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

Sizing sweep DONCHIAN_20 — fixed-fraction vs risk-based, % caps

Inconclusive
2026-06-11 sizingrisk-managementbacktestmonte-carlodonchian
Hypothesis
On the deployed DONCHIAN_20 (P2_14239), risk-based sizing (constant %-of-equity loss per stop-out) beats fixed-fraction sizing by >= 10% relative median annual return at matched risk (MC DD_p95 = 20%) in >= 2 of 3 regime windows, and a percentage cap removes the compounding chokehold of the absolute $12 cap.
Verdict
**NO CLEAR WINNER** — matched-risk returns are close (fixed avg +17.1%/y, risk avg +19.0%/y, risk wins 1/3 windows). Legacy $12-cap check: median annual +2.4% at $100 start vs +0.2% at $1000 — the absolute cap kills compounding as capital grows.
windows
['BEAR_2022', 'BULL_2024', 'VALIDATION_2025']
risk_wins_windows
1/3
exposure_cap_riskbased
+4.0000
matched_risk_dd_target
+0.2000
legacy_ann_p50_at_100usd
+2.3600
legacy_ann_p50_at_1000usd
+0.2400
avg_ann_at_matched_risk_fixed
+17.1000
avg_ann_at_matched_risk_riskbased
+19.0000

Sizing sweep DONCHIAN_20 — fixed-fraction vs risk-based, % caps

2026-06-11 · status: inconclusive · 5.5s

Hypothesis: On the deployed DONCHIAN_20 (P2_14239), risk-based sizing (constant %-of-equity loss per stop-out) beats fixed-fraction sizing by >= 10% relative median annual return at matched risk (MC DD_p95 = 20%) in >= 2 of 3 regime windows, and a percentage cap removes the compounding chokehold of the absolute $12 cap.

Verdict: NO CLEAR WINNER — matched-risk returns are close (fixed avg +17.1%/y, risk avg +19.0%/y, risk wins 1/3 windows). Legacy $12-cap check: median annual +2.4% at $100 start vs +0.2% at $1000 — the absolute cap kills compounding as capital grows.

Key metrics

metric value
matched_risk_dd_target +0.2000
avg_ann_at_matched_risk_fixed +17.1000
avg_ann_at_matched_risk_riskbased +19.0000
risk_wins_windows 1/3
legacy_ann_p50_at_100usd +2.3600
legacy_ann_p50_at_1000usd +0.2400
windows ['BEAR_2022', 'BULL_2024', 'VALIDATION_2025']
exposure_cap_riskbased +4.0000

BEAR_2022 — 71 trades / 1.00y

family level realized_ann realized_dd sharpe ann_p5 ann_p50 ann_p95 dd_p50 dd_p95 p_dd30 p_dd50 p_ruin
fixed 0.12 3 1.49 1.154 -1.13 3.09 7.32 1.69 3.34 0 0 0
fixed 0.5 12.61 6.09 1.154 -4.98 13.02 33.58 6.89 13.33 0 0 0
fixed 0.7 17.71 8.43 1.154 -7.16 18.28 49.41 9.55 18.24 0.0007 0 0
fixed 1 25.36 11.87 1.154 -10.64 26.21 76.08 13.44 25.21 0.0167 0 0
fixed 1.5 37.97 17.35 1.154 -16.71 39.36 129.36 19.69 35.73 0.134 0.0037 0
fixed 2 50.17 22.56 1.154 -23.2 52.4 195.21 25.64 45.02 0.34 0.0247 0
fixed 3 72.1 32.18 1.154 -36.7 76.04 370.62 36.77 60.32 0.732 0.172 0
risk 0.25 2.01 1.65 0.824 -2.08 2.09 6.32 1.92 3.92 0 0 0
risk 0.5 4.01 3.3 0.824 -4.18 4.16 12.95 3.81 7.7 0 0 0
risk 0.75 5.98 4.94 0.824 -6.27 6.21 19.93 5.68 11.36 0 0 0
risk 1 7.92 6.56 0.824 -8.38 8.24 27.25 7.52 14.9 0 0 0
risk 1.5 11.71 9.78 0.824 -12.58 12.2 42.96 11.14 21.61 0.0037 0 0
risk 2 15.37 12.95 0.824 -16.76 16.07 60.21 14.63 27.97 0.0303 0 0
risk 3 23.52 18.27 0.863 -24.29 24.64 101.86 20.98 38.55 0.1893 0.0047 0
legacy 100 2.99 1.47 1.174 -1.11 3.08 7.1 1.65 3.33 0 0 0
legacy 1000 0.3 0.15 1.156 -0.11 0.31 0.71 0.17 0.34 0 0 0

Matched risk (MC DD_p95 = 20%): fixed +20.3%/y vs risk-based +11.2%/y

BULL_2024 — 63 trades / 1.00y

family level realized_ann realized_dd sharpe ann_p5 ann_p50 ann_p95 dd_p50 dd_p95 p_dd30 p_dd50 p_ruin
fixed 0.12 2.62 1.45 1.226 -1.01 2.51 6.62 1.44 2.79 0 0 0
fixed 0.5 11.03 5.96 1.226 -4.39 10.56 30.17 5.92 11.27 0 0 0
fixed 0.7 15.53 8.29 1.226 -6.26 14.85 44.25 8.22 15.47 0 0 0
fixed 1 22.33 11.72 1.226 -9.17 21.35 67.79 11.6 21.46 0.0017 0 0
fixed 1.5 33.76 17.29 1.226 -14.28 32.15 114.21 17.05 30.8 0.057 0 0
fixed 2 45.16 22.64 1.226 -19.74 42.94 171.44 22.26 39.25 0.2023 0.003 0
fixed 3 67.25 32.72 1.226 -30.69 63.46 324.74 32 53.5 0.5817 0.0833 0
risk 0.25 4.72 1.29 1.597 -0.36 4.49 10.46 1.6 3.01 0 0 0
risk 0.5 9.56 2.57 1.597 -0.79 9.09 21.86 3.19 5.93 0 0 0
risk 0.75 14.54 3.86 1.597 -1.29 13.78 34.28 4.75 8.81 0 0 0
risk 1 19.63 5.13 1.597 -1.85 18.58 47.86 6.3 11.6 0 0 0
risk 1.5 30.19 7.67 1.597 -3.16 28.49 78.84 9.34 16.96 0 0 0
risk 2 41.22 10.18 1.597 -4.72 38.8 115.07 12.33 22.07 0.0033 0 0
risk 3 64.57 15.12 1.597 -8.3 60.43 207.5 18.09 31.56 0.0747 0 0
legacy 100 2.61 1.42 1.238 -1 2.5 6.43 1.42 2.8 0 0 0
legacy 1000 0.26 0.14 1.227 -0.1 0.25 0.64 0.14 0.28 0 0 0

Matched risk (MC DD_p95 = 20%): fixed +19.8%/y vs risk-based +34.6%/y

VALIDATION_2025 — 86 trades / 1.37y

family level realized_ann realized_dd sharpe ann_p5 ann_p50 ann_p95 dd_p50 dd_p95 p_dd30 p_dd50 p_ruin
fixed 0.12 1.52 1.78 0.864 -0.93 1.49 4.35 1.43 2.79 0 0 0
fixed 0.5 6.28 7.24 0.864 -3.99 6.11 19.09 5.87 11.18 0 0 0
fixed 0.7 8.74 10.01 0.864 -5.65 8.5 27.45 8.15 15.36 0 0 0
fixed 1 12.36 14.01 0.864 -8.2 12.02 40.8 11.5 21.29 0.0033 0 0
fixed 1.5 18.18 20.31 0.864 -12.58 17.64 65.28 16.87 30.48 0.055 0.0007 0
fixed 2 23.66 26.19 0.864 -17.09 22.89 93.05 22.02 38.72 0.2023 0.0047 0
fixed 3 33.41 36.77 0.864 -26.33 32.04 158.57 31.61 52.88 0.567 0.0813 0
risk 0.25 2.32 2.77 0.83 -1.53 2.37 6.55 2.27 4.5 0 0 0
risk 0.5 4.61 5.47 0.83 -3.1 4.72 13.42 4.5 8.83 0 0 0
risk 0.75 6.87 8.1 0.83 -4.68 7.05 20.62 6.71 12.98 0 0 0
risk 1 9.09 10.66 0.83 -6.32 9.34 28.16 8.87 16.96 0 0 0
risk 1.5 13.42 15.6 0.83 -9.71 13.77 44.32 13.09 24.45 0.012 0 0
risk 2 17.57 20.28 0.83 -13.16 18.05 61.92 17.17 31.37 0.0683 0.001 0
risk 3 23.8 28.94 0.798 -21.05 24.45 98.71 25.03 43.96 0.3007 0.0187 0
legacy 100 1.52 1.73 0.876 -0.93 1.49 4.25 1.41 2.79 0 0 0
legacy 1000 0.15 0.18 0.865 -0.09 0.15 0.43 0.14 0.28 0 0 0

Matched risk (MC DD_p95 = 20%): fixed +11.3%/y vs risk-based +11.1%/y

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