Window: 2022-12-02 .. 2026-07-31 | frozen decisions, weights known at decision time
| Variant | LongDays | Ret | Sharpe | MaxDD | PF |
|---|---|---|---|---|---|
| baseline (full size) | 352 | +181.6% | 1.01 | -26.7% | 1.33 |
| vol_target tv=0.45 | 261 | +164.2% | 1.19 | -21.7% | 1.40 |
| vol_target tv=0.6 | 314 | +176.1% | 1.07 | -26.6% | 1.35 |
| vol_target tv=0.75 | 341 | +182.6% | 1.03 | -27.2% | 1.34 |
| dd_throttle 10% | 251 | +98.9% | 0.89 | -17.5% | 1.30 |
| dd_throttle 15% | 268 | +112.6% | 0.92 | -24.8% | 1.31 |
| dd_throttle 20% | 282 | +118.8% | 0.91 | -23.2% | 1.30 |
| combined tv=.60 + dd15% | 157 | +73.2% | 1.07 | -13.8% | 1.35 |
Per-year returns
| Variant | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|
| baseline (full size) | +0.0% | +26.9% | +47.1% | +50.8% | +0.0% |
| vol_target tv=0.45 | +0.0% | +27.4% | +48.1% | +40.0% | +0.0% |
| vol_target tv=0.6 | +0.0% | +26.6% | +42.3% | +53.2% | +0.0% |
| vol_target tv=0.75 | +0.0% | +26.9% | +45.7% | +52.9% | +0.0% |
| dd_throttle 10% | +0.0% | +11.6% | +36.4% | +30.7% | +0.0% |
| dd_throttle 15% | +0.0% | +20.6% | +42.7% | +23.5% | +0.0% |
| dd_throttle 20% | +0.0% | +26.9% | +38.5% | +24.5% | +0.0% |
| combined tv=.60 + dd15% | +0.0% | +13.2% | +21.6% | +25.8% | +0.0% |
Top variant by Sharpe: vol_target tv=0.45 (ret +164.2%, sharpe 1.19, maxDD -21.7%)