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"] } }