Pre-reg: Donchian + volume-confirm on daily bars, top-2, swing holds, long-only next_open. Split IS<2025-01-01/OOS>=2025-01-01. Costs 10bps/25bps-stress. sqrt365.
Universe: ['ADA', 'AVAX', 'BTC', 'DOGE', 'ETH', 'LINK', 'SOL', 'XRP']; grid 2022-12-01..2026-09-13 (1383 days).
Scoreboard (OOS)
| Variant | Ret | Sharpe | MaxDD | Net10 | Net25 | Turn/yr | CorrBH | ResidSh | p |
|---|---|---|---|---|---|---|---|---|---|
| PRIMARY D20/V1.5/H10 | +11.17% | 0.35 | -42.94% | 0.35 | 0.28 | 22.96 | 0.58 | 0.62 | 0.3180 |
| TURTLE D55/V1.5/H20 | -35.20% | -0.42 | -51.40% | -0.42 | -0.46 | 12.93 | 0.61 | -0.34 | 0.7162 |
| FAST D10/V1.25/H5 | -40.00% | -0.36 | -55.30% | -0.36 | -0.54 | 62.02 | 0.76 | -0.26 | 0.6918 |
| FADE control (neg PRIMARY) | -2.35% | 0.17 | -46.85% | 0.17 | 0.09 | 24.81 | 0.58 | 0.39 | 0.4060 |
| EW buy-and-hold (8-coin) | -51.24% | -0.26 | -71.49% | - | - | - | - | - | - |
- PRIMARY rebalance weeks active: 40.4% of OOS weeks; mean entries/active-week 0.92 notional.
IS reference
| Variant | IS Sharpe |
|---|---|
| PRIMARY D20/V1.5/H10 | 1.86 |
| TURTLE D55/V1.5/H20 | 1.26 |
| FAST D10/V1.25/H5 | 2.39 |
| FADE control (neg PRIMARY) | 1.79 |
| EW buy-and-hold (8-coin) | 1.56 |
PRIMARY verdict: REJECT (OOS Sharpe 0.35 (need >=+0.50); p 0.3180 (need <0.05); resid +0.62 (need >0); control 0.17 (need < PRIMARY); DSR(K=4) 0.47)
Time 2s.