LUCY Command Center

QUANT30yr SAC

+4.6% CAGR

NAV

$3.9M

Sharpe

0.91

Win

60%

Yr	Ret	Sh	DD	NAV	Rwd
1996	+13.0%	1.85	-6.7%	$1.1M	+0.40
1997	-2.0%	0.27	-8.1%	$1.1M	+0.07
1998	+28.9%	1.68	-10.6%	$1.4M	+0.42
1999	+11.6%	3.17	-7.5%	$1.6M	+0.38
2000	-15.0%	-0.14	-25.4%	$1.4M	-0.22
2001	+40.4%	1.41	-17.9%	$1.9M	+0.42
2002	-15.9%	0.01	-27.3%	$1.6M	-0.22
2003	+19.4%	2.68	-7.8%	$1.9M	+0.50
2004	-3.8%	0.17	-19.9%	$1.8M	+0.04
2005	+0.5%	1.36	-5.8%	$1.8M	+0.11
2006	+3.0%	1.08	-7.7%	$1.9M	+0.22
2007	-2.3%	0.61	-7.9%	$1.9M	+0.06
2008	-2.9%	-0.19	-16.6%	$1.8M	+0.10
2009	+17.4%	1.01	-15.4%	$2.1M	+0.33
2010	+3.5%	0.87	-11.5%	$2.2M	+0.09
2011	-6.3%	0.41	-10.3%	$2.1M	+0.16
2012	+6.1%	1.05	-6.4%	$2.2M	+0.25
2013	+5.5%	1.38	-4.1%	$2.3M	+0.34
2014	-4.0%	-0.02	-7.9%	$2.2M	+0.02
2015	+10.4%	1.43	-4.8%	$2.4M	+0.35
2016	-1.9%	0.12	-13.4%	$2.4M	+0.20
2017	+0.3%	0.37	-7.6%	$2.4M	+0.17
2018	-2.3%	0.28	-6.0%	$2.3M	+0.13
2019	+13.0%	1.38	-9.9%	$2.6M	+0.24
2020	+11.6%	1.02	-13.2%	$2.9M	+0.22
2021	-0.9%	0.69	-7.7%	$2.9M	+0.00
2022	-13.2%	-0.33	-15.4%	$2.5M	-0.13
2023	+9.5%	0.56	-9.2%	$2.8M	+0.25
2024	+13.8%	1.35	-6.1%	$3.2M	+0.27
2025	+22.2%	1.84	-6.1%	$3.9M	+0.43

SPEED30yr Gap

$+714K total

Trades

11,173

Win Rate

44.5%

Avg Ret

+95.2%

Cumulative P&L

Yr	Ret	Trd	WR	P&L
1996	+98.9%	359	47%	$+25K
1997	+130.1%	396	46%	$+33K
1998	+181.0%	425	50%	$+45K
1999	+248.6%	474	51%	$+62K
2000	+270.0%	407	55%	$+67K
2001	+39.1%	218	49%	$+10K
2002	+53.0%	218	50%	$+13K
2003	+100.2%	394	45%	$+25K
2004	+125.6%	386	47%	$+31K
2005	+120.4%	400	46%	$+30K
2006	+44.2%	369	43%	$+11K
2007	-13.4%	335	36%	$-3K
2008	+31.2%	221	45%	$+8K
2009	+126.7%	342	50%	$+32K
2010	+44.4%	336	43%	$+11K
2011	+45.7%	300	43%	$+11K
2012	+80.3%	354	44%	$+20K
2013	+79.7%	360	45%	$+20K
2014	+60.1%	368	41%	$+15K
2015	+55.1%	347	43%	$+14K
2016	+56.9%	350	41%	$+14K
2017	+80.5%	380	43%	$+20K
2018	-9.9%	399	34%	$-2K
2019	+59.7%	406	41%	$+15K
2020	+55.4%	432	40%	$+14K
2021	+54.8%	489	38%	$+14K
2022	+64.4%	294	45%	$+16K
2023	+138.4%	461	44%	$+35K
2024	+250.7%	496	47%	$+63K
2025	+183.2%	457	45%	$+46K

OPTIMIZERHill Climb

iter 3

Best CAGR

+11.8%

Objective

5.8

Signal Weights

mean_reversion

24%

risk_adj_mom

15%

trend_quality

15%

amihud

15%

vpd

12%

str_reversal

acceleration

value

#	CAGR	Sh	NAV
2	+11.8%	0.69	$28.3M	Y
4	+7.0%	0.54	$7.7M	Y
5	+2.5%	0.14	$2.1M	Y
6	+11.7%	0.72	$28.0M	Y
7	+11.5%	0.57	$26.4M	Y
8	+10.8%	0.66	$21.5M	Y

rets = closes.tail(60).pct_change().iloc[1:] /Users/pedrosampaio/LUCY_BACKTESTING/backtest_quant_norgate.py:1399: FutureWarning: The default fill_method='pad' in DataFrame.pct rets = closes.tail(60).pct_change().iloc[1:] /Users/pedrosampaio/LUCY_BACKTESTING/backtest_quant_norgate.py:1399: FutureWarning: The default fill_method='pad' in DataFrame.pct rets = closes.tail(60).pct_change().iloc[1:] done (96.9s) [2022] Return=-0.9% Sharpe=-0.07 MaxDD=-8.0% Universe=2,130 Regime=bear Oracle=OVERHEATING ──────────────────────────────────────────────────────────────────────── [2023] Loading universe: 19,964 active stocks ...

LUCY

ENGINESV2 / V3 / V4

LEARNING CURVEWeekend Loop

QUANT30yr SAC

SPEED30yr Gap

OPTIMIZERHill Climb