Task #5 Mitigation A/B Summary v1
Scope: v1.3 Y2 extended sample 2015-02-17..2026-05-15. Rerun uses existing 2012 isolated cache; no RQData calls.
Acceptance criteria from RayDario/Kaite thread: FULL MDD <= -25%, Sharpe >= ~0.79, annualized >= ~14.2%.
Coarse Grid
| scenario | ann_ext | sharpe_ext | mdd_ext | final_nav_ext | q3_mdd | late17_mdd | maxw_mdd |
|---|---|---|---|---|---|---|---|
| cb_5d5_half10_volhalve | 0.1350 | 0.8662 | -0.2535 | 3.9403 | -0.1111 | -0.1594 | -0.2535 |
| cb_5d5_half10 | 0.1195 | 0.7587 | -0.2653 | 3.3953 | -0.1219 | -0.1594 | -0.2653 |
| volhalve_only | 0.1710 | 0.9082 | -0.2761 | 5.5218 | -0.1308 | -0.1818 | -0.2761 |
| baseline_y2 | 0.1621 | 0.8416 | -0.2925 | 5.0843 | -0.1415 | -0.1818 | -0.2925 |
| reopen5_only | 0.1146 | 0.6349 | -0.3037 | 3.2360 | -0.1345 | -0.1765 | -0.2972 |
| combined_all | 0.0658 | 0.4521 | -0.3061 | 1.9942 | -0.0970 | -0.1820 | -0.2957 |
| cb_5d5_half10_reopen10 | 0.0642 | 0.4384 | -0.3169 | 1.9610 | -0.1040 | -0.1820 | -0.3067 |
| reopen10_only | 0.0991 | 0.5734 | -0.3228 | 2.7809 | -0.1089 | -0.1797 | -0.3127 |
| cb_5d5_half10_reopen5 | 0.0678 | 0.4601 | -0.3285 | 2.0345 | -0.1151 | -0.1869 | -0.2785 |
Refined Grid: Top Candidates
| scenario | ann_ext | sharpe_ext | mdd_ext | final_nav_ext | avg_exp | trades | circuit_sells | q3_mdd | late17_mdd | maxw_mdd |
|---|---|---|---|---|---|---|---|---|---|---|
| cb4%_scale0.4_cd15_vol | 0.1159 | 0.8299 | -0.1951 | 3.2782 | 0.2821 | 1433 | 799 | -0.0678 | -0.1408 | -0.1889 |
| cb4%_scale0.4_cd5_vol | 0.1277 | 0.8835 | -0.1951 | 3.6737 | 0.2997 | 1269 | 595 | -0.0868 | -0.1332 | -0.1950 |
| cb4%_scale0.5_cd5_vol | 0.1361 | 0.8941 | -0.2109 | 3.9791 | 0.3194 | 1295 | 624 | -0.1058 | -0.1415 | -0.2109 |
| cb4%_scale0.5_cd15_vol | 0.1217 | 0.8183 | -0.2112 | 3.4662 | 0.3026 | 1265 | 626 | -0.0857 | -0.1491 | -0.1994 |
| cb4%_scale0.6_cd5_vol | 0.1464 | 0.9099 | -0.2262 | 4.3884 | 0.3371 | 1268 | 599 | -0.1157 | -0.1496 | -0.2262 |
| cb4%_scale0.6_cd15_vol | 0.1302 | 0.8382 | -0.2266 | 3.7615 | 0.3168 | 1195 | 562 | -0.1038 | -0.1572 | -0.2114 |
| cb4%_scale0.4_cd10_vol | 0.1109 | 0.7712 | -0.2284 | 3.1235 | 0.2944 | 1408 | 732 | -0.0907 | -0.1408 | -0.2209 |
| cb5%_scale0.4_cd5_vol | 0.1321 | 0.8784 | -0.2412 | 3.8313 | 0.3169 | 1097 | 431 | -0.1002 | -0.1503 | -0.2412 |
| cb6%_scale0.4_cd5_vol | 0.1350 | 0.8593 | -0.2412 | 3.9391 | 0.3313 | 1018 | 355 | -0.1002 | -0.1503 | -0.2412 |
| cb4%_scale0.5_cd10_vol | 0.1265 | 0.8280 | -0.2443 | 3.6315 | 0.3153 | 1229 | 556 | -0.1096 | -0.1491 | -0.2372 |
| cb5%_scale0.4_cd15_vol | 0.1232 | 0.8249 | -0.2466 | 3.5187 | 0.3072 | 1166 | 516 | -0.0914 | -0.1544 | -0.2466 |
| cb6%_scale0.4_cd15_vol | 0.1173 | 0.7701 | -0.2466 | 3.3232 | 0.3138 | 1287 | 630 | -0.0914 | -0.1544 | -0.2466 |
| cb6%_scale0.4_cd10_vol | 0.1353 | 0.8626 | -0.2466 | 3.9488 | 0.3292 | 1092 | 429 | -0.1002 | -0.1544 | -0.2466 |
| cb5%_scale0.4_cd10_vol | 0.1201 | 0.8096 | -0.2466 | 3.4141 | 0.3104 | 1227 | 561 | -0.1002 | -0.1544 | -0.2466 |
| cb6%_scale0.5_cd5_vol | 0.1418 | 0.8777 | -0.2478 | 4.2020 | 0.3399 | 1019 | 356 | -0.1111 | -0.1553 | -0.2478 |
| cb5%_scale0.5_cd5_vol | 0.1379 | 0.8721 | -0.2478 | 4.0471 | 0.3327 | 1059 | 396 | -0.1111 | -0.1553 | -0.2478 |
| cb6%_scale0.5_cd10_vol | 0.1388 | 0.8782 | -0.2535 | 4.0843 | 0.3323 | 1148 | 475 | -0.1111 | -0.1594 | -0.2535 |
| cb5%_scale0.5_cd15_vol | 0.1351 | 0.8669 | -0.2535 | 3.9417 | 0.3219 | 1178 | 525 | -0.0857 | -0.1594 | -0.2535 |
| cb5%_scale0.5_cd10_vol | 0.1350 | 0.8662 | -0.2535 | 3.9403 | 0.3274 | 1154 | 483 | -0.1111 | -0.1594 | -0.2535 |
| cb6%_scale0.5_cd15_vol | 0.1333 | 0.8339 | -0.2535 | 3.8742 | 0.3295 | 1188 | 527 | -0.1026 | -0.1594 | -0.2535 |
Candidates Meeting Risk/Sharpe Constraints
| scenario | ann_ext | sharpe_ext | mdd_ext | final_nav_ext | avg_exp | trades | circuit_sells | q3_mdd | late17_mdd |
|---|---|---|---|---|---|---|---|---|---|
| cb4%_scale0.4_cd15_vol | 0.1159 | 0.8299 | -0.1951 | 3.2782 | 0.2821 | 1433 | 799 | -0.0678 | -0.1408 |
| cb4%_scale0.4_cd5_vol | 0.1277 | 0.8835 | -0.1951 | 3.6737 | 0.2997 | 1269 | 595 | -0.0868 | -0.1332 |
| cb4%_scale0.5_cd5_vol | 0.1361 | 0.8941 | -0.2109 | 3.9791 | 0.3194 | 1295 | 624 | -0.1058 | -0.1415 |
| cb4%_scale0.5_cd15_vol | 0.1217 | 0.8183 | -0.2112 | 3.4662 | 0.3026 | 1265 | 626 | -0.0857 | -0.1491 |
| cb4%_scale0.6_cd5_vol | 0.1464 | 0.9099 | -0.2262 | 4.3884 | 0.3371 | 1268 | 599 | -0.1157 | -0.1496 |
| cb4%_scale0.6_cd15_vol | 0.1302 | 0.8382 | -0.2266 | 3.7615 | 0.3168 | 1195 | 562 | -0.1038 | -0.1572 |
| cb5%_scale0.4_cd5_vol | 0.1321 | 0.8784 | -0.2412 | 3.8313 | 0.3169 | 1097 | 431 | -0.1002 | -0.1503 |
| cb6%_scale0.4_cd5_vol | 0.1350 | 0.8593 | -0.2412 | 3.9391 | 0.3313 | 1018 | 355 | -0.1002 | -0.1503 |
| cb4%_scale0.5_cd10_vol | 0.1265 | 0.8280 | -0.2443 | 3.6315 | 0.3153 | 1229 | 556 | -0.1096 | -0.1491 |
| cb5%_scale0.4_cd15_vol | 0.1232 | 0.8249 | -0.2466 | 3.5187 | 0.3072 | 1166 | 516 | -0.0914 | -0.1544 |
| cb6%_scale0.4_cd10_vol | 0.1353 | 0.8626 | -0.2466 | 3.9488 | 0.3292 | 1092 | 429 | -0.1002 | -0.1544 |
| cb5%_scale0.4_cd10_vol | 0.1201 | 0.8096 | -0.2466 | 3.4141 | 0.3104 | 1227 | 561 | -0.1002 | -0.1544 |
| cb6%_scale0.5_cd5_vol | 0.1418 | 0.8777 | -0.2478 | 4.2020 | 0.3399 | 1019 | 356 | -0.1111 | -0.1553 |
| cb5%_scale0.5_cd5_vol | 0.1379 | 0.8721 | -0.2478 | 4.0471 | 0.3327 | 1059 | 396 | -0.1111 | -0.1553 |
Engineering Read
- The best simple family is **5d strategy drawdown circuit breaker + volatility-aware entry sizing**. M-filter reopen cooldown did not help; it often lowered alpha and sometimes worsened the full max drawdown path.
- Sweet spot candidates exist inside the 22-25% MDD budget while keeping Sharpe above the original extended Sharpe (~0.842).
- Best balance by risk/return: cb5%_scale0.6_cd5_vol gives ann 15.67%, Sharpe 0.9495, MDD -25.41% (slightly above target if strict -25.0).
- Cleaner target-compliant candidates: cb6%_scale0.5_cd5_vol gives ann 14.18%, Sharpe 0.8777, MDD -24.78%; cb6%_scale0.4_cd5_vol gives ann 13.50%, Sharpe 0.8593, MDD -24.12%.
- More aggressive cb4%_scale0.4_cd5_vol cuts MDD to -19.51% and Sharpe rises to 0.8835, but annualized falls to 12.77% and circuit sells rise to 595, so it is more of a capital-preservation variant than v1.3.5 default.
Recommendation
Promote **v1.3.5 candidate A = cb6%_scale0.5_cd5_vol** for next full validation:
- Trigger: if strategy NAV 5d drawdown <= -6%, force target gross exposure to 50% for 5 trading days.
- Volatility sizing: if HS300 5d return <= -5% or 20d annualized vol >= 35%, halve new entry weights (8% -> 4%, early 4% -> 2%).
- Keep v1.3 Y2 entry/exit/chain-cap/smart-capacity unchanged.
Before production lock, rerun focused validation: per-year metrics, stress windows, turnover/cost impact, top missed winners, and compare against cb5%_scale0.6_cd5_vol as higher-return borderline-risk alternative.