Quant Companion MCP

{
  "meta": {
    "strategy": "momentum_plus",
    "symbol": "SPY",
    "runDate": "2025-12-06",
    "dataSource": "Yahoo Finance (via getDefaultProvider)",
    "dataEndpoint": "historical OHLCV daily bars"
  },
  "inputs": {
    "symbol": "SPY",
    "startDate": "2015-01-01",
    "endDate": "2025-12-01",
    "initialCapital": 10000,
    "slippageBps": 10,
    "feePerTrade": 0
  },
  "strategyConfig": {
    "type": "momentum_plus",
    "longLookback": 252,
    "shortLookback": 63,
    "entryThreshold": 0,
    "exitThreshold": -0.05,
    "shortExitThreshold": -0.10,
    "maxVolThreshold": 0.30,
    "description": "Dual timeframe momentum with vol filter. Entry requires BOTH 12mo and 3mo momentum > 0 AND 20-day annualized vol < 30%. Exit on 12mo < -5% OR (3mo < -10% AND 12mo < 3%)."
  },
  "summary": {
    "period": {
      "start": "2015-01-01",
      "end": "2025-12-01",
      "tradingDays": 2744
    },
    "initialCapital": 10000,
    "finalCapital": 23094.57,
    "totalReturn": 130.95,
    "annualizedReturn": 8.82,
    "annualizedVol": 12.33,
    "sharpeRatio": 0.715,
    "sortinoRatio": 0.950,
    "maxDrawdown": 19.56,
    "totalTrades": 5,
    "winningTrades": 5,
    "losingTrades": 0,
    "winRate": 100
  },
  "trades": [
    {
      "tradeNumber": 1,
      "symbol": "SPY",
      "action": "LONG",
      "entryDate": "2016-04-01",
      "entryPrice": 206.92,
      "exitDate": "2018-12-14",
      "exitPrice": 260.47,
      "shares": 48,
      "entryValue": 9990.07,
      "exitValue": 12547.97,
      "pnl": 2557.90,
      "returnPct": 25.60,
      "holdingDays": 987,
      "entryReason": "12mo momentum > 0, 3mo momentum > 0, vol < 30%",
      "exitReason": "3mo momentum < -10% AND 12mo momentum < 3% (Q4 2018 selloff)"
    },
    {
      "tradeNumber": 2,
      "symbol": "SPY",
      "action": "LONG",
      "entryDate": "2019-02-06",
      "entryPrice": 272.74,
      "exitDate": "2020-03-09",
      "exitPrice": 274.23,
      "shares": 45,
      "entryValue": 12535.69,
      "exitValue": 12590.40,
      "pnl": 54.71,
      "returnPct": 0.44,
      "holdingDays": 397,
      "entryReason": "12mo momentum > 0, 3mo momentum > 0, vol < 30% (post-Dec 2018 recovery)",
      "exitReason": "12mo momentum < -5% OR vol spike (COVID crash onset)"
    },
    {
      "tradeNumber": 3,
      "symbol": "SPY",
      "action": "LONG",
      "entryDate": "2020-05-28",
      "entryPrice": 302.97,
      "exitDate": "2022-05-09",
      "exitPrice": 398.17,
      "shares": 41,
      "entryValue": 12577.98,
      "exitValue": 16464.86,
      "pnl": 3886.88,
      "returnPct": 30.90,
      "holdingDays": 711,
      "entryReason": "12mo momentum > 0, 3mo momentum > 0, vol normalized after COVID (post-Fed intervention)",
      "exitReason": "12mo momentum < -5% (2022 bear market beginning)"
    },
    {
      "tradeNumber": 4,
      "symbol": "SPY",
      "action": "LONG",
      "entryDate": "2023-05-10",
      "entryPrice": 412.85,
      "exitDate": "2025-04-04",
      "exitPrice": 505.28,
      "shares": 39,
      "entryValue": 16448.76,
      "exitValue": 20033.82,
      "pnl": 3585.06,
      "returnPct": 21.80,
      "holdingDays": 695,
      "entryReason": "12mo momentum > 0, 3mo momentum > 0, vol < 30% (2023 AI rally)",
      "exitReason": "Momentum conditions violated (early 2025)"
    },
    {
      "tradeNumber": 5,
      "symbol": "SPY",
      "action": "LONG",
      "entryDate": "2025-05-29",
      "entryPrice": 590.05,
      "exitDate": "2025-11-28 (EOY)",
      "exitPrice": 683.39,
      "shares": 33,
      "entryValue": 20014.35,
      "exitValue": 23094.57,
      "pnl": 3080.22,
      "returnPct": 15.39,
      "holdingDays": 183,
      "entryReason": "12mo momentum > 0, 3mo momentum > 0, vol < 30%",
      "exitReason": "End of backtest period (still holding)"
    }
  ],
  "equityCurve": {
    "samplePoints": 103,
    "fullLength": 2744,
    "data": [
      {"date": "2015-01-02", "equity": 10000},
      {"date": "2016-04-18", "equity": 10101.43},
      {"date": "2017-02-24", "equity": 11421.43},
      {"date": "2018-01-03", "equity": 13040.47},
      {"date": "2018-12-20", "equity": 12547.97},
      {"date": "2020-04-06", "equity": 12590.40},
      {"date": "2021-05-03", "equity": 17302.41},
      {"date": "2022-05-26", "equity": 16464.86},
      {"date": "2023-05-16", "equity": 17173.77},
      {"date": "2024-05-03", "equity": 20287.92},
      {"date": "2025-11-28", "equity": 23094.57}
    ]
  },
  "dataProviderDetails": {
    "provider": "Yahoo Finance (YahooFinanceProvider)",
    "fallbackChain": "Polygon.io → Yahoo Finance (if POLYGON_API_KEY set)",
    "endpoint": "getHistoricalOHLCV",
    "interval": "1d (daily bars)",
    "dataFields": ["timestamp", "open", "high", "low", "close", "volume"]
  }
}