Up-breakouts have positive OOS Sharpe; down-breakouts fail. Test LONG-ONLY ORB with filters. Exit@16:00 unless noted. Window 2020-2025, IS/OOS 2024-01-01. Fee-free.
long_only (baseline) (1260 trades)
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +9.20% | 0.31 | -14.87% | 1.05 | 844 |
| OOS | +12.85% | 0.80 | -8.83% | 1.15 | 415 |
OOS bootstrap p: 0.199
long_only + gap_up (712 trades)
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +6.73% | 0.39 | -16.48% | 1.06 | 462 |
| OOS | +8.95% | 0.87 | -6.97% | 1.18 | 249 |
OOS bootstrap p: 0.237
long_only + above_sma200 (870 trades)
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +11.48% | 0.75 | -8.34% | 1.11 | 485 |
| OOS | +1.87% | 0.22 | -8.83% | 1.03 | 384 |
OOS bootstrap p: 0.417
long_only + wide_orb (443 trades)
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +14.59% | 1.13 | -10.53% | 1.17 | 259 |
| OOS | +9.00% | 0.97 | -8.80% | 1.19 | 183 |
OOS bootstrap p: 0.244
long_only + orb_high>vwap (1260 trades)
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +9.20% | 0.31 | -14.87% | 1.05 | 844 |
| OOS | +12.85% | 0.80 | -8.83% | 1.15 | 415 |
OOS bootstrap p: 0.199
long_only + exit@14:00 (1260 trades)
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +6.32% | 0.26 | -17.81% | 1.04 | 844 |
| OOS | +11.43% | 0.82 | -6.45% | 1.14 | 416 |
OOS bootstrap p: 0.197
long_only + gap_up + above_sma200 (515 trades)
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +11.45% | 1.18 | -7.16% | 1.19 | 282 |
| OOS | +3.00% | 0.50 | -7.47% | 1.08 | 232 |
OOS bootstrap p: 0.337
Summary (OOS)
| Variant | OOS Sharpe | OOS p | Verdict |
|---|---|---|---|
| long_only (baseline) | 0.80 | 0.199 | REJECT |
| long_only + gap_up | 0.87 | 0.237 | REJECT |
| long_only + above_sma200 | 0.22 | 0.417 | REJECT |
| long_only + wide_orb | 0.97 | 0.244 | REJECT |
| long_only + orb_high>vwap | 0.80 | 0.199 | REJECT |
| long_only + exit@14:00 | 0.82 | 0.197 | REJECT |
| long_only + gap_up + above_sma200 | 0.50 | 0.337 | REJECT |