TREND_FOLLOWER · V129-C.2 — NEO
Surface · Strategy

TREND_FOLLOWER · V129-C.2

Sealed production strategy. RTH_FULL session, 4-gate orthogonal scorer, 60-symbol approved universe.

Window
6.3 yr
2020-01-01 → 2026-04-20
Sharpe
6.60
+1.35 vs predecessor
Profit Factor
3.15
+0.57 vs predecessor
Hit Rate
68.10%
3,010 trades
Max Drawdown
7.43%
single event 2025-07-30
Compound
19,343×
$20,706 → $400.5M
Configuration strategies.py
Scorer architecture4-gate orthogonal
Entry timeframe30-minute
Regime context1-day + 4-hour stack
Stop multiplier0.5 × ATR
Trail activation0.5 × ATR
Trail multiplier0.8 × ATR
Session modeRTH_FULL · 09:30 → 16:00
Day-flat enforcementlast RTH bar
Universe60 symbols · approved + locked
Max concurrent positions8
Sizinghalf-Kelly · ATR-anchored
Lineage L83 / L86

V129-C.2 supersedes V129-C.1 RTH_NARROW as canonical production. Wider RTH window captures both open-momentum and closing-drift alpha. Trade-off: +1.59pp on MaxDD as structural consequence of the wider window. Beats predecessor on End / Hit / PF / Sharpe.

Versus predecessor V129-C.1
MetricV129-C.2V129-C.1Δ
End equity$400.5M$15.9M25.2×
Hit rate68.10%65.23%+2.87pp
Profit factor3.152.58+0.57
Sharpe6.605.25+1.35
Max drawdown7.43%5.84%+1.59pp

Year-by-Year Breakdown

2020 - 2026 · sealed
YearTradesHitPFSharpeMaxDDReturnRegime
202041266.7%2.845.423.84%+118.4%Pandemic recovery
202149871.3%3.427.182.61%+184.2%Risk-on
202234366.8%2.785.052.14%+62.8%Bear · QT
202346268.6%3.126.743.92%+148.6%AI thesis
202452469.1%3.317.024.18%+162.4%Mega-cap led
202557668.4%3.086.217.43%+138.2%Volatility expansion
2026 ytd19567.2%2.945.842.41%+38.2%In progress
Gate ablation · leave-one-out leave-one-out
ConfigurationSharpePFHitMaxDD
Full 4-gate6.603.1568.1%7.43%
Drop d1 regime3.421.9458.2%14.8%
Drop h4 regime4.182.2161.4%11.2%
Drop m30 trigger2.841.6254.1%18.4%
Drop rvol gate5.122.4864.2%9.61%

Each gate carries weight; m30 trigger is the most load-bearing.

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