TEST ISOLÉ WALK-FORWARD — TRIPLE BARRIER GRID
H courts/longs, TP/SL fixes et dynamiques
30 configs. Dataset 5m OHLC resamplé 6h, high/low utilisés pour TP/SL. Score principal: non-overlap / 1 position max; score empilé en diagnostic seulement.
Configs30
Best score109.17
Best gain163.9%
Best cfgdyn_H32_k30
Leaderboard non-overlap
| Config | Seuil | Val score | Test score | Gain | DD | TP | SL | Timeout | Trade rate | Stacked score |
|---|---|---|---|---|---|---|---|---|---|---|
| Dynamic vol TP/SL k=3.0, H=32 dyn_H32_k30 · H=32 · dyn ktp=3.0 ksl=3.0 · ridge | p80 | -41.70 | 109.17 | 163.89% | -36.48% | 33.3% | 15.6% | 51.1% | 3.1% | -93.36 |
| Dynamic vol TP/SL k=2.25, H=4 dyn_H4_k225 · H=4 · dyn ktp=2.25 ksl=2.25 · ridge | p80 | 17.09 | 69.10 | 92.08% | -15.32% | 10.8% | 4.7% | 84.5% | 10.1% | 12.25 |
| Dynamic vol TP/SL k=2.25, H=32 dyn_H32_k225 · H=32 · dyn ktp=2.25 ksl=2.25 · ridge | p80 | -123.32 | 52.00 | 108.09% | -37.40% | 31.1% | 17.8% | 51.1% | 3.1% | -48.65 |
| Dynamic vol TP/SL k=3.0, H=4 dyn_H4_k30 · H=4 · dyn ktp=3.0 ksl=3.0 · ridge | p50 | -95.67 | 16.55 | 60.54% | -29.32% | 4.2% | 2.8% | 92.9% | 19.4% | 10.80 |
| Fixed TP/SL 5.0%, H=4 fixed_H4_b050 · H=4 · fixed 5.0% · ridge | p50 | -37.27 | -3.34 | 56.16% | -39.66% | 20.0% | 15.4% | 64.6% | 20.9% | -65.13 |
| Dynamic vol TP/SL k=1.5, H=32 dyn_H32_k15 · H=32 · dyn ktp=1.5 ksl=1.5 · ridge | p80 | -25.15 | -5.02 | 51.43% | -37.63% | 27.7% | 19.1% | 53.2% | 3.2% | -58.74 |
| Fixed TP/SL 5.0%, H=16 fixed_H16_b050 · H=16 · fixed 5.0% · ridge | p70 | -149.75 | -14.80 | 41.92% | -37.82% | 46.6% | 39.8% | 13.5% | 9.1% | -147.17 |
| Dynamic vol TP/SL k=1.5, H=8 dyn_H8_k15 · H=8 · dyn ktp=1.5 ksl=1.5 · ridge | p90 | 203.09 | -15.41 | 15.49% | -20.60% | 18.0% | 19.7% | 62.3% | 4.2% | -135.59 |
| Dynamic vol TP/SL k=2.25, H=8 dyn_H8_k225 · H=8 · dyn ktp=2.25 ksl=2.25 · ridge | p80 | 102.57 | -26.69 | 34.97% | -41.10% | 13.0% | 4.6% | 82.4% | 7.4% | 46.66 |
| Fixed TP/SL 3.5%, H=4 fixed_H4_b035 · H=4 · fixed 3.5% · ridge | p90 | -101.56 | -44.90 | -4.84% | -26.70% | 27.5% | 25.5% | 47.1% | 7.0% | -57.76 |
| Fixed TP/SL 5.0%, H=8 fixed_H8_b050 · H=8 · fixed 5.0% · ridge | p90 | 4.10 | -57.11 | -0.36% | -37.83% | 28.7% | 31.2% | 40.0% | 5.5% | -103.22 |
| Dynamic vol TP/SL k=3.0, H=16 dyn_H16_k30 · H=16 · dyn ktp=3.0 ksl=3.0 · ridge | p90 | -139.46 | -69.09 | -6.61% | -41.65% | 11.4% | 11.4% | 77.3% | 3.0% | -103.66 |
| Fixed TP/SL 2.0%, H=8 fixed_H8_b020 · H=8 · fixed 2.0% · ridge | p90 | -174.87 | -70.47 | -19.81% | -33.77% | 45.2% | 54.8% | 0.0% | 7.1% | -72.61 |
| Fixed TP/SL 2.0%, H=4 fixed_H4_b020 · H=4 · fixed 2.0% · ridge | p90 | -150.82 | -73.84 | -23.59% | -33.50% | 40.8% | 53.4% | 5.8% | 7.1% | -80.08 |
| Fixed TP/SL 5.0%, H=32 fixed_H32_b050 · H=32 · fixed 5.0% · ridge | p80 | -152.12 | -74.80 | -7.47% | -44.89% | 49.5% | 48.5% | 1.9% | 7.1% | -111.18 |
| Fixed TP/SL 2.0%, H=16 fixed_H16_b020 · H=16 · fixed 2.0% · ridge | p90 | -170.54 | -76.20 | -27.49% | -32.47% | 43.0% | 57.0% | 0.0% | 7.3% | -76.81 |
| Fixed TP/SL 5.0%, H=64 fixed_H64_b050 · H=64 · fixed 5.0% · ridge | p50 | -160.73 | -76.84 | -5.01% | -47.89% | 50.9% | 49.1% | 0.0% | 11.0% | -112.01 |
| Fixed TP/SL 2.0%, H=32 fixed_H32_b020 · H=32 · fixed 2.0% · ridge | p90 | -172.78 | -79.68 | -28.94% | -33.82% | 42.6% | 57.4% | 0.0% | 7.4% | -80.27 |
| Fixed TP/SL 2.0%, H=64 fixed_H64_b020 · H=64 · fixed 2.0% · ridge | p90 | -172.78 | -79.68 | -28.94% | -33.82% | 42.6% | 57.4% | 0.0% | 7.4% | -80.27 |
| Dynamic vol TP/SL k=1.5, H=16 dyn_H16_k15 · H=16 · dyn ktp=1.5 ksl=1.5 · ridge | p70 | -125.17 | -85.56 | -5.71% | -53.24% | 20.2% | 20.2% | 59.5% | 5.8% | -132.96 |
| Dynamic vol TP/SL k=1.5, H=64 dyn_H64_k15 · H=64 · dyn ktp=1.5 ksl=1.5 · ridge | p90 | -83.77 | -85.91 | -0.82% | -56.73% | 46.7% | 40.0% | 13.3% | 2.1% | 153.97 |
| Dynamic vol TP/SL k=1.5, H=4 dyn_H4_k15 · H=4 · dyn ktp=1.5 ksl=1.5 · ridge | p80 | -96.94 | -95.38 | -24.74% | -47.10% | 19.4% | 20.6% | 60.0% | 10.6% | -97.29 |
| Fixed TP/SL 3.5%, H=16 fixed_H16_b035 · H=16 · fixed 3.5% · ridge | p60 | -63.94 | -97.38 | -29.64% | -45.16% | 47.4% | 49.8% | 2.8% | 17.2% | -79.32 |
| Dynamic vol TP/SL k=2.25, H=16 dyn_H16_k225 · H=16 · dyn ktp=2.25 ksl=2.25 · ridge | p70 | -55.42 | -101.93 | -21.58% | -53.57% | 8.5% | 12.2% | 79.3% | 5.6% | -16.33 |
| Dynamic vol TP/SL k=2.25, H=64 dyn_H64_k225 · H=64 · dyn ktp=2.25 ksl=2.25 · ridge | p90 | -37.40 | -107.93 | -16.43% | -61.00% | 40.0% | 40.0% | 20.0% | 2.1% | 739.66 |
| Dynamic vol TP/SL k=3.0, H=64 dyn_H64_k30 · H=64 · dyn ktp=3.0 ksl=3.0 · ridge | p90 | -37.40 | -107.93 | -16.43% | -61.00% | 40.0% | 40.0% | 20.0% | 2.1% | 1160.72 |
| Fixed TP/SL 3.5%, H=32 fixed_H32_b035 · H=32 · fixed 3.5% · ridge | p50 | -133.50 | -111.59 | -38.20% | -48.93% | 48.3% | 51.7% | 0.0% | 18.6% | -36.68 |
| Fixed TP/SL 3.5%, H=8 fixed_H8_b035 · H=8 · fixed 3.5% · ridge | p60 | -85.14 | -113.80 | -32.36% | -54.30% | 39.7% | 41.6% | 18.7% | 17.9% | -78.37 |
| Dynamic vol TP/SL k=3.0, H=8 dyn_H8_k30 · H=8 · dyn ktp=3.0 ksl=3.0 · ridge | p70 | -35.02 | -125.90 | -39.14% | -57.84% | 4.7% | 4.7% | 90.6% | 8.8% | 783.94 |
| Fixed TP/SL 3.5%, H=64 fixed_H64_b035 · H=64 · fixed 3.5% · ridge | p60 | -126.39 | -144.30 | -52.49% | -61.21% | 46.5% | 53.5% | 0.0% | 16.6% | -36.68 |
Note méthodo
Non-overlap signifie qu'un nouveau signal est ignoré tant que la position précédente n'a pas touché TP/SL ou timeout. Les barrières dynamiques utilisent vol30 passée × sqrt(H), clips 1.5%–12%.
