v11 Result — Low-Price + V3 Universe
작성일: 2026-04-16 16:08 Runtime: 57s
Spec
{
"universe": {
"ath_drawdown_threshold": -0.95,
"min_cash_to_mcap_ratio": 2.0,
"min_mcap": 10000000,
"min_pipeline_phase": "Phase 2",
"min_ipo_age_years": 2,
"min_cash_runway_quarters": 0,
"require_sec_filing_history": false
},
"portfolio": {
"initial": 100000,
"max_pct": 0.125,
"max_concurrent": 8,
"cooldown_days": 90,
"slippage_per_side": 0.005,
"commission_per_trade": 0.0,
"max_volume_pct": 0.1
},
"price_filters": [
"none",
"p7",
"p5",
"p3"
]
}Universe: 58 unique symbols (vs v9 baseline 58)
Charts
Top by Sharpe
| Strategy | Price Filter | Trades | Total | CAGR | Sharpe | OOS Sh | MaxDD | WR | 2022+ |
|---|---|---|---|---|---|---|---|---|---|
| bb_pullback_12 × chandelier_atr3 | p3 | 16 | +292% | +52.4% | 1.99 | 1.56 | -16.9% | 69% | 16 |
| bb_pullback_12 × chandelier_atr3 | p5 | 17 | +292% | +52.4% | 1.99 | 1.53 | -16.9% | 65% | 17 |
| bb_pullback_12 × chandelier_atr3 | p7 | 19 | +292% | +52.4% | 1.99 | 1.53 | -17.2% | 63% | 19 |
| ens_v51 × fixed_70_30_180 | p3 | 31 | +336% | +25.5% | 1.58 | 2.34 | -11.8% | 81% | 30 |
| ens_v51 × breakeven_70_30_180 | p3 | 31 | +289% | +23.3% | 1.50 | 2.18 | -18.4% | 68% | 30 |
| ens_v51 × breakeven_70_30_180 | p5 | 35 | +301% | +23.9% | 1.47 | 2.00 | -18.8% | 63% | 34 |
| ens_v51 × fixed_70_30_180 | p5 | 33 | +315% | +24.5% | 1.46 | 1.79 | -12.0% | 76% | 32 |
| bb_20 × fixed_100_40_365 | p7 | 26 | +709% | +35.9% | 1.42 | 1.80 | -22.4% | 81% | 25 |
| ens_v51 × breakeven_70_30_180 | p7 | 37 | +340% | +25.7% | 1.41 | 2.00 | -18.4% | 65% | 35 |
| ens_v51 × fixed_70_30_180 | p7 | 35 | +329% | +25.0% | 1.41 | 1.75 | -11.7% | 77% | 33 |
| bb_20 × fixed_100_40_365 | p5 | 25 | +660% | +34.7% | 1.38 | 1.80 | -22.3% | 80% | 24 |
| bb_20 × fixed_100_40_365 | p3 | 20 | +582% | +32.6% | 1.28 | 1.62 | -11.8% | 85% | 19 |
| bb_20 × fixed_30_50_180 | p7 | 26 | +138% | +14.8% | 1.17 | 1.44 | -12.1% | 85% | 25 |
| bb_20 × fixed_30_50_180 | p5 | 25 | +132% | +14.3% | 1.15 | 1.44 | -12.1% | 84% | 24 |
| bb_20 × fixed_30_50_180 | p3 | 20 | +107% | +12.3% | 1.02 | 1.33 | -13.2% | 85% | 19 |
Top by OOS Sharpe
| Strategy | PF | Trades | OOS T | OOS Ret | OOS Sh | Sh | MaxDD |
|---|---|---|---|---|---|---|---|
| ens_v51 × fixed_70_30_180 | p3 | 31 | — | +126% | 2.34 | 1.58 | -11.8% |
| ens_v51 × breakeven_70_30_180 | p3 | 31 | — | +109% | 2.18 | 1.50 | -18.4% |
| ens_v51 × breakeven_70_30_180 | p7 | 37 | — | +106% | 2.00 | 1.41 | -18.4% |
| ens_v51 × breakeven_70_30_180 | p5 | 35 | — | +106% | 2.00 | 1.47 | -18.8% |
| bb_20 × fixed_100_40_365 | p7 | 26 | — | +216% | 1.80 | 1.42 | -22.4% |
| bb_20 × fixed_100_40_365 | p5 | 25 | — | +216% | 1.80 | 1.38 | -22.3% |
| ens_v51 × fixed_70_30_180 | p5 | 33 | — | +94% | 1.79 | 1.46 | -12.0% |
| ens_v51 × fixed_70_30_180 | p7 | 35 | — | +86% | 1.75 | 1.41 | -11.7% |
| bb_20 × fixed_100_40_365 | p3 | 20 | — | +194% | 1.62 | 1.28 | -11.8% |
| bb_pullback_12 × chandelier_atr3 | p3 | 16 | — | +41% | 1.56 | 1.99 | -16.9% |
| bb_pullback_12 × chandelier_atr3 | p7 | 19 | — | +41% | 1.53 | 1.99 | -17.2% |
| bb_pullback_12 × chandelier_atr3 | p5 | 17 | — | +41% | 1.53 | 1.99 | -16.9% |
| bb_20 × fixed_100_40_365 | none | 38 | — | +173% | 1.44 | 0.92 | -23.1% |
| bb_20 × fixed_30_50_180 | p7 | 26 | — | +44% | 1.44 | 1.17 | -12.1% |
| bb_20 × fixed_30_50_180 | p5 | 25 | — | +44% | 1.44 | 1.15 | -12.1% |
Price Filter Effect (Sharpe)
| Price Filter | Mean Sharpe | Mean OOS Sh | Mean Return | Mean MaxDD | Mean Trades |
|---|---|---|---|---|---|
| none | 0.80 | 1.23 | +398% | -25.7% | 44 |
| p7 | 1.48 | 1.70 | +362% | -16.4% | 29 |
| p5 | 1.49 | 1.71 | +340% | -16.4% | 27 |
| p3 | 1.47 | 1.81 | +321% | -14.4% | 24 |
Conclusion
Best by Sharpe
- bb_pullback_12 × chandelier_atr3 × p3 Sharpe 1.99, OOS 1.56, Total +292%, MaxDD -16.9%, Trades 16
Best by OOS Sharpe
- ens_v51 × fixed_70_30_180 × p3 OOS Sharpe 2.34, OOS Return +126%