cyb50-quant/backtrader-lab/dualthrust_nearby_batch2_20260413-161417.md

DualThrust Nearby Batch 2

Baselines

• Basic baseline (range_period=20, k1=0.3, k2=0.3): annual 19.22%, Sharpe 0.501, max DD 37.27%
• Regime baseline (range_period=20, k1=0.3, k2=0.3, regime=120): annual 15.02%, Sharpe 0.405, max DD 34.04%

Nearby Results

Variant	Config	Annual Return	Sharpe	Max DD	Closed Trades	Win Rate
DualThrust_r20_k030_035	range_period=20, k1=0.3, k2=0.35	17.03%	0.473	55.80%	50	46.00%
DualThrust_r20_k035_030	range_period=20, k1=0.35, k2=0.3	15.64%	0.424	38.09%	43	41.86%
DualThrust_r22_k035_035	range_period=22, k1=0.35, k2=0.35	15.11%	0.451	37.22%	31	51.61%
DualThrustRegime_r20_k035_035_reg120	range_period=20, k1=0.35, k2=0.35, regime=120	14.78%	0.435	32.70%	25	44.00%

Quick Take

• Best annual return in this batch: DualThrust_r20_k030_035 -> 17.03%
• Best Sharpe in this batch: DualThrust_r20_k030_035 -> 0.473