Anchored walk-forward with 6-month OOS windows. IS thresholds frozen per window. VIX risk management applied.
Profitable in 5/8 windows but inconsistent. Edge exists but may be regime-dependent.
| # | OOS Period | IS Days | OOS Days | Trades | P&L | WR | Sharpe | PF | B&H | Excess |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 2022-05-31 → 2022-11-30 | 252 | 128 | 11 | $-57,241 | 45% | -1.67 | 0.31 | $-4,162 | $-53,079 |
| 2 | 2022-11-30 → 2023-05-30 | 379 | 124 | 14 | $-25,300 | 50% | -0.77 | 0.58 | $12,638 | $-37,937 |
| 3 | 2023-05-30 → 2023-11-30 | 502 | 130 | 15 | $35,046 | 73% | 1.37 | 2.33 | $16,850 | $18,196 |
| 4 | 2023-11-30 → 2024-05-30 | 631 | 125 | 13 | $1,173 | 54% | 0.03 | 1.03 | $34,538 | $-33,364 |
| 5 | 2024-05-30 → 2024-11-30 | 755 | 128 | 11 | $41,604 | 64% | 1.48 | 2.37 | $39,050 | $2,554 |
| 6 | 2024-11-30 → 2025-05-30 | 883 | 124 | 11 | $-64,183 | 45% | -1.66 | 0.24 | $-6,775 | $-57,408 |
| 7 | 2025-05-30 → 2025-11-30 | 1006 | 128 | 15 | $40,894 | 60% | 0.98 | 1.87 | $47,362 | $-6,468 |
| 8 | 2025-11-30 → 2026-02-25 | 1134 | 59 | 8 | $22,796 | 88% | 2.35 | 2.92 | $4,975 | $17,821 |
| Metric | Value | Interpretation |
|---|---|---|
| Windows profitable | 5/8 (62%) | ⚠️ <66% |
| Windows beating B&H | 3/8 (38%) | ⚠️ ≤50% |
| Median Sharpe | 0.51 | ✅ >0.5 |
| Worst window Sharpe | -1.67 | ⚠️ <-0.5 |
| Sharpe consistency (std) | 1.42 | ✅ Low variance |
Generated 2026-03-01 12:07 | Walk-forward validation with VIX25_Red2_CB15 risk management