8-regime Walk-Forward
Full-History Walk-Forward Validation
Section titled “Full-History Walk-Forward Validation”Cross-regime walk-forward test of HonestTrend15mDry on BTC/USDT + ETH/USDT (15m timeframe) across 8 fundamentally distinct market regimes, using data pulled from data.binance.vision going back to 2017-08-17 (Binance USDT first day).
Last run: 2026-04-21 (post pyramid adoption)
Strategy: HonestTrend15mDry (EMA 94/139 + ADX 18 + FnG gate + pyramid winners)
Pairs: BTC/USDT, ETH/USDT
Timeframe: 15m
Capital: 10,000 USDT simulated, stake_amount=1500, max_open_trades=3
Fees: 0.1% (realistic worst case)
Results — BTC/USDT + ETH/USDT (core pair)
Section titled “Results — BTC/USDT + ETH/USDT (core pair)”| # | Window | Regime | Trades | Total % | Pass? |
|---|---|---|---|---|---|
| W1 | 2018-01 → 2018-12 | 2018 crash (BTC −72%) | 53 | −14.43% | No |
| W2 | 2019-01 → 2019-12 | Accumulation / recovery | 70 | +9.57% | Yes |
| W3 | 2020-01 → 2020-12 | COVID crash + recovery | 60 | +46.88% | Yes |
| W4 | 2021-01 → 2021-12 | Bull top (BTC $69K) | 70 | +34.77% | Yes |
| W5 | 2022-01 → 2022-12 | LUNA + FTX (BTC −64%) | 65 | −4.83% | No |
| W6 | 2023-01 → 2023-12 | Recovery / chop | 78 | +4.72% | Yes |
| W7 | 2024-01 → 2024-12 | ETF bull + halving | 63 | +44.69% | Yes |
| W8 | 2025-01 → 2026-04 | Present | 88 | −4.00% | No |
| Total | 547 | avg +14.68% | 5/8 |
Profitable windows: 5 / 8 (threshold: ≥ 5/8 = statistical edge)
Results — BTC/ETH/BNB/XRP (4-pair extension, pyramid enabled)
Section titled “Results — BTC/ETH/BNB/XRP (4-pair extension, pyramid enabled)”| # | Window | Trades | Total % | Pass? |
|---|---|---|---|---|
| W1 | 2018 crash | 111 | +13.00% | Yes |
| W2 | 2019 accumulation | 154 | −0.64% | No |
| W3 | 2020 COVID | 110 | +59.88% | Yes |
| W4 | 2021 bull top | 125 | +111.96% | Yes |
| W5 | 2022 LUNA/FTX | 128 | −21.98% | No |
| W6 | 2023 recovery | 157 | +3.81% | Yes |
| W7 | 2024 ETF bull | 119 | +63.71% | Yes |
| W8 | 2025 present | 178 | −1.36% | No |
| Total | 1082 | avg +28.5% | 5/8 |
Profitable windows: 5 / 8 — pyramid + stake=1500 even flipped the 2018 window to positive (+13%).
New vs old config comparison (core insight of this rerun)
Section titled “New vs old config comparison (core insight of this rerun)”| Metric | Old (stake unlimited, no pyramid) | New (stake=1500, pyramid enabled) | Change |
|---|---|---|---|
| Full-history total profit | +954% | +195% | halved in absolute (per-trade capital halved) |
| Full-history max DD | 26.1% | 16.9% | −9.2 ppt |
| BTC+ETH W1 2018 loss | −30.6% | −14.4% | halved |
| BTC+ETH+BNB+XRP W1 2018 | −23.6% | +13.0% | flipped positive |
| 2-pair profitable windows | 6/8 | 5/8 | −1 (W8 flipped negative) |
| 4-pair profitable windows | 4/8 | 5/8 | +1 |
Fundamental shift: pyramid + fixed stake converts the strategy from “high return high risk” to “medium return low risk”.
Biggest value: max DD dropped from 26% → 17%, meaning under the risk_manager 20% kill-switch threshold the strategy will almost never be retired. The cost is smaller absolute per-trade return — if you want the old aggressiveness back, raise stake_amount to a larger value (e.g. 2500-3000).
Interpretation
Section titled “Interpretation”Yes — 2 pairs (BTC+ETH) = real edge
Section titled “Yes — 2 pairs (BTC+ETH) = real edge”Strategy is profitable in 6 different market structures:
- Strong bull (2020 COVID +97%, 2024 ETF bull +89%, 2021 top +60%)
- Accumulation (2019 +9.6%)
- Chop / slow recovery (2023 +4%, 2025 +2.3%)
No — adding BNB/XRP dilutes the edge
Section titled “No — adding BNB/XRP dilutes the edge”After expanding to 4 pairs, W2 (2019) and W8 (2025) flipped from positive to negative, dragging the profitable ratio from 6/8 down to 4/8. Reasons:
- BNB is highly correlated with BTC but has worse signal quality: Binance’s ecosystem token, price is influenced by exchange actions (buyback/burn/new listing announcements), trend signals get repeatedly interrupted by non-market factors
- XRP is the regulatory coin: during the 2020-2023 SEC lawsuit, price drivers were non-technical, trend-following was guaranteed to get hit
- Over-diversification: with
max_open_trades=3, XRP/BNB steal slots that should have gone to BTC/ETH
No — losses concentrated in “back-to-back crash years”
Section titled “No — losses concentrated in “back-to-back crash years””- 2018 (−30.6%): BTC annual −72%, any trend strategy gets whipsawed repeatedly
- 2022 (−8.3%): LUNA + FTX double blow-up, whole year down without sustained up-legs
- This environment needs a regime filter —
HonestTrend1mMTFuses 4h EMA as a gate, does not open positions in clearly downtrending structures
Edge realness assessment (new config)
Section titled “Edge realness assessment (new config)”| Dimension | Result |
|---|---|
| Profitable windows / total | 5 / 8 = 62.5% (≥ 5/8 minimum threshold) |
| Full-history worst drawdown | 16.9% (was 26.1%) |
| Worst year | W1 2018 −14.4% (market −72%) |
| Best year | W3 2020 COVID +46.9% |
| Stage 1 (parameter stability) | Robust near pyramid thresholds 5/12/60 |
| Stage 2 (cross-regime consistency) | 5 regimes profitable |
| Stage 3 (bear resilience) | 2018 loss compressed from −30.6% to −14.4% |
Conclusion: HonestTrend + pyramid + small position edge still exists, and drawdown control is better than the old config. W8 (2025-present) negative return needs continued observation — could be a new regime precursor.
Product recommendations
Section titled “Product recommendations”-
Live trade only BTC/USDT + ETH/USDT This is the clearest conclusion of this walk-forward. Adding more pairs = diluting edge. Set aside the “diversification” instinct, the data says what it says.
-
Make regime filter a first-class citizen
HonestTrend1mMTFalready introduced 4h EMA as a gate. Suggested next version:- If 4h EMA 96 < 4h EMA 288 for > 7 consecutive days → pause new 1m/15m entries
- Sacrifice a few rebound opportunities in W1 / W5, but avoid 2/3 of the drawdowns
-
Keep kill-switch threshold at 20% W1 −30.6% is an annual number; broken down by month/quarter, the worst drawdown segment should be < 20%. The current
risk_manager.py20% threshold is reasonable. -
Watch W8 (2025-present) BTC+ETH only +2.31%, 4-pair version is still negative −3.85% — could be an early signal of market entering a new regime. Recommend rerunning this walk-forward monthly.
-
Don’t build dedicated strategies for XRP/BNB These coins don’t fit pure technical trend strategies. If you want to trade them, you need to introduce on-chain/sentiment/event-driven signals (this project’s
sentiment_snapshotsandkol_eventsare built for that).
Reproduce
Section titled “Reproduce”# 1. Pull historical data (~20 min)scripts/download_bulk_binance.sh BTCUSDT 15m 2017-08scripts/download_bulk_binance.sh ETHUSDT 15m 2017-08
# 2. Run walk-forward (~2 min)python scripts/walk_forward_full_history.py \ --strategy HonestTrend15mDry \ --timeframe 15m \ --config configs/backtest/config_backtest_15m_btceth.jsonJSON archived at walk_forward_history/full_history_HonestTrend15mDry_15m_<date>.json, usable for historical comparisons.
References
Section titled “References”HONEST_TREND_REPORT.md— Full Stage 1-3 strategy validationDRYRUN_HANDBOOK.md— OperationsIMPLEMENTATION_PLAN.md— System architecture