Grid Search V2 Results — 2016-2025 (Backfilled Data)
Run date: 2026-03-18
Data range: 2016-01-01 to 2025-06-30
OOS split: 2024-01-01
Runtime: 107s
Stage 1: Universe Filter Sweep
- Total combos tested: 768
- Valid combos (≥30 trades): 767
- Best mean return: 34.0%
- Best win rate: 66.7%
- Best Sharpe: 0.62
Top 5 Universe Configs
| Rank | Cash/MCap | Runway Q | ATH DD | Phase | IPO Age | Trades | Mean Ret | Win Rate | Sharpe | IS Mean | OOS Mean |
|---|
| 1 | 2.0 | 4 | -0.85 | Phase 2 | 2 | 63 | 34.0% | 65.1% | 0.62 | 18.4% | 47.3% |
| 2 | 2.0 | 4 | -0.8 | Phase 2 | 2 | 66 | 33.8% | 63.6% | 0.62 | 19.5% | 47.3% |
| 3 | 1.5 | 6 | -0.85 | Phase 2 | 2 | 119 | 33.6% | 63.9% | 0.61 | 33.9% | 33.2% |
| 4 | 1.5 | 6 | -0.8 | Phase 2 | 2 | 122 | 33.5% | 63.1% | 0.61 | 33.7% | 33.2% |
| 5 | 1.5 | 6 | -0.85 | Phase 1 | 2 | 134 | 33.4% | 62.7% | 0.60 | 33.3% | 33.6% |
Stage 2: Entry × Exit Optimization
- Total strategy combos: 546
Top 10 Strategies
| Rank | Entry | Exit | TP | SL | MaxD | Trail | ATR | Trades | Mean Ret | Win% | Sharpe | IS | OOS |
|---|
| 1 | bottom_bounce_20 | fixed | 2.0 | -0.50 | 365 | - | - | 102 | 57.1% | 53% | 0.55 | 68.7% | 45.5% |
| 2 | bottom_bounce_20 | trailing | - | - | 365 | -0.40 | - | 102 | 56.5% | 53% | 0.46 | 63.5% | 49.6% |
| 3 | bottom_bounce_20 | fixed | 2.0 | -0.70 | 365 | - | - | 102 | 55.8% | 54% | 0.52 | 69.2% | 42.4% |
| 4 | bottom_bounce_30 | fixed | 2.0 | -0.70 | 365 | - | - | 119 | 55.6% | 51% | 0.54 | 79.7% | 25.7% |
| 5 | bottom_bounce_30 | fixed | 2.0 | -0.70 | 365 | - | - | 122 | 55.5% | 51% | 0.54 | 78.5% | 25.7% |
| 6 | bottom_bounce_20 | fixed | 2.0 | -0.30 | 365 | - | - | 102 | 55.3% | 48% | 0.55 | 59.7% | 51.0% |
| 7 | bottom_bounce_30 | fixed | 2.0 | -0.70 | 365 | - | - | 134 | 55.2% | 51% | 0.54 | 76.1% | 31.0% |
| 8 | bottom_bounce_20 | fixed | 2.0 | -0.50 | 365 | - | - | 108 | 54.4% | 51% | 0.52 | 62.3% | 45.5% |
| 9 | bottom_bounce_30 | fixed | 2.0 | -0.50 | 365 | - | - | 119 | 54.2% | 49% | 0.53 | 77.4% | 25.3% |
| 10 | bottom_bounce_30 | fixed | 2.0 | -0.50 | 365 | - | - | 122 | 54.2% | 48% | 0.53 | 76.4% | 25.3% |
Stage 3: Portfolio Simulation (Top 3)
Strategy #1: bottom_bounce_20 + fixed
- Full period: 527.6% return, -8.2% max DD
- In-sample (2016-01-01 to 2024-01-01): 366.0% return (51 trades)
- Out-of-sample (2024-01-01+): 104.9% return (51 trades)
Strategy #2: bottom_bounce_20 + trailing
- Full period: 108.9% return, 0.0% max DD
- In-sample (2016-01-01 to 2024-01-01): 108.9% return (51 trades)
- Out-of-sample (2024-01-01+): 55.2% return (51 trades)
Strategy #3: bottom_bounce_20 + fixed
- Full period: 485.1% return, -12.6% max DD
- In-sample (2016-01-01 to 2024-01-01): 316.2% return (51 trades)
- Out-of-sample (2024-01-01+): 87.9% return (51 trades)
Key Observations
- Data now spans 2016-2025 (vs 2022-2025 in v1)
- Average valid combo has 345 trades (improved statistical significance)
- cash_to_mcap range of mean returns: 18.7% to 25.4%
- ath_drawdown range of mean returns: 20.3% to 22.6%
- pipeline_phase range of mean returns: 16.5% to 24.9%