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Hy Enhanced Triple Filtered WF compound +362.4%

Quantitative multi-factor strategy · Walk-forward OOS 2024-07 ~ 2026-06 · 23 OOS windows

Avg Sharpe
1.95
Compound return
+362.4%
Annualized return
+124.8%
Positive windows
74%
OOS equity vs BTC (start=100)

Walk-forward OOS equity only; training windows excluded. Compare excess and drawdown vs BTC buy-and-hold; aligned start aids path comparison, not a live promise.

✓ True OOS
Walk-Forward methodology

Walk-forward (rolling) is the industry gold standard for robustness. History is split into non-overlapping train→test windows: fit only on train, trade and record returns on the following out-of-sample (OOS) segment, then roll the whole window forward.

Discipline: every metric is OOS-only — training never enters evaluation; features are causally shifted bar-by-bar with an embargo between train/test to block look-ahead and overfitting. This page plots 23 OOS windows compounded into true equity.

Cost accounting

Backtests deduct exchange-realistic costs trade by trade: taker fees + slippage + funding (overnight).

All displayed returns (compound / annualized / Sharpe) are net of fees, not gross. Higher turnover and shorter holds increase cost drag, already reflected in the equity path.

Risk notice

Past backtests do not guarantee future results. Crypto is highly volatile; live performance can diverge materially due to liquidity, slippage, extremes, and regime/rule changes.

This page is a sanitized research view (factors, parameters, and precise internals hidden). For research only — not investment advice. Judge risks independently.