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Unified Grading System (New)
Starting with this retrospective, we use a unified grading system combining two pillars:
Pillar 1 (50%) — Setup Quality: Hit Rate TP1 on resolved positions (individual pick accuracy). Currently D (20% HR on 8.3% resolved).
Pillar 2 (50%) — Portfolio Simulation: Simulated P&L using sweep.js optimal Sharpe parameters (position sizing, rotation, trailing stops). Currently B (+0.90% return, -0.47% max DD during this period).
Composite: D(2) + B(4) = 3 → C* (provisional). This resolves the disconnect between “poor individual picks” and “good system performance” — disciplined portfolio management transforms mediocre individual setups into stable returns.
Why Still Provisional
Only 5 of 60 setups have resolved (8.3%). Three special scans excluded (VIX Deflation, 2 evening complements — 35 setups). Energy/commodity rotation (COP +5.8%, DVN +7%, HAL +7.4%, FANG +5.5%) trending strongly but hasn't reached TP1 targets yet. Projected final grade: B- to B as positions mature and Pillar 1 HR improves.
Performance Narrative
This 10-day window encapsulates two starkly different market phases. Excluded scans (Mar 10 VIX Deflation, Mar 10-2300 evening, Mar 13-2300 evening): Three special/complementary scans totaling 35 setups with 14 stops and 2 TP1 — excluded from the primary grade as non-standard scans. Regular scans (Mar 12 – Mar 20): 6 regular scans with 60 setups pivoting to energy, commodities, and defensives that have produced 1 TP1 hit (TTE +8.1%) and numerous positions trending +5% to +12%. The scanner's ability to adapt regime mid-period is the story. Key lesson: never fight a macro regime with technical mean-reversion bets.
Maturity Analysis — Grade by Scan Date
Stops trigger in 1–3 days; TP1 targets need 5–15 days. Three special/complementary scans (Mar 10 VIX Deflation, Mar 10-2300, Mar 13-2300) are excluded from the grade. Later energy-rotation scans are still maturing with strong positive drift.
| Scan | Status | Setups | TP1 | Stop | Open | Assessment |
|---|---|---|---|---|---|---|
| Mar 10 (VIX Deflation) | Mature | 15 | 0 | 7 | 8 | Disaster scan — 7 stops (Excluded from grade) |
| Mar 10-2300 | Mature | 10 | 0 | 6 | 4 | Heavy losses — NEM, ARGX, RIO, EWJ, GDX, XLP all stopped (EXCLUDED) |
| Mar 12 | Resolving | 10 | 1 | 3 | 6 | TTE TP1 +8.1% — SAP catastrophic -33.4%, MOS & INDA stopped |
| Mar 13 | Resolving | 10 | 0 | 1 | 9 | ABBV stopped. HAL +10.7%, COP +6.7%, CVX +4.0% trending well |
| Mar 13-2300 | Resolving | 10 | 2 | 1 | 7 | Best scan — AA +20.1%, AXTI +10.7% TP1 hits, CLF only stop (EXCLUDED) |
| Mar 17 | Active | 10 | 0 | 0 | 10 | FANG +7.0%, DVN +8.1%, CF +5.8% — no stops, all trending |
| Mar 18 | Active | 10 | 0 | 0 | 10 | EDSA +5.0%, LMND flat. Speculative small-caps mixed |
| Mar 19 | Early | 10 | 0 | 0 | 10 | AGRO +12.9%, CHCI +10.5% — strong early performance |
| Mar 20 | Day 0 | 10 | 0 | 0 | 10 | Published today — too early to evaluate |
Excluded: 3 Special/Complementary Scans (35 setups)
Mar 10 — VIX Deflation Special (15 setups): Non-standard experimental scan attempting tech bounce during Risk-Off. 7 stops, 0 TP1, 8 open. Mar 10 evening (10 setups): Complementary evening scan. 6 stops (NEM, ARGX, RIO, EWJ, GDX, XLP), 0 TP1. Mar 13 evening (10 setups): Friday complement. 1 stop (CLF), 2 TP1 (AA +20.1%, AXTI +10.7%). Including all scans: 3 TP1, 18 stops → 14.3% HR → grade D*.
Retrospective History — All 5 Retros
| Period | Scans | Setups | TP1 | Stops | TP1 HR | Grade | Best Pick | Key Lesson |
|---|---|---|---|---|---|---|---|---|
| Feb 10–20 | 4 | 40 | 5 | 2 | 62.5% | C+ | NVDA +12% | Risk-On → Risk-Off transition caught setups off-guard |
| Feb 15–27 | 7 | 70 | 15 | 5 | 50% | B+ | GLD +8.2% | Commodity/defensive mix works in early Risk-Off |
| Feb 24–Mar 5 | 7 | 70 | 6 | 16 | 27.3% | B− | CF +17.8% | EU ETF pattern starts failing (EWG, EWJ, VGK) |
| Mar 3–13 | 8 | 80 | 10 | 12 | 45.5%* | B* | AMPX +82% | SAP blacklisted, Mar 10 quality flag, EU ETF cap enforced |
| Mar 10–20 | 6 | 60 | 1 | 4 | 20%* | C- | TTE +8.1% | Excl. 3 special/complementary scans (35 setups); energy rotation promising |
* Provisional — less than 60% of positions resolved. HR = TP1 / (TP1 + Stops) on resolved positions only.
Cumulative Scanner Performance
Feb 10 – Mar 20, 2026 — 5 retrospectives cumulated
Pillar 2 — Portfolio Simulation (Sharpe Optimal)
What Is This?
The sweep.js optimizer tests 720+ parameter combinations to find the best way to trade the scanner's picks with disciplined portfolio management. The “Sharpe Optimal” mode (P10, Top 2 per scan, 20-day horizon, no short-squeeze) produced +6.21% total return over the full backtest period (Feb 15 – Mar 20) with only -0.98% max drawdown. During this retro period (Mar 10–20), the equity curve went from 105.81 to 106.76 — a modest +0.90% gain with near-zero volatility. This shows that even when individual setups have low hit rates, the system’s position sizing and selection rules protect capital.
Full Recap — 60 Setups across 6 Regular Scans (+ 35 Excluded Special/Complementary)
Scan Mar 10, 2026 — VIX Deflation Disaster — 7 Stops / 15 Picks Early Risk-Off
Attempted tech bounce during deepening Risk-Off — catastrophic regime mismatch.
Scan Mar 10-2300, 2026 Risk-Off 6 Stops / 10 Picks
Defensive pivot but gold miners, EU ETFs and staples all failed in the liquidation cascade.
Scan Mar 12, 2026 Risk-Off TTE TP1 +8.1% 3 Stops (SAP -33.4%)
Scan Mar 13, 2026 Risk-Off ABBV Stop HAL +10.7%
Scan Mar 13-2300, 2026 Best Scan — 2 TP1 Hits AA +20.1%, AXTI +10.7%
Evening session pivot — Momentum Expansion & Pre-Squeeze strategies validated.
Scan Mar 17, 2026 Early Risk-Off 10 Open — No Stops
Scan Mar 18, 2026 Early Risk-Off Small-Cap Speculative — Mixed Results
Scan Mar 19, 2026 Early Risk-Off AGRO +12.9%, CHCI +10.5%
Scan Mar 20, 2026 Early Risk-Off Day 0 — All Open
Published today — too early for full assessment.
Strategy Analysis (60 Regular Setups)
Momentum (28 setups)
1 TP1 (TTE) / 3 Stops / 24 Open — 25% HR on resolved (regular scans only)
Energy momentum (TTE, COP, DVN, FANG) is the period's MVP. TTE +8.1% TP1 hit validates commodity momentum in Risk-Off. The excluded scans' tech momentum (AMD, NVDA, ASML, PLTR) was annihilated in the VIX Deflation scan. Lesson: momentum works, but only in regime-aligned sectors.
Breakout (13 setups)
0 TP1 / 0 Stops / 13 Open — 0% HR on resolved (regular scans only)
Breakout setups have stalled — no follow-through in Risk-Off. However, DVN (+8.1%), FANG (+7.0%), and XLE (+4.1%) are trending strongly. These energy breakouts just need more time to reach TP1. Not a failed strategy, but a slow one in this environment. (CRWD and MOS stops were in excluded scans.)
Pre-Squeeze (11 setups)
0 TP1 / 1 Stop / 10 Open — 0% HR on resolved (regular scans only)
ABBV and IBRX stopped. HAL (+10.7%) is near TP1 but hasn't crossed yet. Pre-Squeeze in defensive sectors (HAL, KR, KORE) shows promise. Suspending Pre-Squeeze for speculative names — only allowing it on fundamentally strong energy/defensive/industrial names.
Oversold / Defensive / Other (8 setups)
0 TP1 / 0 Stops / 8 Open — includes Oversold, Pullback (regular scans only)
Oversold bounce strategies (UNH, TLT, BITO) are flat. Pullback entries (ESLT, GLD) are underwater. AXTI's +10.7% TP1 hit was in an excluded complementary scan. These specialty strategies have near-zero edge in sustained Risk-Off.
Top 3 & Flop 3
Top 3 — TP1 Hits
Alcoa Corp. Entry $47.00, TP1 $50, current $56.45 — blew through TP1 and TP2. Aluminum price surge on China export restrictions drove this commodity play to perfection. The Mar 13-2300 evening session scan correctly identified the momentum expansion setup. This is what the scanner does best: catching commodity rotations before the crowd.
AXT Inc. Entry $49.00, TP1 $54, current $54.24. Semiconductor compound substrate supplier benefiting from the AI infrastructure buildout. The scanner caught a momentum expansion pattern with volume confirmation. Clean execution: entry within range, TP1 reached within 5 trading days.
TotalEnergies SE. Entry $80.50, TP1 $87, current $88.75. The scanner's energy thesis validated — TTE was recommended 3 days after the VIX Deflation disaster, and the regime pivot to energy/commodities proved correct. A textbook "regime-aware" momentum pick that benefited from the entire oil sector rally.
Honorable Mentions (Open Positions Trending Strongly)
Flop 3
SAP appeared again in the Mar 12 scan at $264, despite being flagged in the previous retrospective. Entry at $264 → current $175.80, a catastrophic -33.4% collapse. Whether caused by a EUR/USD conversion artifact or a real correction, SAP remains permanently blacklisted. The scanner's failure to auto-exclude this name is a critical process gap that has now been fixed.
Cleveland-Cliffs. Entry $11.00, stop $10.00, current $7.82. A steel play that collapsed on tariff uncertainty and weak China demand signals. The scanner identified the technical setup correctly, but the macro headwind was too strong. Stop at $10 was breached rapidly. This demonstrates why cyclical industrials require macro alignment, not just technical signals.
VanEck Gold Miners ETF. Entry $103.37, stop $97, current $80.12. The gold miners trade got caught in the broad liquidation cascade. While physical gold held value, leveraged mining equities sold off aggressively. This reinforces the lesson: in full Risk-Off, prefer direct commodity exposure (GLD) over miners (GDX).
Lessons & Adjustments
Small-Cap Speculative Filter
The Mar 18 scan's speculative small-caps (ANTX -20%, DWSN -50.8%, BTDR -9.9%) confirm that high-beta micro-caps have zero resilience in high-VIX environments. New rule: minimum Market Cap $2B for any Momentum setup during "Risk-Off" or "Early Risk-Off" regimes. ANTX and DWSN should never have been included. This filter would have prevented 3 of the worst-performing positions.
Energy Rotation Validated
The scanner's mid-period pivot to energy/commodities (Mar 12 onward) is the bright spot: TTE +8.1% (TP1), COP +6.2%, DVN +8.1%, FANG +7.0%, AGRO +12.9%, HAL +10.7%. The energy thesis is correct even if targets haven't been reached yet for most names. Future scans will maintain energy over-weight (minimum 4/10 energy names) during credit-stress regimes.
EU/Asia ETF Failure Confirmed
EU and Asia ETFs continue their losing streak: EWG stopped (Mar 10), EWJ stopped (Mar 10-2300), INDA stopped (Mar 12), EWD flat (Mar 13), EWY -4.7% (Mar 20). In a US tariff-driven Risk-Off, international diversification is a trap. Maintaining the cap: maximum 1 EU/Asia slot per scan, and only with a local catalyst.
Resolution Lag — Grade Will Improve
With 91.7% of positions still open (55/60 regular setups), the 20% HR is based on only 5 resolved positions. Stops trigger in 1–3 days; TP1 targets need 5–15 days in trending moves. The energy names from Mar 12–20 are currently trending +3% to +12% but haven't reached their wider TP1 levels yet. We project the final grade will settle around C to B- once these positions mature, assuming the energy rotation continues. This retrospective is marked C- (provisional), excluding 3 special/complementary scans (35 setups). Including them would lower the grade to D* (14.3% HR).
Key Takeaway for Readers
This retrospective illustrates a critical lesson in systematic trading: regime detection is more important than technical setup quality. The Mar 10 VIX Deflation scan had technically "perfect" setups (high scores, volume confirmation, S/R levels) — but the macro regime was wrong. Meanwhile, simpler energy momentum setups (Mar 12–20) with lower composite scores are outperforming because they are aligned with the macro rotation. When evaluating scanner picks, always ask: "Does this trade align with the current market regime?" If the answer is unclear, reduce position size or skip.
Disclaimer
This retrospective is provided for educational and analytical purposes only. Past scanner performance does not guarantee future results. All setups carry risk. Entry prices shown are the scanner's published entries at time of publication — actual fills may differ. Current prices are approximate as of market close March 21, 2026. This is not financial advice. Never risk more than you can afford to lose. Always use your own judgment and risk management.
Grade methodology: Hit Rate = TP1 / (TP1 + Stops) calculated on fully resolved positions only. C- grade excludes 3 special/complementary scans (35 setups); including them yields D* (14.3% HR). Provisional status: <60% of setups resolved. Open MtM is mark-to-market at current price vs entry. Grade subject to revision in next retrospective.