# Rolling Robustness Report Generated: 2026-05-28T07:01:43.417368+00:00 ## Baseline - CAGR: 7.84% vs QQQ B&H 8.91% - MaxDD: -35.62% vs QQQ B&H -82.96% - Rolling 3Y win rate from baseline metric: 25.27% - Turnover annualized: 3.43 ## Rolling Window Summary | window_years | n_windows | CAGR_median | CAGR_p10 | CAGR_p90 | QQQ_CAGR_median | delta_CAGR_median | MaxDD_median | MaxDD_p10 | QQQ_MaxDD_median | CAGR_win_rate | MaxDD_win_rate | both_win_rate | worst_delta_CAGR | worst_delta_MaxDD | |---------------:|------------:|--------------:|-----------:|-----------:|------------------:|--------------------:|---------------:|------------:|-------------------:|----------------:|-----------------:|----------------:|-------------------:|--------------------:| | 1.0000 | 306.0000 | 0.0712 | -0.0979 | 0.2724 | 0.1658 | -0.0593 | -0.1175 | -0.1704 | -0.1561 | 0.2157 | 0.8627 | 0.2157 | -0.6313 | -0.0350 | | 3.0000 | 281.0000 | 0.0840 | 0.0196 | 0.1534 | 0.1518 | -0.0558 | -0.1708 | -0.2275 | -0.2280 | 0.2598 | 0.7616 | 0.2598 | -0.2325 | -0.0325 | | 5.0000 | 257.0000 | 0.0834 | 0.0286 | 0.1324 | 0.1567 | -0.0578 | -0.1936 | -0.2661 | -0.3512 | 0.2101 | 0.7743 | 0.2101 | -0.1443 | -0.0325 | ## Regime Subperiods | regime | start | end | trading_days | CAGR | QQQ_BH_CAGR | delta_CAGR | MaxDD | QQQ_BH_MaxDD | delta_MaxDD | strategy_total_return | qqq_total_return | avg_actual_exposure | |:---------------------|:-----------|:-----------|---------------:|--------:|--------------:|-------------:|--------:|---------------:|--------------:|------------------------:|-------------------:|----------------------:| | dotcom_bust | 2000-01-03 | 2002-10-09 | 695 | -0.0637 | -0.4229 | 0.3593 | -0.3440 | -0.8296 | 0.4856 | -0.1659 | -0.7805 | 0.2432 | | post_dotcom_recovery | 2002-10-10 | 2007-10-09 | 1258 | 0.1152 | 0.2211 | -0.1058 | -0.1673 | -0.1727 | 0.0054 | 0.7237 | 1.7103 | 0.8261 | | gfc | 2007-10-10 | 2009-03-09 | 355 | -0.1493 | -0.4022 | 0.2529 | -0.2275 | -0.5340 | 0.3065 | -0.2036 | -0.5156 | 0.3186 | | qe_bull | 2009-03-10 | 2020-02-19 | 2756 | 0.1259 | 0.2375 | -0.1116 | -0.1936 | -0.2280 | 0.0344 | 2.6568 | 9.2789 | 0.8311 | | covid_crash | 2020-02-20 | 2020-03-23 | 23 | -0.7551 | -0.9723 | 0.2172 | -0.1123 | -0.2789 | 0.1666 | -0.1205 | -0.2792 | 0.2172 | | covid_rebound | 2020-03-24 | 2021-12-31 | 449 | 0.1623 | 0.6167 | -0.4544 | -0.1586 | -0.1275 | -0.0311 | 0.3073 | 1.3536 | 0.7480 | | inflation_2022 | 2022-01-03 | 2022-12-30 | 251 | -0.2016 | -0.3268 | 0.1252 | -0.2120 | -0.3483 | 0.1363 | -0.2009 | -0.3258 | 0.2341 | | ai_bull_recent | 2023-01-03 | 2026-05-27 | 852 | 0.2084 | 0.3549 | -0.1465 | -0.1591 | -0.2277 | 0.0686 | 0.8967 | 1.7923 | 0.8435 | ## Parameter Grid Top 10 | name | CAGR | MaxDD | delta_CAGR | delta_MaxDD | turnover_annualized | rolling_3y_win_rate | robust_score | |:-----------------------------------------|-------:|--------:|-------------:|--------------:|----------------------:|----------------------:|---------------:| | grid_monthly_t0.64_0.46_0.30_v25.0_35.0 | 0.0739 | -0.3429 | -0.0152 | 0.4868 | 3.5187 | 0.2578 | 1.9250 | | grid_monthly_t0.64_0.46_0.30_v27.5_35.0 | 0.0784 | -0.3562 | -0.0107 | 0.4734 | 3.4314 | 0.2527 | 1.8849 | | grid_monthly_t0.68_0.50_0.34_v25.0_35.0 | 0.0723 | -0.3710 | -0.0168 | 0.4587 | 3.5414 | 0.2762 | 1.8161 | | grid_monthly_t0.60_0.44_0.28_v25.0_35.0 | 0.0727 | -0.3782 | -0.0163 | 0.4514 | 3.4579 | 0.2762 | 1.7910 | | grid_monthly_t0.68_0.50_0.34_v27.5_35.0 | 0.0774 | -0.3835 | -0.0117 | 0.4461 | 3.4503 | 0.2763 | 1.7841 | | base_minchange_0.25 | 0.0795 | -0.3978 | -0.0096 | 0.4318 | 3.2188 | 0.2702 | 1.7372 | | grid_monthly_t0.60_0.44_0.28_v27.5_35.0 | 0.0766 | -0.3949 | -0.0124 | 0.4347 | 3.4010 | 0.2731 | 1.7359 | | grid_biweekly_t0.68_0.50_0.34_v27.5_35.0 | 0.0804 | -0.4709 | -0.0087 | 0.3587 | 4.4069 | 0.2855 | 1.4193 | | grid_biweekly_t0.64_0.46_0.30_v27.5_35.0 | 0.0801 | -0.4841 | -0.0090 | 0.3456 | 4.2095 | 0.2656 | 1.3620 | | grid_biweekly_t0.68_0.50_0.34_v25.0_35.0 | 0.0709 | -0.4838 | -0.0181 | 0.3458 | 4.6536 | 0.2833 | 1.3309 | ## Walk-Forward - OOS years: 20 - OOS CAGR win rate: 10.00% - OOS MaxDD win rate: 80.00% - OOS both win rate: 10.00% | oos_year | selected | train_CAGR | train_MaxDD | train_delta_CAGR | train_delta_MaxDD | oos_CAGR | oos_QQQ_BH_CAGR | oos_delta_CAGR | oos_MaxDD | oos_QQQ_BH_MaxDD | oos_delta_MaxDD | oos_win_CAGR | oos_win_MaxDD | oos_win_both | |-----------:|:-----------------------------------------|-------------:|--------------:|-------------------:|--------------------:|-----------:|------------------:|-----------------:|------------:|-------------------:|------------------:|:---------------|:----------------|:---------------| | 2006 | grid_monthly_t0.64_0.46_0.30_v25.0_35.0 | 0.0351 | -0.1779 | 0.1037 | 0.5260 | 0.0627 | 0.0717 | -0.0091 | -0.1246 | -0.1727 | 0.0481 | False | True | False | | 2007 | grid_monthly_t0.64_0.46_0.30_v25.0_35.0 | 0.0527 | -0.1779 | 0.0284 | 0.3407 | 0.1298 | 0.1911 | -0.0613 | -0.1120 | -0.1145 | 0.0025 | False | True | False | | 2008 | grid_biweekly_t0.60_0.44_0.28_v30.0_40.0 | 0.1127 | -0.1566 | -0.0522 | 0.0161 | -0.1781 | -0.4160 | 0.2379 | -0.1691 | -0.4940 | 0.3249 | True | True | True | | 2009 | grid_biweekly_t0.64_0.46_0.30_v25.0_35.0 | 0.0115 | -0.1820 | 0.0471 | 0.3521 | 0.2855 | 0.5468 | -0.2614 | -0.0643 | -0.1829 | 0.1186 | False | True | False | | 2010 | grid_biweekly_t0.64_0.46_0.30_v25.0_35.0 | 0.0581 | -0.2137 | 0.0266 | 0.3203 | 0.0847 | 0.2014 | -0.1168 | -0.1727 | -0.1561 | -0.0166 | False | False | False | | 2011 | grid_biweekly_t0.64_0.46_0.30_v25.0_35.0 | 0.0824 | -0.2137 | 0.0156 | 0.3203 | -0.1292 | 0.0348 | -0.1639 | -0.1980 | -0.1610 | -0.0370 | False | False | False | | 2012 | grid_biweekly_t0.64_0.46_0.30_v25.0_35.0 | 0.0414 | -0.2137 | -0.0179 | 0.3203 | 0.1155 | 0.1827 | -0.0672 | -0.1278 | -0.1164 | -0.0114 | False | False | False | | 2013 | grid_monthly_t0.68_0.50_0.34_v25.0_35.0 | 0.0357 | -0.1815 | -0.0220 | 0.3125 | 0.3471 | 0.3663 | -0.0192 | -0.0585 | -0.0585 | 0.0001 | False | True | False | | 2014 | base_minchange_0.25 | 0.1438 | -0.1618 | -0.1109 | 0.0210 | 0.1394 | 0.1918 | -0.0524 | -0.0824 | -0.0825 | 0.0001 | False | True | False | | 2015 | base_minchange_0.25 | 0.1136 | -0.1618 | -0.0772 | -0.0008 | 0.0048 | 0.0944 | -0.0896 | -0.1129 | -0.1394 | 0.0265 | False | True | False | | 2016 | base_minchange_0.25 | 0.0964 | -0.1618 | -0.0724 | -0.0008 | 0.0167 | 0.0710 | -0.0543 | -0.0862 | -0.1204 | 0.0342 | False | True | False | | 2017 | grid_biweekly_t0.68_0.50_0.34_v25.0_35.0 | 0.1277 | -0.1653 | -0.0491 | -0.0043 | 0.3278 | 0.3281 | -0.0003 | -0.0488 | -0.0488 | 0.0000 | False | True | False | | 2018 | grid_biweekly_t0.68_0.50_0.34_v25.0_35.0 | 0.1666 | -0.1653 | -0.0378 | -0.0043 | -0.0178 | -0.0013 | -0.0166 | -0.1380 | -0.2280 | 0.0899 | False | True | False | | 2019 | grid_biweekly_t0.68_0.50_0.34_v25.0_35.0 | 0.0944 | -0.1653 | -0.0369 | 0.0626 | 0.2281 | 0.3896 | -0.1616 | -0.1097 | -0.1098 | 0.0001 | False | True | False | | 2020 | grid_biweekly_t0.68_0.50_0.34_v25.0_35.0 | 0.1075 | -0.1653 | -0.0591 | 0.0626 | 0.1222 | 0.4817 | -0.3595 | -0.1658 | -0.2856 | 0.1198 | False | True | False | | 2021 | grid_biweekly_t0.60_0.44_0.28_v25.0_35.0 | 0.1333 | -0.1658 | -0.1065 | 0.1198 | 0.1869 | 0.2742 | -0.0873 | -0.1260 | -0.1085 | -0.0175 | False | False | False | | 2022 | grid_monthly_t0.60_0.44_0.28_v30.0_40.0 | 0.1816 | -0.1685 | -0.1020 | 0.1171 | -0.1929 | -0.3268 | 0.1339 | -0.2034 | -0.3483 | 0.1449 | True | True | True | | 2023 | grid_monthly_t0.68_0.50_0.34_v30.0_40.0 | 0.0685 | -0.1828 | -0.0525 | 0.1684 | 0.3833 | 0.5540 | -0.1707 | -0.1077 | -0.1078 | 0.0001 | False | True | False | | 2024 | grid_biweekly_t0.68_0.50_0.34_v30.0_40.0 | 0.1718 | -0.1931 | -0.0523 | 0.1581 | 0.2026 | 0.2558 | -0.0531 | -0.1247 | -0.1356 | 0.0109 | False | True | False | | 2025 | grid_biweekly_t0.68_0.50_0.34_v30.0_40.0 | 0.1669 | -0.1931 | -0.0326 | 0.1581 | 0.1202 | 0.2096 | -0.0894 | -0.1132 | -0.2277 | 0.1144 | False | True | False | ## Block Bootstrap | n | strategy_CAGR_p05 | strategy_CAGR_median | strategy_CAGR_p95 | qqq_CAGR_median | delta_CAGR_median | strategy_MaxDD_p05 | strategy_MaxDD_median | qqq_MaxDD_median | CAGR_win_rate | MaxDD_win_rate | both_win_rate | |----------:|--------------------:|-----------------------:|--------------------:|------------------:|--------------------:|---------------------:|------------------------:|-------------------:|----------------:|-----------------:|----------------:| | 1000.0000 | -0.0327 | 0.0815 | 0.1928 | 0.0995 | -0.0154 | -0.3908 | -0.2138 | -0.3760 | 0.4170 | 0.9540 | 0.4140 | ## Interpretation - No-leverage QQQ thermostat is robust as a drawdown reducer, not as a CAGR replacement for QQQ B&H. - Rolling and walk-forward results should be judged against that tradeoff; a low CAGR win rate is expected when max exposure is capped at 1.00. - The relevant implementation path is Backtrader broker orders, not constant-exposure hand accounting.