Walk-Forward Audit Results

The following data represents a deterministic simulation of our VOO-to-Form-4 Rotation strategy. Built on 1.4-years of out-of-sample data, these results provide a forensic look at systematic Alpha generation.

THE FORWARD-TESTING PREROGATIVE: While these results demonstrate a Strategy Sharpe of 1.712, we maintain that only Forward Testing with Real Money serves as final verification. These simulations are used to reject weak hypotheses and calibrate our ClusterBuyAnalyzer.cs .

Data Integrity & Provenance

Systematic Alpha is only as reliable as the underlying price data. To eliminate the "Backtest Illusion," our simulation engine utilizes institutional-grade datasets from Massive.com.

Deep Historical Horizon (2008 – Present)

Our testing environment leverages stock data available back to 2008. This enables us to validate signal efficacy through extreme volatility regimes, including the 2008 Financial Crisis, the 2020 Liquidity Shock, and the 2022-2023 rate hike cycle. This longitudinal depth ensures our Role-Weighted multipliers are robust across all phases of the credit cycle.

Simulation Overview (2024—2026)

Running on the SECForm4DownloadTests engine, this 1,732-trade series demonstrates the power of institutional insider clustering.

53.66% Total P&L
$64,389 Realized Profit
37.52% Alpha over VOO
1.712 Strategy Sharpe

Statistical Significance (The "Null Hypothesis" Test)

We apply a One-sample t-test to the mean return per trade. Our results indicate that the Alpha generated is statistically decoupled from market noise.

t-stat (mu=0): 5.5687 | df=1730 | p-value (one-sided): 1.2868E-008

A p-value of 0.0000000128 indicates that the probability of these results occurring by random chance is virtually non-existent.

Performance vs. Benchmark (VOO)

By utilizing the SimplePnLTracker.cs , the system maintained a broad-market baseline while rotating capital into high-conviction targets.

Metric IRSTTS Strategy VOO (Buy & Hold)
Annualized Return (CAGR) 42.16% 13.03%
Max Drawdown 19.22% 20.07%
Sharpe Ratio 1.712 0.739
Calmar Ratio 2.194 0.650
Tracking Error 10.21% N/A

Profit Contribution by Executive Title

Our ClusterBuyAnalyzer.cs applies role-weighted multipliers. The realized data confirms that **Director** and **CEO** conviction remains the primary driver of institutional alpha.

Title Trades Executed Realized P&L
Director 1080 $31,523
CEO 393 $10,751
COO 29 $2,992
Chair 88 $1,270

Bespoke Validation & Custom Audits

We recognize that institutional research requirements often exceed standard reporting. We maintain the infrastructure necessary to perform deep-dive validations into sector-specific alpha or custom holding-period simulations.

Institutional Custom Requests:
Bespoke validation audits, custom ticker maturation reports, and extended walk-forward simulations leveraging our 18-year+ archive are available and welcome. We provide professional-grade forensic analysis for quants and model governance teams.

Inquire for Custom Audit →