Sweep Tracks - Robust Optimization (Anti-Overfit)

Anti-Overfit Methodology

Results are ranked by Robust Score, NOT by in-sample Sharpe. This prevents curve-fitting.

Walk-Forward: Train 60% - Test 40% (out-of-sample) 5-Fold CV: Average Sharpe across 5 data chunks Stability: Consistency across all folds Robust Score = 40% OOS + 25% AvgFold + 20% WorstFold + 15% Stability

Best Robust Configuration

SL15 | LONG | Close-Mid (2,4,6,8) | TPs: [2, 4, 6, 8]

ROBUST SCORE

3.34

OOS SHARPE

4.99

FULL SHARPE

3.88

OOS PnL

870

OOS WIN RATE

78.8%

FULL PnL

1,778

FULL WIN RATE

78.9%

PROFIT FACTOR

1.76

MAX DRAWDOWN

228

POSITIVE FOLDS

5/5

MIN FOLD SHARPE

0.53

STABILITY

1.01

Walk-Forward: Train vs Out-of-Sample Comparison

Metric	Train (60%)	Test/OOS (40%)	Decay
Sharpe	3.2	4.99	+1.79
PnL (ticks)	908.5	870.0	—
Win Rate	78.9%	78.8%	-0.1%
Profit Factor	1.61	2.03	—
Max DD	227.5	160.5	—

Top 20 Robust Configurations

#	SL	Dir	TP Strategy	Robust	OOS Sharpe	Full Sharpe	OOS PnL	Full PnL	OOS WR	Full WR	MinFold	+Folds	Stability
1	15	LONG	Close-Mid (2,4,6,8)	3.34	4.99	3.88	870	1,778	78.8%	78.9%	0.53	5/5	1.01
2	15	ALL	Close-Mid (2,4,6,8)	3.19	4.52	3.24	1,696	3,302	77.4%	76.6%	1.59	5/5	1.27
3	15	ALL	Conservative (2,4,6)	2.88	4.28	2.58	976	1,646	85.7%	82.9%	1.43	5/5	1.07
4	15	LONG	Conservative (2,4,6)	2.77	4.64	2.93	486	850	85.6%	84.2%	-0.44	4/5	0.9
5	15	SHORT	Close-Mid (2,4,6,8)	2.49	4.1	2.72	826	1,524	76.2%	74.7%	-0.31	4/5	0.98
6	15	LONG	Core (4,6,8)	2.43	3.66	2.98	624	1,288	78.8%	78.9%	-0.05	4/5	0.81
7	15	LONG	Mid (4,6,8,10)	2.42	3.78	3.0	956	1,884	71.2%	68.8%	-0.21	4/5	0.83
8	15	ALL	Mid (4,6,8,10)	2.3	3.32	2.38	1,806	3,376	70.3%	68.2%	0.85	5/5	1.06
9	15	ALL	All (2-16)	2.29	3.4	2.28	3,296	5,704	65.2%	61.9%	0.86	5/5	1.03
10	15	LONG	All (2-16)	2.27	3.72	2.69	1,678	3,014	67.4%	63.1%	-0.25	4/5	0.89
11	15	SHORT	Conservative (2,4,6)	2.15	3.96	2.29	490	796	85.7%	81.8%	-1.19	4/5	0.85
12	15	ALL	Core (4,6,8)	2.12	3.19	2.22	1,174	2,162	77.4%	76.6%	0.46	5/5	0.97
13	15	LONG	Wide (6,8,10,12)	1.78	3.13	2.24	1,008	1,744	71.2%	68.8%	-0.8	4/5	0.7
14	5	SHORT	Conservative (2,4,6)	1.64	3.21	1.76	288	424	65.3%	61.2%	-1.37	4/5	0.86
15	15	SHORT	All (2-16)	1.63	3.11	1.95	1,618	2,690	63.3%	60.9%	-1.17	4/5	0.7
16	15	ALL	Wide (6,8,10,12)	1.63	2.64	1.67	1,802	2,924	70.3%	68.2%	-0.01	4/5	0.78
17	15	SHORT	Mid (4,6,8,10)	1.62	2.91	1.89	850	1,492	69.4%	67.8%	-0.93	4/5	0.75
18	15	LONG	Skip2 (4,8,12)	1.55	3.07	2.02	630	1,014	67.4%	63.1%	-1.63	4/5	0.61
19	5	SHORT	Close-Mid (2,4,6,8)	1.52	2.83	1.71	400	642	65.3%	61.2%	-1.06	4/5	0.84
20	20	LONG	Close-Mid (2,4,6,8)	1.47	2.72	1.78	580	1,004	78.8%	78.9%	-1.2	2/5	0.56

5-Fold Cross-Validation Heatmap (Top 10)

Config	Fold 1	Fold 2	Fold 3	Fold 4	Fold 5	Avg	Std
SL15 LONG Close-Mid (2,4,6,8)	0.53	1.41	9.02	8.81	1.96	4.35	4.2
SL15 ALL Close-Mid (2,4,6,8)	2.71	1.59	3.19	8.15	1.9	3.51	2.67
SL15 ALL Conservative (2,4,6)	1.58	1.43	1.93	7.53	2.01	2.9	2.6
SL15 LONG Conservative (2,4,6)	-0.44	0.57	7.19	7.61	2.34	3.45	3.74
SL15 SHORT Close-Mid (2,4,6,8)	4.55	1.75	-0.31	7.48	1.83	3.06	3.01
SL15 LONG Core (4,6,8)	-0.05	0.58	8.76	7.04	0.82	3.43	4.14
SL15 LONG Mid (4,6,8,10)	-0.21	0.88	7.79	7.35	0.8	3.32	3.9
SL15 ALL Mid (4,6,8,10)	2.15	0.87	2.42	6.52	0.85	2.56	2.33
SL15 ALL All (2-16)	2.44	0.86	1.42	6.28	1.05	2.41	2.25
SL15 LONG All (2-16)	-0.25	1.58	4.85	7.05	0.82	2.81	3.04

Green = Sharpe > 2 | Light green = Sharpe > 0 | Yellow = Sharpe > -1 | Red = Sharpe < -1. Consistent green across all folds = robust config. Mixed colors = potential overfit.

Top 5 Equity Curves (Full Dataset with OOS Split)

#1 SL15 LONG Close-Mid (2,4,6,8)

#2 SL15 ALL Close-Mid (2,4,6,8)

#3 SL15 ALL Conservative (2,4,6)

#4 SL15 LONG Conservative (2,4,6)

#5 SL15 SHORT Close-Mid (2,4,6,8)

Overfit Detection: In-Sample vs Out-of-Sample Decay

If Train Sharpe >> OOS Sharpe, the config is overfit. Look for small decay.

#	Config	Train Sharpe	OOS Sharpe	Decay	Verdict
1	SL15 LONG Close-Mid (2,4,6,8)	3.2	4.99	+1.79	✅ ROBUST
2	SL15 ALL Close-Mid (2,4,6,8)	2.5	4.52	+2.02	✅ ROBUST
3	SL15 ALL Conservative (2,4,6)	1.65	4.28	+2.63	✅ ROBUST
4	SL15 LONG Conservative (2,4,6)	1.99	4.64	+2.65	✅ ROBUST
5	SL15 SHORT Close-Mid (2,4,6,8)	1.95	4.1	+2.15	✅ ROBUST
6	SL15 LONG Core (4,6,8)	2.54	3.66	+1.12	✅ ROBUST
7	SL15 LONG Mid (4,6,8,10)	2.47	3.78	+1.31	✅ ROBUST
8	SL15 ALL Mid (4,6,8,10)	1.8	3.32	+1.52	✅ ROBUST
9	SL15 ALL All (2-16)	1.58	3.4	+1.82	✅ ROBUST
10	SL15 LONG All (2-16)	2.0	3.72	+1.72	✅ ROBUST
11	SL15 SHORT Conservative (2,4,6)	1.37	3.96	+2.59	✅ ROBUST
12	SL15 ALL Core (4,6,8)	1.63	3.19	+1.56	✅ ROBUST
13	SL15 LONG Wide (6,8,10,12)	1.61	3.13	+1.52	✅ ROBUST
14	SL5 SHORT Conservative (2,4,6)	0.91	3.21	+2.30	✅ ROBUST
15	SL15 SHORT All (2-16)	1.25	3.11	+1.86	✅ ROBUST

Recommendation Summary

19 out of 315 configs pass robustness filters (OOS Sharpe > 0, min fold > -1, 3+ positive folds)

✅ Recommended: SL15 | LONG | Close-Mid (2,4,6,8) | TPs: [2, 4, 6, 8]

Robust Score: 3.34 | OOS Sharpe: 4.99 | All-data Sharpe: 3.88 | Positive in 5/5 folds | Min fold: 0.53

✅ Runner-up: SL15 | ALL | Close-Mid (2,4,6,8) | TPs: [2, 4, 6, 8]

Robust Score: 3.19 | OOS Sharpe: 4.52 | Positive in 5/5 folds

Important Caveats

All results include $3.50 commission + 1 tick SL slippage per trade
Walk-forward uses chronological 60/40 split — NO look-ahead bias
5-fold CV tests stability across different market conditions
Even robust configs can fail in regime changes — always use proper risk management
Single-day data is NOT enough for production confidence — collect more days