Lab · ML Experiments

ML — Pattern Discovery

Inverted workflow: find conditional edges in BTC data first, build strategies second.
55 experiments
Overview & Experiments 55 Synthesis Roadmap Lookahead Audit

Equity-Curve-Throttle (Turtle-Bremse) — DONCHIAN_20

Inconclusive
2026-06-11 sizingrisk-managementmonte-carloturtledonchian
Hypothesis
Die Turtle-Drawdown-Bremse (Größe −cut% pro dd_step Drawdown vom Equity-Hoch) verbessert auf DONCHIAN_20 die Rendite bei gleichem Risiko-Budget (MC DD_p95=20%) um >= 10% relativ in >= 2/3 Regime-Fenstern oder halbiert P(DD>30%) bei gleicher Rendite.
Verdict
**GEMISCHT** — beste Variante 10/30 gewinnt 1/3 Fenster.
variants
['none', '10/20', '10/30', '5/10']
dd_target
+0.2000
exposures
[0.5, 0.7, 1.0, 1.5, 2.0, 3.0]
matched_risk_ann
{'BEAR_2022': {'5/10': 21.69, 'none': 20.28, '10/20': 21.63, '10/30': 22.19}, 'BULL_2024': {'5/10': 21.23, 'none': 19.77, '10/20': 21.2, '10/30': 22.09}, 'VALIDATION_2025': {'5/10': 11.7, 'none': 11.25, '10/20': 11.81, '10/30': 12.19}}

Equity-Curve-Throttle (Turtle-Bremse) — DONCHIAN_20

2026-06-11 · status: inconclusive · 12.8s

Hypothesis: Die Turtle-Drawdown-Bremse (Größe −cut% pro dd_step Drawdown vom Equity-Hoch) verbessert auf DONCHIAN_20 die Rendite bei gleichem Risiko-Budget (MC DD_p95=20%) um >= 10% relativ in >= 2/3 Regime-Fenstern oder halbiert P(DD>30%) bei gleicher Rendite.

Verdict: GEMISCHT — beste Variante 10/30 gewinnt 1/3 Fenster.

Key metrics

metric value
dd_target +0.2000
matched_risk_ann {'BEAR_2022': {'none': 20.28, '10/20': 21.63, '10/30': 22.19, '5/10': 21.69}, 'BULL_2024': {'none': 19.77, '10/20': 21.2, '10/30': 22.09, '5/10': 21.23}, 'VALIDATION_2025': {'none': 11.25, '10/20': 11.81, '10/30': 12.19, '5/10': 11.7}}
variants ['none', '10/20', '10/30', '5/10']
exposures [0.5, 0.7, 1.0, 1.5, 2.0, 3.0]

BEAR_2022 — 71 trades / 1.00y

throttle exposure ann_p5 ann_p50 ann_p95 dd_p95 p_dd30 p_dd50
none 0.5 -4.98 13.02 33.58 13.33 0 0
none 0.7 -7.16 18.28 49.41 18.24 0.0007 0
none 1 -10.64 26.21 76.08 25.21 0.0167 0
none 1.5 -16.71 39.36 129.36 35.73 0.134 0.0037
none 2 -23.2 52.4 195.21 45.02 0.34 0.0247
none 3 -36.7 76.04 370.62 60.32 0.732 0.172
10/20 0.5 -5.11 12.95 33.58 12.95 0 0
10/20 0.7 -7.54 17.94 49.39 17.04 0 0
10/20 1 -11.2 24.88 75.8 22.61 0.0037 0
10/20 1.5 -16.2 35.07 125.29 29.98 0.0497 0
10/20 2 -20.73 43.92 182.27 35.88 0.1923 0.0003
10/20 3 -28.8 56.22 311.89 45.27 0.5727 0.015
10/30 0.5 -5.54 12.91 33.58 12.8 0 0
10/30 0.7 -7.88 17.69 49.39 16.44 0 0
10/30 1 -10.95 24.13 75.78 21.54 0.0007 0
10/30 1.5 -15.68 32.75 123.3 27.5 0.0233 0
10/30 2 -19.54 39.52 175.99 32.75 0.117 0
10/30 3 -26.45 46.54 283.68 39.89 0.455 0.0007
5/10 0.5 -5.19 12.63 33.52 12.51 0 0
5/10 0.7 -7.35 17.44 48.92 16.53 0 0
5/10 1 -10.5 24.03 74.15 21.91 0.0023 0
5/10 1.5 -15.35 34.01 121.01 29.19 0.0413 0
5/10 2 -20.25 42.11 174.14 35.24 0.1693 0.0003
5/10 3 -28.79 53.27 289.29 44.68 0.5357 0.0123

Matched risk (DD_p95 = 20%): none: +20.3%/y · 10/20: +21.6%/y · 10/30: +22.2%/y · 5/10: +21.7%/y

BULL_2024 — 63 trades / 1.00y

throttle exposure ann_p5 ann_p50 ann_p95 dd_p95 p_dd30 p_dd50
none 0.5 -4.39 10.56 30.17 11.27 0 0
none 0.7 -6.26 14.85 44.25 15.47 0 0
none 1 -9.17 21.35 67.79 21.46 0.0017 0
none 1.5 -14.28 32.15 114.21 30.8 0.057 0
none 2 -19.74 42.94 171.44 39.25 0.2023 0.003
none 3 -30.69 63.46 324.74 53.5 0.5817 0.0833
10/20 0.5 -4.59 10.56 30.17 11.18 0 0
10/20 0.7 -6.8 14.75 44.25 14.72 0 0
10/20 1 -9.58 20.74 67.45 19.67 0 0
10/20 1.5 -14.29 29.99 111.84 26.29 0.0147 0
10/20 2 -18.13 37.8 163.74 32.19 0.0913 0
10/20 3 -25.79 51.27 292.87 41.37 0.4137 0.001
10/30 0.5 -4.63 10.56 30.17 11.16 0 0
10/30 0.7 -6.77 14.65 44.25 14.23 0 0
10/30 1 -9.48 20.4 67.45 18.78 0 0
10/30 1.5 -13.85 28.74 111.07 24.79 0.0033 0
10/30 2 -17.61 35.47 159.78 29.44 0.042 0
10/30 3 -23.93 46.18 279.32 36.59 0.289 0
5/10 0.5 -4.55 10.42 30.13 10.72 0 0
5/10 0.7 -6.47 14.42 43.85 14.33 0 0
5/10 1 -9.04 20.14 66.43 19.19 0 0
5/10 1.5 -13.48 29.12 109.58 25.89 0.0113 0
5/10 2 -17.48 37.07 161.08 31.46 0.0753 0
5/10 3 -24.87 51.1 286.04 40.45 0.3667 0.0003

Matched risk (DD_p95 = 20%): none: +19.8%/y · 10/20: +21.2%/y · 10/30: +22.1%/y · 5/10: +21.2%/y

VALIDATION_2025 — 86 trades / 1.37y

throttle exposure ann_p5 ann_p50 ann_p95 dd_p95 p_dd30 p_dd50
none 0.5 -3.99 6.11 19.09 11.18 0 0
none 0.7 -5.65 8.5 27.45 15.36 0 0
none 1 -8.2 12.02 40.8 21.29 0.0033 0
none 1.5 -12.58 17.64 65.28 30.48 0.055 0.0007
none 2 -17.09 22.89 93.05 38.72 0.2023 0.0047
none 3 -26.33 32.04 158.57 52.88 0.567 0.0813
10/20 0.5 -4.03 6.11 19.09 11.1 0 0
10/20 0.7 -5.92 8.4 27.34 14.57 0 0
10/20 1 -8.44 11.48 40.67 19.53 0.001 0
10/20 1.5 -12.11 16.08 64.54 26.18 0.0123 0
10/20 2 -15.9 19.52 88.74 32.05 0.0897 0
10/20 3 -21.81 24.23 142.94 40.72 0.3707 0.003
10/30 0.5 -4.05 6.11 19.09 11 0 0
10/30 0.7 -6.04 8.33 27.34 14.16 0 0
10/30 1 -8.38 11.25 40.59 18.58 0 0
10/30 1.5 -11.81 15.12 63.5 24.42 0.0047 0
10/30 2 -15.1 17.6 86.36 29.24 0.036 0
10/30 3 -19.81 21.3 136.85 36.19 0.2547 0
5/10 0.5 -4.1 5.99 19 10.65 0 0
5/10 0.7 -5.72 8.15 27.34 14.15 0 0
5/10 1 -8.18 11.01 40.14 18.95 0.0003 0
5/10 1.5 -11.72 15.45 62.48 25.72 0.009 0
5/10 2 -15.19 18.91 86.04 31.26 0.0733 0
5/10 3 -20.89 24.14 138.74 39.95 0.3307 0.0023

Matched risk (DD_p95 = 20%): none: +11.3%/y · 10/20: +11.8%/y · 10/30: +12.2%/y · 5/10: +11.7%/y