Glossary

The percentage of trades that ended profitable. Calculated as (profitable_trades / total_trades) × 100.

Per-trade WR is 76.1% on 639 completed trades from 500 unseen tickers × 2024-2026 (the headline holdout slice). A coin-flip baseline would be ~53% (markets drift up over time). WR alone is incomplete because it doesn’t reflect how big winners and losers are; pair it with average return. The F&G<70 entry filter, the exit rules, and universe filters (vol≥1M, price≥$5) together produce this WR by removing chasing-greed entries, micro-caps, and letting MOMENTUM stocks compound past first signals.

The mean return across all trades. Per-trade average is +3.83% on the headline holdout slice (500 unseen tickers × 2024-2026, n=639 completed trades).

The mean is dragged down by the loser tail — see Median vs Mean. Median return is +7.90%, which is higher than the mean because the loser tail (avg -24.02% across all losers; -23.00% for the CAP bucket alone) pulls the average down more than it offsets the winners.

The middle value when all trade returns are sorted. Half of trades returned more than the median; half returned less.

The n810 Trading Plan’s median per-trade return on the strictest holdout slice is +7.90%. The median ignores tail magnitude, so it’s a more robust “typical trade” number than the average. See Median vs Mean.

The mean return across just the winning trades (those that exited above breakeven).

On The n810 Trading Plan’s holdout (Slice C, n=639), the average winner is roughly +12.59% across 76.1% of trades. Average return by exit reason: T1 +8.0%, T2 +14.8%, T3 +8.6%, T3_EXT +13.9%.

All winners exit via T1, T2, T3, or T3_EXT — these rules require pnl > 0 (T3_EXT) or pnl > 5% (T1/T2/T3) to fire. By construction, a trade can’t exit via these rules at a loss.

The mean return across just the losing trades (those that exited at or below breakeven).

On The n810 Trading Plan’s holdout (Slice C, n=639), the average loser is -24.02% across the 23.94% of trades with a negative return; the CAP-bucket loss alone averages -23.00% across the 24.88% of trades that hit it. Worst single trade was -76.50% (after vol≥1M + price≥$5 filters; pre-filter the worst was -97%).

Note on the deep avg loser: the losers are concentrated in genuinely broken theses (deep fear entries where the recovery never came). The F&G<70 entry filter removes the shallower “ride greed” losers and the universe filters (vol≥1M, price≥$5) remove the catastrophic micro-cap losers. Fewer total losers and a higher WR more than compensate.

Where losers come from: in the per-trade backtest, every losing trade hits CAP at 120 days. The signal-based exit rules (T1/T2/T3/T3_EXT) all require profit to fire, so a trade only ends in red if it never recovers within 120 days.

Loss distribution among the 153 losers on Slice C (n=639):

Why so deep: the strategy buys deep fear (mean reversion). When the recovery doesn’t come, the underlying often kept dropping past the entry. Tight stops, trailing stops, breadth-divergence exits, and ML-discovered multi-feature rules have all been tested and rejected: per-trade-positive rules systematically cluster correlated losses at the portfolio level (doubling drawdown), and unconditional stops cut too many fear-buys that would have recovered. The -24.02% average loser is the structural cost of the 76.1% win rate; the two are coupled. In a portfolio, the 1%-risk sizing, the disaster stop and the dead-trade exit limit what these losers cost the account.

Per-trade math: 76.1% × +12.59% + 23.94% × -24.02% = +3.83% expected return per trade.

When return distributions are fat-tailed (a few big winners or losers dominate), the mean and median diverge. The holdout median per-trade return is +7.90% and the mean is +3.83% — the gap is the CAP-bucket loser pool (avg -24.02%) pulling the mean down.

Reporting both is required. A high mean can be driven by a single tail-event trade rather than a population edge; the median guards against that.

The cumulative return of a portfolio over a period. (end_value / start_value - 1) × 100.

Per trade, the plan averages +3.83% (+7.90% median). As a portfolio, with the 1%-risk sizing, the disaster stop, the dead-trade exit and idle cash in SPY or SGOV, the backtest from January 2020 to October 2026 returned 16.1% a year on the holdout tickers (17.2% on the training tickers), against 14.2% for holding SPY. Every fill is at the next open, with 10 bp of costs and 20 positions at most.

Drawdown = the percentage drop from the highest equity value to a subsequent lower point. Max drawdown is the worst such drop over a period.

If a $100K account peaks at $118K and then drops to $107K, the drawdown is (107K - 118K) / 118K = -9.3%. Max drawdown is the largest -X% the account ever shows from peak.

Drawdown matters because it represents the worst psychological pressure on the account. SPY’s -19% max DD over 2024-2026 means a holder watched their account drop 19% from its highest point before recovering. With the full rule set, the plan’s worst portfolio drawdown from January 2020 to October 2026 was -15.4% on the holdout tickers (-13.2% on the training tickers), against -33.7% for holding SPY. At the per-trade level, The n810 Trading Plan’s worst single trade on the strictest holdout was -76.50% and 24.88% of trades hit the 120-day CAP with average loss -23.00% — see CAP.

Return divided by volatility, annualized. Higher is better. It answers “how much return did the strategy earn per unit of risk taken?”

The n810 Trading Plan reports a per-trade Sharpe of 0.171 on the strictest holdout slice (Slice C: 500 unseen tickers × 2024-2026). As a portfolio with the full rule set (January 2020 to October 2026, next-open fills, 10 bp costs, 20 positions at most), the Sharpe ratio is 1.26 on the holdout tickers and 1.33 on the training tickers, against 0.77 for holding SPY.

How much the simulated portfolio outcomes vary across simulation runs that differ only in the order same-day picks are taken. Lower = the result is stable; higher = the result depends a lot on the luck of ordering.

The portfolio figures on this site are the median of 20 such orderings. For per-trade dispersion, see Volatility.

How much returns swing around their mean. Higher volatility = wider spread of outcomes. Used as the denominator in Sharpe ratio.

For per-trade volatility, The n810 Trading Plan’s holdout (Slice C) standard deviation of trade returns is roughly 22.4% — meaning trade returns are typically within ±22% of the +3.83% mean.

A score from 0 to 100 measuring investor sentiment for a specific stock. Lower = more fear/panic. Higher = more greed/euphoria. The single most important input to the system.

F&G ≤ 10 is extreme fear, historically the best buy zone for mean-reversion stocks during Crisis. F&G ≥ 60 is the T1 sell trigger — the market has “normalized” into greedy territory.

OVTLYR’s own binary directional call: “Buy”, “Sell”, or null. This system uses it as context only.

Important: the Sell signal is not used as a profit-exit trigger in The n810 Trading Plan. The profit exits read the F&G oscillator value directly (oscillator ≥ 60 AND pnl > 5%) instead of firing on the OVTLYR Sell flag. The direct read gives a 14.5pp higher portfolio return and 4.7pp higher per-trade win rate when compared head-to-head under the same setup. Sell signals do count toward the dead-trade exit.

The stock’s current trend: 1 = uptrend, -1 = downtrend, 0 = neutral. Used for context but not a primary scoring feature.

The percentage of S&P 500 stocks currently in uptrends. The regime indicator — the most important single variable in the system.

Below 15% = Crisis. 15–50% = Normal. 50% or above = Extended. Crisis and Normal each get their own playbook; Extended takes no new entries. See Market Regime.

Same concept as SPY bull%, but for the stock’s specific sector. Used as a scoring input. Its low tail is the strongest single reading in the entry score: sector bull% at or below 5% roughly doubles per-trade Sharpe versus the 5–20% band, on every validation slice.

Exponential moving averages at 5, 10, 20, and 50-day windows. EMA50 is the most important; we calculate how far the current price deviates from EMA50 to measure whether a stock is “cheap” relative to its recent trend. See EMA50 Deviation.

A score from -2 to +2 representing sector health. Tested as a predictor and found to be noise — did not improve win rates in any regime.

A 0–9 composite score representing how many of OVTLYR’s nine dashboard components are currently bullish (green). Higher = more bullish signals aligned. Tested as an exit trigger and rejected (under-fired versus T1, no Sharpe lift).

Price zones identified as significant support (Bullish) or resistance (Bearish) levels. Shown as context only: a bearish block overhead is flagged as RESISTANCE on the picks page. Order blocks do not change entries, exits or position size.

Whether the F&G oscillator is moving “up” or “down.” Counterintuitively, “down” at extreme lows is a better buy signal than “up” because bottoms always have F&G falling. Used as a small scoring bonus (+1 in Normal), not a gate. Also used in T2: F&G must be falling for the deep-fear-recovery exit to fire.

The current state of the overall market, derived from SPY bull percentage.

The regime is checked before anything else, and it sets the buy criteria. Crisis and Normal each have their own entry formula; Extended takes no new entries at all. The forward-return column is the market’s own subsequent move, not the plan’s. It is weakest in Extended, which is why the plan buys nothing there.

The regime where SPY bull% is 50% or higher — more than half the index is already in an uptrend, so the move has largely happened.

Three things are true of this regime, and they point the same way:

No new entries are taken here. Nine entry variants were backtested across all four validation slices — buying fear, buying momentum names at fear, and riding greed with the F&G<70 ceiling lifted. Every one tied or lost to simply skipping the regime, and the holdout trade count was identical either way: the slots refill with better Crisis and Normal trades.

Skipping entries is not the same as sitting out. Positions opened earlier are still held through it — 11.6% to 19.1% of all position-days occur while the market is in Extended.

Both SPY bull% < 15% AND QQQ bull% < 15%. Required for Crisis entries. When both broad market and tech-heavy market are in crisis simultaneously, the signal is more reliable.

A composite score measuring how “ripe” a stock is for a contrarian entry during Crisis.

Bonuses suppressed when FG dispersion ≥ 20. Score ≥ 50 = Buy. Score ≥ 70 = Highest conviction.

A scoring system for stock entries during Normal market conditions.

The four components cap at 9: 3 + 2 + (1.5 + 1.5) + 1. The breadth tail is a separate addition rather than another branch of the sector chain.

Score ≥ 5 = entry signal, published as a pick. 4 to 5 = watchlist. Score ≥ 7 = high conviction.

A categorization of each stock based on how it historically responds to fear signals.

• • MR (Mean-Reversion): Reliably bounce when fear is extreme. Best for contrarian entries.
• • MOM (Momentum): Trend and don’t mean-revert from fear. Best for momentum-following strategies.
• • MIXED: Context-dependent. May mean-revert in some conditions but not others.

MR stocks get a +15 crisis score bonus at F&G ≤ 10. MIXED stocks get a +10 bonus at EMA50 deviation ≤ -15%. Original 381 ticker development split: 102 MR / 50 MOM / 229 MIXED.

How far the current price is from the 50-day EMA, as a percentage.

Formula: (close - EMA50) / EMA50 × 100

Large negative deviations (≤ -10%, ≤ -15%) indicate the stock has sold off significantly and may be primed for a bounce.

How quickly the Fear & Greed oscillator has changed over the last 5 trading days.

Formula: F&G_today - F&G_5_days_ago

Rapid drops (ROC ≤ -20) indicate a sharp sentiment crash, historically the best contrarian entries.

How much more — or less — fearful a stock is than the sector it belongs to. OVTLYR publishes an average Fear & Greed reading across each sector’s constituents (sector_heatmap); this is the stock’s own reading minus that.

Formula: fg - sector_heatmap. Verified as exactly that against all 6,185 published rows in the archive.

Negative means the stock is more fearful than its sector. Because the plan buys fear, that is the usual direction: 5,795 of those 6,185 rows sit below their sector, and 3,759 sit more than twenty points below. A stock holding up while its sector sells off is the rarer case, and the one the badges mark.

The generator buckets the gap into four tiers, two of which become a tag on the pick:

• leader — above its sector. Shown as EXCELLENT. 32 rows.
• aligned — roughly level with it. Shown as SOLID. 358 rows.
• below and deep_below — more fearful than its sector. No tag.

The exact cut points are not recoverable from the published data, so they aren’t stated here. Rows carrying a gap of exactly -5.0 appear in both aligned and below, and exactly -20.0 in both below and deep_below — the tier is assigned before the gap is rounded to one decimal. The boundaries sit near ±5 and -20, but that is an observation, not the rule.

This is quality context, not a return edge: the EXCELLENT and SOLID tags carry historical hit rates of roughly 93% and 89%, which is a statement about how often those setups worked, not about how much they returned.

The standard deviation of Fear & Greed scores across candidate stocks.

• • Dispersion < 20: Normal conditions. Classification bonuses work as expected.
• • Dispersion ≥ 20: Market is “splitting.” Bonuses become unreliable, so the Crisis classification bonuses are not applied.

A display/confidence upgrade — not a trade gate. When an MR pick in Normal regime has F&G≤10, sits in one of these sectors (Materials, Utilities, Financials, Discretionary, Health Care), and SPY bull% is < 30, it is flagged “MR extreme fear” with higher stated confidence.

Outside the whitelist the MR entry still fires — it simply isn’t given the elevated label. This changes wording only; it does not select trades or change position size.

A 0–7 score of how good the conditions were when a pick qualified. It adds points for a stock at or above its sector’s fear level, a washed-out sector breadth, an entry in Crisis, and a stock stretched far below its 50-day average.

It ranks days, not picks within a day. 73–84% of its variance is between days: on a good day most picks score well together. Within one day, the higher-scored picks did no better than the lower ones. So the site uses it only for the day’s buying conditions.

It gates nothing and does not set position size.

No new entry fires on a day where the stock’s F&G oscillator is at or above 70. Validated on the four-slice holdout test.

Why F&G=70: a high-resolution sweep of every CAP-bucket loser shows a clean phase transition at F&G=70. Below 70 the CAP rate stays in the 8-20% range. At 70 and above the CAP rate jumps to 38-42% and per-trade WR drops from 82-91% to 65-73%. Not a gradient — a cliff. The filter sits exactly at the cliff.

What it catches: entries at peak greed. The strategy is structurally a fear-buying system; entries above F&G=70 are inconsistent with that thesis and produce the loser tail.

The n810 Trading Plan’s exit policy is five rules evaluated in order on each trading day after entry. First to fire wins.

1. T1 — F&G Normalization (suppressed when OVTLYR trend overlay is up — let winners run while the trend confirms continuation)
2. T2 — Deep-Fear Recovery
3. T3 — Crisis Profit-Take
4. T3_EXT — Non-Crisis Peak-Aware (suppressed when classification is MOMENTUM — MOMENTUM stocks compound past the first peak)
5. CAP — Hard Timeout

Both class-aware suppressions were validated on the four-slice holdout test (train + ticker-holdout + time-holdout + both-holdout). Tested alternative exits (mechanical stop-losses from -10% to -30%, trailing stops at peak-5% to peak-15%, profit targets, F&G-greed exits) on the actual price paths — every variant reduced per-trade Sharpe versus the current set.

Two risk rules sit alongside these five: the dead-trade exit and the disaster stop. They are judged on portfolio drawdown rather than per-trade Sharpe.

Trigger: oscillator ≥ 60 AND pnl > +5%

The market’s fear has lifted into greedy territory and the trade is profitable. Lock in the recovery.

Why F&G oscillator and not the OVTLYR Sell signal? The Sell signal is a derivative of the same oscillator with an opaque threshold. Reading the underlying value gives 14.5pp higher portfolio return and 4.7pp higher per-trade win rate (head-to-head, same setup). See Buy/Sell Signal.

Trigger: entry F&G < 50 AND (current_fg - entry_fg)/(50 - entry_fg) > 0.60 AND F&G falling AND pnl > +5%

The deep-fear bounce is fading; take the profit before it reverses. F&G has recovered >60% of the way from entry back to neutral (50), F&G is now turning back down, and the trade is profitable.

Trigger: regime_at_entry == "CRISIS" AND osc ≥ 40 AND pnl > +5%

For trades opened in Crisis mode: sell when Fear & Greed recovers to 40 and the trade is up at least 5%.

The threshold is 40 for every sector.

Trigger: regime_at_entry ≠ "CRISIS" AND peak_pnl_during_hold ≥ +10% AND osc ≥ 40 AND pnl > 0

The T3 profit-take logic, extended to non-Crisis trades that have proven strength by reaching peak ≥ +10%. Catches the “peaked then faded” failure mode.

The P&L gate is loosened from >5% to >0 because the rationale is “lock in what’s left of the peak” rather than “take a fresh profit.” Suppressed when the stock is classified as MOMENTUM (MOMENTUM stocks compound past the first peak — locking in too early cuts the move short).

Requires Peak P&L tracking.

Trigger: days_held ≥ 120

The 120-trading-day cap. Validated against 13 cap variants (8 static: 60/90/120/150/180/240/365/no-cap, plus 5 conditional). 120 is the only cap that wins on all four metrics: portfolio Sharpe, year-CV, regime-CV, classification-CV. Shorter caps (60d) fail cross-validation in the high-breadth Extended regime; longer caps absorb market drift.

CAP-bucket trades are the cost of the contrarian entry edge. On Slice C: 24.9% of trades hit CAP, WR 3.8%, average return -23.0%. These are the genuine losers where the mean reversion took longer than 120 days. That is the entry and exit rules alone: with the live risk rules, most of those trades are cut earlier by the dead-trade exit (about day 60, around −11%) or the disaster stop, and only 4.5% of holdout trades still reach CAP (average −18.7%).

Two risk rules can close a losing trade before the cap: the dead-trade exit and the disaster stop.

T3_EXT requires the maximum P&L observed during the hold, not just the current P&L.

For live positions, the system walks forward from entry_date through cached daily closes and updates peak as max(peak, current_pnl). The backtester maintains it within the simulation loop. Without peak P&L, T3_EXT cannot fire.

In-sample (IS): the data the model was trained on (Jan 2020 – Dec 2023 here). The model has “seen” this data and may have fitted it.

Out-of-sample (OOS): data the model has never seen during training (January 2024 onward here). OOS results are the honest test — they tell you how the model performs on data it hasn’t fitted to.

If you train on a period, you can’t honestly use it as an OOS test. Once a model is deployed live, the training set is usually refreshed to include all available data, and new market data going forward becomes the new OOS.

Running the trading rules against historical data to see what they would have produced. Backtests are honest only when run on out-of-sample data the rules weren’t fitted to. The rules in this system were designed on 2020–2023 data, then tested on 2024–2026 — that’s the published OOS result.

Trades that do not overlap on the same ticker. After each trade’s exit, the backtest skips the index forward past exit_idx so the next eligible entry must be at least one day after the prior trade closed.

Without this constraint a single fear bottom can spawn a fresh trade every day during a multi-week qualifying window, inflating trade counts. With it, each entry-exit pair is counted once. Every metric on this site counts each trade once.

The portfolio figures come from running the full rule set day by day from January 2020 to October 2026: every fill at the next open, 10 bp of costs, 20 positions at most, and idle cash in SPY or SGOV.

On busy days more picks qualify than there are free slots, and which ones fill depends on the order they are taken in. So the simulation runs 20 times with a different random order of same-day picks, and the median is reported. The spread across runs (the standard deviation) shows how much that luck matters.

Per trade, the trade return minus an equal-size SPY buy-and-hold over the exact same dates. Mean alpha says “does the strategy beat just buying SPY for that window?”

Mean paired alpha is negative at every cap length tested: -0.06% at 60d, -0.37% at 120d, -1.30% at 365d. Median paired alpha is +4.25% — most trades beat SPY, but a fat-tailed loser pool drags the mean negative. The longer the cap, the more market drift the strategy absorbs rather than generates.

Any candidate exit policy must pass all three of these splits before being considered.

• • Year-CV: Train on 2024, test on 2025+2026 (and other splits). Catches calendar-time overfitting (a 2024-only signal).
• • Regime-CV: Train on Crisis+Normal, test on the high-breadth regime (Extended). Catches regime-shift overfitting — a Crisis-only signal masquerading as universal.
• • Class-CV: Train on MR+MIXED, test on MOM. Catches stock-type overfitting.

Tested alternatives that fail at least one split are not shipped. The current exit set passes all three.

No rule with fewer than 50 historical trades ships in the playbook. The 99-cell sector × regime × classification matrix had cells with 95% WR — but most of the “interesting” cells had n < 50. None of those rules ship.

The cost of a false positive on a small sample is huge. If an edge was found on 8 trades or 27 entries, it’s not real.

The OVTLYR data feed occasionally contains errors — single-day closing prices that are wildly disconnected from the days before and after, and disagree with public sources. Example: TAOX 2026-02-20 shows close=$28.41 between prior close $3.76 and next close $3.73. Without correction, this single error would produce a fictional +565% trade in the backtest.

The repair auto-detects errors using three signatures: a price spike followed by reversion, a statistical outlier (>5σ from the 20-day median) followed by reversion, and OHLC inconsistency vs neighbors. High-confidence flags are repaired in-memory at load time by replacing the close with (prev_close + next_close) / 2. The raw data files are never mutated.

Six high-confidence errors detected; three were affecting trades: TAOX 2026-02-20 ($28.41 → $3.745), THRY 2026-02-20 ($24.87 → $3.7675), HIND 2025-04-01 ($159 → $40.525).

Aggregate impact: per-trade WR shifts < 0.1pp, average total return by ~0.85pp, max drawdown by ~0.09pp. Errors are rare, so the repair’s aggregate effect is small. An |ret| > 500% post-hoc filter also runs as a safety net.

Two categories of trades:

• • SYSTEM: Systematic entries that follow The n810 Trading Plan’s exit rules automatically.
• • CONVICTION: High-confidence thesis-driven bets. The plan reports what the system would do but never recommends selling. The human decides.

This distinction reflects how real trading works: some positions are driven by The n810 Trading Plan, others by a broader thesis about the company.

Sell at the next open after a close at or below your entry price minus 8 × ATR20. ATR20 is the stock’s average daily range over the 20 days before you bought. For a typical pick the stop sits about 33% below the entry.

It is set far away on purpose. The plan buys fear, and fear-buys often dip further before they recover, so a tight stop cuts trades that would have won. This one is there for disasters, not dips.

An overnight gap can open well below the stop, so a trade can still lose more than the stop distance. That is why position size is set from the stop. When 8 × ATR20 is larger than the price (a stock that moves more than 12.5% a day), there is no stop.

Sell at the next open when all four are true:

• • the position is 45 or more trading days old,
• • it has never closed 5% or more above your entry,
• • it is below your entry today,
• • OVTLYR has printed 2 or more Sell signals since you bought.

Every profit exit needs the trade to be up 5% (T3_EXT needs a +10% peak), so a trade that has never reached +5% can only end at the 120-day CAP. This rule closes those earlier. It applies to SYSTEM trades; see trade types.

Each position is the share of the account that loses 1% if the disaster stop is hit: 1% ÷ the stop distance, capped at 8% of the account. A typical pick is about 3%; a volatile one is smaller and a calm one larger. Hold at most 20 positions.

Example: a stop 33% below the entry gives 1% ÷ 33% ≈ 3% of the account. To risk 0.5% or 2% per position instead, scale every size by the same factor.

On Weak buying-condition days, new picks get half that size. The picks page shows the stop and the size on every pick, already halved on Weak days.

Money not in n810 positions goes into SPY while the Balancer strategy is long SPY, and into SGOV (0–3 month T-bills) otherwise. The picks page shows which one every morning. When it changes, act that day, at the open or the close. Sell SPY or SGOV as needed to fund new picks.

Holding SPY only while the Balancer is long, rather than all the time, is what keeps the portfolio’s drawdown low. SGOV adds about 1 point a year over holding plain cash.

A reading for the day, not for a single pick: Weak, Normal or Strong, from the average setup score of the day’s new picks. Weak is an average below 1.5; Strong is above 3.0.

On the holdout tickers, trades opened on weak days averaged about +1.8%, on normal days +5.7% and on strong days +6.1%.

On Weak days, new picks get half the usual size. Weak-day trades still make money on average, so they are bought smaller, not skipped. In the backtest this raised the portfolio’s Sharpe ratio from 1.15 to 1.26 on the holdout tickers. Buying more on Strong days was tested too and not adopted: it deepened the holdout drawdown.

Within one day, no ranking of the picks held up, so the picks page lists them furthest below their 50-day average first. That was the only ordering that leaned the right way.

The plan holds at most 20 positions at once, each sized by 1% risk. When all 20 are taken, a new pick is skipped until a slot frees up. Money not in positions sits in SPY or SGOV.

The portfolio backtest uses the same limit, so its figures match how the plan is traded.