Searched a self-contained grid (see strategy_search_test.py); 4/108 candidates cleared IS&OOS Sharpe>=1 with DD<10%.
Winner (net of 5 bps turnover)
- config: lookbacks 63/126/252, risk-parity (1/vol), vol target 4%/yr, monthly rebalance, VIX>28 -> 0.5x gross.
- full 2006-2026: Sharpe 1.00 (365) / 0.83 (252), max DD -8.2%, net ret +100%.
- OOS 2016-2026: Sharpe 1.03 / 0.85 (252), max DD -8.2%.
- both decades clear Sharpe >= 1 and DD < 10%.
Yearly net returns
2006:+7% 2007:+5% 2008:+0% 2009:+1% 2010:+6% 2011:+1% 2012:+3% 2013:+7% 2014:+3% 2015:-2% 2016:+3% 2017:+13% 2018:-3% 2019:+9% 2020:+2% 2021:+5% 2022:-5% 2023:+5% 2024:+4% 2025:+6% 2026:+2%
final equity (net) 2.00x over 5220 trading days.