v5.1 Strategy Rerun — New Backtest System

Date: 2026-04-15 23:26 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 180d
Portfolio: 12% per trade, max 8 concurrent, 90d cooldown
Costs: 1.0% round-trip slippage

Results

Full period (2016-2025)

Metric	Value
Trades	44
Total return	+219.7%
CAGR	+15.22%
Sharpe (annualized)	0.759
Sortino	0.735
Max DD	-30.38%
Win rate	81.8%
Final equity	$319,719

IS vs OOS

Period	Trades	Return	Sharpe	WR
IS (pre-2024)	26	+98.9%	0.63	84.6%
OOS (2024+)	18	+66.9%	1.29	77.8%

Comparison with original v5.1 report

Metric	Original	Rerun	Delta
Trades	37	44	+7
Total return	+309.2%	+219.7%	-89.5%p
Sharpe	1.308	0.759	-0.549
Max DD	-24.9%	-30.38%	-5.5%p
WR	95%	81.8%	-13.2%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