v5.1 Strategy Rerun — New Backtest System

Date: 2026-04-15 22:12 Runtime: 34s

v5.1 Spec

Universe: ATH DD ≤-95%, Cash/MCap ≥2.0, MCap ≥$20M, Phase 2+, IPO ≥2Y
Signal: BB30 + hammer_candle (OR ensemble)
Exit: TP 30%, SL -50%, max 365d
Portfolio: 12% per trade, max 8 concurrent, 90d cooldown
Costs: 1.0% round-trip slippage

Results

Full period (2016-2025)

Metric	Value
Trades	43
Total return	+199.3%
CAGR	+14.07%
Sharpe (annualized)	0.732
Sortino	0.769
Max DD	-30.31%
Win rate	86.0%
Final equity	$299,261

IS vs OOS

Period	Trades	Return	Sharpe	WR
IS (pre-2024)	25	+107.3%	0.66	88.0%
OOS (2024+)	18	+50.0%	1.04	83.3%

Comparison with original v5.1 report

Metric	Original	Rerun	Delta
Trades	37	43	+6
Total return	+309.2%	+199.3%	-109.9%p
Sharpe	1.308	0.732	-0.576
Max DD	-24.9%	-30.31%	-5.4%p
WR	95%	86.0%	-9.0%p

Output files

all_trades.csv: Every trade before portfolio filtering
executed_trade_log.csv: Trades actually executed (with alloc, raw + net returns)
equity_curve.csv: Daily equity curve
config.json: Full configuration used
metrics.json: All metrics