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dragon_deep_oversold_review.md

dragon_deep_oversold_review.md 2.3 KB
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Dragon Deep Oversold Audit

  • audited trades: 14
  • all buy dates aligned with workbook: True
  • all sell dates aligned with workbook: True
  • winners: 5 / 14
  • fast failures (holding <= 6d and negative return): 7

Entry Subtype Summary

  • positive_b1_rebound: trades 2, win_rate 0.00%, avg_return -2.98%, avg_mfe 2.72%, avg_mae -5.95%, fast_failures 1
  • shallow_false_start: trades 3, win_rate 33.33%, avg_return -2.63%, avg_mfe 2.20%, avg_mae -3.52%, fast_failures 2
  • deep_capitulation: trades 1, win_rate 0.00%, avg_return -2.05%, avg_mfe 1.91%, avg_mae -2.08%, fast_failures 1
  • mixed_oversold: trades 3, win_rate 33.33%, avg_return -1.80%, avg_mfe 2.82%, avg_mae -5.57%, fast_failures 2
  • classic_oversold: trades 5, win_rate 60.00%, avg_return 0.04%, avg_mfe 3.54%, avg_mae -2.28%, fast_failures 1

Candidate Pressure Points

  • 2022-03-11 -> 2022-03-15: positive_b1_rebound / immediate_failure | buy a1 -0.0526 b1 0.0297 c1 15.11 | return -5.78%
  • 2022-02-09 -> 2022-02-11: mixed_oversold / immediate_failure | buy a1 -0.0550 b1 -0.0510 c1 10.04 | return -5.42%
  • 2024-01-23 -> 2024-01-29: shallow_false_start / rebound_then_fail | buy a1 -0.0345 b1 -0.0227 c1 12.24 | return -4.72%
  • 2024-01-18 -> 2024-01-22: shallow_false_start / immediate_failure | buy a1 -0.0318 b1 -0.0234 c1 12.90 | return -3.30%
  • 2018-09-18 -> 2018-10-08: classic_oversold / rebound_then_fail | buy a1 -0.0439 b1 -0.0667 c1 9.73 | return -3.25%
  • 2019-06-11 -> 2019-06-17: mixed_oversold / immediate_failure | buy a1 -0.0321 b1 -0.0467 c1 10.41 | return -3.03%
  • 2022-09-26 -> 2022-09-30: deep_capitulation / flat_noise | buy a1 -0.0650 b1 -0.0866 c1 10.95 | return -2.05%
  • 2024-08-15 -> 2024-08-20: classic_oversold / flat_noise | buy a1 -0.0283 b1 -0.0843 c1 11.49 | return -0.92%

Quant Judgment

  • This rule family cannot be bluntly removed because every current deep-oversold trade is workbook-aligned.
  • The weakest local pattern is not the deepest capitulation bucket; it is the shallow or positive-B1 rebound subset.
  • Any redesign should therefore prefer subtype gating or delayed confirmation for shallow rebounds rather than tighter global oversold thresholds.