8. Interactive HTML Reporting Dashboards

The master signal report (daily_signal_report.html) is compiled after the completion of all 35 parameter sweep scenarios. It provides an interactive diagnostic interface structured into four primary visual zones:

1. Top-Level KPI Summary Cards:
2. Total Equities Analyzed: The number of liquid equities passing minimum volume gates (e.g. 1,842).
3. Total Active Triggers: Total non-neutral signals generated across the universe.
4. Long / Short Bias: Distribution of bullish versus bearish directives across the equity universe.

5. Intraday Confirmation Rate: The proportion of active daily signals confirmed by 15-minute EMA alignment.

6. 15m EMA Regime Distribution Visualizer:

7. Bar and donut charts displaying the breakdown of universe equities across AAA (Bullish Trend), BBB (Bearish Trend), NEUTRAL (Transition / Chop), and BYPASS (Filter Disabled) regimes.

8. Top Ranked Promising Symbols Table (11 Columns):

9. Real-time diagnostic table ranking candidate securities by composite statistical conviction, persistence, and regime synergy.

10. Parameter Sweep Scenarios Comparison Table (7 Columns):

11. Tabulates signal volume, confirmation rates, and mean scores across all 35 scenario combinations ($A_1$ through $G_5$).

The Top Ranked Promising Symbols table in daily_signal_report.html is the real-time signal diagnostics, statistical conviction, and persistence evaluation interface. It displays 11 structured numerical and categorical columns computed per equity symbol across the aggregated parameter sweep space:

Let an individual equity symbol have a time-series of $M$ evaluations across the parameter sweep space:

$$\mathcal{D} = \{(t, S_t, D_t, P_t, R_t, c_t)\}_{t=1}^M$$

where $S_t \in \mathbb{R}$ is the raw strategy score, $D_t \in \{\text{LONG}, \text{SHORT}, \text{NEUTRAL}\}$ is the directional state, $P_t > 0$ is the closing price, $R_t \in \{\text{AAA}, \text{BBB}, \text{NEUTRAL}, \text{BYPASS}\}$ is the 15m EMA regime, and $c_t \in \{\text{True}, \text{False}\}$ is the confirmation status.

1. Mean Strategy Score ($\mu_S$)

The average strategy score measures the central tendency of the signal's mathematical magnitude over the evaluation horizon:

$$\mu_S = \frac{1}{M} \sum_{t=1}^M S_t$$

2. Active Trigger Frequency ($f_{\text{active}}$)

Measures the fraction of total evaluation bars during which the symbol generated an actionable non-neutral trigger:

$$N_{\text{long}} = \sum_{t=1}^M \mathbb{I}(D_t = \text{LONG}), \quad N_{\text{short}} = \sum_{t=1}^M \mathbb{I}(D_t = \text{SHORT})$$

$$N_{\text{active}} = N_{\text{long}} + N_{\text{short}}, \quad f_{\text{active}} = \frac{N_{\text{active}}}{M}$$

3. Trailing Persistence Streak ($P$)

Persistence measures the duration (in continuous daily bars) that an equity has maintained its current directional conviction without flipping or returning to neutral:

• If $D_M = \text{NEUTRAL}$, then $P = 0$.
• If $D_M \in \{\text{LONG}, \text{SHORT}\}$, the persistence streak $P$ counts consecutive matching trailing bars:

$$P = \max \left\{ k \in \{1, 2, \dots, M\} \;\middle|\; D_{M - i} = D_M \quad \forall \; 0 \le i < k \right\}$$

A high persistence streak ($P \ge 3$) reflects sustained multi-day momentum or persistent trend structure rather than a transient one-day anomaly.

4. 15m EMA Confirmation Rate ($C$)

The confirmation rate evaluates the proportion of active triggers that aligned with the 15-minute intraday trend filter:

$$C = \begin{cases} \frac{1}{N_{\text{active}}} \sum_{t \in \{i \mid D_i \neq \text{NEUTRAL}\}} \mathbb{I}(c_t = \text{True}) & \text{if } N_{\text{active}} > 0 \\ 1.0 & \text{if } N_{\text{active}} = 0 \text{ or filter disabled} \end{cases}$$

5. Composite Rank Score Formulation

The Composite Rank Score synthesizes signal intensity, trigger frequency, and trailing persistence into a unified continuous metric, scaled by an intraday regime synergy bonus:

$$\text{Base Score} = 0.50 \cdot |\mu_S| + 0.30 \cdot f_{\text{active}} + 0.20 \cdot \left( \frac{\min(P, 10)}{10} \right)$$

$$\mathcal{M}_{\text{regime}} = \begin{cases} 1.20 & \text{if } (D_M = \text{LONG} \land R_M = \text{AAA}) \lor (D_M = \text{SHORT} \land R_M = \text{BBB}) \\ 1.00 & \text{otherwise} \end{cases}$$

$$\text{Rank Score} = \text{Base Score} \times \mathcal{M}_{\text{regime}}$$

• Signal Intensity ($50\%$ Weight): Rewards large absolute factor magnitudes ($0.50 \cdot |\mu_S|$).
• Trigger Frequency ($30\%$ Weight): Rewards consistency across sweep scenarios ($0.30 \cdot f_{\text{active}}$).
• Persistence Streak ($20\%$ Weight): Normalizes consecutive day streaks up to a 10-day cap ($0.20 \cdot \frac{\min(P, 10)}{10}$).
• Regime Synergy Multiplier ($\mathcal{M}_{\text{regime}}$): Applies a $1.20\times$ (20% bonus) when daily direction aligns with intraday 15m EMA structure.

Step-by-Step Numerical Walkthrough

Consider the top-ranked equity SLAB from the production daily_signal_report.html:

• Lookback bars: $M = 10$
• Active triggers: 10 Long, 0 Short ($N_{\text{long}} = 10, N_{\text{short}} = 0 \implies N_{\text{active}} = 10$)
• Activity Frequency: $f_{\text{active}} = \frac{10}{10} = 1.0$
• Mean Strategy Score: $\mu_S = 144.6162$
• Latest Direction: $D_M = \text{LONG}$
• Latest 15m Regime: $R_M = \text{NEUTRAL} \implies \mathcal{M}_{\text{regime}} = 1.00$
• Trailing Persistence Streak: $P = 10\text{d} \implies \frac{\min(10, 10)}{10} = 1.0$

$$\text{Base Score} = (0.50 \times 144.6162) + (0.30 \times 1.0) + (0.20 \times 1.0) = 72.3081 + 0.30 + 0.20 = 72.8081$$

$$\text{Rank Score} = 72.8081 \times 1.00 = 72.8081$$

SLAB is ranked #1 with Latest Score = 15.5252, Avg Score = 144.6162, Price = $221.38, L/S = 10/0, Persistence = 10d, Confirmed % = 0.0%, and Rank Score = 72.8081.

Within the quantitative platform, candidate ranking is performed across two distinct pipeline stages with clear separation of responsibilities:

The master dashboard includes a comprehensive comparative table evaluating all 35 sweep scenarios:

Clicking on any Scenario ID in the comparison table opens its dedicated tearsheet (scenario_<ID>/results.html), displaying:

• Cumulative Performance Curve: Visual equity chart tracking cumulative simulated returns across the scenario lookback window.
• Underwater Drawdown Plot: Visualizing historical peak-to-trough drawdowns and recovery periods.
• Monthly Return Matrix: Calendar heatmap displaying monthly returns.
• Detailed Trade Execution Log: Sortable table of all simulated historical trades with entry dates, exit dates, returns, and holding periods.