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 roundR128MTF filter · REJECT
Rounds since V66 beaten11paradigm exhaustion
Healthy bots5/5all running
Live capital (real)€109.88as of 2026-05-24 21:03 UTC · 1 invested · 4 cash
R&D signal: 11 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 (2026-05-24 21:03 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)€23.00
trades0
stateCASH
backtest min α+117%
V5
V115_cmp (GRU + peak_drop + ratchet + regime cooldown)
capital (live)€20.00
trades0
stateCASH
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
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 |
R120
mean-reversion
ITERATE
2026-05-22
Portfolio V66 + MACD_div sweep (uniform + regime-aware allocation)
| config | w_v66_avg | w_macd_avg | 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_mdd |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| regime_macd_F0_F1_F3 | 0.25 | 0.75 | 539.7 | 2505.6 | 479.2 | 276.1 | 483.0 | 2407.6 | 244.8 | 270.3 | 362991.4 | 244.8 | 4 | 4983 | 21.0 |
| regime_macd_F0_F1 | 0.5 | 0.5 | 539.7 | 2505.6 | 479.2 | 261.3 | 483.0 | 2407.6 | 244.8 | 255.5 | 348703.3 | 244.8 | 4 | 3422 | 23.2 |
| regime_macd_70_F0_F1 | 0.525 | 0.475 | 507.6 | 1914.4 | 479.2 | 268.7 | 450.9 | 1816.4 | 244.8 | 262.9 | 261265.4 | 244.8 | 4 | 3264 | 23.5 |
| regime_v66_heavy_recov | 0.625 | 0.375 | 486.2 | 1914.4 | 479.2 | 265.7 | 429.5 | 1816.4 | 244.8 | 259.9 | 250026.6 | 244.8 | 4 | 2640 | 24.4 |
| regime_v66_only_F2 | 0.625 | 0.375 | 486.2 | 1520.3 | 479.2 | 268.7 | 429.5 | 1422.3 | 244.8 | 262.9 | 202717.7 | 244.8 | 4 | 2640 | 24.4 |
| regime_v66_only_F2_F3 | 0.75 | 0.25 | 486.2 | 1520.3 | 479.2 | 261.3 | 429.5 | 1422.3 | 244.8 | 255.5 | 198647.1 | 244.8 | 4 | 1860 | 25.5 |
| uniform_v000_m100 | 0.0 | 1.0 | 539.7 | 2505.6 | 186.4 | 276.1 | 483.0 | 2407.6 | -48.0 | 270.3 | 179439.7 | -48.0 | 3 | 6544 | 18.8 |
| uniform_v010_m090 | 0.1 | 0.9 | 529.0 | 2308.5 | 215.7 | 274.6 | 472.3 | 2210.5 | -18.7 | 268.8 | 179057.8 | -18.7 | 3 | 5919 | 19.7 |
| uniform_v020_m080 | 0.2 | 0.8 | 518.3 | 2111.5 | 245.0 | 273.1 | 461.6 | 2013.5 | 10.6 | 267.3 | 175898.4 | 10.6 | 4 | 5295 | 20.6 |
| uniform_v030_m070 | 0.3 | 0.7 | 507.6 | 1914.4 | 274.2 | 271.7 | 450.9 | 1816.4 | 39.8 | 265.9 | 170132.5 | 39.8 | 4 | 4670 | 21.5 |
| uniform_v040_m060 | 0.4 | 0.6 | 496.9 | 1717.4 | 303.5 | 270.2 | 440.2 | 1619.4 | 69.1 | 264.4 | 161928.5 | 69.1 | 4 | 4046 | 22.4 |
| uniform_v050_m050 | 0.5 | 0.5 | 486.2 | 1520.3 | 332.8 | 268.7 | 429.5 | 1422.3 | 98.4 | 262.9 | 151453.0 | 98.4 | 4 | 3422 | 23.2 |
| uniform_v060_m040 | 0.6 | 0.4 | 475.4 | 1323.2 | 362.1 | 267.2 | 418.7 | 1225.2 | 127.7 | 261.4 | 138870.2 | 127.7 | 4 | 2797 | 24.1 |
| uniform_v070_m030 | 0.7 | 0.3 | 464.7 | 1126.2 | 391.4 | 265.7 | 408.0 | 1028.2 | 157.0 | 259.9 | 124342.1 | 157.0 | 4 | 2173 | 25.0 |
| uniform_v080_m019 | 0.8 | 0.2 | 454.0 | 929.1 | 420.6 | 264.3 | 397.3 | 831.1 | 186.2 | 258.5 | 108028.6 | 186.2 | 4 | 1548 | 25.9 |
| uniform_v090_m009 | 0.9 | 0.1 | 443.3 | 732.1 | 449.9 | 262.8 | 386.6 | 634.1 | 215.5 | 257.0 | 90087.3 | 215.5 | 4 | 924 | 26.8 |
| uniform_v100_m000 | 1.0 | 0.0 | 432.6 | 535.0 | 479.2 | 261.3 | 375.9 | 437.0 | 244.8 | 255.5 | 70673.6 | 244.8 | 4 | 300 | 27.7 |
| baseline_V66_reference | 1.0 | 0.0 | 432.6 | 535.0 | 479.2 | 261.3 | 375.90000000000003 | 437.0 | 244.79999999999998 | 255.5 | 70576.0 | 245.0 | 4 | 300 | 27.7 |
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