Phase 0 Final Test Set Verdict

Date: 2026-04-11
Test Set: rows 1948-2291 (May 2025 - Apr 2026)

Locked Configuration

• Risk per trade: 1.0%
• Portfolio: BTC_ETH_50_50
• Validation Sharpe: 2.04

Regime Gate Decision

SKIP_GATE

Short Side Included

No — long-only confirmed (Day 3 short study showed insufficient trades in validation window)

Test Set Results

| Symbol | Trades | Sharpe | Return | Max DD | Win Rate | |--------|--------|--------|--------|--------|----------| | BTCUSDT | 18 | -0.85 | -12.88% | -24.76% | 38.9% | | ETHUSDT | 21 | 0.24 | +4.70% | -16.29% | 42.9% | | Combined | 39 | -0.30 | -4.09% | -20.53% | 40.9% |

Comparison to Validation

| Metric | Validation | Test Set | Delta | |--------|------------|----------|-------| | Sharpe | 2.04 | -0.30 | -2.34 |

Verdict

RETURN_TO_RESEARCH

Test set failed: Sharpe=-0.30, trades=18

Risk Flags (from Phase 0.9)

• [x] Training max drawdown -34% to -67% (2022 bear market)
• [x] Regime behavior not fully managed (regime gate skipped)
• [x] Short side not validated (bull market validation window)
• [ ] Test set shows degradation vs validation (monitor)

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TEST SET RESULT: RETURN_TO_RESEARCH