report

v9 Grid Backtest — Result Report

실행일: 2026-04-16 02:02 Runtime: 358s 기간: 2016-01-01 ~ 2025-06-30 OOS split: 2024-01-01 Total configs: 240 (OK: 240)

Universe & Portfolio

{
  "universe": {
    "ath_drawdown_threshold": -0.95,
    "min_cash_to_mcap_ratio": 2.0,
    "min_mcap": 20000000,
    "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
  }
}

Summary Statistics

• OK configs: 240
• Configs with Sharpe > 0.5: 178
• Configs with OOS Sharpe > 1.0: 109
• Configs meeting ALL v9 goals (MaxDD≤-20%, OOS_Sharpe≥1.0, CAGR≥15%, 2022+ ≥60 trades): 0

🎯 v9 Goal Achievers

No configs met ALL goals simultaneously. Relaxed checks in top 15 tables below.

Charts

Return vs Sharpe (color = MaxDD)

Sharpe Heatmap (Entry × Exit)

Total Return Heatmap

MaxDD Heatmap

IS vs OOS Sharpe

Equity Curves (Top 5 by Sharpe)

Yearly Trade Count (Top 10 by Sharpe)

Top 15 by Sharpe

#	Entry	Exit	Sh	OOS Sh	Ret	CAGR	MaxDD	WR	Trades	22+
1	bb_20	fixed_100_40_365	1.07	2.39	+462%	+21.9%	-32.5%	72%	29	27
2	bb_pullback_12	chandelier_atr3	1.05	1.26	+151%	+20.6%	-21.0%	58%	19	18
3	ens_v51	breakeven_70_30_180	0.91	1.81	+346%	+20.0%	-26.7%	65%	43	39
4	bb_20	scaled_30_100	0.89	1.46	+255%	+15.7%	-34.0%	75%	28	26
5	ens_v51	fixed_70_30_180	0.88	1.55	+311%	+18.8%	-18.8%	68%	44	40
6	hammer	chandelier_atr3	0.87	0.69	+166%	+15.9%	-20.4%	43%	23	21
7	macd	fixed_100_40_365	0.86	1.63	+260%	+20.3%	-58.5%	63%	30	28
8	bb_20	breakeven_70_30_180	0.85	1.92	+230%	+15.7%	-24.8%	73%	30	28
9	rsi_divergence	trail_25_180	0.83	1.67	+148%	+15.5%	-29.2%	75%	20	19
10	bb_20	partial_50_trail25	0.83	1.17	+269%	+16.2%	-39.0%	79%	28	26
11	ens_pullback	trail_30_365	0.83	1.19	+293%	+20.2%	-50.8%	56%	39	36
12	ens_v51	breakeven_50_30_180	0.81	1.55	+264%	+17.1%	-29.5%	68%	44	40
13	obv_div	fixed_100_40_365	0.81	1.16	+199%	+17.3%	-49.3%	79%	19	17
14	ens_pullback	chandelier_atr3	0.80	0.81	+200%	+16.9%	-39.3%	46%	39	36
15	ens_strong	fixed_100_40_365	0.79	1.02	+487%	+18.7%	-44.1%	56%	52	47

Top 15 by Total Return

#	Entry	Exit	Ret	CAGR	Sh	OOS Sh	MaxDD	WR	Trades
1	ens_strong	fixed_100_40_365	+487%	+18.7%	0.79	1.02	-44.1%	56%	52
2	bb_20	fixed_100_40_365	+462%	+21.9%	1.07	2.39	-32.5%	72%	29
3	ens_v51	breakeven_70_30_180	+346%	+20.0%	0.91	1.81	-26.7%	65%	43
4	macd	trail_30_365	+330%	+23.4%	0.78	1.27	-52.6%	44%	34
5	ens_reversal	partial_50_trail25	+327%	+15.1%	0.62	1.28	-58.8%	66%	44
6	ens_reversal	chandelier_atr3	+323%	+16.0%	0.72	0.91	-29.1%	50%	58
7	ens_v51	fixed_100_40_365	+314%	+17.8%	0.74	0.96	-46.0%	60%	40
8	ens_v51	trail_30_365	+312%	+17.8%	0.77	0.97	-44.0%	57%	44
9	ens_v51	fixed_70_30_180	+311%	+18.8%	0.88	1.55	-18.8%	68%	44
10	ens_pullback	trail_30_365	+293%	+20.2%	0.83	1.19	-50.8%	56%	39
11	ens_strong	partial_50_trail25	+287%	+14.3%	0.66	0.83	-43.3%	62%	48
12	ens_reversal	trail_30_365	+277%	+13.7%	0.60	1.00	-58.7%	51%	51
13	bb_20	partial_50_trail25	+269%	+16.2%	0.83	1.17	-39.0%	79%	28
14	ens_reversal	trail_25_180	+266%	+14.1%	0.65	1.24	-42.1%	58%	55
15	ens_v51	breakeven_50_30_180	+264%	+17.1%	0.81	1.55	-29.5%	68%	44

Top 15 by OOS Sharpe

#	Entry	Exit	OOS Sh	OOS Ret	OOS T	Full Sh	Ret	MaxDD
1	bb_20	fixed_100_40_365	2.39	+135%	12	1.07	+462%	-32.5%
2	bb_20	fixed_70_30_180	2.08	+74%	12	0.77	+195%	-25.6%
3	bb_20	breakeven_70_30_180	1.92	+67%	12	0.85	+230%	-24.8%
4	ens_reversal	fixed_100_40_365	1.90	+196%	21	0.67	+263%	-62.9%
5	ens_v51	breakeven_70_30_180	1.81	+99%	17	0.91	+346%	-26.7%
6	bb_20	fixed_50_30_180	1.71	+55%	12	0.68	+139%	-26.9%
7	rsi_divergence	trail_25_180	1.67	+81%	9	0.83	+148%	-29.2%
8	macd	fixed_100_40_365	1.63	+136%	16	0.86	+260%	-58.5%
9	ens_v51	fixed_50_50_180	1.63	+92%	17	0.77	+246%	-32.7%
10	bb_20	fixed_50_50_180	1.57	+50%	12	0.78	+171%	-26.2%
11	ens_v51	fixed_70_30_180	1.55	+77%	18	0.88	+311%	-18.8%
12	rsi_divergence	chandelier_atr3	1.55	+61%	9	0.76	+117%	-25.9%
13	ens_v51	breakeven_50_30_180	1.55	+86%	18	0.81	+264%	-29.5%
14	bb_20	breakeven_50_30_180	1.53	+48%	12	0.77	+168%	-26.2%
15	hammer	fixed_50_50_180	1.50	+60%	11	0.62	+93%	-33.9%

Top 15 by Lowest MaxDD (least negative)

#	Entry	Exit	MaxDD	Sh	Ret	Trades
1	hammer	chandelier_atr25	-17.9%	0.51	+59%	23
2	ens_v51	fixed_70_30_180	-18.8%	0.88	+311%	44
3	bb_pullback_12	fixed_50_30_180	-19.0%	0.53	+48%	19
4	hammer	trail_20_180	-19.1%	0.47	+54%	23
5	bb_30	fixed_70_30_180	-19.1%	0.75	+166%	29
6	bb_30	fixed_50_30_180	-20.1%	0.61	+104%	29
7	hammer	chandelier_atr3	-20.4%	0.87	+166%	23
8	bb_20	trail_25_180	-20.5%	0.56	+94%	31
9	bb_pullback_12	chandelier_atr3	-21.0%	1.05	+151%	19
10	macd	fixed_70_30_180	-21.5%	0.75	+153%	31
11	ens_v51	fixed_50_30_180	-21.8%	0.76	+213%	44
12	bb_pullback_12	chandelier_atr25	-21.9%	0.43	+35%	19
13	double_bottom	chandelier_atr25	-21.9%	0.37	+52%	35
14	bb_pullback_12	trail_20_180	-22.3%	0.76	+85%	19
15	obv_div	fixed_30_50_180	-22.5%	0.44	+61%	21

Entry Signals — Aggregate Performance

(평균 across all exits with n_trades_executed >= 5)

Entry	Mean Sh	Mean OOS Sh	Mean Ret	Mean MaxDD	Mean Trades	N configs
ens_v51	0.73	1.11	+232%	-32.5%	43	16
rsi_divergence	0.72	1.33	+127%	-26.6%	20	16
ens_pullback	0.68	1.11	+165%	-49.6%	38	16
bb_20	0.68	1.43	+163%	-29.4%	30	16
macd	0.61	0.94	+137%	-36.5%	32	16
hammer	0.60	0.97	+100%	-33.2%	23	16
ens_reversal	0.60	1.27	+205%	-40.9%	51	16
capitulation_vol	0.56	1.02	+143%	-45.5%	33	16
ens_strong	0.56	0.94	+188%	-37.8%	55	16
bb_pullback_12	0.56	0.63	+60%	-24.3%	19	16
bb_30	0.56	0.70	+102%	-29.0%	29	16
bb_pullback_08	0.53	0.88	+77%	-41.1%	24	16
obv_div	0.48	0.07	+79%	-32.6%	21	16
double_bottom	0.47	0.67	+113%	-40.1%	33	16
wyckoff_spring	0.47	0.63	+85%	-33.9%	34	16

Exit Strategies — Aggregate Performance

Exit	Mean Sh	Mean OOS Sh	Mean Ret	Mean MaxDD	Mean Trades	N configs
fixed_100_40_365	0.69	1.18	+211%	-46.5%	30	15
trail_30_365	0.64	0.93	+179%	-41.5%	33	15
breakeven_70_30_180	0.64	1.13	+150%	-32.8%	32	15
partial_50_trail25	0.63	0.87	+184%	-46.2%	30	15
chandelier_atr3	0.62	0.73	+132%	-31.4%	34	15
fixed_70_30_180	0.62	1.05	+140%	-30.5%	32	15
trail_25_180	0.60	0.92	+134%	-34.2%	34	15
fixed_50_30_180	0.60	0.96	+125%	-29.4%	33	15
breakeven_50_30_180	0.59	0.99	+124%	-32.8%	32	15
fixed_50_50_180	0.59	0.96	+125%	-34.0%	32	15
scaled_30_100	0.57	0.85	+130%	-43.5%	28	15
partial_30_trail20	0.57	0.91	+125%	-39.4%	32	15
fixed_30_50_365	0.56	0.90	+105%	-32.6%	32	15
fixed_30_50_180	0.53	0.92	+95%	-31.8%	32	15
trail_20_180	0.52	0.73	+95%	-33.0%	34	15
chandelier_atr25	0.42	0.59	+55%	-28.9%	34	15

Conclusions

Best overall (Sharpe)

• bb_20 × fixed_100_40_365
• Total: +462%, CAGR +21.9%, Sharpe 1.07
• OOS Sharpe 2.39, OOS ret +135%
• MaxDD -32.5%, WR 72%

Best OOS generalization

• bb_20 × fixed_100_40_365: OOS Sharpe 2.39, OOS ret +135%

Best risk-adjusted (lowest MaxDD)

• hammer × chandelier_atr25: MaxDD -17.9%, Sharpe 0.51, return +59%

Notable findings

• Bounce+pullback vs plain bounce: pullback mean Sharpe = 0.54 vs plain bounce = 0.62
• Best single-signal entry: bb_20 (Sharpe 1.07)
• Best exit type (by mean Sharpe): fixed_100_40_365

Raw Data

• grid_results.csv: Full 240 configs × 22 columns
• top20_by_sharpe.csv, top20_by_return.csv, top20_by_oos_sharpe.csv, top20_by_lowest_dd.csv
• top_details/{entry}__{exit}/: trades.csv, executed.csv, equity.csv for top 10 by Sharpe
• meta.json: Grid metadata (config, runtime, counts)