cyb50-quant/backtrader-lab/chinext50_dualthrust_optimization.md

DualThrust Chinext50 Optimization

• Data: chinext50.csv (2014-06-18 to 2026-04-03, 2868 bars)
• Initial cash: 100000
• Commission: 0.0010
• Strategy: DualThrustRegimeStrategy
• Search grid: range_period in [10, 15, 20, 25, 30], k1/k2 in [0.2, 0.3, 0.4, 0.5], regime in [60, 90, 120, 150, 200]
• Evaluated configs: 400

Command

• python3 chinext50_experiments.py --optimize-dualthrust

Default Benchmark

• Current default: range_period=20, k1=0.3, k2=0.3, regime=120 | annual return 15.02% | Sharpe 0.405 | max DD 34.04%

Required Winners

• Best by annual return: range_period=20, k1=0.4, k2=0.4, regime=120 | annual return 17.68% | Sharpe 0.499 | max DD 26.42% | trades 18
• Best by Sharpe: range_period=30, k1=0.3, k2=0.3, regime=120 | annual return 14.83% | Sharpe 0.52 | max DD 34.96% | trades 19
• Best with max DD <= 30% (Sharpe-ranked): range_period=25, k1=0.4, k2=0.2, regime=120 | annual return 12.52% | Sharpe 0.512 | max DD 9.02% | trades 15
• Best with max DD <= 35% (Sharpe-ranked): range_period=30, k1=0.3, k2=0.3, regime=120 | annual return 14.83% | Sharpe 0.52 | max DD 34.96% | trades 19

Top Candidates By Annual Return

Params	Annual Return	Sharpe	Max DD	Trades	Exposure
range_period=20, k1=0.4, k2=0.4, regime=120	17.68%	0.499	26.42%	18	25.33%
range_period=25, k1=0.3, k2=0.3, regime=120	15.73%	0.456	30.23%	26	27.86%
range_period=20, k1=0.3, k2=0.4, regime=120	15.60%	0.439	33.27%	31	31.34%
range_period=25, k1=0.4, k2=0.3, regime=120	15.47%	0.46	23.74%	14	19.03%
range_period=30, k1=0.3, k2=0.5, regime=120	15.44%	0.489	44.53%	13	32.07%
range_period=25, k1=0.4, k2=0.3, regime=60	15.40%	0.451	28.73%	14	17.94%
range_period=20, k1=0.3, k2=0.3, regime=120	15.02%	0.405	34.04%	36	26.24%
range_period=30, k1=0.3, k2=0.3, regime=120	14.83%	0.52	34.96%	19	27.56%

Top Candidates By Sharpe

Params	Sharpe	Annual Return	Max DD	Trades	Exposure
range_period=30, k1=0.3, k2=0.3, regime=120	0.52	14.83%	34.96%	19	27.56%
range_period=30, k1=0.4, k2=0.3, regime=90	0.516	14.04%	35.52%	9	19.34%
range_period=25, k1=0.4, k2=0.2, regime=120	0.512	12.52%	9.02%	15	10.02%
range_period=20, k1=0.4, k2=0.4, regime=120	0.499	17.68%	26.42%	18	25.33%
range_period=20, k1=0.3, k2=0.4, regime=150	0.497	13.49%	30.04%	28	30.26%
range_period=20, k1=0.4, k2=0.4, regime=150	0.491	12.71%	26.70%	19	23.81%
range_period=30, k1=0.3, k2=0.5, regime=120	0.489	15.44%	44.53%	13	32.07%
range_period=30, k1=0.4, k2=0.4, regime=120	0.474	11.44%	43.75%	9	24.47%

Recommendation

• Recommended next parameter set: range_period=30, k1=0.3, k2=0.3, regime=120 because it keeps max DD at 34.96% while delivering 14.83% annual return and Sharpe 0.52.
• Optimized DualThrust beat default on annual return: yes (17.68% vs 15.02%).
• Optimized DualThrust beat default on Sharpe: yes (0.52 vs 0.405).