Region-A baseline (as deployed)
| cache | full tot | CAGR | DD | Sh | Calmar | PF | trades | y21 CAGR | y1y | 2026 |
|---|---|---|---|---|---|---|---|---|---|---|
| A31 h5 | +739.1% | +11.37% | 36.0% | 0.68 | 0.32 | 1.26 | 1655 | +4.10% | +5.1% | +4.1% |
| A21 h21 | +904.9% | +12.39% | 43.3% | 0.72 | 0.29 | 1.45 | 1631 | +17.64% | +33.0% | +27.2% |
| BL h5+h21 | +872.6% | +12.21% | 38.8% | 0.72 | 0.31 | 1.28 | 1602 | +5.71% | +12.1% | +6.5% |
| B59 mc8 (deployed) | +1303.4% | +14.30% | 32.9% | 0.81 | 0.43 | 1.33 | 1672 | +8.71% | -6.9% | -12.0% |
A31 h5
| cfg | full tot | CAGR | DD | Sh | Calmar | PF | tr | y21 CAGR | y1y tot | 2026 tot |
|---|---|---|---|---|---|---|---|---|---|---|
| ent=0.05 ext=0.40 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +918% | +12.47% | 43% | 0.72 | 0.29 | 1.38 | 1556 | +11.89% | +12.5% | +10.4% |
| ent=0.05 ext=0.40 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +905% | +12.39% | 44% | 0.73 | 0.28 | 1.33 | 1547 | +11.37% | +5.0% | -1.4% |
| ent=0.05 ext=0.60 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +798% | +11.75% | 42% | 0.70 | 0.28 | 1.38 | 1560 | +12.90% | +25.8% | +15.4% |
| ent=0.05 ext=0.40 tl=0.15 vt=0.45 sm=2.5 tm=4.0 | +790% | +11.70% | 43% | 0.70 | 0.27 | 1.38 | 1526 | +11.13% | +29.8% | +20.4% |
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +739% | +11.37% | 36% | 0.68 | 0.32 | 1.26 | 1655 | +4.10% | +5.1% | +4.1% |
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +739% | +11.37% | 36% | 0.68 | 0.32 | 1.26 | 1655 | +4.10% | +5.1% | +4.1% |
| ent=0.05 ext=0.40 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +686% | +11.00% | 41% | 0.66 | 0.27 | 1.27 | 1538 | +6.09% | +13.4% | +2.9% |
| ent=0.05 ext=0.60 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +668% | +10.87% | 43% | 0.65 | 0.25 | 1.31 | 1538 | +9.07% | +9.1% | +1.4% |
| ent=0.05 ext=0.60 tl=0.15 vt=0.45 sm=2.5 tm=4.0 | +661% | +10.82% | 44% | 0.66 | 0.25 | 1.33 | 1526 | +10.56% | +2.3% | -1.2% |
| ent=0.05 ext=0.15 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +642% | +10.68% | 40% | 0.63 | 0.27 | 1.23 | 1925 | +2.36% | +9.8% | +12.6% |
A21 h21
| cfg | full tot | CAGR | DD | Sh | Calmar | PF | tr | y21 CAGR | y1y tot | 2026 tot |
|---|---|---|---|---|---|---|---|---|---|---|
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +905% | +12.39% | 43% | 0.72 | 0.29 | 1.45 | 1631 | +17.64% | +33.0% | +27.2% |
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +905% | +12.39% | 43% | 0.72 | 0.29 | 1.45 | 1631 | +17.64% | +33.0% | +27.2% |
| ent=0.05 ext=0.25 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +725% | +11.28% | 45% | 0.67 | 0.25 | 1.34 | 1617 | +11.16% | +7.9% | +1.9% |
| ent=0.05 ext=0.25 tl=0.15 vt=0.45 sm=2.5 tm=4.0 | +563% | +10.05% | 42% | 0.61 | 0.24 | 1.28 | 1617 | +7.56% | -3.4% | -6.9% |
| ent=0.05 ext=0.60 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +513% | +9.62% | 43% | 0.59 | 0.22 | 1.29 | 1523 | +8.43% | +10.9% | +5.4% |
| ent=0.05 ext=0.25 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +437% | +8.88% | 48% | 0.55 | 0.19 | 1.25 | 1625 | +7.28% | -1.2% | -2.8% |
| ent=0.05 ext=0.40 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +412% | +8.61% | 45% | 0.54 | 0.19 | 1.25 | 1560 | +7.94% | +5.2% | +1.9% |
| ent=0.05 ext=0.40 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +368% | +8.13% | 42% | 0.52 | 0.19 | 1.25 | 1577 | +6.78% | +4.6% | -0.2% |
| ent=0.05 ext=0.15 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +354% | +7.96% | 44% | 0.51 | 0.18 | 1.24 | 1793 | +5.83% | +14.9% | +11.5% |
| ent=0.05 ext=0.60 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +350% | +7.91% | 37% | 0.51 | 0.21 | 1.19 | 1518 | -0.26% | -17.6% | -19.9% |
BL h5+h21
| cfg | full tot | CAGR | DD | Sh | Calmar | PF | tr | y21 CAGR | y1y tot | 2026 tot |
|---|---|---|---|---|---|---|---|---|---|---|
| ent=0.05 ext=0.40 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +940% | +12.58% | 41% | 0.74 | 0.31 | 1.30 | 1509 | +5.80% | +3.8% | -5.3% |
| ent=0.05 ext=0.40 tl=0.15 vt=0.45 sm=2.5 tm=4.0 | +898% | +12.35% | 40% | 0.72 | 0.31 | 1.33 | 1548 | +8.96% | +8.0% | +3.4% |
| ent=0.05 ext=0.25 tl=0.15 vt=0.45 sm=2.5 tm=4.0 | +886% | +12.29% | 47% | 0.72 | 0.26 | 1.31 | 1590 | +10.84% | -0.1% | -1.8% |
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +873% | +12.21% | 39% | 0.72 | 0.31 | 1.28 | 1602 | +5.71% | +12.1% | +6.5% |
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +873% | +12.21% | 39% | 0.72 | 0.31 | 1.28 | 1602 | +5.71% | +12.1% | +6.5% |
| ent=0.05 ext=0.15 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +801% | +11.77% | 39% | 0.69 | 0.30 | 1.38 | 1727 | +13.62% | +9.1% | +9.8% |
| ent=0.05 ext=0.40 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +779% | +11.63% | 39% | 0.69 | 0.30 | 1.28 | 1547 | +4.21% | +9.0% | +2.6% |
| ent=0.05 ext=0.60 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +665% | +10.85% | 39% | 0.65 | 0.28 | 1.29 | 1516 | +6.70% | +1.4% | -0.7% |
| ent=0.05 ext=0.60 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +639% | +10.66% | 40% | 0.64 | 0.27 | 1.27 | 1517 | +5.34% | -1.1% | -8.3% |
| ent=0.05 ext=0.60 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +630% | +10.59% | 41% | 0.64 | 0.26 | 1.27 | 1506 | +4.65% | +5.8% | +2.4% |
B59 mc8 (deployed)
| cfg | full tot | CAGR | DD | Sh | Calmar | PF | tr | y21 CAGR | y1y tot | 2026 tot |
|---|---|---|---|---|---|---|---|---|---|---|
| ent=0.05 ext=0.60 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +1584% | +15.36% | 39% | 0.87 | 0.40 | 1.35 | 1578 | +10.25% | +1.0% | -6.6% |
| ent=0.05 ext=0.15 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +1481% | +14.99% | 40% | 0.84 | 0.38 | 1.38 | 1883 | +12.41% | +2.9% | +9.4% |
| ent=0.05 ext=0.40 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +1335% | +14.43% | 35% | 0.82 | 0.42 | 1.30 | 1615 | +5.63% | -1.7% | +0.7% |
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +1303% | +14.30% | 33% | 0.81 | 0.43 | 1.33 | 1672 | +8.71% | -6.9% | -12.0% |
| ent=0.05 ext=0.25 tl=0.00 vt=0.45 sm=2.5 tm=4.0 | +1303% | +14.30% | 33% | 0.81 | 0.43 | 1.33 | 1672 | +8.71% | -6.9% | -12.0% |
| ent=0.05 ext=0.60 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +1128% | +13.53% | 32% | 0.78 | 0.42 | 1.27 | 1589 | +7.39% | -23.7% | -18.3% |
| ent=0.05 ext=0.25 tl=0.40 vt=0.45 sm=2.5 tm=4.0 | +1092% | +13.36% | 31% | 0.77 | 0.43 | 1.25 | 1694 | +4.39% | -20.2% | -23.3% |
| ent=0.05 ext=0.25 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +1003% | +12.92% | 39% | 0.74 | 0.33 | 1.28 | 1681 | +6.95% | -15.2% | -14.3% |
| ent=0.05 ext=0.40 tl=0.25 vt=0.45 sm=2.5 tm=4.0 | +929% | +12.52% | 39% | 0.73 | 0.32 | 1.27 | 1609 | +6.03% | -16.3% | -12.0% |
| ent=0.05 ext=0.25 tl=0.15 vt=0.45 sm=2.5 tm=4.0 | +885% | +12.28% | 39% | 0.71 | 0.32 | 1.27 | 1680 | +6.23% | -13.9% | -14.3% |
YoY — region-A on each cache
| year | A31 h5 | A21 h21 | BL | B59 mc8 | SPY |
|---|---|---|---|---|---|
| 2006 | -0.25% | -0.25% | -0.25% | -0.25% | +1580.0% |
| 2007 | -1.36% | -1.36% | -1.36% | -1.36% | +550.0% |
| 2008 | -1.36% | -1.36% | -1.36% | -1.36% | -3700.0% |
| 2009 | +61.03% | +28.52% | +48.20% | +71.73% | +2650.0% |
| 2010 | +25.90% | +18.89% | +32.27% | +10.05% | +1510.0% |
| 2011 | +0.92% | -6.50% | +8.27% | +6.03% | +210.0% |
| 2012 | +14.39% | +30.14% | +18.88% | +21.75% | +1600.0% |
| 2013 | +16.15% | +11.50% | +20.93% | +24.96% | +3240.0% |
| 2014 | +15.59% | +16.55% | +13.50% | +18.20% | +1370.0% |
| 2015 | -0.69% | -1.18% | +6.11% | +7.98% | +140.0% |
| 2016 | +11.52% | +8.99% | +9.92% | -1.18% | +1200.0% |
| 2017 | +14.67% | +26.20% | +26.32% | +31.88% | +2180.0% |
| 2018 | +1.18% | -9.84% | -6.54% | -10.84% | -440.0% |
| 2019 | +38.91% | +27.25% | +17.21% | +42.34% | +3150.0% |
| 2020 | +22.66% | +11.67% | +32.13% | +41.00% | +1840.0% |
| 2021 | +18.05% | +21.53% | +24.71% | +15.75% | +2870.0% |
| 2022 | -25.78% | -20.94% | -27.68% | -13.98% | -1810.0% |
| 2023 | +11.77% | +29.28% | -2.01% | +27.00% | +2630.0% |
| 2024 | -3.74% | +22.78% | +7.75% | +3.58% | +2500.0% |
| 2025 | +26.83% | +27.40% | +35.36% | +37.40% | +1300.0% |
| 2026 | +4.11% | +27.20% | +6.51% | -11.99% | +800.0% |
Sweep wall time 1135s. 16 overlay configs per cache; ranked by full-window CAGR above.
Monte Carlo (seed 20260819, permutation 40 + bootstrap 10k)
| config | baseline tot | null mean | null max / p95 | p | boot 95% CI | median vs realized | P(loss) |
|---|---|---|---|---|---|---|---|
| A21 h21 region-A | +904.9% | +223.7% | +659.3% / +451.9% | 0.000 | [770,725, 1,778,797] | 1,266,708 vs 1,004,902 | 0.000 |
| B59 mc8 region-A (deployed) | +1303.4% | +451.5% | +1135.4% / +701.4% | 0.000 | [832,485, 2,791,269] | 1,806,933 vs 1,403,350 | 0.000 |
| BL h5+h21 region-A | +872.6% | +326.4% | +612.4% / +604.8% | 0.000 | [532,795, 1,941,872] | 1,237,811 vs 972,619 | 0.000 |
| B59 mc8 ext=0.15 | +1480.5% | +168.1% | +356.6% / +345.7% | 0.000 | [1,161,309, 3,005,173] | 2,067,791 vs 1,580,534 | 0.000 |
| B59 mc8 ext=0.15 tl=0.15 | +858.9% | +173.2% | +396.4% / +335.6% | 0.000 | [681,498, 1,753,220] | 1,212,752 vs 958,949 | 0.000 |
OOS split (mc8 deployed cache, tune 2016-20 / test 2021-26)
Test-only rank (2021-26; the deployed config is #8 here at 8.71% test CAGR):
| cfg | tune CAGR | tune DD | test CAGR | test DD | test Sh | full CAGR |
|---|---|---|---|---|---|---|
| ent=0.05 ext=0.15 tl=0.15 | 10.94% | — | 13.85% | 26.1% | 0.73 | 12.12% |
| ent=0.05 ext=0.15 tl=0.25 | 10.67% | — | 12.68% | 25.1% | 0.68 | 11.62% |
| ent=0.05 ext=0.15 tl=0.00 | 13.58% | — | 12.41% | 23.5% | 0.69 | 14.99% |
| ent=0.05 ext=0.40 tl=0.15 | 10.41% | — | 11.16% | 26.9% | 0.63 | 11.40% |
| ent=0.05 ext=0.60 tl=0.40 | 13.47% | — | 10.25% | 22.7% | 0.61 | 15.36% |
| ent=0.05 ext=0.25 tl=0.00 (deployed) | 13.43% | — | 8.71% | 29.0% | 0.53 | 14.30% |
Addenda
- h21-mc8 build (59-sym h21 cache,
sp500_stride10_mc8_fenhanced_tr_k28_y20_w12_h21) kicked off 2026-08-19 23:46 viascripts/watchdog_mc8_h21.py(detached, auto-restart, logs underlogs/). When done: blend the deployed 59-sym cache with h21 scores and re-run this sweep+MC (that is the deployable blend candidate).