EXP-002 — bnf_daily_c4_baseline daily baseline
Generated: 2026-08-11 · Provenance added after the fact (D-017). The result figures did not change. Source:reports/weekly/2026-W33.md("ranEXP-002"), input data snapshotcreon-20260811T060800Z
Status: draft. This is a baseline that isolates C4 (MACD rebound) only; it is not a complete BNF backtest, lacking C1~C3, sector disparity, regime and a multi-symbol universe.
Inputs and reproducibility
- Strategy:
bnf_daily_c4_baseline/0.1.0-draft - Data:
data/raw/creon/A005930-D-creon-20260811T060800Z.csv - Symbol:
A005930 - Range: 2024-01-02~2026-08-11 (635 daily bars)
- Data quality: 0 duplicates, 0 abnormal rows excluded
- Execution: next-day open entry, same-bar stop first, time exit at the close after 3 trading days
- Costs: 20.0bp one-way + 0.0bp slippage
Results
| Metric | Value |
|---|---|
| Completed trades | 58 |
| Skipped gap-down signals | 1 |
| Total return | -48.09% |
| Max drawdown on closes | -51.86% |
| Win rate | 39.66% |
| Profit factor | 0.496 |
Interpretation limits
- A single-symbol result; it does not address survivorship, delisting or universe bias.
- C1~C3, sector disparity and VKOSPI/sidecar-based regime control are not included because their inputs and rules are not yet fixed.
- Results are based on adjusted-price OHLCV, so real quotes, VI, unfilled limit-down orders and intraday splitting are not verified.
- This result alone does not decide strategy adoption or a move to live trading.
Source and migration evidence
Source: reports/experiments/EXP-002-bnf-daily-c4-baseline.md
Original SHA-256: ed50aec845d01b45aa390d5ab96f28ea6ffde989b9e0b3999fcba5051c033106
Raw data and account information are not part of the public package. The original results do not replace statistical or scientific revalidation. The English text is a translation; numbers, tables and charts are carried over unchanged.