Overview & Experiments 61 Synthesis Roadmap Lookahead Audit

Conditional Vol-Targeting — size only in vol extremes (G1 follow-up)

Rejected

2026-06-11 vol-targetsizingrisk-managementdonchian

Hypothesis

Conditional vol-targeting (halve size only in the top RV quintile / increase by 1.5x in the bottom quintile, otherwise leave untouched) raises the per-trade Sharpe on DONCHIAN_20 by >= +0.2 vs. baseline and beats the permanent G1 rule — consistent with FAJ 2020 (Momentum +0.23).

Verdict

**NO ADVANTAGE** — conditional -0.044 vs. permanent -0.010 Sharpe lift; the FAJ conditionality does not carry over to the BTC 4h Donchian. Vol proxy: trailing RV (persistence) as in G1 — GBM forecast (IC 0.83) as the next stage.

mults

[+1.5000, +0.5000]

windows

['BEAR_2022', 'BULL_2024', 'VALIDATION_2025']

pctl_window_days

quantile_thresholds

[+0.2000, +0.8000]

avg_sharpe_lift_permanent

-0.0103

avg_sharpe_lift_conditional

-0.0437

Conditional Vol-Targeting — size only in vol extremes (G1 follow-up)

2026-06-11 · status: rejected · 3.0s

Hypothesis: Conditional vol-targeting (halve size only in the top RV quintile / increase by 1.5x in the bottom quintile, otherwise leave untouched) raises the per-trade Sharpe on DONCHIAN_20 by >= +0.2 vs. baseline and beats the permanent G1 rule — consistent with FAJ 2020 (Momentum +0.23).

Verdict: NO ADVANTAGE — conditional -0.044 vs. permanent -0.010 Sharpe lift; the FAJ conditionality does not carry over to the BTC 4h Donchian. Vol proxy: trailing RV (persistence) as in G1 — GBM forecast (IC 0.83) as the next stage.

Key metrics

metric	value
avg_sharpe_lift_permanent	`-0.0103`
avg_sharpe_lift_conditional	`-0.0437`
quantile_thresholds	`[+0.2000, +0.8000]`
mults	`[+1.5000, +0.5000]`
pctl_window_days	`90`
windows	`['BEAR_2022', 'BULL_2024', 'VALIDATION_2025']`

BEAR_2022 — 71 trades / 1.00y

rule	n_trades	ann_ret	max_dd	sharpe	mean_mult	pct_adjusted
baseline	71	25.36	11.87	1.154	1	0
permanent	71	8.67	7.41	0.727	0.635	1
conditional	71	10.07	8.74	0.761	0.655	0.69

BULL_2024 — 63 trades / 1.00y

rule	n_trades	ann_ret	max_dd	sharpe	mean_mult	pct_adjusted
baseline	63	22.33	11.72	1.226	1	0
permanent	63	25.74	6.83	1.672	0.746	1
conditional	63	22.41	7.8	1.563	0.698	0.603

VALIDATION_2025 — 86 trades / 1.37y

rule	n_trades	ann_ret	max_dd	sharpe	mean_mult	pct_adjusted
baseline	86	12.36	14.01	0.864	1	0
permanent	86	10.23	12.79	0.814	0.929	1
conditional	86	7.98	10.77	0.789	0.715	0.57