[ { "id": "multi_asset_forex_rsi2_mean_reversion::AUDUSD=X::2026-04-04_1354", "strategy": "forex_rsi2_mean_reversion", "symbol": "AUDUSD=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 0.689123, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:49.892613+00:00", "take_profit": 0.694636, "stop_loss": 0.685677, "confidence": 0.75, "ml_score": 0.75, "risk_reward": 1.6, "reason": "RSI(2)=0.0 oversold, RSI(14)=32.9. Backtest: 57.6% WR, +32% PnL on 118 trades.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi2": 0.0, "rsi14": 32.9, "atr": 0.007572 }, "pnl_dollar": null, "elite_score": 33.0, "elite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "D", "ml_composite_score": 33.0, "ml_composite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "D", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 4, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_forex_rsi2_mean_reversion::NZDUSD=X::2026-04-04_1354", "strategy": "forex_rsi2_mean_reversion", "symbol": "NZDUSD=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 0.569411, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:49.892915+00:00", "take_profit": 0.573967, "stop_loss": 0.566564, "confidence": 0.75, "ml_score": 0.75, "risk_reward": 1.6, "reason": "RSI(2)=0.0 oversold, RSI(14)=31.8. Backtest: 57.6% WR, +32% PnL on 118 trades.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi2": 0.0, "rsi14": 31.8, "atr": 0.006043 }, "pnl_dollar": null, "elite_score": 33.0, "elite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "D", "ml_composite_score": 33.0, "ml_composite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "D", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 4, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_forex_rsi2_mean_reversion::USDCAD=X::2026-04-04_1354", "strategy": "forex_rsi2_mean_reversion", "symbol": "USDCAD=X", "category": "forex", "signal_type": "SELL", "direction": "SHORT", "entry_price": 1.3946, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:49.893202+00:00", "take_profit": 1.386881, "stop_loss": 1.401033, "confidence": 0.75, "ml_score": 0.75, "risk_reward": 1.2, "reason": "RSI(2)=100.0 overbought, RSI(14)=81.4. Backtest: 57.6% WR, +32% PnL on 118 trades.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi2": 100.0, "rsi14": 81.4, "atr": 0.006433 }, "pnl_dollar": null, "elite_score": 33.0, "elite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "D", "ml_composite_score": 33.0, "ml_composite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "D", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 4, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_forex_rsi2_mean_reversion::EURJPY=X::2026-04-04_1354", "strategy": "forex_rsi2_mean_reversion", "symbol": "EURJPY=X", "category": "forex", "signal_type": "SELL", "direction": "SHORT", "entry_price": 183.931, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:49.893754+00:00", "take_profit": 182.784914, "stop_loss": 184.850655, "confidence": 0.75, "ml_score": 0.75, "risk_reward": 1.25, "reason": "RSI(2)=100.0 overbought, RSI(14)=64.0. Backtest: 57.6% WR, +32% PnL on 118 trades.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi2": 100.0, "rsi14": 64.0, "atr": 0.955072 }, "pnl_dollar": null, "elite_score": 33.0, "elite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "D", "ml_composite_score": 33.0, "ml_composite_breakdown": { "forward_wr": 0.0, "_forward_wr_raw": 0.0, "_forward_wr_pre_concentration": 0, "ml_score": 18, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 4, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "D", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 4, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_forex_zscore_200d_fade::NZDUSD=X::2026-04-04_1354", "strategy": "forex_zscore_200d_fade", "symbol": "NZDUSD=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 0.569411, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:49.895946+00:00", "take_profit": 0.58561, "stop_loss": 0.566564, "confidence": 0.681, "ml_score": 0.681, "risk_reward": 5.69, "reason": "Z-score=-1.81 below 200d SMA (0.58561), RSI=32. Backtest: 68.3% WR on 167 trades (p<0.001).", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "zscore": -1.812, "sma_200": 0.58561, "rsi14": 31.8 }, "pnl_dollar": null, "elite_score": 49.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 49.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 34, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_forex_zscore_200d_fade::USDCAD=X::2026-04-04_1354", "strategy": "forex_zscore_200d_fade", "symbol": "USDCAD=X", "category": "forex", "signal_type": "SELL", "direction": "SHORT", "entry_price": 1.3946, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:49.896293+00:00", "take_profit": 1.380977, "stop_loss": 1.401033, "confidence": 0.71, "ml_score": 0.71, "risk_reward": 2.12, "reason": "Z-score=2.10 above 200d SMA (1.38098), RSI=81. Backtest: 68.3% WR on 167 trades (p<0.001).", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "zscore": 2.104, "sma_200": 1.380977, "rsi14": 81.4 }, "pnl_dollar": null, "elite_score": 52.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 52.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_forex_carry_momentum::USDJPY=X::2026-04-04_1354", "strategy": "forex_carry_momentum", "symbol": "USDJPY=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 159.632004, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:49.897420+00:00", "take_profit": 160.90906, "stop_loss": 158.833844, "confidence": 0.695, "ml_score": 0.695, "risk_reward": 1.6, "reason": "Carry yield diff=4.5%, 20d momentum=0.76%, vol_ratio=0.83. Burnside et al. (2011): Sharpe 0.9-1.2.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "yield_diff": 4.5, "momentum_20d": 0.0076, "vol_ratio": 0.832 }, "pnl_dollar": null, "elite_score": 49.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 49.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 34, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_cot_positioning::NG=F::2026-04-04_1354", "strategy": "cot_positioning", "symbol": "NG=F", "category": "commodity", "signal_type": "BUY", "direction": "LONG", "entry_price": 2.8, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:54:51.945377+00:00", "take_profit": 3.128714, "stop_loss": 2.553464, "confidence": 0.6, "ml_score": 0.6, "risk_reward": 1.33, "reason": "COT positioning LONG: Seasonal bullish (month 4), Daily RSI=34 supportive. 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Wheat.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "COMMODITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi_weekly": 82.3, "sma_250": 533.337, "vol_ratio": 1.79, "atr": 19.0179, "data_source": "rsi_seasonal_proxy" }, "pnl_dollar": null, "elite_score": 48.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 48.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 28, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_myfxbook_retail_contrarian::AUDUSD=X::2026-04-04_1355", "strategy": "myfxbook_retail_contrarian", "symbol": "AUDUSD=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 0.689123, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:22.927081+00:00", "take_profit": 0.694636, "stop_loss": 0.684988, "confidence": 0.571, "ml_score": 0.571, "risk_reward": 1.33, "reason": "Myfxbook contrarian (proxy): RSI(14)=33<35 + price below 50 SMA; Retail likely SHORT => contrarian LONG (proxy). AUD/USD.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi14": 32.9, "sma50": 0.702301, "atr": 0.007572, "data_source": "rsi_contrarian_proxy" }, "pnl_dollar": null, "elite_score": 42.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 42.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 31, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_myfxbook_retail_contrarian::NZDUSD=X::2026-04-04_1355", "strategy": "myfxbook_retail_contrarian", "symbol": "NZDUSD=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 0.569411, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:22.927300+00:00", "take_profit": 0.573967, "stop_loss": 0.565995, "confidence": 0.582, "ml_score": 0.582, "risk_reward": 1.33, "reason": "Myfxbook contrarian (proxy): RSI(14)=32<35 + price below 50 SMA; Retail likely SHORT => contrarian LONG (proxy). NZD/USD.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi14": 31.8, "sma50": 0.592054, "atr": 0.006043, "data_source": "rsi_contrarian_proxy" }, "pnl_dollar": null, "elite_score": 42.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 42.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 31, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_myfxbook_retail_contrarian::USDCAD=X::2026-04-04_1355", "strategy": "myfxbook_retail_contrarian", "symbol": "USDCAD=X", "category": "forex", "signal_type": "SELL", "direction": "SHORT", "entry_price": 1.3946, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:22.927513+00:00", "take_profit": 1.386881, "stop_loss": 1.401033, "confidence": 0.714, "ml_score": 0.714, "risk_reward": 1.2, "reason": "Myfxbook contrarian (proxy): RSI(14)=81>65 + price above 50 SMA; Retail likely LONG => contrarian SHORT (proxy). USD/CAD.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi14": 81.4, "sma50": 1.36902, "atr": 0.006433, "data_source": "rsi_contrarian_proxy" }, "pnl_dollar": null, "elite_score": 52.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 52.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_myfxbook_retail_contrarian::AUDJPY=X::2026-04-04_1355", "strategy": "myfxbook_retail_contrarian", "symbol": "AUDJPY=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 110.025002, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:22.928214+00:00", "take_profit": 110.905202, "stop_loss": 109.364852, "confidence": 0.564, "ml_score": 0.564, "risk_reward": 1.33, "reason": "Myfxbook contrarian (proxy): RSI(14)=34<35 + price below 50 SMA; Retail likely SHORT => contrarian LONG (proxy). AUD/JPY.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi14": 33.6, "sma50": 110.03628, "atr": 0.981287, "data_source": "rsi_contrarian_proxy" }, "pnl_dollar": null, "elite_score": 42.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 42.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 31, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_myfxbook_retail_contrarian::EURGBP=X::2026-04-04_1355", "strategy": "myfxbook_retail_contrarian", "symbol": "EURGBP=X", "category": "forex", "signal_type": "SELL", "direction": "SHORT", "entry_price": 0.87309, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:22.928415+00:00", "take_profit": 0.868773, "stop_loss": 0.876688, "confidence": 0.595, "ml_score": 0.595, "risk_reward": 1.2, "reason": "Myfxbook contrarian (proxy): RSI(14)=70>65 + price above 50 SMA; Retail likely LONG => contrarian SHORT (proxy). EUR/GBP.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi14": 69.5, "sma50": 0.868548, "atr": 0.003598, "data_source": "rsi_contrarian_proxy" }, "pnl_dollar": null, "elite_score": 42.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 42.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 31, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "multi_asset_myfxbook_retail_contrarian::CADJPY=X::2026-04-04_1355", "strategy": "myfxbook_retail_contrarian", "symbol": "CADJPY=X", "category": "forex", "signal_type": "BUY", "direction": "LONG", "entry_price": 114.463997, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:22.928604+00:00", "take_profit": 115.379709, "stop_loss": 113.777213, "confidence": 0.564, "ml_score": 0.564, "risk_reward": 1.33, "reason": "Myfxbook contrarian (proxy): RSI(14)=34<35 + price below 50 SMA; Retail likely SHORT => contrarian LONG (proxy). CAD/JPY.", "status": "OPEN", "source_system": "multi_asset_copytrader", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "reverse_engineered_multi_asset", "extra": { "rsi14": 33.6, "sma50": 114.48836, "atr": 0.840285, "data_source": "rsi_contrarian_proxy" }, "pnl_dollar": null, "elite_score": 42.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 42.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 14, "confidence": 5, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 31, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_commodity_momentum_term::SI=F::2026-04-04_1355", "strategy": "cta_commodity_momentum_term", "symbol": "SI=F", "category": "commodity", "signal_type": "BUY", "direction": "LONG", "entry_price": 72.735001, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.076589+00:00", "take_profit": 83.66339, "stop_loss": 63.992289, "confidence": 0.7, "ml_score": 0.7, "risk_reward": 1.25, "reason": "Commodity Mom+Term: 12m return=+110.8% (rank 1/8), term structure=+110.8% (rank 1/8). Combined rank 1/16 -> LONG. Moskowitz et al. (2012), Gorton & Rouwenhorst (2006): Sharpe ~0.96.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "COMMODITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Moskowitz et al. (2012) + Gorton & Rouwenhorst (2006)", "sharpe_expected": 0.96, "lookback_months": 12, "vol_target": 0.25, "position_size_pct": 40.37, "momentum_12m": 1.1083, "term_structure": 1.1083, "momentum_rank": 1, "term_rank": 1, "combined_rank": 1, "total_commodities": 8 }, "pnl_dollar": null, "elite_score": 52.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 52.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 12, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 23, "method_a_grade": "F", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_commodity_momentum_term::ZC=F::2026-04-04_1355", "strategy": "cta_commodity_momentum_term", "symbol": "ZC=F", "category": "commodity", "signal_type": "SELL", "direction": "SHORT", "entry_price": 452.25, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.082872+00:00", "take_profit": 426.803571, "stop_loss": 472.607143, "confidence": 0.686, "ml_score": 0.686, "risk_reward": 1.25, "reason": "Commodity Mom+Term: 12m return=-2.1% (rank 7/8), term structure=-2.1% (rank 7/8). Combined rank 13/16 -> SHORT. Moskowitz et al. (2012), Gorton & Rouwenhorst (2006): Sharpe ~0.96.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "COMMODITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Moskowitz et al. (2012) + Gorton & Rouwenhorst (2006)", "sharpe_expected": 0.96, "lookback_months": 12, "vol_target": 0.2, "position_size_pct": 109.74, "momentum_12m": -0.0206, "term_structure": -0.0206, "momentum_rank": 7, "term_rank": 7, "combined_rank": 13, "total_commodities": 8 }, "pnl_dollar": null, "elite_score": 49.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 49.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 17, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 28, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_commodity_momentum_term::ZW=F::2026-04-04_1355", "strategy": "cta_commodity_momentum_term", "symbol": "ZW=F", "category": "commodity", "signal_type": "SELL", "direction": "SHORT", "entry_price": 598.25, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.084830+00:00", "take_profit": 550.705357, "stop_loss": 636.285714, "confidence": 0.671, "ml_score": 0.671, "risk_reward": 1.25, "reason": "Commodity Mom+Term: 12m return=+10.7% (rank 6/8), term structure=+10.7% (rank 6/8). Combined rank 11/16 -> SHORT. Moskowitz et al. (2012), Gorton & Rouwenhorst (2006): Sharpe ~0.96.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "COMMODITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Moskowitz et al. (2012) + Gorton & Rouwenhorst (2006)", "sharpe_expected": 0.96, "lookback_months": 12, "vol_target": 0.25, "position_size_pct": 70.67, "momentum_12m": 0.1068, "term_structure": 0.1068, "momentum_rank": 6, "term_rank": 6, "combined_rank": 11, "total_commodities": 8 }, "pnl_dollar": null, "elite_score": 48.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 48.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 28, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_cross_asset_tsmom::IWM::2026-04-04_1355", "strategy": "cta_cross_asset_tsmom", "symbol": "IWM", "category": "equity", "signal_type": "SELL", "direction": "SHORT", "entry_price": 251.289993, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.090182+00:00", "take_profit": 239.319516, "stop_loss": 258.828693, "confidence": 0.67, "ml_score": 0.67, "risk_reward": 1.59, "reason": "Cross-Asset TSMOM: own 1m=-3.8% (signal=-1), cross=TLT 1m=-2.3% -> equity bearish. Blended=-0.80 -> SHORT. Pitkajarvi & Suominen (2020): Sharpe 1.84.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "EQUITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Pitkajarvi & Suominen (2020) - Cross-Asset TSMOM", "sharpe_expected": 1.84, "lookback_months": 1, "vol_target": 0.2, "position_size_pct": 79.36, "own_ret_1m": -0.0383, "own_signal": -1.0, "cross_signal": -0.5, "blended_signal": -0.8, "cross_reason": "TLT 1m=-2.3% -> equity bearish" }, "pnl_dollar": null, "elite_score": 48.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 48.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_cross_asset_tsmom::EFA::2026-04-04_1355", "strategy": "cta_cross_asset_tsmom", "symbol": "EFA", "category": "equity", "signal_type": "SELL", "direction": "SHORT", "entry_price": 98.0, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.091758+00:00", "take_profit": 93.799999, "stop_loss": 100.94, "confidence": 0.67, "ml_score": 0.67, "risk_reward": 1.43, "reason": "Cross-Asset TSMOM: own 1m=-3.3% (signal=-1), cross=TLT 1m=-2.3% -> equity bearish. Blended=-0.80 -> SHORT. Pitkajarvi & Suominen (2020): Sharpe 1.84.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "EQUITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Pitkajarvi & Suominen (2020) - Cross-Asset TSMOM", "sharpe_expected": 1.84, "lookback_months": 1, "vol_target": 0.15, "position_size_pct": 59.64, "own_ret_1m": -0.0333, "own_signal": -1.0, "cross_signal": -0.5, "blended_signal": -0.8, "cross_reason": "TLT 1m=-2.3% -> equity bearish" }, "pnl_dollar": null, "elite_score": 48.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 48.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 33, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_cross_asset_tsmom::EEM::2026-04-04_1355", "strategy": "cta_cross_asset_tsmom", "symbol": "EEM", "category": "equity", "signal_type": "SELL", "direction": "SHORT", "entry_price": 56.59, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.093321+00:00", "take_profit": 53.7605, "stop_loss": 58.2877, "confidence": 0.67, "ml_score": 0.67, "risk_reward": 1.67, "reason": "Cross-Asset TSMOM: own 1m=-4.2% (signal=-1), cross=TLT 1m=-2.3% -> equity bearish. Blended=-0.80 -> SHORT. Pitkajarvi & Suominen (2020): Sharpe 1.84.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "EQUITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Pitkajarvi & Suominen (2020) - Cross-Asset TSMOM", "sharpe_expected": 1.84, "lookback_months": 1, "vol_target": 0.2, "position_size_pct": 61.3, "own_ret_1m": -0.0417, "own_signal": -1.0, "cross_signal": -0.5, "blended_signal": -0.8, "cross_reason": "TLT 1m=-2.3% -> equity bearish" }, "pnl_dollar": null, "elite_score": 48.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 48.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 33, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_cross_asset_tsmom::AUDUSD=X::2026-04-04_1355", "strategy": "cta_cross_asset_tsmom", "symbol": "AUDUSD=X", "category": "forex", "signal_type": "SELL", "direction": "SHORT", "entry_price": 0.689123, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.116951+00:00", "take_profit": 0.687055, "stop_loss": 0.690501, "confidence": 0.658, "ml_score": 0.658, "risk_reward": 1.5, "reason": "Cross-Asset TSMOM: own 1m=-1.7% (signal=-1), cross=Risk sentiment SPY 1m=-4.0%. Blended=-0.72 -> SHORT. Pitkajarvi & Suominen (2020): Sharpe 1.84.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "FOREX", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Pitkajarvi & Suominen (2020) - Cross-Asset TSMOM", "sharpe_expected": 1.84, "lookback_months": 1, "vol_target": 0.1, "position_size_pct": 82.58, "own_ret_1m": -0.0171, "own_signal": -1.0, "cross_signal": -0.3, "blended_signal": -0.72, "cross_reason": "Risk sentiment SPY 1m=-4.0%" }, "pnl_dollar": null, "elite_score": 48.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 48.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 16, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 34, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_cross_asset_tsmom::GC=F::2026-04-04_1355", "strategy": "cta_cross_asset_tsmom", "symbol": "GC=F", "category": "commodity", "signal_type": "SELL", "direction": "SHORT", "entry_price": 4651.5, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.098235+00:00", "take_profit": 4418.925, "stop_loss": 4791.045, "confidence": 0.622, "ml_score": 0.622, "risk_reward": 1.67, "reason": "Cross-Asset TSMOM: own 1m=-9.2% (signal=-1), cross=Commodity avg 1m=+3.8%. Blended=-0.48 -> SHORT. Pitkajarvi & Suominen (2020): Sharpe 1.84.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "COMMODITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Pitkajarvi & Suominen (2020) - Cross-Asset TSMOM", "sharpe_expected": 1.84, "lookback_months": 1, "vol_target": 0.15, "position_size_pct": 36.96, "own_ret_1m": -0.0915, "own_signal": -1.0, "cross_signal": 0.3, "blended_signal": -0.48, "cross_reason": "Commodity avg 1m=+3.8%" }, "pnl_dollar": null, "elite_score": 47.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 47.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_cross_asset_tsmom::SI=F::2026-04-04_1355", "strategy": "cta_cross_asset_tsmom", "symbol": "SI=F", "category": "commodity", "signal_type": "SELL", "direction": "SHORT", "entry_price": 72.735001, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.100018+00:00", "take_profit": 69.098251, "stop_loss": 74.917051, "confidence": 0.622, "ml_score": 0.622, "risk_reward": 1.67, "reason": "Cross-Asset TSMOM: own 1m=-12.0% (signal=-1), cross=Commodity avg 1m=+3.8%. Blended=-0.48 -> SHORT. Pitkajarvi & Suominen (2020): Sharpe 1.84.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "COMMODITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Pitkajarvi & Suominen (2020) - Cross-Asset TSMOM", "sharpe_expected": 1.84, "lookback_months": 1, "vol_target": 0.25, "position_size_pct": 40.37, "own_ret_1m": -0.1198, "own_signal": -1.0, "cross_signal": 0.3, "blended_signal": -0.48, "cross_reason": "Commodity avg 1m=+3.8%" }, "pnl_dollar": null, "elite_score": 47.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 47.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 33, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_cross_asset_tsmom::IEF::2026-04-04_1355", "strategy": "cta_cross_asset_tsmom", "symbol": "IEF", "category": "bond", "signal_type": "SELL", "direction": "SHORT", "entry_price": 95.260002, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.096460+00:00", "take_profit": 94.494109, "stop_loss": 95.872717, "confidence": 0.61, "ml_score": 0.61, "risk_reward": 1.25, "reason": "Cross-Asset TSMOM: own 1m=-1.3% (signal=-1), cross=SPY 1m=-4.0% -> bonds bullish. Blended=-0.40 -> SHORT. Pitkajarvi & Suominen (2020): Sharpe 1.84.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "BOND", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Pitkajarvi & Suominen (2020) - Cross-Asset TSMOM", "sharpe_expected": 1.84, "lookback_months": 1, "vol_target": 0.08, "position_size_pct": 117.95, "own_ret_1m": -0.0127, "own_signal": -1.0, "cross_signal": 0.5, "blended_signal": -0.4, "cross_reason": "SPY 1m=-4.0% -> bonds bullish" }, "pnl_dollar": null, "elite_score": 47.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 47.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 40, "method_a_grade": "C", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 }, { "id": "cta_golden_cross_200::HG=F::2026-04-04_1355", "strategy": "cta_golden_cross_200", "symbol": "HG=F", "category": "commodity", "signal_type": "BUY", "direction": "LONG", "entry_price": 5.563, "entry_date": "2026-04-04", "timestamp": "2026-04-04T13:55:25.047463+00:00", "take_profit": 5.913714, "stop_loss": 5.352572, "confidence": 0.6, "ml_score": 0.6, "risk_reward": 1.67, "reason": "Golden Cross: SMA50=5.77 > SMA200=5.24. ADX=67.2 (trending). Price=5.5630. Established trend. Duke study: 90% of DMAC combos profitable OOS.", "status": "OPEN", "source_system": "cta_replicator", "forward_test_only": true, "exit_price": null, "exit_date": null, "closed_at": null, "pnl_pct": null, "hold_days": null, "asset_class": "COMMODITY", "forward_trades": 0, "forward_wr": 0.0, "forward_validated": false, "source_strategy_type": "academic_cta_replication", "extra": { "academic_reference": "Dual MA Crossover 50/200 - widely validated, Duke University study", "sharpe_expected": 0.55, "lookback_months": 10, "vol_target": 0.2, "position_size_pct": 83.82, "sma50": 5.7655, "sma200": 5.242002, "adx": 67.18, "fresh_cross": false }, "pnl_dollar": null, "elite_score": 47.0, "elite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "elite_grade": "C", "ml_composite_score": 47.0, "ml_composite_breakdown": { "forward_wr": 20.0, "_forward_wr_raw": 0.5, "_forward_wr_pre_concentration": 20, "ml_score": 15, "confidence": 9, "regime_match": 0, "technical_alignment": 3, "strategy_concentration_penalty": 0, "_strategy_top_symbol": "", "_strategy_top_symbol_pnl_pct": 0.0, "_strategy_distinct_symbols": 0, "_strategy_concentration_risk": "NONE", "_strategy_concentration_multiplier": 1.0 }, "ml_composite_grade": "C", "method_a_score": 30, "method_a_grade": "D", "strategy_top_symbol": "", "strategy_top_symbol_pnl_pct": 0.0, "strategy_distinct_symbols": 0, "strategy_concentration_warning": "", "strategy_concentration_risk": "NONE", "strategy_concentration_penalty": 0 } ]