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E-04. Strategy 2 (volatility breakout) grid + walk-forward (2026-07-09)

36-combination grid and walk-forward: fixed parameters collapsed on val while monthly re-optimization gave OOS Sharpe 1.198.

Original record: 2026-07-09 · Migrated: 2026-10-27 · Translated from Korean: 2026-10-27
A historical record, not rerun in this migration.

The figures, hypotheses and verdicts of the time are preserved. A past positive result or candidate mention does not mean validated profitability today or a live-trading recommendation. Validation periods that were already used are not treated as new independent validation.

This is an English translation of a preserved Korean original. It describes conditions at the time of writing, not current provider specifications, costs or regulations. Phrases in the original about blocking or avoiding losses interpret simulated experiments and are not realized account results. Statistical trial counts differ from the number of independent strategies or CSV rows.

E-04. Strategy 2 (volatility breakout) grid + walk-forward (2026-07-09)

  • Grid of 36 combinations, best train Sharpe 1.39. val comparison: all top 3 collapsed (-0.565/-1.163/-0.407) → deploying fixed parameters is judged overfit.
  • Walk-forward (1,152 total searches): OOS Sharpe 1.198, +93.68%, MDD -18.79%.
  • Analysis: stage 2 and stage 3 validated different deployment models (fixed vs monthly re-optimization) — a protocol gap was found → adaptive deployment adopted via D-005. Returns are concentrated in 2 windows (+27%, +24%) with a median near 0 — typical of trend following. MDD exceeds the kill threshold → handed over as a sizing task.

Source and migration evidence

Source: backtest/docs/experiment-log.md#E-04

Original SHA-256: 069c4aaaf53a20930ca8d94ba6365b4ce2b6bc560171d662a4c179ea55a6857c

Raw data and account information are not part of the public package. The original results do not replace statistical or scientific revalidation. The English text is a translation; numbers, tables and charts are carried over unchanged.

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E-03. Strategy 1 grid + walk-forward (2026-07-09)

81-combination grid and 32-window walk-forward: OOS Sharpe 0.177, below the 0.5 kill line, so the strategy was discarded.

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E-05. Sizing A/B + Monte Carlo (2026-07-09)

Six sizing options on the same breakout signals: Sharpe barely moved, drawdown scaled, and option F was adopted.

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