Overview
What's now
CURRENT CHAMPION
V6 · V66 Cooldown(4,48)
+70,576% compound · +245% min α · 4/4 beats B&H · MDD 27.7%
GRU 2x128 ensemble · 5 seeds × 4 folds · 36 features · tb_vol_10_7 labeling
Last roundR130MTF filter · REJECT
Rounds since V66 beaten12paradigm exhaustion
Healthy bots5/5all running
Live capital (real)€110.19as of 2026-05-25 23:45 UTC · 3 invested · 2 cash
R&D signal: 12 rounds without beating V66 baseline. Refinement is exhausted — shift focus to NEW paradigms. R117 MACD_div (+179K% compound, decorrelated from V66) is the live lead. See pipeline for next experiment (R120 portfolio).
Production bots live capital · trades · state · refreshed at commit time (2026-05-25 23:45 UTC)
V2
GRU Ensemble (always-invested)
capital (live)€22.88
trades1
stateINVESTED
backtest min α—
V3
GRU + DailyRSI>80 + Trail 10%
capital (live)€23.00
trades0
stateCASH
backtest min α—
V4
GRU 3-Regime adaptive (V5.4 Robust-5)
capital (live)€23.31
trades0
stateINVESTED
backtest min α+117%
V5
V115_cmp (GRU + peak_drop + ratchet + regime cooldown)
capital (live)€20.01
trades0
stateINVESTED
backtest min α**+238%**
V6
V66 Cooldown(4,48) (GRU defensive uniform)
capital (live)€21.00
trades0
stateCASH
backtest min α**+245%**
Latest experimental results most recent 3 rounds
R130
mean-reversion
REJECT
2026-05-25
Multi-TA combination strategies — 10 standalone (gap from R117)
| name | description | fold_0_pnl | fold_1_pnl | fold_2_pnl | fold_3_pnl | fold_0_alpha | fold_1_alpha | fold_2_alpha | fold_3_alpha | compound_pnl | min_alpha | beats_bh_folds | total_trades | avg_wr | verdict_flag |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| macd_div_solo | R117 baseline (MACD bullish divergence alone) | -71.3 | -55.6 | -11.3 | -31.6 | -55.1 | -116.8 | -222.9 | -50.5 | -92.3 | -222.9 | 0 | 579 | 46.4 | ❌ |
| macd_div_volume | MACD bullish div + volume > 1.5× 20-bar avg | -59.1 | -24.8 | -25.1 | -22.4 | -42.9 | -86.0 | -236.7 | -41.3 | -82.1 | -236.7 | 0 | 316 | 48.1 | ❌ |
| macd_div_atr | MACD bullish div + ATR > 60th pctile (expansion) | -55.5 | -49.8 | -27.4 | 2.0 | -39.3 | -111.0 | -239.0 | -16.9 | -83.5 | -239.0 | 0 | 369 | 44.3 | ❌ |
| macd_cross_volume | MACD signal cross up + vol>1.2× + above zero | -47.9 | -64.5 | -17.3 | -12.0 | -31.7 | -125.7 | -228.9 | -30.9 | -86.5 | -228.9 | 0 | 1172 | 42.9 | ❌ |
| bb_squeeze_breakout | BB width squeeze then upward breakout + vol spike | -70.0 | -72.3 | -37.8 | -24.0 | -53.8 | -133.5 | -249.4 | -42.9 | -96.1 | -249.4 | 0 | 1488 | 43.0 | ❌ |
| rsi_oversold_volume | RSI<25 + 5-bar low + vol>1.5× (oversold rev) | -13.3 | 4.3 | 18.4 | 14.9 | 2.9 | -56.9 | -193.1 | -4.0 | 23.0 | -193.1 | 1 | 114 | 57.4 | ❌ |
| donchian_breakout | 20-bar high break + ATR>50th pctile | -45.1 | -44.7 | 117.9 | -27.5 | -28.8 | -105.9 | -93.6 | -46.4 | -52.0 | -105.9 | 0 | 1586 | 44.8 | ❌ |
| triple_confluence | MACD cross + RSI 30-50 + price>EMA20 | 52.2 | -14.6 | -11.6 | -3.0 | 68.4 | -75.8 | -223.1 | -21.9 | 11.5 | -223.1 | 1 | 629 | 49.3 | ❌ |
| obv_div | OBV higher low while price lower low (accumulation) | -63.7 | -37.1 | -1.4 | -30.4 | -47.5 | -98.4 | -213.0 | -49.3 | -84.3 | -213.0 | 0 | 2767 | 48.9 | ❌ |
| vwap_stretch | Price <-1.5 ATR below VWAP + bouncing | -80.0 | -21.6 | -15.0 | -48.6 | -63.7 | -82.9 | -226.5 | -67.5 | -93.1 | -226.5 | 0 | 2447 | 49.6 | ❌ |
R128
other
ITERATE
2026-05-24
Allocation policy sweep using R121 classifier (Pareto curve)
| default_w_v66 | label | fold_0_pnl | fold_1_pnl | fold_2_pnl | fold_3_pnl | fold_0_alpha | fold_1_alpha | fold_2_alpha | fold_3_alpha | min_alpha | compound_pnl | beats_bh_folds | gate_passed |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.0 | 0/100 — pure MACD | 539.7 | 1351.0 | 202.5 | 274.7 | 483.0 | 1253.0 | -31.9 | 268.9 | -31.9 | 105111.9 | 3 | False |
| 0.1 | 10/90 | 529.0 | 1236.0 | 222.8 | 273.4 | 472.3 | 1138.0 | -11.6 | 267.6 | -11.6 | 101178.6 | 3 | False |
| 0.25 | 25/75 — moderate MACD | 512.9 | 1080.3 | 255.9 | 271.3 | 456.2 | 982.3 | 21.5 | 265.5 | 21.5 | 95496.1 | 4 | False |
| 0.5 | 50/50 | 486.2 | 860.1 | 318.6 | 268.0 | 429.5 | 762.1 | 84.2 | 262.2 | 84.2 | 86580.2 | 4 | False |
| 0.7 | 70/30 — V66-heavy | 464.7 | 713.8 | 376.7 | 265.3 | 408.0 | 615.8 | 142.3 | 259.5 | 142.3 | 79921.6 | 4 | False |
| 0.85 | 85/15 | 448.7 | 618.9 | 425.4 | 263.3 | 392.0 | 520.9 | 191.0 | 257.5 | 191.0 | 75190.0 | 4 | False |
| 1.0 | 100/0 — pure V66 (= R128 only if all predicted recovery) | 432.6 | 535.0 | 479.2 | 261.3 | 375.9 | 437.0 | 244.8 | 255.5 | 244.8 | 70673.6 | 4 | True |
R121
hybrid-sma
REJECT
2026-05-23
Real-time regime classifier (4-class) — unlock R120 portfolio deployment
| fold | start | end | dominant_regime | accuracy | acc_bear | acc_lateral | acc_bull | acc_recovery | n_train | n_test | train_time_s | latency_ms_per_bar |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 2020-09-01 | 2022-07-01 | bull | 0.746 | 1.0 | 0.198 | 1.0 | 1.0 | 975 | 668 | 0.39 | 0.023 |
| 2 | 2022-07-01 | 2024-05-01 | bull | 0.984 | 1.0 | 0.984 | 1.0 | 0.852 | 1643 | 670 | 0.43 | 0.042 |
| 3 | 2024-05-01 | 2026-05-22 | bull | 0.994 | 1.0 | 1.0 | 0.988 | 1.0 | 2313 | 693 | 0.48 | 0.018 |
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