Signal Performance
Composite intensity · composite_v1_2026_05_04 · $100k notional · log-return P&L
Today's signal
Bearish
z = -1.131 · 4 active comp.
Cumulative P&L
+$139,169
778 signal days · 585 active
Sharpe (annualized)
+2.05
hit rate 42.4%
Max drawdown
−$25,190
257↑ / 328↓ / 193· days
Daily composite intensity z-score · ±0.15σ deadband shaded
Rendering chart…
— bullish— bearish— neutral · band ±0.15σ
Composite cumulative P&L USD · position · log-return
Rendering chart…
— composite ($100k notional)| P&L = position · log-return
Per-tag alpha bake-off leaderboard from coordinator_bakeoff
| Panel | Alpha | Train r | Test r | Test Sharpe | Dir acc | n | Stable |
|---|---|---|---|---|---|---|---|
| Policy | Event drift | +0.010 | +0.111 | +2.52 | 50.7% | 71 | ✓ |
| Production | Delta corr 30d | −0.031 | +0.105 | +2.12 | 51.9% | 233 | — |
| Weather | Intensity level | +0.258 | +0.103 | +1.97 | 50.7% | 75 | ✓ |
| All tags | Regime flip 30d | −0.174 | +0.140 | +1.94 | 50.6% | 251 | — |
| All tags | Rolling corr 30d | −0.148 | +0.181 | +1.94 | 50.6% | 251 | — |
| Production | Regime flip 30d | −0.075 | +0.102 | +1.61 | 48.5% | 233 | — |
| Production | Rolling corr 30d | −0.062 | +0.124 | +1.61 | 48.5% | 233 | — |
| Weather | Regime flip 30d | +0.001 | — | +1.38 | 47.8% | 90 | — |
| Weather | Rolling corr 30d | +0.086 | +0.082 | +1.38 | 47.8% | 90 | ✓ |
| Weather | Rolling corr 60d | — | +0.052 | +1.38 | 47.8% | 90 | — |
| Demand | Rolling corr 60d | −0.001 | +0.035 | +1.18 | 51.7% | 151 | — |
| Weather | Event drift | +0.157 | +0.045 | +1.01 | 48.1% | 54 | ✓ |
| Ethanol | Rolling corr 60d | +0.157 | −0.028 | +0.94 | 49.2% | 130 | — |
| Macro | Regime flip 30d | −0.159 | +0.046 | +0.85 | 49.3% | 75 | — |
| Macro | Rolling corr 30d | −0.119 | +0.144 | +0.85 | 49.3% | 75 | — |
| All tags | Rolling corr 60d | −0.145 | +0.077 | +0.62 | 45.0% | 251 | — |
| Macro | Rolling corr 60d | — | +0.230 | +0.61 | 48.0% | 75 | — |
| Production | Rolling corr 60d | −0.113 | +0.048 | +0.54 | 47.6% | 233 | — |
| Weather | Delta corr 30d | +0.076 | +0.031 | +0.48 | 42.2% | 90 | ✓ |
| All tags | Delta corr 30d | −0.070 | +0.078 | +0.31 | 46.6% | 251 | — |
| Trade | Event drift | +0.110 | +0.014 | +0.26 | 45.3% | 75 | ✓ |
| Demand | Regime flip 30d | +0.155 | +0.010 | +0.22 | 46.4% | 151 | ✓ |
| Demand | Rolling corr 30d | +0.101 | −0.004 | +0.22 | 46.4% | 151 | — |
| Policy | Rolling corr 60d | +0.038 | −0.027 | +0.08 | 51.3% | 156 | — |
| Macro | Delta corr 30d | −0.082 | +0.162 | −0.01 | 45.3% | 75 | — |
| Ethanol | Intensity level | +0.112 | −0.079 | −0.06 | 45.6% | 114 | — |
| All tags | Event drift | +0.025 | −0.010 | −0.21 | 43.0% | 128 | — |
| Ethanol | Delta corr 30d | −0.149 | −0.087 | −0.31 | 47.7% | 130 | — |
| Production | Intensity level | +0.063 | +0.007 | −0.53 | 44.9% | 205 | ✓ |
| Ethanol | Regime flip 30d | −0.018 | −0.038 | −0.54 | 43.9% | 130 | — |
| Ethanol | Rolling corr 30d | −0.016 | −0.090 | −0.54 | 43.9% | 130 | — |
| Policy | Delta corr 30d | +0.131 | −0.043 | −0.55 | 50.6% | 156 | — |
| Demand | Event drift | +0.000 | −0.027 | −0.64 | 44.6% | 65 | — |
| Production | Event drift | +0.002 | −0.032 | −0.65 | 45.2% | 135 | — |
| Demand | Delta corr 30d | +0.158 | −0.066 | −0.75 | 45.7% | 151 | — |
| All tags | Intensity level | +0.131 | +0.001 | −0.93 | 45.1% | 244 | ✓ |
| Demand | Intensity level | +0.033 | +0.015 | −0.97 | 42.5% | 87 | ✓ |
| Policy | Regime flip 30d | +0.257 | −0.073 | −0.99 | 44.2% | 156 | — |
| Policy | Rolling corr 30d | +0.150 | −0.063 | −0.99 | 44.2% | 156 | — |
| Macro | Intensity level | +0.211 | +0.025 | −1.07 | 36.7% | 30 | ✓ |
| Ethanol | Event drift | +0.166 | −0.053 | −1.37 | 47.0% | 66 | — |
| Macro | Event drift | +0.211 | −0.053 | −1.53 | 33.3% | 24 | — |
| Trade | Delta corr 30d | +0.176 | −0.049 | −1.79 | 43.1% | 130 | — |
| Policy | Intensity level | −0.104 | −0.051 | −1.93 | 38.2% | 102 | — |
| Trade | Rolling corr 60d | +0.236 | −0.068 | −2.52 | 41.5% | 130 | — |
| Trade | Intensity level | +0.174 | −0.026 | −2.66 | 38.5% | 104 | — |
| Trade | Regime flip 30d | +0.104 | −0.160 | −3.11 | 40.0% | 130 | — |
| Trade | Rolling corr 30d | +0.090 | −0.137 | −3.11 | 40.0% | 130 | — |