Weekly Bias Backtest Report

1. Intraday Strategies Analysis

1.Monday

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	78.82%	61.39%	188.58%
CAGR (%)	4.05%	7.92%	5.19%
Net Profit ($)	$7,881.58	$10,976.69	$18,858.27
Average Trade ($)	$11.41	$37.21	$19.13
RISK METRICS
Max Drawdown (%)	-54.52%	-3.34%	-54.52%
Max DD Duration (days)	1,755	214	1,755
Annualized Volatility (%)	13.78%	4.29%	11.77%
Sharpe Ratio	0.29	1.85	0.44
Sortino Ratio	0.16	1.37	0.22
TRADING METRICS
Total Trades (#)	691	295	986
Winning Trades (#)	373	175	548
Losing Trades (#)	317	119	436
Win Rate (%)	53.98%	59.32%	55.58%
Profit Factor	1.20	2.01	1.38
Average Win ($)	$124.57	$124.88	$124.67
Average Loss ($)	$-121.71	$-91.41	$-113.44
Avg Win / Avg Loss Ratio	1.02	1.37	1.10
Net Profit / Max DD	1.20	12.57	2.87
Longest Winning Streak (#)	9	10	10
Longest Losing Streak (#)	8	7	8

1.Tuesday

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	37.93%	8.73%	49.97%
CAGR (%)	2.22%	1.34%	1.96%
Net Profit ($)	$3,793.41	$1,203.93	$4,997.34
Average Trade ($)	$5.02	$3.69	$4.62
RISK METRICS
Max Drawdown (%)	-31.17%	-14.54%	-31.17%
Max DD Duration (days)	1,849	690	2,575
Annualized Volatility (%)	12.14%	8.00%	11.06%
Sharpe Ratio	0.18	0.17	0.18
Sortino Ratio	0.11	0.10	0.11
TRADING METRICS
Total Trades (#)	755	326	1,081
Winning Trades (#)	401	173	574
Losing Trades (#)	350	153	503
Win Rate (%)	53.11%	53.07%	53.10%
Profit Factor	1.08	1.07	1.08
Average Win ($)	$124.11	$103.08	$117.77
Average Loss ($)	$-131.35	$-108.69	$-124.46
Avg Win / Avg Loss Ratio	0.94	0.95	0.95
Net Profit / Max DD	0.87	0.59	1.14
Longest Winning Streak (#)	13	6	13
Longest Losing Streak (#)	7	6	7

1.Wednesday

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	-8.94%	39.43%	26.97%
CAGR (%)	-0.64%	5.44%	1.15%
Net Profit ($)	$-893.80	$3,590.84	$2,697.04
Average Trade ($)	$-1.18	$11.15	$2.49
RISK METRICS
Max Drawdown (%)	-48.90%	-19.07%	-48.90%
Max DD Duration (days)	3,075	1,031	4,446
Annualized Volatility (%)	13.77%	10.97%	12.99%
Sharpe Ratio	-0.05	0.50	0.09
Sortino Ratio	-0.03	0.36	0.06
TRADING METRICS
Total Trades (#)	759	322	1,081
Winning Trades (#)	387	181	568
Losing Trades (#)	372	140	512
Win Rate (%)	50.99%	56.21%	52.54%
Profit Factor	0.98	1.23	1.04
Average Win ($)	$113.48	$107.16	$111.47
Average Loss ($)	$-120.46	$-112.90	$-118.39
Avg Win / Avg Loss Ratio	0.94	0.95	0.94
Net Profit / Max DD	-0.16	1.70	0.47
Longest Winning Streak (#)	9	11	11
Longest Losing Streak (#)	7	6	7

1.Thursday

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	-60.86%	7.71%	-57.84%
CAGR (%)	-6.20%	1.19%	-4.04%
Net Profit ($)	$-6,085.77	$301.83	$-5,783.94
Average Trade ($)	$-8.18	$0.95	$-5.45
RISK METRICS
Max Drawdown (%)	-66.92%	-32.20%	-67.09%
Max DD Duration (days)	3,448	600	5,026
Annualized Volatility (%)	16.13%	25.53%	19.43%
Sharpe Ratio	-0.38	0.05	-0.21
Sortino Ratio	-0.25	0.03	-0.14
TRADING METRICS
Total Trades (#)	744	318	1,062
Winning Trades (#)	359	166	525
Losing Trades (#)	385	152	537
Win Rate (%)	48.25%	52.20%	49.44%
Profit Factor	0.87	1.02	0.91
Average Win ($)	$113.04	$108.46	$111.59
Average Loss ($)	$-121.21	$-116.46	$-119.87
Avg Win / Avg Loss Ratio	0.93	0.93	0.93
Net Profit / Max DD	-0.86	0.15	-0.81
Longest Winning Streak (#)	8	11	11
Longest Losing Streak (#)	9	8	9

1.Friday

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	-94.30%	655.28%	-56.93%
CAGR (%)	-17.76%	38.00%	-3.95%
Net Profit ($)	$-9,429.76	$3,736.71	$-5,693.05
Average Trade ($)	$-12.74	$11.79	$-5.39
RISK METRICS
Max Drawdown (%)	-97.54%	-80.11%	-98.48%
Max DD Duration (days)	3,656	607	5,234
Annualized Volatility (%)	49.33%	104.56%	70.59%
Sharpe Ratio	-0.36	0.36	-0.06
Sortino Ratio	-0.23	0.29	-0.04
TRADING METRICS
Total Trades (#)	740	317	1,057
Winning Trades (#)	349	162	511
Losing Trades (#)	390	154	544
Win Rate (%)	47.16%	51.10%	48.34%
Profit Factor	0.80	1.21	0.91
Average Win ($)	$107.17	$131.25	$114.81
Average Loss ($)	$-120.09	$-113.80	$-118.31
Avg Win / Avg Loss Ratio	0.89	1.15	0.97
Net Profit / Max DD	-0.88	2.34	-0.52
Longest Winning Streak (#)	7	9	9
Longest Losing Streak (#)	9	8	9

2. Overnight Strategies Analysis

2.Overnight Effect

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	376.14%	-15.56%	302.07%
CAGR (%)	11.24%	-2.66%	6.87%
Net Profit ($)	$37,613.78	$-7,406.99	$30,206.79
Average Trade ($)	$10.20	$-4.79	$5.74
RISK METRICS
Max Drawdown (%)	-39.61%	-24.70%	-39.61%
Max DD Duration (days)	1,316	1,325	2,894
Annualized Volatility (%)	14.04%	7.54%	12.46%
Sharpe Ratio	0.80	-0.35	0.55
Sortino Ratio	0.62	-0.28	0.43
TRADING METRICS
Total Trades (#)	3,688	1,577	5,266
Winning Trades (#)	2,141	824	2,966
Losing Trades (#)	1,522	747	2,269
Win Rate (%)	58.05%	52.25%	56.32%
Profit Factor	1.30	0.89	1.15
Average Win ($)	$77.00	$73.71	$76.11
Average Loss ($)	$-83.61	$-91.42	$-86.18
Avg Win / Avg Loss Ratio	0.92	0.81	0.88
Net Profit / Max DD	4.54	-0.60	2.34
Longest Winning Streak (#)	12	10	12
Longest Losing Streak (#)	8	12	12

2.Weekend Effect

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	-13.49%	-119.01%	-116.45%
CAGR (%)	-0.98%	-100.00%	-100.00%
Net Profit ($)	$-1,348.85	$-10,295.95	$-11,644.80
Average Trade ($)	$-2.03	$-36.25	$-12.26
RISK METRICS
Max Drawdown (%)	-50.88%	-135.69%	-119.55%
Max DD Duration (days)	1,426	1,494	3,004
Annualized Volatility (%)	20.15%	1268.12%	694.31%
Sharpe Ratio	-0.05	-0.08	-0.14
Sortino Ratio	-0.01	-0.29	-0.45
TRADING METRICS
Total Trades (#)	666	284	950
Winning Trades (#)	409	139	548
Losing Trades (#)	250	144	394
Win Rate (%)	61.41%	48.94%	57.68%
Profit Factor	0.96	0.53	0.79
Average Win ($)	$78.71	$84.27	$80.12
Average Loss ($)	$-134.16	$-152.84	$-140.99
Avg Win / Avg Loss Ratio	0.59	0.55	0.57
Net Profit / Max DD	-0.16	-0.85	-0.60
Longest Winning Streak (#)	17	9	17
Longest Losing Streak (#)	4	7	7

3. Buy & Hold Benchmark

Metric	In-Sample	Out-of-Sample	Full Period
RETURN METRICS
Total Return (%)	224.74%	35.21%	339.07%
CAGR (%)	8.37%	4.92%	7.33%
Net Profit ($)	$22,473.73	$11,432.88	$33,906.61
Average Trade ($)	N/A	N/A	N/A
RISK METRICS
Max Drawdown (%)	-87.14%	-78.89%	-87.14%
Max DD Duration (days)	1,745	1,327	3,323
Annualized Volatility (%)	41.58%	43.20%	42.06%
Sharpe Ratio	0.20	0.11	0.17
Sortino Ratio	0.19	0.10	0.16
TRADING METRICS
Total Trades (#)	1	1	1
Winning Trades (#)	1	1	1
Losing Trades (#)	0	0	0
Win Rate (%)	100.00%	100.00%	100.00%
Profit Factor	N/A	N/A	N/A
Average Win ($)	N/A	N/A	N/A
Average Loss ($)	N/A	N/A	N/A
Avg Win / Avg Loss Ratio	N/A	N/A	N/A
Net Profit / Max DD	N/A	N/A	N/A
Longest Winning Streak (#)	N/A	N/A	N/A
Longest Losing Streak (#)	N/A	N/A	N/A

4. Comparative Performance Analysis

4.1 Summary Table

Strategy	IS CAGR%	OOS CAGR%	Full CAGR%	IS MaxDD%	OOS MaxDD%	Full Sharpe	Total Trades	Win Rate%	Avg Trade $	Validated
Buy & Hold	8.37	4.92	7.33	-87.14	-78.89	0.17	1	100.00	N/A	-
Overnight Effect	11.24	-2.66	6.87	-39.61	-24.70	0.55	5,266	56.32	$5.74	✗
Monday Intraday	4.05	7.92	5.19	-54.52	-3.34	0.44	986	55.58	$19.13	✓
Tuesday Intraday	2.22	1.34	1.96	-31.17	-14.54	0.18	1,081	53.10	$4.62	✓
Wednesday Intraday	-0.64	5.44	1.15	-48.90	-19.07	0.09	1,081	52.54	$2.49	✗
Friday Intraday	-17.76	38.00	-3.95	-97.54	-80.11	-0.06	1,057	48.34	$-5.39	✗
Thursday Intraday	-6.20	1.19	-4.04	-66.92	-32.20	-0.21	1,062	49.44	$-5.45	✗
Weekend Effect	-0.98	-100.00	-100.00	-50.88	-135.69	-0.14	950	57.68	$-12.26	✗

5. Out-of-Sample Validation & Operational Insights

5.1 Methodology

This backtest analyzes weekly bias patterns on AAPL.US using a rigorous In-Sample/Out-of-Sample validation approach. The dataset was split into 70% In-Sample (2005-01-03 to 2019-08-28) for bias identification and 30% Out-of-Sample (2019-08-29 to 2025-12-08) for validation. Seven distinct strategies were tested:

Intraday Strategies (Mon-Fri): Entry at Open, Exit at Close on specific weekdays
Overnight Effect: Entry at Close, Exit at next day's Open (all trading days)
Weekend Effect: Entry Friday Close, Exit Monday Open

Each trade used a fixed capital of $10,000, with no compounding, commissions, or slippage. The Average Trade metric allows assessment of real-world viability considering transaction costs.

5.2 Bias Validation Results

✓ Monday Intraday: VALIDATED

• In-Sample: CAGR 4.05%, MaxDD -54.52%, Sharpe 0.29
• Out-of-Sample: CAGR 7.92%, MaxDD -3.34%, Sharpe 1.85
• Status: VALIDATED
• Reason: Bias confirmed in Out-of-Sample period

✓ Tuesday Intraday: VALIDATED

• In-Sample: CAGR 2.22%, MaxDD -31.17%, Sharpe 0.18
• Out-of-Sample: CAGR 1.34%, MaxDD -14.54%, Sharpe 0.17
• Status: VALIDATED
• Reason: Bias confirmed in Out-of-Sample period

✗ Wednesday Intraday: NOT VALIDATED

• In-Sample: CAGR -0.64%, MaxDD -48.90%, Sharpe -0.05
• Out-of-Sample: CAGR 5.44%, MaxDD -19.07%, Sharpe 0.50
• Status: NOT VALIDATED
• Reason: Not validated: Inconsistent bias direction between IS and OOS.

✗ Thursday Intraday: NOT VALIDATED

• In-Sample: CAGR -6.20%, MaxDD -66.92%, Sharpe -0.38
• Out-of-Sample: CAGR 1.19%, MaxDD -32.20%, Sharpe 0.05
• Status: NOT VALIDATED
• Reason: Not validated: Inconsistent bias direction between IS and OOS.

✗ Friday Intraday: NOT VALIDATED

• In-Sample: CAGR -17.76%, MaxDD -97.54%, Sharpe -0.36
• Out-of-Sample: CAGR 38.00%, MaxDD -80.11%, Sharpe 0.36
• Status: NOT VALIDATED
• Reason: Not validated: Inconsistent bias direction between IS and OOS.

✗ Overnight Effect: NOT VALIDATED

• In-Sample: CAGR 11.24%, MaxDD -39.61%, Sharpe 0.80
• Out-of-Sample: CAGR -2.66%, MaxDD -24.70%, Sharpe -0.35
• Status: NOT VALIDATED
• Reason: Not validated: OOS CAGR is negative or zero, OOS Sharpe Ratio is negative or zero, Inconsistent bias direction between IS and OOS, OOS Profit Factor below 1.0.

✗ Weekend Effect: NOT VALIDATED

• In-Sample: CAGR -0.98%, MaxDD -50.88%, Sharpe -0.05
• Out-of-Sample: CAGR -100.00%, MaxDD -135.69%, Sharpe -0.08
• Status: NOT VALIDATED
• Reason: Not validated: OOS CAGR is negative or zero, OOS Sharpe Ratio is negative or zero, OOS Profit Factor below 1.0.

5.3 Operational Recommendations

Best Performing Strategy (Full Period): Overnight Effect (CAGR: 6.87%, Sharpe: 0.55)

Most Validated Bias: Monday Intraday (Bias confirmed in Out-of-Sample period)

Risk-Adjusted Winner: Overnight Effect (Sharpe Ratio: 0.55)

Practical Considerations:

Average Trade values (e.g., 5.74 for Overnight Effect) indicate tight margins that may erode profits with real transaction costs.
Win Rate analysis (e.g., 56.32% for Overnight Effect) suggests High win rate suggests consistent edge.
Drawdown tolerance: Maximum observed DD (non-B&H) was -119.55% on Weekend Effect.

Portfolio Approach: Consider combining validated strategies (Monday Intraday, Tuesday Intraday) to diversify execution days and reduce single-day exposure.

Warning: Past performance does not guarantee future results. These biases may degrade over time due to market efficiency or regime changes. Regular out-of-sample monitoring is recommended.