SemiSwing Quantitative Desk

Active Open Positions & Recent 25 Closed Trades

PUBLIC AUDIT
Strategy Mode: ml
Active Open Count: 2 of 4 Max Positions
Report Created: 2026-10-20 02:56:34 EDT
Active Open Trades
2 (of 4 max slots)
Total Invested Capital
$51,877.03
Temporary Unrealized P&L
+495.29 (+0.96%)
Total Closed Trades (OOS)
91
Trade Blotter Legend & Quantitative Diagnostics
Tier Conviction Levels:
  • CONSENSUS: Dual-engine alignment (both Baseline OLS trend significance t_norm ≥ 1.8 and ML classifier agree; 1.0% risk).
  • HIGH: Standalone ML qualification with top-quintile residual momentum (1.0% risk).
  • MEDIUM: Baseline trend qualification or secondary ML score (0.75% conservative risk).
  • LOW: Lower-conviction meta-labeling score (S_i,t < 0.85; 0.50% risk or conservative bottom tier).
Shares & Position ($): Dynamically calculated via Volatility-Parity / Fixed-Fractional Risk Sizing: Shares = (Portfolio Equity × Base Risk × M_t × S_i,t) / Stop Distance. Each trade risks a fixed fraction of total portfolio equity at execution, so position dollar allocations and share counts vary according to individual stock ATR volatility, tier conviction, meta-labeling multiplier S_i,t, and compounding portfolio equity over time.
Partial Profit Taking (TP1) & Blended Returns: When Take Profit 1 (TP1) triggers, partial shares are sold and stop is moved to breakeven. Exit ($) reports the final runner share exit price, while Return (%) and R Multiple reflect the blended net performance across the entire position.
Win Prob: Platt-calibrated posterior probability P(Hits +1.5R target before Hard Stop) produced out-of-fold by shallow LightGBM trees. With a 1.5:1 reward-to-risk ratio, any probability P > 40.0% yields positive mathematical expectancy.
Sizing Scalar: Continuous meta-labeling position sizing multiplier S_i,t ∈ [0.50, 1.50] (López de Prado framework). Maps predicted win probability into historical out-of-fold percentile rank: S_i,t = 0.50 + Rank_OOF(p). Conviction scales position sizes dynamically between 0.50x and 1.50x without expanding total risk caps.
Top Model Drivers (SHAP): Single-feature marginal contributions detailing model conviction:
  • sector_rs: 20-day relative strength of SMH vs SPY: Delta%20d(SMH) - Delta%20d(SPY). Positive values confirm semiconductor sector leadership.
  • vix_ts: Volatility term structure ratio (VIX / VIX3M). Values < 1.0 confirm normal contango (calm regime); ≥ 1.0 indicates backwardation (near-term panic).
  • skew_idx: CBOE SKEW Index 60-day rolling z-score (min_periods=20). Elevated values (> +1.5) indicate institutional tail-risk hedging and out-of-the-money put demand.
  • resid_mom_60: 60-day idiosyncratic residual momentum relative to SMH after stripping market beta. Confirms stock-specific momentum decoupled from sector drift.
  • resid_mom_20: 20-day idiosyncratic residual momentum relative to SMH after stripping market beta.
  • rs_rank: Cross-sectional percentile rank [0.0, 1.0] of 20-day residual momentum across the active tradeable universe.
  • vol_compress: Realized volatility compression ratio (RV_10d / RV_60d). Values < 0.70 indicate price coiling prior to directional breakout.
  • vxn_squeeze_vel: 252-day rolling z-score of 5-day rate of change in Nasdaq Volatility Index (VXN). Rapid drops detect post-panic volatility compression.
  • slope_r2_20d: Coefficient of determination (R^2 in [0, 1]) from 20-day log-price linear regression measuring trend smoothness.
  • slope_t_norm: Adaptive window L_t sample-size normalized OLS t-statistic measuring directional trend conviction.
  • slope_accel: Multi-scale slope acceleration: (beta_10d - beta_40d) / sigma_20 normalized by 20-day return volatility.
  • ema20_slope: 5-day slope of 20-day exponential moving average in ATR units: (EMA20_t / EMA20_{t-5} - 1) / ATR%_14.
  • ema50_slope: 10-day slope of 50-day exponential moving average in ATR units: (EMA50_t / EMA50_{t-10} - 1) / ATR%_14.

1. Active Open Positions (Daily Mark-to-Market)

Why are 2 swing positions currently active?
SemiSwing enforces strict institutional risk limits: a hard maximum of 4 concurrent swing positions, a single-name position cap of 33%, and a maximum portfolio open risk of 14%. Over the past 5 trading days, 3 positions reached their algorithmic exits (DELL hit EOD trailing stop at +165.2% after a 153-day run, SNPS hit its stop loss, and MU hit its 25-day time stop), freeing up capacity. The model currently deploys capital into 2 active swing positions (AAPL +4.66% and MSFT -1.51%), with all unallocated cash automatically earning risk-free Treasury Bill yield (FRED DTB3 @ ~4.6% APR).
Ticker Tier Shares Entry Date Held Entry → Close Protect Stop Position ($) Unrealized P&L Stop Dist Top Model Drivers (SHAP)
AAPL HIGH 62.9 2026-09-11 27d $327.68 → $342.94 $303.99 $21,561.15 +959.47 (+4.66%) +11.36% skew_idx=0.54 (-0.016) | vxn_squeeze_vel=1.06 (+0.009) | sector_rs=-0.02 (-0.004) | slope_t_norm_40d=-1.23 (+0.004) | slope_r2_20d=0.65 (-0.003)
MSFT HIGH 56.8 2026-10-16 2d $541.69 → $533.52 $507.37 $30,315.88 -464.18 (-1.51%) +4.90% skew_idx=2.49 (+0.040) | vix_ts=0.89 (+0.036) | resid_mom_60=0.34 (+0.019) | sector_rs=-0.02 (-0.015) | vxn_squeeze_vel=0.34 (+0.012)
Note on Reference Backtest vs. Real Accounts: This Card #2 report reflects the algorithmic reference backtest portfolio ($10K compounding starting equity, max 4 positions). For actual brokerage account holdings and personalized trade recommendations, refer to Card 4 (Personal Daily Trade Tickets) and Card 5 (Customer IZ Daily Trade Tickets).

2. Recent 25 Out-of-Sample Closed Trades (ml)

Ticker Tier Shares Position ($) Dates (Held) Entry → Exit Net P&L (Return) R-Mult Exit Reason Win Prob (Scalar) Top Model Drivers
SNPS MEDIUM 42.6 $21,786 2026-10-09 → 2026-10-16 (6d) $510.84 → $454.03 -2,423 (-11.12%) -1.01R Stop 37.7% (1.08x) vix_ts=0.85 (-0.020) | rs_rank=0.98 (+0.011) | slope_r2_20d=0.87 (-0.010) | resid_mom_60=0.15 (-0.006) | skew_idx=0.95 (-0.005)
DELL HIGH 49.7 $7,209 2026-03-11 → 2026-10-16 (153d) $145.07 → $451.39 +11,911 (+165.23%) +11.02R Trail Stop Eod 41.2% (1.30x) rs_rank=0.98 (+0.024) | vix_ts=0.98 (+0.014) | sector_rs=0.00 (+0.014) | slope_r2_20d=0.66 (-0.011) | resid_mom_20=0.19 (+0.002)
MU HIGH 33.2 $32,966 2026-09-11 → 2026-10-15 (25d) $993.74 → $930.59 -2,095 (-6.35%) -0.42R Time Stop 25D 40.6% (1.28x) rs_rank=0.98 (+0.026) | skew_idx=0.54 (-0.016) | vix_ts=0.90 (-0.009) | vxn_squeeze_vel=1.06 (+0.008) | vol_compress=0.54 (+0.006)
SNDK MEDIUM 13.6 $20,800 2026-08-25 → 2026-10-08 (32d) $1534.76 → $1608.33 +997 (+4.79%) +0.32R Time Stop 25D 38.4% (1.14x) vxn_squeeze_vel=0.38 (+0.017) | sector_rs=-0.04 (-0.007) | slope_t_norm_40d=-1.74 (+0.004) | slope_r2_20d=0.68 (-0.003) | ema20_slope=0.32 (+0.002)
ORCL LOW 102 $15,855 2026-08-14 → 2026-09-10 (19d) $155.37 → $152.27 -317 (-2.00%) -0.14R Earnings Exit 33.9% (0.78x) slope_t_norm_40d=-1.24 (+0.017) | sector_rs=-0.00 (+0.016) | vxn_squeeze_vel=-0.96 (+0.015) | vix_ts=0.79 (-0.014) | skew_idx=-1.48 (-0.012)
PLTR MEDIUM 108.5 $16,924 2026-08-06 → 2026-09-10 (25d) $155.98 → $165.74 +1,059 (+6.26%) +0.42R Time Stop 25D 35.2% (0.88x) skew_idx=-1.91 (-0.056) | vxn_squeeze_vel=-2.33 (+0.052) | sector_rs=-0.07 (+0.029) | slope_t_norm_40d=0.83 (+0.025) | slope_accel=0.34 (+0.008)
P HIGH 341.8 $37,972 2026-08-21 → 2026-08-24 (2d) $111.08 → $100.37 -3,661 (-9.64%) -0.66R Earnings Exit 48.8% (1.48x) vxn_squeeze_vel=0.67 (+0.032) | sector_rs=-0.06 (+0.024) | resid_mom_60=0.27 (+0.022) | ema20_slope=2.29 (+0.020) | vix_ts=0.84 (+0.012)
AMZN MEDIUM 99.6 $28,079 2026-08-05 → 2026-08-20 (12d) $281.79 → $259.93 -2,178 (-7.76%) -0.74R Time Stop 12D 36.8% (1.01x) vxn_squeeze_vel=-1.14 (+0.068) | sector_rs=-0.04 (+0.042) | slope_t_norm_40d=0.85 (+0.024) | skew_idx=-3.40 (-0.012) | slope_accel=0.48 (+0.009)
AAPL MEDIUM 95.6 $30,083 2026-07-10 → 2026-08-13 (25d) $314.67 → $305.05 -920 (-3.06%) -0.38R Time Stop 25D 35.9% (0.94x) vix_ts=0.83 (-0.015) | rs_rank=0.80 (+0.008) | vxn_squeeze_vel=-0.33 (-0.004) | slope_sharpe=4.73 (-0.003) | vol_compress=1.66 (+0.003)
AMZN HIGH 142.6 $35,505 2026-07-20 → 2026-07-28 (7d) $248.93 → $230.70 -2,601 (-7.33%) -0.80R Earnings Exit 39.9% (1.25x) vxn_squeeze_vel=1.39 (+0.021) | skew_idx=1.15 (-0.019) | slope_t_norm_40d=-2.14 (+0.015) | sector_rs=-0.11 (-0.006) | vix_ts=0.91 (+0.004)
META HIGH 28.9 $19,186 2026-07-15 → 2026-07-27 (9d) $663.54 → $592.99 -2,040 (-10.63%) -0.93R Earnings Exit 39.3% (1.21x) rs_rank=0.98 (+0.020) | sector_rs=-0.05 (+0.016) | vix_ts=0.85 (-0.008) | skew_idx=0.75 (-0.007) | vxn_squeeze_vel=-0.62 (-0.006)
P HIGH 525.7 $41,982 2026-07-09 → 2026-07-15 (5d) $79.87 → $67.84 -6,322 (-15.06%) -1.00R Stop 44.8% (1.42x) skew_idx=1.86 (+0.040) | vxn_squeeze_vel=0.21 (+0.024) | rs_rank=0.80 (+0.008) | vix_ts=0.87 (+0.004) | slope_accel=0.33 (+0.003)
ARM HIGH 90.5 $13,985 2026-04-01 → 2026-07-14 (71d) $154.50 → $280.97 +9,707 (+69.41%) +4.63R Trail Stop Eod 42.1% (1.34x) rs_rank=0.98 (+0.037) | vix_ts=0.99 (+0.016) | slope_t_norm=6.62 (+0.011) | skew_idx=0.04 (-0.010) | slope_r2_20d=0.73 (-0.007)
LITE HIGH 80.2 $10,624 2025-09-03 → 2026-07-07 (211d) $132.43 → $698.93 +34,705 (+326.65%) +25.58R Stop Gap 38.9% (1.23x) resid_mom_60=0.29 (+0.048) | ema50_slope=1.93 (-0.008) | slope_t_norm_40d=12.28 (+0.006) | slope_r2_20d=0.79 (-0.006) | vix_ts=0.89 (+0.004)
WDC MEDIUM 63.7 $2,982 2025-05-13 → 2026-07-07 (288d) $46.85 → $531.86 +23,316 (+781.78%) +65.85R Stop Gap 36.0% (1.04x) vix_ts=0.91 (+0.026) | slope_r2_20d=0.91 (-0.009) | skew_idx=-0.25 (-0.007) | vol_compress=0.65 (-0.004) | slope_r2=0.91 (-0.003)
MU HIGH 49.2 $14,514 2026-01-02 → 2026-03-30 (60d) $295.12 → $321.47 +1,892 (+13.04%) +0.94R Trail Stop Eod 45.0% (1.42x) rs_rank=0.98 (+0.034) | resid_mom_60=0.33 (+0.030) | vxn_squeeze_vel=0.62 (+0.022) | sector_rs=0.00 (+0.017) | slope_r2_20d=0.64 (-0.012)
LRCX LOW 13 $2,470 2026-01-05 → 2026-03-06 (43d) $189.69 → $198.84 +212 (+8.58%) +0.84R Trail Stop Eod 26.1% (0.54x) skew_idx=-0.98 (-0.054) | vxn_squeeze_vel=0.75 (-0.035) | vix_ts=0.81 (-0.029) | slope_r2_20d=0.62 (-0.007) | resid_mom_20=0.11 (+0.004)
APP HIGH 3.7 $2,720 2025-12-24 → 2026-01-02 (6d) $728.36 → $628.82 -372 (-13.67%) -1.00R Stop 39.0% (1.21x) vix_ts=0.78 (-0.063) | skew_idx=2.44 (+0.037) | rs_rank=1.00 (+0.025) | slope_r2_20d=0.60 (-0.009) | resid_mom_20=0.21 (+0.005)
GOOGL HIGH 46.9 $15,262 2025-11-25 → 2025-12-31 (25d) $325.59 → $312.17 -629 (-4.12%) -0.41R Time Stop 25D 42.3% (1.36x) resid_mom_60=0.33 (+0.062) | sector_rs=-0.03 (+0.036) | slope_r2_20d=0.50 (-0.009) | resid_mom_20=0.19 (+0.008) | vxn_squeeze_vel=-0.80 (-0.006)
VRT MEDIUM 23.1 $2,331 2025-05-13 → 2025-12-17 (152d) $100.97 → $149.62 +1,023 (+43.88%) +2.93R Trail Stop Eod 35.8% (1.03x) vix_ts=0.91 (+0.026) | skew_idx=-0.25 (-0.007) | slope_r2_20d=0.88 (-0.006) | vol_compress=0.61 (-0.004) | slope_r2=0.90 (-0.003)
AMD LOW 21 $4,620 2025-10-13 → 2025-11-18 (27d) $220.35 → $230.13 +205 (+4.44%) +0.30R Time Stop 25D 31.6% (0.69x) skew_idx=-2.34 (-0.133) | sector_rs=0.07 (+0.062) | vix_ts=0.95 (+0.036) | slope_accel=0.75 (+0.032) | slope_t_norm_40d=1.22 (+0.026)
STX MEDIUM 33.9 $3,413 2025-05-13 → 2025-10-10 (105d) $100.52 → $212.97 +3,039 (+89.06%) +7.88R Trail Stop Eod 37.2% (1.14x) vix_ts=0.91 (+0.027) | skew_idx=-0.25 (-0.007) | slope_r2_20d=0.95 (-0.004) | rs_rank=0.98 (+0.004) | sector_rs=0.09 (-0.003)
CEG MEDIUM 8.9 $2,471 2025-05-13 → 2025-09-02 (77d) $278.39 → $298.61 +299 (+12.09%) +0.83R Stop Gap 36.2% (1.06x) vix_ts=0.91 (+0.027) | slope_r2_20d=0.89 (-0.008) | skew_idx=-0.25 (-0.007) | slope_sharpe=6.83 (-0.003) | rs_rank=0.86 (+0.003)
INTC MEDIUM 215.9 $5,305 2025-02-24 → 2025-02-28 (5d) $24.57 → $23.71 -184 (-3.48%) -0.23R Regime Off 37.8% (1.14x) sector_rs=-0.05 (+0.034) | vxn_squeeze_vel=0.92 (-0.029) | vol_compress=1.77 (+0.010) | slope_accel=0.63 (+0.009) | vix_ts=0.93 (-0.005)
META MEDIUM 2.7 $1,861 2025-01-31 → 2025-02-28 (20d) $687.54 → $663.92 -64 (-3.43%) -0.40R Regime Off 34.6% (0.91x) skew_idx=-0.52 (-0.008) | slope_accel=0.72 (+0.007) | slope_r2_20d=0.71 (-0.007) | resid_mom_60=0.19 (-0.007) | sector_rs=-0.03 (-0.006)