cyb50-quant/research/dragon/v2/dragon_cost_stress_test.md

Dragon Cost Stress Test

• Evaluation window: 2016-01-01 to 2025-12-31.
• Cost convention: symmetric per-side cost on entry and exit.

Summary

workbook_preserving

• 0 bps/side: CAGR 26.18%, compounded 923.08%, avg_return 2.57%, PF 3.37, 00-05d -2.03%, 06-10d -0.81%
• 5 bps/side: CAGR 24.85%, compounded 820.18%, avg_return 2.46%, PF 3.16, 00-05d -2.13%, 06-10d -0.90%
• 10 bps/side: CAGR 23.54%, compounded 727.64%, avg_return 2.36%, PF 2.98, 00-05d -2.23%, 06-10d -1.00%
• 20 bps/side: CAGR 20.95%, compounded 569.53%, avg_return 2.16%, PF 2.65, 00-05d -2.42%, 06-10d -1.20%

alpha_first_selective_veto

• 0 bps/side: CAGR 28.70%, compounded 1146.08%, avg_return 2.86%, PF 4.04, 00-05d -1.72%, 06-10d -0.69%
• 5 bps/side: CAGR 27.39%, compounded 1025.25%, avg_return 2.75%, PF 3.78, 00-05d -1.82%, 06-10d -0.79%
• 10 bps/side: CAGR 26.10%, compounded 916.13%, avg_return 2.65%, PF 3.54, 00-05d -1.91%, 06-10d -0.89%
• 20 bps/side: CAGR 23.55%, compounded 728.62%, avg_return 2.44%, PF 3.12, 00-05d -2.11%, 06-10d -1.09%

alpha_first_glued_refined_hot_cap

• 0 bps/side: CAGR 31.32%, compounded 1424.12%, avg_return 3.42%, PF 5.11, 00-05d -1.67%, 06-10d -0.59%
• 5 bps/side: CAGR 30.13%, compounded 1291.55%, avg_return 3.32%, PF 4.77, 00-05d -1.77%, 06-10d -0.69%
• 10 bps/side: CAGR 28.95%, compounded 1170.51%, avg_return 3.21%, PF 4.46, 00-05d -1.87%, 06-10d -0.78%
• 20 bps/side: CAGR 26.62%, compounded 959.10%, avg_return 3.01%, PF 3.93, 00-05d -2.07%, 06-10d -0.98%

Quant Judgment

• At 20 bps/side, current alpha branch CAGR = 23.55%.
• At 20 bps/side, refined candidate CAGR = 26.62%.
• CAGR delta refined minus current alpha at 0 bps/side = 2.62%.
• CAGR delta refined minus current alpha at 20 bps/side = 3.07%.
• If the refined branch remains ahead under cost pressure, its edge is not just a no-cost backtest artifact.