XAU Momentum
XAU/USDactivemomentumMomentum IU/Sykes H4 + detect_regime (squeeze+SMA200 D1) + RR 6/5. Config viva It9.
Config vigente · It9 6/5 +squeeze
Rentabilidad anual
| Año | Trades | WR | PnL | Balance |
|---|---|---|---|---|
| 2012 | 8 | +12.5% | −$148 | +$9,852 |
| 2013 | 28 | +28.6% | +$1,955 | +$11,807 |
| 2014 | 32 | +15.6% | −$359 | +$11,448 |
| 2017 | 17 | +23.5% | +$1,117 | +$12,565 |
| 2018 | 16 | 0.0% | −$1,959 | +$10,606 |
| 2019 | 26 | +23.1% | +$1,547 | +$12,153 |
| 2021 | 18 | +16.7% | +$234 | +$12,387 |
| 2022 | 26 | +23.1% | +$1,347 | +$13,734 |
| 2023 | 28 | +32.1% | +$4,558 | +$18,292 |
| 2024 | 19 | +36.8% | +$5,985 | +$24,277 |
| 2025 | 22 | +31.8% | +$7,017 | +$31,294 |
| 2026 | 3 | +100.0% | +$5,971 | +$37,265 |
Historial de iteraciones (4)
- It6 3/3 +regimen MA200merged+$8,808−21.3%
Hipótesis: Momentum IU/Sykes H4 + filtro regimen SMA200 D1 (Weinstein).
Decisión: Filtro regimen gano vs sin-filtro y vs long-only (shorts aportan en bear). Base de las siguientes iteraciones.
- It7 3/5 asimetricomerged+$12,311−24.4%
Hipótesis: RR asimetrico: shorts a 5R (analisis MFE: caidas llegan a ~5.5R).
Decisión: +40% PnL, 100% atribuible a shorts, longs intactos. Racha sube a 25.
- It8 6/5 fusionmerged+$22,300−23.3%
Hipótesis: Fusionar optimo de cada lado: longs 6R, shorts 5R.
Decisión: Sinergia: longs en 6/5 rinden mas que en 6/6 por compounding one-position-at-a-time.
- It9 6/5 +squeezemerged+$27,265−16.7%MAR 0.58
Hipótesis: Integrar detect_regime central -> momentum gana filtro TTM Squeeze (no opera en compresion).
Decisión: CONFIG VIVA. Mejora estrictamente dominante: +PnL, -DD (-23.3->-16.67), racha 25->17. Valor real = reduccion de DD (defensa), no alpha por-trade.
Sweeps
| Parámetro | PnL | CAGR | DD | PF | MAR |
|---|---|---|---|---|---|
| 6/5elegido | +$22,300 | +8.5% | −23.3% | — | 0.36 |
| 6/6 | +$19,960 | +7.9% | −23.3% | — | 0.34 |
| 5/5 | +$17,271 | +7.2% | −23.9% | — | 0.30 |
| 3/5 | +$12,311 | +5.8% | −24.4% | — | 0.24 |
| 3/3 | +$8,808 | +4.5% | −21.3% | — | 0.21 |