zhaoli
718b048df9
- 3 detector types (dispersion/vol/HMM) × 14 configs across 5 years - Dispersion gates: 0% trip rate everywhere (dead) - Vol gates: trip differential +32-47pp but destroy returns in good years - HMM gates: +6pp differential, hmm_0.7 improves 2023/2025 but kills 2026 - Guard candidate regime gate REFUTED (ch 11) - Script: book/scripts/regime_gate_bt.py - Results: book/data/regime_gate/regime_gate_trip_rates.csv
7.1 KiB
7.1 KiB
| 1 | window | gate | start | end | trade_dates | gate_open | gate_closed | trip_rate | base_ann | base_sharpe | base_maxDD | gated_ann | gated_sharpe | gated_maxDD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 2026 | disp_0.010 | 2026-01-04 | 2026-08-19 | 157 | 157 | 0 | 0.0 | 0.255023 | 1.4465 | -0.080671 | 0.255023 | 1.4465 | -0.080671 |
| 3 | 2026 | disp_0.015 | 2026-01-04 | 2026-08-19 | 157 | 157 | 0 | 0.0 | 0.255023 | 1.4465 | -0.080671 | 0.255023 | 1.4465 | -0.080671 |
| 4 | 2026 | disp_0.020 | 2026-01-04 | 2026-08-19 | 157 | 157 | 0 | 0.0 | 0.255023 | 1.4465 | -0.080671 | 0.255023 | 1.4465 | -0.080671 |
| 5 | 2026 | disp_0.025 | 2026-01-04 | 2026-08-19 | 157 | 157 | 0 | 0.0 | 0.255023 | 1.4465 | -0.080671 | 0.255023 | 1.4465 | -0.080671 |
| 6 | 2026 | disp_0.030 | 2026-01-04 | 2026-08-19 | 157 | 157 | 0 | 0.0 | 0.255023 | 1.4465 | -0.080671 | 0.255023 | 1.4465 | -0.080671 |
| 7 | 2026 | vol_low_max15 | 2026-01-04 | 2026-08-19 | 157 | 0 | 157 | 1.0 | 0.255023 | 1.4465 | -0.080671 | 0.0 | 0.0 | 0.0 |
| 8 | 2026 | vol_low_max20 | 2026-01-04 | 2026-08-19 | 157 | 12 | 145 | 0.9236 | 0.255023 | 1.4465 | -0.080671 | 0.043049 | 1.1515 | -0.023108 |
| 9 | 2026 | vol_low_max25 | 2026-01-04 | 2026-08-19 | 157 | 58 | 99 | 0.6306 | 0.255023 | 1.4465 | -0.080671 | -0.016384 | -0.1645 | -0.108398 |
| 10 | 2026 | vol_10_25 | 2026-01-04 | 2026-08-19 | 157 | 58 | 99 | 0.6306 | 0.255023 | 1.4465 | -0.080671 | -0.016384 | -0.1645 | -0.108398 |
| 11 | 2026 | vol_10_30 | 2026-01-04 | 2026-08-19 | 157 | 157 | 0 | 0.0 | 0.255023 | 1.4465 | -0.080671 | 0.255023 | 1.4465 | -0.080671 |
| 12 | 2026 | hmm_0.3 | 2026-01-04 | 2026-08-19 | 157 | 157 | 0 | 0.0 | 0.255023 | 1.4465 | -0.080671 | 0.255023 | 1.4465 | -0.080671 |
| 13 | 2026 | hmm_0.5 | 2026-01-04 | 2026-08-19 | 157 | 153 | 4 | 0.0255 | 0.255023 | 1.4465 | -0.080671 | 0.149795 | 0.9136 | -0.080671 |
| 14 | 2026 | hmm_0.7 | 2026-01-04 | 2026-08-19 | 157 | 99 | 58 | 0.3694 | 0.255023 | 1.4465 | -0.080671 | 0.10771 | 1.0292 | -0.057741 |
| 15 | 2026 | hmm_0.9 | 2026-01-04 | 2026-08-19 | 157 | 0 | 157 | 1.0 | 0.255023 | 1.4465 | -0.080671 | 0.0 | 0.0 | 0.0 |
| 16 | 2025 | disp_0.010 | 2025-01-02 | 2025-12-31 | 250 | 250 | 0 | 0.0 | 0.177515 | 0.8573 | -0.217417 | 0.177515 | 0.8573 | -0.217417 |
| 17 | 2025 | disp_0.015 | 2025-01-02 | 2025-12-31 | 250 | 250 | 0 | 0.0 | 0.177515 | 0.8573 | -0.217417 | 0.177515 | 0.8573 | -0.217417 |
| 18 | 2025 | disp_0.020 | 2025-01-02 | 2025-12-31 | 250 | 250 | 0 | 0.0 | 0.177515 | 0.8573 | -0.217417 | 0.177515 | 0.8573 | -0.217417 |
| 19 | 2025 | disp_0.025 | 2025-01-02 | 2025-12-31 | 250 | 250 | 0 | 0.0 | 0.177515 | 0.8573 | -0.217417 | 0.177515 | 0.8573 | -0.217417 |
| 20 | 2025 | disp_0.030 | 2025-01-02 | 2025-12-31 | 250 | 250 | 0 | 0.0 | 0.177515 | 0.8573 | -0.217417 | 0.177515 | 0.8573 | -0.217417 |
| 21 | 2025 | vol_low_max15 | 2025-01-02 | 2025-12-31 | 250 | 0 | 250 | 1.0 | 0.177515 | 0.8573 | -0.217417 | 0.0 | 0.0 | 0.0 |
| 22 | 2025 | vol_low_max20 | 2025-01-02 | 2025-12-31 | 250 | 90 | 160 | 0.64 | 0.177515 | 0.8573 | -0.217417 | 0.144812 | 2.0398 | -0.0378 |
| 23 | 2025 | vol_low_max25 | 2025-01-02 | 2025-12-31 | 250 | 178 | 72 | 0.288 | 0.177515 | 0.8573 | -0.217417 | 0.127917 | 1.0934 | -0.11916 |
| 24 | 2025 | vol_10_25 | 2025-01-02 | 2025-12-31 | 250 | 178 | 72 | 0.288 | 0.177515 | 0.8573 | -0.217417 | 0.127917 | 1.0934 | -0.11916 |
| 25 | 2025 | vol_10_30 | 2025-01-02 | 2025-12-31 | 250 | 212 | 38 | 0.152 | 0.177515 | 0.8573 | -0.217417 | 0.173997 | 1.2001 | -0.130753 |
| 26 | 2025 | hmm_0.3 | 2025-01-02 | 2025-12-31 | 250 | 244 | 6 | 0.024 | 0.177515 | 0.8573 | -0.217417 | 0.221577 | 1.364 | -0.14578 |
| 27 | 2025 | hmm_0.5 | 2025-01-02 | 2025-12-31 | 250 | 233 | 17 | 0.068 | 0.177515 | 0.8573 | -0.217417 | 0.280047 | 1.9219 | -0.070373 |
| 28 | 2025 | hmm_0.7 | 2025-01-02 | 2025-12-31 | 250 | 185 | 65 | 0.26 | 0.177515 | 0.8573 | -0.217417 | 0.268006 | 2.4144 | -0.070373 |
| 29 | 2025 | hmm_0.9 | 2025-01-02 | 2025-12-31 | 250 | 0 | 250 | 1.0 | 0.177515 | 0.8573 | -0.217417 | 0.0 | 0.0 | 0.0 |
| 30 | 2024 | disp_0.010 | 2024-01-02 | 2024-12-31 | 253 | 253 | 0 | 0.0 | 0.08229 | 0.5594 | -0.10685 | 0.08229 | 0.5594 | -0.10685 |
| 31 | 2024 | disp_0.015 | 2024-01-02 | 2024-12-31 | 253 | 253 | 0 | 0.0 | 0.08229 | 0.5594 | -0.10685 | 0.08229 | 0.5594 | -0.10685 |
| 32 | 2024 | disp_0.020 | 2024-01-02 | 2024-12-31 | 253 | 253 | 0 | 0.0 | 0.08229 | 0.5594 | -0.10685 | 0.08229 | 0.5594 | -0.10685 |
| 33 | 2024 | disp_0.025 | 2024-01-02 | 2024-12-31 | 253 | 253 | 0 | 0.0 | 0.08229 | 0.5594 | -0.10685 | 0.08229 | 0.5594 | -0.10685 |
| 34 | 2024 | disp_0.030 | 2024-01-02 | 2024-12-31 | 253 | 253 | 0 | 0.0 | 0.08229 | 0.5594 | -0.10685 | 0.08229 | 0.5594 | -0.10685 |
| 35 | 2024 | vol_low_max15 | 2024-01-02 | 2024-12-31 | 253 | 0 | 253 | 1.0 | 0.08229 | 0.5594 | -0.10685 | 0.0 | 0.0 | 0.0 |
| 36 | 2024 | vol_low_max20 | 2024-01-02 | 2024-12-31 | 253 | 86 | 167 | 0.6601 | 0.08229 | 0.5594 | -0.10685 | 0.000386 | 0.0056 | -0.063954 |
| 37 | 2024 | vol_low_max25 | 2024-01-02 | 2024-12-31 | 253 | 179 | 74 | 0.2925 | 0.08229 | 0.5594 | -0.10685 | 0.081492 | 0.6993 | -0.070375 |
| 38 | 2024 | vol_10_25 | 2024-01-02 | 2024-12-31 | 253 | 179 | 74 | 0.2925 | 0.08229 | 0.5594 | -0.10685 | 0.081492 | 0.6993 | -0.070375 |
| 39 | 2024 | vol_10_30 | 2024-01-02 | 2024-12-31 | 253 | 234 | 19 | 0.0751 | 0.08229 | 0.5594 | -0.10685 | 0.089809 | 0.6617 | -0.068417 |
| 40 | 2024 | hmm_0.3 | 2024-01-02 | 2024-12-31 | 253 | 253 | 0 | 0.0 | 0.08229 | 0.5594 | -0.10685 | 0.08229 | 0.5594 | -0.10685 |
| 41 | 2024 | hmm_0.5 | 2024-01-02 | 2024-12-31 | 253 | 249 | 4 | 0.0158 | 0.08229 | 0.5594 | -0.10685 | 0.136453 | 0.959 | -0.081611 |
| 42 | 2024 | hmm_0.7 | 2024-01-02 | 2024-12-31 | 253 | 213 | 40 | 0.1581 | 0.08229 | 0.5594 | -0.10685 | 0.172432 | 1.6081 | -0.051163 |
| 43 | 2024 | hmm_0.9 | 2024-01-02 | 2024-12-31 | 253 | 0 | 253 | 1.0 | 0.08229 | 0.5594 | -0.10685 | 0.0 | 0.0 | 0.0 |
| 44 | 2023 | disp_0.010 | 2023-01-03 | 2023-12-29 | 250 | 250 | 0 | 0.0 | -0.047644 | -0.2738 | -0.197856 | -0.047644 | -0.2738 | -0.197856 |
| 45 | 2023 | disp_0.015 | 2023-01-03 | 2023-12-29 | 250 | 250 | 0 | 0.0 | -0.047644 | -0.2738 | -0.197856 | -0.047644 | -0.2738 | -0.197856 |
| 46 | 2023 | disp_0.020 | 2023-01-03 | 2023-12-29 | 250 | 250 | 0 | 0.0 | -0.047644 | -0.2738 | -0.197856 | -0.047644 | -0.2738 | -0.197856 |
| 47 | 2023 | disp_0.025 | 2023-01-03 | 2023-12-29 | 250 | 250 | 0 | 0.0 | -0.047644 | -0.2738 | -0.197856 | -0.047644 | -0.2738 | -0.197856 |
| 48 | 2023 | disp_0.030 | 2023-01-03 | 2023-12-29 | 250 | 250 | 0 | 0.0 | -0.047644 | -0.2738 | -0.197856 | -0.047644 | -0.2738 | -0.197856 |
| 49 | 2023 | vol_low_max15 | 2023-01-03 | 2023-12-29 | 250 | 0 | 250 | 1.0 | -0.047644 | -0.2738 | -0.197856 | 0.0 | 0.0 | 0.0 |
| 50 | 2023 | vol_low_max20 | 2023-01-03 | 2023-12-29 | 250 | 103 | 147 | 0.588 | -0.047644 | -0.2738 | -0.197856 | -0.052602 | -0.5107 | -0.148726 |
| 51 | 2023 | vol_low_max25 | 2023-01-03 | 2023-12-29 | 250 | 245 | 5 | 0.02 | -0.047644 | -0.2738 | -0.197856 | -0.077097 | -0.4555 | -0.179606 |
| 52 | 2023 | vol_10_25 | 2023-01-03 | 2023-12-29 | 250 | 245 | 5 | 0.02 | -0.047644 | -0.2738 | -0.197856 | -0.077097 | -0.4555 | -0.179606 |
| 53 | 2023 | vol_10_30 | 2023-01-03 | 2023-12-29 | 250 | 250 | 0 | 0.0 | -0.047644 | -0.2738 | -0.197856 | -0.047644 | -0.2738 | -0.197856 |
| 54 | 2023 | hmm_0.3 | 2023-01-03 | 2023-12-29 | 250 | 250 | 0 | 0.0 | -0.047644 | -0.2738 | -0.197856 | -0.047644 | -0.2738 | -0.197856 |
| 55 | 2023 | hmm_0.5 | 2023-01-03 | 2023-12-29 | 250 | 242 | 8 | 0.032 | -0.047644 | -0.2738 | -0.197856 | -0.005112 | -0.0312 | -0.171319 |
| 56 | 2023 | hmm_0.7 | 2023-01-03 | 2023-12-29 | 250 | 119 | 131 | 0.524 | -0.047644 | -0.2738 | -0.197856 | 0.006276 | 0.0709 | -0.084209 |
| 57 | 2023 | hmm_0.9 | 2023-01-03 | 2023-12-29 | 250 | 0 | 250 | 1.0 | -0.047644 | -0.2738 | -0.197856 | 0.0 | 0.0 | 0.0 |
| 58 | 2021 | disp_0.010 | 2021-01-04 | 2021-12-31 | 252 | 252 | 0 | 0.0 | 0.18367 | 1.0979 | -0.102651 | 0.18367 | 1.0979 | -0.102651 |
| 59 | 2021 | disp_0.015 | 2021-01-04 | 2021-12-31 | 252 | 252 | 0 | 0.0 | 0.18367 | 1.0979 | -0.102651 | 0.18367 | 1.0979 | -0.102651 |
| 60 | 2021 | disp_0.020 | 2021-01-04 | 2021-12-31 | 252 | 252 | 0 | 0.0 | 0.18367 | 1.0979 | -0.102651 | 0.18367 | 1.0979 | -0.102651 |
| 61 | 2021 | disp_0.025 | 2021-01-04 | 2021-12-31 | 252 | 252 | 0 | 0.0 | 0.18367 | 1.0979 | -0.102651 | 0.18367 | 1.0979 | -0.102651 |
| 62 | 2021 | disp_0.030 | 2021-01-04 | 2021-12-31 | 252 | 252 | 0 | 0.0 | 0.18367 | 1.0979 | -0.102651 | 0.18367 | 1.0979 | -0.102651 |
| 63 | 2021 | vol_low_max15 | 2021-01-04 | 2021-12-31 | 252 | 0 | 252 | 1.0 | 0.18367 | 1.0979 | -0.102651 | 0.0 | 0.0 | 0.0 |
| 64 | 2021 | vol_low_max20 | 2021-01-04 | 2021-12-31 | 252 | 111 | 141 | 0.5595 | 0.18367 | 1.0979 | -0.102651 | 0.052323 | 0.6232 | -0.065118 |
| 65 | 2021 | vol_low_max25 | 2021-01-04 | 2021-12-31 | 252 | 212 | 40 | 0.1587 | 0.18367 | 1.0979 | -0.102651 | 0.099622 | 0.7322 | -0.077033 |
| 66 | 2021 | vol_10_25 | 2021-01-04 | 2021-12-31 | 252 | 212 | 40 | 0.1587 | 0.18367 | 1.0979 | -0.102651 | 0.099622 | 0.7322 | -0.077033 |
| 67 | 2021 | vol_10_30 | 2021-01-04 | 2021-12-31 | 252 | 252 | 0 | 0.0 | 0.18367 | 1.0979 | -0.102651 | 0.18367 | 1.0979 | -0.102651 |
| 68 | 2021 | hmm_0.3 | 2021-01-04 | 2021-12-31 | 252 | 252 | 0 | 0.0 | 0.18367 | 1.0979 | -0.102651 | 0.18367 | 1.0979 | -0.102651 |
| 69 | 2021 | hmm_0.5 | 2021-01-04 | 2021-12-31 | 252 | 243 | 9 | 0.0357 | 0.18367 | 1.0979 | -0.102651 | 0.180238 | 1.1183 | -0.116244 |
| 70 | 2021 | hmm_0.7 | 2021-01-04 | 2021-12-31 | 252 | 190 | 62 | 0.246 | 0.18367 | 1.0979 | -0.102651 | 0.184264 | 1.7758 | -0.095388 |
| 71 | 2021 | hmm_0.9 | 2021-01-04 | 2021-12-31 | 252 | 0 | 252 | 1.0 | 0.18367 | 1.0979 | -0.102651 | 0.0 | 0.0 | 0.0 |