Dynamis — Strategy Comparison

	V1 hit_20_5	V1 hit_30_5	V2 Profitable
Entry Model	LightGBM 107 trees	LightGBM 107 trees	LightGBM 174 trees
Exit Model	LightGBM 51 trees	LightGBM 51 trees	None (MomTrail)
Profit Target	+20%	+30%	No cap
Stop Loss	-10%	-10%	-10%
Trail Activation	+10% return	+10% return	+3% profit + vel drop
Trail Gap	5% from peak	5% from peak	2% from peak
Trail Trigger	Fixed ratchet	Fixed ratchet	30s vel < -1%
MomTrail Min Profit	N/A (fixed trail)	N/A (fixed trail)	3%
Velocity Window	N/A	N/A	30 seconds
Velocity Threshold	N/A	N/A	-1%
D05 Threshold	0.3510	0.2669	0.6946
Contracts	1	1	1
Entry Features	60	60	59
Timeout	60 min	60 min	60 min
Cooldown	120s post-stop	120s post-stop	120s post-stop
Order Type	Limit BTO / Mkt STC	Same	Same
Entry Slip Cap	5% above mid	Same	Same
Price Filter	$1.00 - $4.99	Same	Same
Moneyness	0.90 - 1.10	Same	Same
Research WR	45.5%	35.7%	62.2%
Research Sharpe	0.658 ¹	0.346 ¹	1.034 ²
235-day Total PnL	$+65,276 combined ³		+585.67% ⁴

Methodology Notes

¹ V1 Sharpe — 36-day out-of-sample test set only. Daily P&L Sharpe (mean/std of daily $PnL). TRAIL_15_8 exit strategy (lock +8% floor at +15% return).

² V2 Sharpe — Full 235-day backtest. Daily P&L Sharpe with compounding equity sim. MomTrail exit (velocity-aware trailing stop, no profit cap).

³ V1 PnL ($65,276) — 235 days, includes in-sample data (directionally useful, not pure OOS). Flat 1 contract per trade, $1.30 RT commission. Combined hit_20_5 + hit_30_5, $1.00-$4.99 price range, D05 conviction. Dollar sum, no compounding.

⁴ V2 PnL (%) — 235 days, full backtest. $15K starting capital, 10% of $5K risk capital per trade (dynamic contract sizing), $1.30 RT commission. Compounding equity — account grows/shrinks with each trade. % return = (final equity − $15K) / $15K.

V1 and V2 PnL numbers are not directly comparable due to different sizing, compounding, and exit methodologies.