — 1 strategies. Surfaces present: optionLegs=false, dynamicUniverse=true, closeOption=false, regularBuySell=false. Strategies: - strategyIndex=0 DynamicRebalance: Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → filter (21 Day Rate of Change > Constant 0 and 63 Day Rate of Change > Constant 0 and 252 Day Rate of Change > Constant 0) → top 10 by 21 Day Rate of Change + 63 Day Rate of Change + 252 Day Rate of Change → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 Sweepable fields: Portfolio.Subject, Action.RankSignal, Action.DeploymentPct, UniversePipeline.SelectTopLimit, UniversePipeline.UniversePipelineFilter Default genes the server would derive: Subject (1 values); Select top limit (2 values); Total deployment percent (3 values); Universe filter (2 values); Rank signal (2 values) Pipeline filter stages (replaceable via UniversePipelineFilter + stageIndex): - strategy 0 stage 0: Asset's marketCap > Constant 0 - strategy 0 stage 1: 21 Day undefined Rate of Change > Con…
Aurora: Sweep surface for: Portfolio "RSI-Trend Momentum" — 1 strategies. Surfaces present: optionLegs=false, dynamicUniverse=true, closeOption=false, regularBuySell=false. Strategies: - strategyIndex=0 DynamicRebalance: Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → filter (14 Day RSI ≥ Constant 50 and 14 Day RSI ≤ Constant 75 and last price > 50 Day SMA and last price > 200 Day SMA and 126 Day Rate of Change > Constant 0) → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 Sweepable fields: Portfolio.Subject, Action.RankSignal, Action.DeploymentPct, UniversePipeline.SelectTopLimit, UniversePipeline.UniversePipelineFilter Default genes the server would derive: Subject (1 values); Select top limit (2 values); Total deployment percent (3 values); Universe filter (2 values); Rank signal (2 values) Pipeline filter stages (replaceable via UniversePipelineFilter + stageIndex): - strategy 0 stage 0: Asset's marketCap > Constant 0 - strategy 0 stage 1: 14 Day undefined RSI ≥ Constant 50 and 14 Day undefined RSI ≤ Constant 75 and undefined…
Aurora: Sweep surface for: Portfolio "Trend-Rank Momentum" — 1 strategies. Surfaces present: optionLegs=false, dynamicUniverse=true, closeOption=false, regularBuySell=false. Strategies: - strategyIndex=0 DynamicRebalance: Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → filter ( last price > 200 Day SMA and 126 Day Standard Deviation > Constant 0) → top 10 by 126 Day Rate of Change / 126 Day Standard Deviation → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 Sweepable fields: Portfolio.Subject, Action.RankSignal, Action.DeploymentPct, UniversePipeline.SelectTopLimit, UniversePipeline.UniversePipelineFilter Default genes the server would derive: Subject (1 values); Select top limit (2 values); Total deployment percent (3 values); Universe filter (2 values); Rank signal (2 values) Pipeline filter stages (replaceable via UniversePipelineFilter + stageIndex): - strategy 0 stage 0: Asset's marketCap > Constant 0 - strategy 0 stage 1: undefined last price > 200 Day undefined SMA and 126 Day undefined Standard Deviation > Constant 0 An a…
Aurora: Sweep surface for: Portfolio "Fundamental-Momentum Composite" — 1 strategies. Surfaces present: optionLegs=false, dynamicUniverse=true, closeOption=false, regularBuySell=false. Strategies: - strategyIndex=0 DynamicRebalance: Dynamic rebalance US stocks weighted by Constant 1, filter (Asset's marketCap > Constant 0) → filter (63 Day Rate of Change > Constant 0 and 252 Day Rate of Change > Constant 0 and 14 Day RSI > Constant 50) → top 10 by 63 Day Rate of Change + 252 Day Rate of Change + 14 Day RSI → top 5 by Asset's marketCap, max 5 assets when # of Days Since the Last Filled Buy Order ≥ Constant 14 and # of Days Since the Last Filled Sell Order ≥ Constant 14 Sweepable fields: Portfolio.Subject, Action.RankSignal, Action.DeploymentPct, UniversePipeline.SelectTopLimit, UniversePipeline.UniversePipelineFilter Default genes the server would derive: Subject (1 values); Select top limit (2 values); Total deployment percent (3 values); Universe filter (2 values); Rank signal (2 values) Pipeline filter stages (replaceable via UniversePipelineFilter + stageIndex): - strategy 0 stage 0: Asset's marketCap > Constant 0 - strategy 0 stage 1: 63 Day undefined Rate of Change > Constant 0 and 2…
User: Systematic Sweep: Run a broad systematic sweep on portfolioId 6a849f4b02281665dc696269, Market-Cap Top-5 Control, over the same 2020-01-01 through 2026-08-17 daily-bar window with $100,000 initial value and SPY baseline. Preserve a broad point-in-time U.S. universe, exactly top 5 by descending market capitalization, equal-weight intent, and biweekly rebalance. Sweep only the compiled axes: universe filter thresholds/expressions where non-degenerate, rank signal alternatives including market-cap rank and supported momentum ranks, and total deployment percentage across meaningful exposure levels. Do not vary SelectTopLimit away from 5. Use selection_policy to prefer Sortino, require medianDeployment at least 90%, require meaningful traded breadth, and constrain maxDrawdown <= 15% when supported. Report requested versus compiled genes and warnings. Systematic Sweep: Run a broad systematic sweep on portfolioId 6a849f4b02281665dc696279, ROC Momentum Top-5, over the same 2020-01-01 through 2026-08-17 daily-bar window with $100,000 initial value and SPY baseline. Preserve a broad point-in-time U.S. universe, exactly top 5 by descending market capitalization, equal-weight intent, and biwe…
Aurora: Successfully started systematic sweep for portfolio **"Market-Cap Top-5 Control"**. **Sweep Details:** - **ID:** 6a84a29202281665dc6aa6e8 - **Date Range:** 2020-01-01 to 2026-08-18 - **Interval:** Day - **Mode:** Auto → Exhaustive - **Planned Evaluations:** 126 - **Generations:** 11 - **Population Size:** 12 - **Genes:** Universe Pipeline Filter, Rank Signal, Deployment Pct - **Theoretical Variants:** 126 The sweep is now running. Use **Read Optimization** with the ID above to inspect results when it completes.
Aurora: Successfully started systematic sweep for portfolio **"ROC Momentum Top-5"**. **Sweep Details:** - **ID:** 6a84a29202281665dc6aa6e6 - **Date Range:** 2020-01-01 to 2026-08-18 - **Interval:** Day - **Mode:** Auto → Exhaustive - **Planned Evaluations:** 240 - **Generations:** 20 - **Population Size:** 12 - **Genes:** Universe Pipeline Filter, Rank Signal, Deployment Pct - **Theoretical Variants:** 240 The sweep is now running. Use **Read Optimization** with the ID above to inspect results when it completes.
Aurora: Failed to start systematic sweep: Sweep requested 4 gene axes but 1 failed to compile (3 kept). A partial search would look identical to a complete one. Fix or drop the failing intents and retry: - "UniversePipeline SelectTopLimit: hold exactly at 5 and do not vary": The requested SelectTopLimit is fixed at exactly 5, so it provides only one value and cannot form a sweep axis.
Aurora: Successfully started systematic sweep for portfolio **"RSI-Trend Momentum"**. **Sweep Details:** - **ID:** 6a84a29c02281665dc6aaac6 - **Date Range:** 2020-01-01 to 2026-08-18 - **Interval:** Day - **Mode:** Auto → Generational - **Planned Evaluations:** 96 - **Generations:** 8 - **Population Size:** 12 - **Genes:** Universe Pipeline Filter, Rank Signal, Deployment Pct - **Theoretical Variants:** 816 The sweep is now running. Use **Read Optimization** with the ID above to inspect results when it completes. ⚠️ Some requested genes were skipped: - Universe Pipeline Filter: duplicate gene for UniversePipeline:UniversePipelineFilter:pipe:0:stage:1; kept the first - Universe Pipeline Filter: duplicate gene for UniversePipeline:UniversePipelineFilter:pipe:0:stage:1; kept the first - Universe Pipeline Filter: duplicate gene for UniversePipeline:UniversePipelineFilter:pipe:0:stage:1; kept the first - Universe Pipeline Filter: duplicate gene for UniversePipeline:UniversePipelineFilter:pipe:0:stage:1; kept the first
Aurora: Successfully started systematic sweep for portfolio **"Trend-Rank Momentum"**. **Sweep Details:** - **ID:** 6a84a29202281665dc6aa6d3 - **Date Range:** 2020-01-01 to 2026-08-18 - **Interval:** Day - **Mode:** Auto → Exhaustive - **Planned Evaluations:** 240 - **Generations:** 20 - **Population Size:** 12 - **Genes:** Universe Pipeline Filter, Rank Signal, Deployment Pct - **Theoretical Variants:** 240 The sweep is now running. Use **Read Optimization** with the ID above to inspect results when it completes. ⚠️ Some requested genes were skipped: - Rank Signal: duplicate gene for Action:RankSignal:stratIdx:0; kept the first - Rank Signal: duplicate gene for Action:RankSignal:stratIdx:0; kept the first - Rank Signal: duplicate gene for Action:RankSignal:stratIdx:0; kept the first
Aurora: Failed to start systematic sweep: Sweep requested 8 gene axes but 1 failed to compile (4 kept). A partial search would look identical to a complete one. Fix or drop the failing intents and retry: - "preserve equal-weight intent, biweekly rebalance cadence, broad point-in-time U.S. universe, and exactly SelectTopLimit 5 by descending point-in-time market capitalization; do not sweep SelectTopLimit": No sweepable mutation is requested; the seed already preserves the broad point-in-time U.S. universe, equal-weight intent, biweekly cadence, and SelectTopLimit 5 by descending market capitalization.
User: Systematic Sweep: Retry the systematic sweep for portfolioId 6a849f4c02281665dc696288 (Multi-Horizon Momentum) over 2020-01-01 through 2026-08-17, daily bars, $100,000 initial value, SPY baseline. Preserve the broad point-in-time U.S. universe, exactly five names selected by descending market capitalization, equal-weight intent, and biweekly rebalance; do not include SelectTopLimit as a gene because it must remain fixed at 5. Sweep only the compiled UniversePipelineFilter and Action.RankSignal axes using supported 1-month, 3-month, 6-month, and 12-month rate-of-change positive/threshold combinations and supported composite rank expressions, plus Action.DeploymentPct at meaningful exposure levels. Use selection_policy with primary sortinoRatio, medianDeployment greaterThanOrEqual 90%, meaningful participation and distinctUnderlyingsTraded constraints, and maxDrawdown lessThanOrEqual 15% where supported. Report requested versus compiled genes and warnings. Systematic Sweep: Retry the systematic sweep for portfolioId 6a849f4c02281665dc6962a2 (Fundamental-Momentum Composite) over 2020-01-01 through 2026-08-17, daily bars, $100,000 initial value, SPY baseline. Preserve the broad point-…
Aurora: Failed to start systematic sweep: no_startable_optimizer_machines
Aurora: Successfully started systematic sweep for portfolio **"Fundamental-Momentum Composite"**. **Sweep Details:** - **ID:** 6a84a2d402281665dc6ac004 - **Date Range:** 2020-01-01 to 2026-08-18 - **Interval:** Day - **Mode:** Auto → Generational - **Planned Evaluations:** 96 - **Generations:** 8 - **Population Size:** 12 - **Genes:** Universe Pipeline Filter, Universe Pipeline Filter, Rank Signal, Deployment Pct - **Theoretical Variants:** 1225 The sweep is now running. Use **Read Optimization** with the ID above to inspect results when it completes. ⚠️ Some requested genes were skipped: - Universe Pipeline Filter: duplicate gene for UniversePipeline:UniversePipelineFilter:pipe:0:stage:1; kept the first - Universe Pipeline Filter: duplicate gene for UniversePipeline:UniversePipelineFilter:pipe:0:stage:1; kept the first
Aurora: Optimization "Trend-Rank Momentum broad trend, horizon, volatility-rank, and deployment sweep" is running (generation 11/20, 132/240 evaluations)…
Aurora: Optimization "Trend-Rank Momentum broad trend, horizon, volatility-rank, and deployment sweep" completed.
Aurora: ## 1. Executive Summary The Trend-Rank sweep produced a potentially attractive validation result, but it **did not identify a policy-compliant or deployment-ready strategy**. The main validation candidate achieved: - **53.07% return** - **1.65 Sortino** - **1.07 Sharpe** - **17.25% maximum drawdown** - **56 distinct underlyings** - **66.81% median deployment** It therefore failed three selection-policy requirements: median deployment ≥90%, participation ≥0.35%, and max drawdown ≤15%. The max-drawdown/most-balanced candidate has no validation statistics in the supplied result, so its out-of-sample policy status cannot be established. The sweep also found that the **universe-filter axis was inert**: five different filter values produced identical metrics. Conclusions about that axis are therefore untested. The rank-signal axis was the only confirmed discriminating mechanism. Deployment was not meaningfully varied on the leaderboard. No original-portfolio statistics or complete leaderboard rows were included in the payload, so a precise original-versus-optimized comparison and full leaderboard report cannot be completed from this result alone. ## 2. Sweep and Selection-Policy Status…