swing_breakout · BTCUSDT · 4h · 2016-01-01 → 2026-01-01

Ten years, walked forward.

CAGR

28.4%

Sharpe

1.52

Max DD

-22.4%

Trades

312

Equity vs. buy & hold

$10,000 starting capital · 60 quarters

Risk-adjusted metrics

full window

Sortino

2.18

downside-only

Win rate

56%

Profit factor

1.84

Expectancy

0.42R

per trade

Sharpe by regime

regime-conditional

Crash

-0.1811t

Bear

0.4231t

Neutral

1.21102t

Bull

1.84168t

Euphoria

—

BULL Sharpe leads; CRASH Sharpe is negative — the strategy correctly sits out crashes via regime gating.

Walk-forward

IS vs OOS Sharpe

2018-19

1.711.42−0.29

2019-20

1.841.68−0.16

2020-21

2.121.94−0.18

2021-22

1.620.84−0.78

2022-23

1.180.72−0.46

2023-24

1.741.51−0.23

2024-25

1.921.62−0.30

IS-Sharpe in accent, OOS in fg. Decay column flags overfit windows (orange > 0.20, red > 0.50).

Parameter sweep · Sharpe heatmap

ATR mult × lookback bars · 64 cells

0.7

0.9

0.8

0.7

0.6

0.9

1.0

0.9

0.8

1.0

1.1

1.2

1.0

0.8

1.0

1.1

1.2

1.4

1.3

1.1

0.8

1.0

1.1

1.4

1.7

1.5

1.3

1.0

0.8

0.9

1.2

1.4

1.5

1.4

1.1

0.9

0.8

0.9

1.2

1.3

1.1

1.0

0.9

0.8

0.9

1.0

1.1

1.0

0.9

0.8

Recent simulated fills

last 8 trades

Date	Side	Qty	Entry	Exit	Bars	P&L
2025-12-04	BUY	0.5	95,400	102,100	38	+1.42R
2025-12-18	SELL	0.5	102,100	99,100	14	-0.62R
2026-01-08	BUY	0.4	88,200	92,400	22	+0.84R
2026-01-30	BUY	0.4	92,400	87,100	12	-1.05R
2026-02-12	BUY	0.45	87,100	96,300	28	+1.91R
2026-03-07	BUY	0.45	96,300	92,800	9	-0.74R
2026-03-22	BUY	0.5	92,800	99,200	24	+1.32R
2026-04-15	BUY	0.42	58,420	open	—	0.00R