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shortlist_subperiod_review_20260413-164800.md

shortlist_subperiod_review_20260413-164800.md 2.8 KB
History Raw

Shortlist Subperiod Review

Time Windows

  • 2014-06_to_2018-12: 2014-06-18 ~ 2018-12-31 (1110 bars)
  • 2019-01_to_2022-12: 2019-01-01 ~ 2022-12-31 (972 bars)
  • 2023-01_to_2026-04: 2023-01-01 ~ 2026-04-03 (786 bars)

2014-06_to_2018-12

Strategy Annual Return Sharpe Max DD Closed Trades Win Rate
DualThrustRegime_r20_k035_035_reg120 18.26% 0.445 19.96% 2 50.00%
DualThrustBasicStrategy 15.39% 0.373 35.17% 17 29.41%
DonchianAtrTrailStrategy 12.22% 0.329 27.09% 10 40.00%
DonchianRegimeStrategy 8.12% 0.296 37.28% 7 42.86%
DonchianHybrid_b55_e30_tv025_atr4 6.28% 0.226 26.43% 11 27.27%
MomentumVolTargetStrategy 6.14% 0.225 35.55% 15 20.00%
MVT_reg150_tv029 5.65% 0.212 35.47% 15 20.00%
MacdLongMaStrategy 0.44% 0.021 39.72% 21 33.33%

2019-01_to_2022-12

Strategy Annual Return Sharpe Max DD Closed Trades Win Rate
DualThrustBasicStrategy 17.86% 0.721 29.40% 20 50.00%
MomentumVolTargetStrategy 17.25% 0.678 16.09% 25 40.00%
MacdLongMaStrategy 17.00% 0.617 14.36% 31 58.06%
MVT_reg150_tv029 16.17% 0.654 17.20% 25 40.00%
DonchianRegimeStrategy 13.86% 0.663 18.51% 7 57.14%
DualThrustRegime_r20_k035_035_reg120 12.50% 0.528 23.94% 12 58.33%
DonchianHybrid_b55_e30_tv025_atr4 8.94% 0.506 16.97% 14 50.00%
DonchianAtrTrailStrategy 7.87% 0.462 19.98% 14 64.29%

2023-01_to_2026-04

Strategy Annual Return Sharpe Max DD Closed Trades Win Rate
DualThrustBasicStrategy 16.65% 0.694 21.11% 18 38.89%
MomentumVolTargetStrategy 12.87% 0.598 15.76% 23 39.13%
MVT_reg150_tv029 12.54% 0.628 15.36% 24 41.67%
DonchianRegimeStrategy 11.91% 0.388 14.67% 4 25.00%
DonchianHybrid_b55_e30_tv025_atr4 10.60% 0.486 11.31% 6 66.67%
DonchianAtrTrailStrategy 7.52% 0.335 16.29% 6 50.00%
MacdLongMaStrategy 6.53% 0.226 18.36% 15 40.00%
DualThrustRegime_r20_k035_035_reg120 4.62% 0.165 18.26% 12 16.67%

Quick Winners by Period

  • 2014-06_to_2018-12: best annual DualThrustRegime_r20_k035_035_reg120 (18.26%), best Sharpe DualThrustRegime_r20_k035_035_reg120 (0.445), lowest DD DualThrustRegime_r20_k035_035_reg120 (19.96%)
  • 2019-01_to_2022-12: best annual DualThrustBasicStrategy (17.86%), best Sharpe DualThrustBasicStrategy (0.721), lowest DD MacdLongMaStrategy (14.36%)
  • 2023-01_to_2026-04: best annual DualThrustBasicStrategy (16.65%), best Sharpe DualThrustBasicStrategy (0.694), lowest DD DonchianHybrid_b55_e30_tv025_atr4 (11.31%)