Performance Report
June 5, 2026 · QTI-20260605-001
Executive Summary
As of June 5, 2026This report summarizes the current state of the Quanti strategy portfolio, comprising 0 algorithmic trading strategies deployed across stocks (JP/US), foreign exchange, and digital assets. The portfolio uses a continuous health monitoring framework with automatic weight adjustment and ensemble attribution.
Strategy Health Distribution
Top Performing Strategies
| Rank | Strategy | Status | Sharpe | Drawdown | Win % | Weight |
|---|---|---|---|---|---|---|
| No strategy data | ||||||
Backtest Highlights
| Variant | Dataset | Return | Sharpe | Max DD | Trades |
|---|---|---|---|---|---|
| mean_reversion_only | real_3markets_2022_2024_WITH_EQUITY | +11.14% | 0.31 | -3.4% | 11 |
| mean_reversion_only | real_3markets_2022_2024_REGIME | +11.14% | 0.31 | -3.4% | 11 |
| mean_reversion_only | real_4markets_2022_2024 | +11.14% | 0.31 | -3.4% | 11 |
| breakout_only | real_3markets_2022_2024_WITH_EQUITY | +10.38% | 0.29 | -3.8% | 14 |
| breakout_only | real_3markets_2022_2024_REGIME | +10.38% | 0.29 | -3.8% | 14 |
Methodology
Strategy zoo (83): A diversified catalog of academic and practitioner strategies spanning technical indicators (23), fundamental factor models (16), event/catalyst signals (7), sentiment indicators (10), FX and macro (10), crypto-specific (10), and US equity-specific (10) plugins.
Walk-forward validation: Each strategy is evaluated on a rolling out-of-sample window using historical price data from yfinance (US/JP large-cap), Binance (crypto), and J-Quants v2 (JP all-cap with dividend adjustment).
Continuous re-evaluation: Strategies are auto-demoted through five health states (healthy → warning → degraded → dormant → retired) based on rolling Sharpe, drawdown, win rate, and fire-frequency metrics. State transitions are logged with full audit trail.
Ensemble weighting: The orchestrator applies weight multipliers based on current health state (Healthy 1.0×, Warning 1.0×, Degraded 0.5×, Dormant 0.3×, Retired 0×), reducing exposure to underperforming signals while preserving diversification.
This report is generated by the Quanti research platform for informational purposes only. Past performance is not indicative of future results. Backtest results assume idealized execution and do not account for slippage, transaction costs, or taxation. Strategies marked "retired" or "degraded" should not be considered actionable. The information contained herein does not constitute investment advice and should not be relied upon for trading decisions.
Report ID: QTI-20260605-001 · Generated June 5, 2026