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

Dragon Walk-Forward Validation

• Method: fixed current baseline rules, no refit, evaluate temporal stability by yearly out-of-sample slices.
• Goal: verify whether the workbook-preserving baseline still behaves coherently outside any single full-sample summary.

Anchored Expanding Windows

• train 2016-2016 -> test 2017: test trades 11, test avg_return -0.42%, test profit_factor 0.67, test compounded_return -4.95%, test max_drawdown -6.74%
• train 2016-2017 -> test 2018: test trades 16, test avg_return 0.05%, test profit_factor 1.05, test compounded_return -0.11%, test max_drawdown -12.79%
• train 2016-2018 -> test 2019: test trades 10, test avg_return 3.12%, test profit_factor 3.24, test compounded_return 30.12%, test max_drawdown -9.67%
• train 2016-2019 -> test 2020: test trades 6, test avg_return 11.16%, test profit_factor 23.56, test compounded_return 80.41%, test max_drawdown -1.77%
• train 2016-2020 -> test 2021: test trades 9, test avg_return 5.35%, test profit_factor 13.29, test compounded_return 55.90%, test max_drawdown -3.88%
• train 2016-2021 -> test 2022: test trades 11, test avg_return 0.78%, test profit_factor 1.46, test compounded_return 6.76%, test max_drawdown -10.70%
• train 2016-2022 -> test 2023: test trades 12, test avg_return 1.36%, test profit_factor 3.10, test compounded_return 16.83%, test max_drawdown -3.53%
• train 2016-2023 -> test 2024: test trades 12, test avg_return 3.26%, test profit_factor 2.92, test compounded_return 36.95%, test max_drawdown -8.63%
• train 2016-2024 -> test 2025: test trades 6, test avg_return 8.42%, test profit_factor 11.92, test compounded_return 50.23%, test max_drawdown -3.39%
• train 2016-2025 -> test 2026: test trades 1, test avg_return -1.97%, test profit_factor 0.00, test compounded_return -1.97%, test max_drawdown 0.00%

Rolling 3Y Windows

• train 2016-2018 -> test 2019: test trades 10, test avg_return 3.12%, test profit_factor 3.24, test compounded_return 30.12%, test max_drawdown -9.67%
• train 2017-2019 -> test 2020: test trades 6, test avg_return 11.16%, test profit_factor 23.56, test compounded_return 80.41%, test max_drawdown -1.77%
• train 2018-2020 -> test 2021: test trades 9, test avg_return 5.35%, test profit_factor 13.29, test compounded_return 55.90%, test max_drawdown -3.88%
• train 2019-2021 -> test 2022: test trades 11, test avg_return 0.78%, test profit_factor 1.46, test compounded_return 6.76%, test max_drawdown -10.70%
• train 2020-2022 -> test 2023: test trades 12, test avg_return 1.36%, test profit_factor 3.10, test compounded_return 16.83%, test max_drawdown -3.53%
• train 2021-2023 -> test 2024: test trades 12, test avg_return 3.26%, test profit_factor 2.92, test compounded_return 36.95%, test max_drawdown -8.63%
• train 2022-2024 -> test 2025: test trades 6, test avg_return 8.42%, test profit_factor 11.92, test compounded_return 50.23%, test max_drawdown -3.39%
• train 2023-2025 -> test 2026: test trades 1, test avg_return -1.97%, test profit_factor 0.00, test compounded_return -1.97%, test max_drawdown 0.00%

Entry-Family Stability

• early_crash_probe_buy: years_active 5, total_trades 6, positive_years 3, negative_years 2, avg_yearly_avg_return 5.59%, min_yearly_avg_return -0.85%
• glued_buy: years_active 10, total_trades 61, positive_years 7, negative_years 3, avg_yearly_avg_return 4.41%, min_yearly_avg_return -0.72%
• oversold_recovery_buy: years_active 4, total_trades 4, positive_years 2, negative_years 2, avg_yearly_avg_return 3.35%, min_yearly_avg_return -1.78%
• post_sell_rebound_buy: years_active 3, total_trades 4, positive_years 1, negative_years 2, avg_yearly_avg_return 0.52%, min_yearly_avg_return -2.16%
• dual_gold_resonance_buy: years_active 7, total_trades 14, positive_years 2, negative_years 5, avg_yearly_avg_return 0.16%, min_yearly_avg_return -1.97%
• deep_oversold_rebound_buy: years_active 5, total_trades 14, positive_years 1, negative_years 4, avg_yearly_avg_return -1.35%, min_yearly_avg_return -3.03%

Weak Entry-Family Stability

• deep_oversold_rebound_buy: years_active 5, total_trades 14, positive_years 1, negative_years 4, avg_yearly_avg_return -1.35%, min_yearly_avg_return -3.03%
• dual_gold_resonance_buy: years_active 7, total_trades 14, positive_years 2, negative_years 5, avg_yearly_avg_return 0.16%, min_yearly_avg_return -1.97%
• post_sell_rebound_buy: years_active 3, total_trades 4, positive_years 1, negative_years 2, avg_yearly_avg_return 0.52%, min_yearly_avg_return -2.16%
• oversold_recovery_buy: years_active 4, total_trades 4, positive_years 2, negative_years 2, avg_yearly_avg_return 3.35%, min_yearly_avg_return -1.78%
• glued_buy: years_active 10, total_trades 61, positive_years 7, negative_years 3, avg_yearly_avg_return 4.41%, min_yearly_avg_return -0.72%

Quant Judgment

• Anchored walk-forward windows: positive years 8, negative years 2.
• Rolling 3Y windows: positive years 7, negative years 1.
• This is a stability audit, not a parameter-search walk-forward. The strategy was held fixed throughout.
• Families with repeated negative yearly averages are research candidates; families with broad multi-year persistence are baseline keepers.