/usr/local/lib/python3.12/dist-packages/pandas/core/computation/expressions.py:22: UserWarning: Pandas requires version '2.10.2' or newer of 'numexpr' (version '2.9.0' currently installed).
  from pandas.core.computation.check import NUMEXPR_INSTALLED
/usr/local/lib/python3.12/dist-packages/pandas/core/arrays/masked.py:56: UserWarning: Pandas requires version '1.4.2' or newer of 'bottleneck' (version '1.3.5' currently installed).
  from pandas.core import (
trials with IS n>=25: 242

=== SL/TP sweep C1 day-session (cell (4, 'low', 'rth', 'S', 'on<0.15')); ranked by IS t; OOS shown but NOT used to select
stop  target  IS_n  IS_mean  IS_t  IS_pf  OOS_n  OOS_mean  OOS_t  OOS_win  OOS_pf  REC_n  REC_mean
 0.5   0.750    33    0.195 2.230  2.446     28     0.189  1.996    0.643   2.353      6     0.179
0.75   0.750    33    0.177 1.851  2.137     28     0.206  2.033    0.679   2.418      6     0.138
 0.5   0.500    33    0.114 1.594  1.846     28     0.221  2.733    0.750   2.830      6     0.325
 1.0   0.750    33    0.139 1.287  1.719     28     0.173  1.522    0.679   1.970      6     0.096
0.75   0.500    33    0.096 1.191  1.618     28     0.232  2.641    0.786   2.824      6     0.284
none   0.750    33    0.126 1.113  1.611     28     0.250  2.383    0.714   2.958      6     0.227
 1.5   0.750    33    0.126 1.113  1.611     28     0.165  1.345    0.679   1.888      6     0.227
 0.5   2.000    33    0.104 1.097  1.620     28     0.181  1.837    0.643   2.298      6     0.185
 0.5   1.500    33    0.104 1.097  1.620     28     0.186  1.844    0.643   2.332      6     0.185
 0.5     NaN    33    0.104 1.097  1.620     28     0.181  1.837    0.643   2.298      6     0.185
base exec row:
   stop  target  IS_n  IS_mean  IS_t  IS_pf  OOS_n  OOS_mean  OOS_t  OOS_win  OOS_pf  REC_n  REC_mean
prevlow     NaN    22    0.022 0.201  1.122     20     0.336  3.217    0.650   6.085      5     0.296

=== SL/TP sweep C2 overnight (cell (3, 'close', 'full', 'D', 'any')); ranked by IS t; OOS shown but NOT used to select
stop  target  IS_n  IS_mean  IS_t  IS_pf  OOS_n  OOS_mean  OOS_t  OOS_win  OOS_pf  REC_n  REC_mean
none   0.500   136    0.078 2.711  1.770     94     0.088  2.082    0.649   1.691     20     0.147
none   0.750   136    0.070 2.241  1.635     94     0.106  2.270    0.628   1.810     20     0.190
 1.0   0.500   136    0.063 2.060  1.560     94     0.087  2.089    0.649   1.682     20     0.123
none     NaN   136    0.064 2.059  1.579     94     0.095  2.072    0.628   1.731     20     0.196
none   1.500   136    0.064 2.059  1.579     94     0.099  2.107    0.628   1.761     20     0.196
none   2.000   136    0.064 2.059  1.579     94     0.095  2.072    0.628   1.731     20     0.196
none   1.000   136    0.063 2.047  1.573     94     0.097  2.095    0.628   1.741     20     0.196
 1.5   0.500   136    0.063 2.043  1.562     94     0.087  2.046    0.649   1.680     20     0.147
 1.0   0.750   136    0.064 1.943  1.543     94     0.105  2.275    0.628   1.801     20     0.165
 1.5   0.750   136    0.064 1.930  1.545     94     0.105  2.237    0.628   1.798     20     0.190
base exec row:
stop  target  IS_n  IS_mean  IS_t  IS_pf  OOS_n  OOS_mean  OOS_t  OOS_win  OOS_pf  REC_n  REC_mean
none     NaN   136    0.064 2.059  1.579     94     0.095  2.072    0.628   1.731     20     0.196

=== Deflated Sharpe (per-trade SR; trials = 242 cells with IS n>=25; also N=528 all cells computed)
  C1 IS   N=242: T=33 SR/trade=0.191 SR0=0.471 skew=0.45 kurt=2.1 DSR=0.050
  C1 IS   N=528: T=33 SR/trade=0.191 SR0=0.511 skew=0.45 kurt=2.1 DSR=0.030
  C1 OOS  N=242: T=28 SR/trade=0.347 SR0=0.335 skew=0.08 kurt=2.2 DSR=0.524
  C1 OOS  N=528: T=28 SR/trade=0.347 SR0=0.364 skew=0.08 kurt=2.2 DSR=0.465
  C1 FULL N=242: T=61 SR/trade=0.262 SR0=0.335 skew=0.28 kurt=2.1 DSR=0.280
  C1 FULL N=528: T=61 SR/trade=0.262 SR0=0.364 skew=0.28 kurt=2.1 DSR=0.209
  C2 IS   N=242: T=136 SR/trade=0.179 SR0=0.471 skew=-0.08 kurt=3.2 DSR=0.000
  C2 IS   N=528: T=136 SR/trade=0.179 SR0=0.511 skew=-0.08 kurt=3.2 DSR=0.000
  C2 OOS  N=242: T=94 SR/trade=0.214 SR0=0.335 skew=-0.56 kurt=4.0 DSR=0.137
  C2 OOS  N=528: T=94 SR/trade=0.214 SR0=0.364 skew=-0.56 kurt=4.0 DSR=0.088
  C2 FULL N=242: T=230 SR/trade=0.194 SR0=0.335 skew=-0.33 kurt=3.8 DSR=0.020
  C2 FULL N=528: T=230 SR/trade=0.194 SR0=0.364 skew=-0.33 kurt=3.8 DSR=0.007

=== PBO (CSCV, S=16, 12870 splits, 242 trials, monthly Sharpe): PBO = 0.282; median logit +0.92
  C1 median test-rank percentile across splits: 0.87;  C2: 0.96  (0.5 = median trial)

=== Portfolio 2008-01 -> 2026-09-03, MES ($5/pt), $100K start, friction 1.0 pt/contract RT, closed-trade equity
                    strategy scheme  trades   final  cagr  maxdd_pct  maxdd_usd  avg_trade  med_trade   win    pf  sharpe  n_first  n_med  n_last
C1 day (stop prevlow, close)  fixed      42 124,124 0.012     -0.027     -2,743        574         26 0.500 3.050   0.532       10     10      10
C1 day (stop prevlow, close)    lev      42 104,793 0.003     -0.019     -1,948        114         27 0.500 1.961   0.354        9  3.000       1
C1 day (stop prevlow, close)    atr      42 107,186 0.004     -0.024     -2,428        171         49 0.500 2.109   0.412       10  5.000       2
      C2 overnight (no stop)  fixed     230 144,868 0.020     -0.113    -15,449        195        104 0.596 1.710   0.578       10     10      10
      C2 overnight (no stop)    lev     230 112,700 0.006     -0.035     -4,006         55         64 0.596 1.476   0.450       10  5.000       1
      C2 overnight (no stop)    atr     230 130,286 0.014     -0.065     -8,116        132        161 0.596 1.498   0.533        9     14       9
              C1+C2 combined  fixed     272 168,991 0.028     -0.097    -14,618        254         94 0.581 1.920   0.756       10     10      10
              C1+C2 combined    lev     272 120,632 0.010     -0.045     -4,808         76         65 0.581 1.622   0.599       10  4.500       1
              C1+C2 combined    atr     272 148,189 0.021     -0.065     -7,485        177        168 0.581 1.643   0.683        9     12      10
  scheme lev: leverage 0.61x notional/equity (10 MES on first trade); scheme atr: 2.00% of equity per 1-ATR move

Per-year, C1+C2 combined, constant-leverage compounding:
       n    pnl  eq_end
sd                     
2008  19  5,900 105,900
2009  14 -2,606 103,295
2010  11    950 104,244
2011  16 -2,467 101,777
2012  22    582 102,360
2013  11    726 103,085
2014  10  2,221 105,306
2015  16   -794 104,512
2016  13   -496 104,016
2017   7    135 104,152
2018  19    534 104,686
2019   6 -1,097 103,589
2020  13  8,587 112,177
2021  11  2,919 115,095
2022  27   -225 114,871
2023  16    -67 114,803
2024  16  1,613 116,416
2025  14  1,069 117,486
2026  11  3,146 120,632

Per-year, C1+C2 combined, constant-ATR-risk compounding:
       n    pnl  eq_end
sd                     
2008  19  6,967 106,967
2009  14 -3,384 103,583
2010  11  2,396 105,979
2011  16 -3,715 102,264
2012  22  1,378 103,642
2013  11  2,525 106,167
2014  10  7,228 113,395
2015  16 -2,345 111,050
2016  13  1,155 112,205
2017   7    606 112,811
2018  19   -267 112,544
2019   6 -5,123 107,421
2020  13  9,575 116,996
2021  11 10,133 127,129
2022  27  1,458 128,587
2023  16   -691 127,896
2024  16  6,594 134,489
2025  14  3,718 138,208
2026  11  9,981 148,189
