{ "config": { "allocator": "rank", "alpha_names": [ "eq_mom_252_21", "eq_rev_21" ], "embargo_bars": 274, "end": 1780272000000, "initial_cash": 100000.0, "instrument_ids": [ "XUSE:CASH:AALUSD", "XUSE:CASH:AAOIUSD", "XUSE:CASH:AAPLUSD", "XUSE:CASH:AAUSD", "XUSE:CASH:ABBVUSD", "XUSE:CASH:ABCUSD", "XUSE:CASH:ABMDUSD", "XUSE:CASH:ABNBUSD", "XUSE:CASH:ABTUSD", "XUSE:CASH:ACHRUSD", "XUSE:CASH:ACNUSD", "XUSE:CASH:ADBEUSD", "XUSE:CASH:ADIUSD", "XUSE:CASH:ADPUSD", "XUSE:CASH:ADSKUSD", "XUSE:CASH:AFRMUSD", "XUSE:CASH:AIUSD", "XUSE:CASH:AJGUSD", "XUSE:CASH:ALABUSD", "XUSE:CASH:ALBUSD", "XUSE:CASH:ALGNUSD", "XUSE:CASH:AMATUSD", "XUSE:CASH:AMCUSD", "XUSE:CASH:AMDUSD", "XUSE:CASH:AMGNUSD", "XUSE:CASH:AMTUSD", "XUSE:CASH:AMZNUSD", "XUSE:CASH:ANETUSD", "XUSE:CASH:AONUSD", "XUSE:CASH:APDUSD", "XUSE:CASH:APHUSD", "XUSE:CASH:APLDUSD", "XUSE:CASH:APOUSD", "XUSE:CASH:APPUSD", "XUSE:CASH:ARMUSD", "XUSE:CASH:ASMLUSD", "XUSE:CASH:ASTSUSD", "XUSE:CASH:ATVIUSD", "XUSE:CASH:AVGOUSD", "XUSE:CASH:AVLRUSD", "XUSE:CASH:AXONUSD", "XUSE:CASH:AXPUSD", "XUSE:CASH:AXTIUSD", "XUSE:CASH:AZNUSD", "XUSE:CASH:AZOUSD", "XUSE:CASH:BABAUSD", "XUSE:CASH:BACUSD", "XUSE:CASH:BAUSD", "XUSE:CASH:BBAIUSD", "XUSE:CASH:BBBYUSD", "XUSE:CASH:BDXUSD", "XUSE:CASH:BEUSD", "XUSE:CASH:BIDUUSD", "XUSE:CASH:BIIBUSD", "XUSE:CASH:BKNGUSD", "XUSE:CASH:BKRUSD", "XUSE:CASH:BLKUSD", "XUSE:CASH:BMNRUSD", "XUSE:CASH:BMYUSD", "XUSE:CASH:BPUSD", "XUSE:CASH:BRKAUSD", "XUSE:CASH:BRKBUSD", "XUSE:CASH:BSXUSD", "XUSE:CASH:BUSD", "XUSE:CASH:BXUSD", "XUSE:CASH:CARUSD", "XUSE:CASH:CATUSD", "XUSE:CASH:CBUSD", "XUSE:CASH:CCIUSD", "XUSE:CASH:CCLUSD", "XUSE:CASH:CDNSUSD", "XUSE:CASH:CEGUSD", "XUSE:CASH:CFUSD", "XUSE:CASH:CHTRUSD", "XUSE:CASH:CIENUSD", "XUSE:CASH:CIFRUSD", "XUSE:CASH:CIUSD", "XUSE:CASH:CLFUSD", "XUSE:CASH:CLRUSD", "XUSE:CASH:CLSKUSD", "XUSE:CASH:CLSUSD", "XUSE:CASH:CLUSD", "XUSE:CASH:CMCSAUSD", "XUSE:CASH:CMEUSD", "XUSE:CASH:CMGUSD", "XUSE:CASH:CMIUSD", "XUSE:CASH:CNCUSD", "XUSE:CASH:COFUSD", "XUSE:CASH:COHRUSD", "XUSE:CASH:COINUSD", "XUSE:CASH:COPUSD", "XUSE:CASH:COSTUSD", "XUSE:CASH:COUPUSD", "XUSE:CASH:CRCLUSD", "XUSE:CASH:CRDOUSD", "XUSE:CASH:CRHUSD", "XUSE:CASH:CRMUSD", "XUSE:CASH:CRWDUSD", "XUSE:CASH:CRWVUSD", "XUSE:CASH:CSCOUSD", "XUSE:CASH:CSXUSD", "XUSE:CASH:CUSD", "XUSE:CASH:CVNAUSD", "XUSE:CASH:CVSUSD", "XUSE:CASH:CVXUSD", "XUSE:CASH:DALUSD", "XUSE:CASH:DASHUSD", "XUSE:CASH:DDOGUSD", "XUSE:CASH:DECKUSD", "XUSE:CASH:DELLUSD", "XUSE:CASH:DEUSD", "XUSE:CASH:DGUSD", "XUSE:CASH:DHIUSD", "XUSE:CASH:DHRUSD", "XUSE:CASH:DISUSD", "XUSE:CASH:DJTUSD", "XUSE:CASH:DKNGUSD", "XUSE:CASH:DLRUSD", "XUSE:CASH:DLTRUSD", "XUSE:CASH:DOCUUSD", "XUSE:CASH:DUKUSD", "XUSE:CASH:DUOLUSD", "XUSE:CASH:DUSD", "XUSE:CASH:DVNUSD", "XUSE:CASH:DXCMUSD", "XUSE:CASH:EAUSD", "XUSE:CASH:EBAYUSD", "XUSE:CASH:ELUSD", "XUSE:CASH:ELVUSD", "XUSE:CASH:ENPHUSD", "XUSE:CASH:EOGUSD", "XUSE:CASH:EQIXUSD", "XUSE:CASH:ETNUSD", "XUSE:CASH:ETSYUSD", "XUSE:CASH:EWUSD", "XUSE:CASH:EXPEUSD", "XUSE:CASH:FANGUSD", "XUSE:CASH:FCXUSD", "XUSE:CASH:FDXUSD", "XUSE:CASH:FERGUSD", "XUSE:CASH:FIGUSD", "XUSE:CASH:FISUSD", "XUSE:CASH:FISVUSD", "XUSE:CASH:FIUSD", "XUSE:CASH:FIXUSD", "XUSE:CASH:FLUTUSD", "XUSE:CASH:FRCUSD", "XUSE:CASH:FSLRUSD", "XUSE:CASH:FTNTUSD", "XUSE:CASH:FUSD", "XUSE:CASH:FUTUUSD", "XUSE:CASH:GEUSD", "XUSE:CASH:GEVUSD", "XUSE:CASH:GILDUSD", "XUSE:CASH:GLWUSD", "XUSE:CASH:GMEUSD", "XUSE:CASH:GMUSD", "XUSE:CASH:GNRCUSD", "XUSE:CASH:GOLDUSD", "XUSE:CASH:GOOGLUSD", "XUSE:CASH:GOOGUSD", "XUSE:CASH:GSUSD", "XUSE:CASH:HALUSD", "XUSE:CASH:HBANUSD", "XUSE:CASH:HCAUSD", "XUSE:CASH:HDUSD", "XUSE:CASH:HESUSD", "XUSE:CASH:HIMSUSD", "XUSE:CASH:HLTUSD", "XUSE:CASH:HLUSD", "XUSE:CASH:HONUSD", "XUSE:CASH:HOODUSD", "XUSE:CASH:HPEUSD", "XUSE:CASH:HPQUSD", "XUSE:CASH:HSYUSD", "XUSE:CASH:HUMUSD", "XUSE:CASH:HZNPUSD", "XUSE:CASH:IBMUSD", "XUSE:CASH:ICEUSD", "XUSE:CASH:INTCUSD", "XUSE:CASH:INTUUSD", "XUSE:CASH:IONQUSD", "XUSE:CASH:IPUSD", "XUSE:CASH:IRENUSD", "XUSE:CASH:ISRGUSD", "XUSE:CASH:JCIUSD", "XUSE:CASH:JDUSD", "XUSE:CASH:JNJUSD", "XUSE:CASH:JOBYUSD", "XUSE:CASH:JPMUSD", "XUSE:CASH:KKRUSD", "XUSE:CASH:KLACUSD", "XUSE:CASH:KMBUSD", "XUSE:CASH:KOUSD", "XUSE:CASH:KRUSD", "XUSE:CASH:KUSD", "XUSE:CASH:KVUEUSD", "XUSE:CASH:LCIDUSD", "XUSE:CASH:LINUSD", "XUSE:CASH:LITEUSD", "XUSE:CASH:LIUSD", "XUSE:CASH:LLYUSD", "XUSE:CASH:LMTUSD", "XUSE:CASH:LNGUSD", "XUSE:CASH:LOWUSD", "XUSE:CASH:LRCXUSD", "XUSE:CASH:LULUUSD", "XUSE:CASH:MARAUSD", "XUSE:CASH:MARUSD", "XUSE:CASH:MAUSD", "XUSE:CASH:MCDUSD", "XUSE:CASH:MCHPUSD", "XUSE:CASH:MCKUSD", "XUSE:CASH:MCOUSD", "XUSE:CASH:MDBUSD", "XUSE:CASH:MDLZUSD", "XUSE:CASH:MDTUSD", "XUSE:CASH:MELIUSD", "XUSE:CASH:METAUSD", "XUSE:CASH:METUSD", "XUSE:CASH:MMCUSD", "XUSE:CASH:MMMUSD", "XUSE:CASH:MNSTUSD", "XUSE:CASH:MOSUSD", "XUSE:CASH:MOUSD", "XUSE:CASH:MPCUSD", "XUSE:CASH:MPUSD", "XUSE:CASH:MPWRUSD", "XUSE:CASH:MRKUSD", "XUSE:CASH:MRNAUSD", "XUSE:CASH:MROUSD", "XUSE:CASH:MRVLUSD", "XUSE:CASH:MSFTUSD", "XUSE:CASH:MSIUSD", "XUSE:CASH:MSTRUSD", "XUSE:CASH:MSUSD", "XUSE:CASH:MUUSD", "XUSE:CASH:NBISUSD", "XUSE:CASH:NCLHUSD", "XUSE:CASH:NEEUSD", "XUSE:CASH:NEMUSD", "XUSE:CASH:NETUSD", "XUSE:CASH:NFLXUSD", "XUSE:CASH:NIOUSD", "XUSE:CASH:NKEUSD", "XUSE:CASH:NOCUSD", "XUSE:CASH:NOKUSD", "XUSE:CASH:NOWUSD", "XUSE:CASH:NSCUSD", "XUSE:CASH:NUEUSD", "XUSE:CASH:NUUSD", "XUSE:CASH:NVAXUSD", "XUSE:CASH:NVDAUSD", "XUSE:CASH:NVOUSD", "XUSE:CASH:NXPIUSD", "XUSE:CASH:OKEUSD", "XUSE:CASH:OKLOUSD", "XUSE:CASH:ONDSUSD", "XUSE:CASH:ONUSD", "XUSE:CASH:OPENUSD", "XUSE:CASH:ORCLUSD", "XUSE:CASH:ORLYUSD", "XUSE:CASH:OSCRUSD", "XUSE:CASH:OUSD", "XUSE:CASH:OXYUSD", "XUSE:CASH:PANWUSD", "XUSE:CASH:PBRUSD", "XUSE:CASH:PCGUSD", "XUSE:CASH:PDDUSD", "XUSE:CASH:PEPUSD", "XUSE:CASH:PFEUSD", "XUSE:CASH:PGRUSD", "XUSE:CASH:PGUSD", "XUSE:CASH:PHUSD", "XUSE:CASH:PLDUSD", "XUSE:CASH:PLTRUSD", "XUSE:CASH:PLUGUSD", "XUSE:CASH:PMUSD", "XUSE:CASH:PNCUSD", "XUSE:CASH:PSAUSD", "XUSE:CASH:PSXUSD", "XUSE:CASH:PXDUSD", "XUSE:CASH:PYPLUSD", "XUSE:CASH:QBTSUSD", "XUSE:CASH:QCOMUSD", "XUSE:CASH:QSUSD", "XUSE:CASH:QUBTUSD", "XUSE:CASH:RBLXUSD", "XUSE:CASH:RCLUSD", "XUSE:CASH:RDDTUSD", "XUSE:CASH:REGNUSD", "XUSE:CASH:RFUSD", "XUSE:CASH:RGTIUSD", "XUSE:CASH:RIOTUSD", "XUSE:CASH:RIVNUSD", "XUSE:CASH:RKLBUSD", "XUSE:CASH:RKTUSD", "XUSE:CASH:ROKUUSD", "XUSE:CASH:RTXUSD", "XUSE:CASH:SATSUSD", "XUSE:CASH:SBETUSD", "XUSE:CASH:SBUXUSD", "XUSE:CASH:SCHWUSD", "XUSE:CASH:SEUSD", "XUSE:CASH:SHELUSD", "XUSE:CASH:SHOPUSD", "XUSE:CASH:SHWUSD", "XUSE:CASH:SLBUSD", "XUSE:CASH:SMCIUSD", "XUSE:CASH:SMRUSD", "XUSE:CASH:SNAPUSD", "XUSE:CASH:SNDKUSD", "XUSE:CASH:SNOWUSD", "XUSE:CASH:SNPSUSD", "XUSE:CASH:SOFIUSD", "XUSE:CASH:SOUNUSD", "XUSE:CASH:SOUSD", "XUSE:CASH:SPGIUSD", "XUSE:CASH:SPOTUSD", "XUSE:CASH:SQUSD", "XUSE:CASH:STXUSD", "XUSE:CASH:STZUSD", "XUSE:CASH:SWNUSD", "XUSE:CASH:SWUSD", "XUSE:CASH:SYKUSD", "XUSE:CASH:TEAMUSD", "XUSE:CASH:TEMUSD", "XUSE:CASH:TERUSD", "XUSE:CASH:TFCUSD", "XUSE:CASH:TGTUSD", "XUSE:CASH:TJXUSD", "XUSE:CASH:TMOUSD", "XUSE:CASH:TMUSUSD", "XUSE:CASH:TSLAUSD", "XUSE:CASH:TSMUSD", "XUSE:CASH:TTDUSD", "XUSE:CASH:TTUSD", "XUSE:CASH:TTWOUSD", "XUSE:CASH:TUSD", "XUSE:CASH:TWLOUSD", "XUSE:CASH:TWTRUSD", "XUSE:CASH:TXNUSD", "XUSE:CASH:UALUSD", "XUSE:CASH:UBERUSD", "XUSE:CASH:ULTAUSD", "XUSE:CASH:UNHUSD", "XUSE:CASH:UNPUSD", "XUSE:CASH:UPSTUSD", "XUSE:CASH:UPSUSD", "XUSE:CASH:URIUSD", "XUSE:CASH:USBUSD", "XUSE:CASH:UUSD", "XUSE:CASH:UUUUUSD", "XUSE:CASH:VALEUSD", "XUSE:CASH:VICIUSD", "XUSE:CASH:VKTXUSD", "XUSE:CASH:VLOUSD", "XUSE:CASH:VMWUSD", "XUSE:CASH:VRTUSD", "XUSE:CASH:VRTXUSD", "XUSE:CASH:VSTUSD", "XUSE:CASH:VUSD", "XUSE:CASH:VZUSD", "XUSE:CASH:WBDUSD", "XUSE:CASH:WDAYUSD", "XUSE:CASH:WDCUSD", "XUSE:CASH:WFCUSD", "XUSE:CASH:WMTUSD", "XUSE:CASH:WULFUSD", "XUSE:CASH:XOMUSD", "XUSE:CASH:XUSD", "XUSE:CASH:XYZUSD", "XUSE:CASH:ZMUSD", "XUSE:CASH:ZSUSD", "XUSE:CASH:ZTSUSD" ], "n_legs": 12, "no_trade_band": 0.001, "purge_bars": 21, "rebalance_bars": 10, "risk_counters": { "bars_half_gross": 115, "bars_halted_flat": 0, "hold_between_rebalance": 546, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 81, "n_rebalances": 81 }, "start": 1656633600000, "test_bars": 63, "train_bars": 252 }, "legs": [ { "leg": 0, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.0013936782724892447, "avg_win_d": 0.0017282833720591243, "cagr": 0.042965496718357477, "calmar": 4.392718470905747, "end_ts": 1696291200000, "fees_paid": 47.56476904987404, "final_equity": 101031.04903462573, "funding_net": 0.0, "gross_mean": 0.6464009412266992, "initial_equity": 100000.0, "max_dd": 0.009781072245565126, "max_dd_bar": 0.009781072245565126, "max_dd_peak_ts": 1690329600000, "max_dd_trough_ts": 1691107200000, "n_days": 63, "n_periods": 62, "net_mean": -0.032587186435539824, "profit_factor_d": 1.2400877635641419, "sharpe": 1.6514856217609866, "sharpe_hourly": 1.6514856217609866, "sortino": 2.6236541910872266, "sortino_hourly": 2.6236541910872266, "start_ts": 1688601600000, "total_return": 0.010310490346257195, "turnover_ann": 27.428403551558624, "vol_ann": 0.03697605953504377, "vol_ann_hourly": 0.03697605953504377, "win_rate_d": 0.5 }, "test_end": 1696291200000, "test_start": 1688515200000, "train_start": 1666742400000 }, { "leg": 1, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.0023668237529678765, "avg_win_d": 0.0017022541498736485, "cagr": -0.06498645989811713, "calmar": -1.9708440718169686, "end_ts": 1704240000000, "fees_paid": 45.79922854491876, "final_equity": 99352.62020752106, "funding_net": 0.0, "gross_mean": 0.672265881029928, "initial_equity": 101031.04903462573, "max_dd": 0.03297392260880616, "max_dd_bar": 0.03297392260880616, "max_dd_peak_ts": 1700006400000, "max_dd_trough_ts": 1703808000000, "n_days": 63, "n_periods": 62, "net_mean": -0.03151994825753536, "profit_factor_d": 0.7671622179675958, "sharpe": -1.9080094909085743, "sharpe_hourly": -1.9080094909085743, "sortino": -2.3839067383592947, "sortino_hourly": -2.3839067383592947, "start_ts": 1696377600000, "total_return": -0.01661300009395561, "turnover_ann": 26.363372157433417, "vol_ann": 0.051010698653594734, "vol_ann_hourly": 0.051010698653594734, "win_rate_d": 0.5161290322580645 }, "test_end": 1704240000000, "test_start": 1696291200000, "train_start": 1674518400000 }, { "leg": 2, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.0021089087026076076, "avg_win_d": 0.0019471076445519186, "cagr": 0.028271183804171596, "calmar": 1.5675188426730848, "end_ts": 1712188800000, "fees_paid": 46.90235721151009, "final_equity": 100045.5897327063, "funding_net": 0.0, "gross_mean": 0.6353280023844196, "initial_equity": 99352.62020752106, "max_dd": 0.018035626133821037, "max_dd_bar": 0.018035626133821037, "max_dd_peak_ts": 1706572800000, "max_dd_trough_ts": 1707177600000, "n_days": 63, "n_periods": 62, "net_mean": -0.056839256588018965, "profit_factor_d": 1.1211225000079206, "sharpe": 0.8580928135066861, "sharpe_hourly": 0.8580928135066861, "sortino": 1.2418579913679961, "sortino_hourly": 1.2418579913679961, "start_ts": 1704326400000, "total_return": 0.006974849014931062, "turnover_ann": 27.104549280975494, "vol_ann": 0.04906903833990227, "vol_ann_hourly": 0.04906903833990227, "win_rate_d": 0.5483870967741935 }, "test_end": 1712188800000, "test_start": 1704240000000, "train_start": 1682467200000 }, { "leg": 3, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.001747702139800001, "avg_win_d": 0.0015371025682180764, "cagr": -0.026383334765388344, "calmar": -1.1537284167745787, "end_ts": 1720137600000, "fees_paid": 42.44287998676283, "final_equity": 99380.89458381043, "funding_net": 0.0, "gross_mean": 0.6316099207214546, "initial_equity": 100045.5897327063, "max_dd": 0.02286789020863933, "max_dd_bar": 0.02286789020863933, "max_dd_peak_ts": 1713312000000, "max_dd_trough_ts": 1718323200000, "n_days": 63, "n_periods": 62, "net_mean": -0.06896467490571462, "profit_factor_d": 0.8794991624796976, "sharpe": -0.9486381785960386, "sharpe_hourly": -0.9486381785960386, "sortino": -1.334625549086726, "sortino_hourly": -1.334625549086726, "start_ts": 1712275200000, "total_return": -0.006643922542430403, "turnover_ann": 24.77679141107028, "vol_ann": 0.04051536474167975, "vol_ann_hourly": 0.04051536474167975, "win_rate_d": 0.5 }, "test_end": 1720051200000, "test_start": 1712188800000, "train_start": 1690416000000 }, { "leg": 4, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.001812438820257448, "avg_win_d": 0.002312439264698913, "cagr": 0.012151025994536102, "calmar": 0.6713072014290038, "end_ts": 1727913600000, "fees_paid": 47.3997347859168, "final_equity": 99667.40618877775, "funding_net": 0.0, "gross_mean": 0.6323179597370678, "initial_equity": 99380.89458381043, "max_dd": 0.01810054468158595, "max_dd_bar": 0.01810054468158595, "max_dd_peak_ts": 1721779200000, "max_dd_trough_ts": 1722384000000, "n_days": 63, "n_periods": 62, "net_mean": -0.04868773163935147, "profit_factor_d": 1.0507178096795562, "sharpe": 0.3384331660059031, "sharpe_hourly": 0.3384331660059031, "sortino": 0.5651534525994614, "sortino_hourly": 0.5651534525994614, "start_ts": 1720396800000, "total_return": 0.002882964639905783, "turnover_ann": 27.555922598756982, "vol_ann": 0.05436645564040745, "vol_ann_hourly": 0.05436645564040745, "win_rate_d": 0.45161290322580644 }, "test_end": 1727913600000, "test_start": 1720137600000, "train_start": 1698364800000 }, { "leg": 5, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.0023564985391288707, "avg_win_d": 0.001995171560115951, "cagr": -0.10964416342902528, "calmar": -2.2304888412145556, "end_ts": 1735862400000, "fees_paid": 42.539685554665866, "final_equity": 96823.01541685172, "funding_net": 0.0, "gross_mean": 0.6462533703076944, "initial_equity": 99667.40618877775, "max_dd": 0.04915701051851995, "max_dd_bar": 0.04915701051851995, "max_dd_peak_ts": 1729036800000, "max_dd_trough_ts": 1733702400000, "n_days": 63, "n_periods": 62, "net_mean": 0.05182504288904386, "profit_factor_d": 0.6531437727706527, "sharpe": -2.6454632394079667, "sharpe_hourly": -2.6454632394079667, "sortino": -3.2147384817140434, "sortino_hourly": -3.2147384817140434, "start_ts": 1728000000000, "total_return": -0.028538826088626568, "turnover_ann": 25.094307237798855, "vol_ann": 0.06366256887471361, "vol_ann_hourly": 0.06366256887471361, "win_rate_d": 0.43548387096774194 }, "test_end": 1735862400000, "test_start": 1727913600000, "train_start": 1706140800000 }, { "leg": 6, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.004009546806823272, "avg_win_d": 0.003437215603079663, "cagr": -0.042969542509407876, "calmar": -0.8848532271347116, "end_ts": 1743984000000, "fees_paid": 40.52707770448963, "final_equity": 95768.59332010953, "funding_net": 0.0, "gross_mean": 0.623902401708148, "initial_equity": 96823.01541685172, "max_dd": 0.04856120901378158, "max_dd_bar": 0.04856120901378158, "max_dd_peak_ts": 1738886400000, "max_dd_trough_ts": 1743724800000, "n_days": 63, "n_periods": 62, "net_mean": -0.05625382949919314, "profit_factor_d": 0.9144084073821968, "sharpe": -0.68626990757211, "sharpe_hourly": -0.68626990757211, "sortino": -0.880583944909304, "sortino_hourly": -0.880583944909304, "start_ts": 1736121600000, "total_return": -0.010890200973421305, "turnover_ann": 23.999930525057387, "vol_ann": 0.08831894427093849, "vol_ann_hourly": 0.08831894427093849, "win_rate_d": 0.5161290322580645 }, "test_end": 1743811200000, "test_start": 1735862400000, "train_start": 1714089600000 }, { "leg": 7, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.003628343171690058, "avg_win_d": 0.0030625553753363204, "cagr": -0.06958675889678567, "calmar": -1.7569906896730538, "end_ts": 1752019200000, "fees_paid": 42.00528495377601, "final_equity": 94043.26842243098, "funding_net": 0.0, "gross_mean": 0.6409133969031139, "initial_equity": 95768.59332010953, "max_dd": 0.039605650334854414, "max_dd_bar": 0.039605650334854414, "max_dd_peak_ts": 1746403200000, "max_dd_trough_ts": 1752019200000, "n_days": 63, "n_periods": 62, "net_mean": 0.05329879804875119, "profit_factor_d": 0.8440644201551096, "sharpe": -1.1819447706611785, "sharpe_hourly": -1.1819447706611785, "sortino": -1.6157498463152293, "sortino_hourly": -1.6157498463152293, "start_ts": 1744070400000, "total_return": -0.018015560611938874, "turnover_ann": 25.410466992904354, "vol_ann": 0.08736133480822095, "vol_ann_hourly": 0.08736133480822095, "win_rate_d": 0.5 }, "test_end": 1752019200000, "test_start": 1743984000000, "train_start": 1722211200000 }, { "leg": 8, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 56, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.0027438349353480756, "avg_win_d": 0.0030328946807179364, "cagr": 0.03570756005275144, "calmar": 1.5025748796252918, "end_ts": 1759795200000, "fees_paid": 27.41998432364106, "final_equity": 94851.25321728848, "funding_net": 0.0, "gross_mean": 0.6393321042140775, "initial_equity": 94043.26842243098, "max_dd": 0.023764246652157595, "max_dd_bar": 0.023764246652157595, "max_dd_peak_ts": 1754524800000, "max_dd_trough_ts": 1756080000000, "n_days": 63, "n_periods": 62, "net_mean": -0.11101729060324333, "profit_factor_d": 1.105348810034446, "sharpe": 0.7574617356835627, "sharpe_hourly": 0.7574617356835627, "sortino": 1.1046282228654323, "sortino_hourly": 1.1046282228654323, "start_ts": 1752105600000, "total_return": 0.0085916281772358, "turnover_ann": 16.7393200754103, "vol_ann": 0.06964497484799402, "vol_ann_hourly": 0.06964497484799402, "win_rate_d": 0.5 }, "test_end": 1759795200000, "test_start": 1752019200000, "train_start": 1730246400000 }, { "leg": 9, "risk_counters": { "bars_half_gross": 16, "bars_halted_flat": 0, "hold_between_rebalance": 42, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.0037263443310922894, "avg_win_d": 0.0030038234948265565, "cagr": -0.1363215801623664, "calmar": -2.4300026991495174, "end_ts": 1767744000000, "fees_paid": 26.90649732828038, "final_equity": 91448.09963244913, "funding_net": 0.0, "gross_mean": 0.5878641903216525, "initial_equity": 94851.25321728848, "max_dd": 0.05609935339169703, "max_dd_bar": 0.05609935339169703, "max_dd_peak_ts": 1762214400000, "max_dd_trough_ts": 1766016000000, "n_days": 63, "n_periods": 62, "net_mean": -0.1823555626211625, "profit_factor_d": 0.708394995933736, "sharpe": -2.3591236341134185, "sharpe_hourly": -2.3591236341134185, "sortino": -3.087204602868389, "sortino_hourly": -3.087204602868389, "start_ts": 1759881600000, "total_return": -0.035878846819696664, "turnover_ann": 16.653856253592316, "vol_ann": 0.08948337770916638, "vol_ann_hourly": 0.08948337770916638, "win_rate_d": 0.46774193548387094 }, "test_end": 1767744000000, "test_start": 1759795200000, "train_start": 1738022400000 }, { "leg": 10, "risk_counters": { "bars_half_gross": 63, "bars_halted_flat": 0, "hold_between_rebalance": 0, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 7, "n_rebalances": 7 }, "summary": { "avg_loss_d": -0.0015359232619508488, "avg_win_d": 0.001449618558062276, "cagr": 0.06252369733406171, "calmar": 5.39340131783405, "end_ts": 1775692800000, "fees_paid": 15.722585195833343, "final_equity": 92841.3188071924, "funding_net": 0.0, "gross_mean": 0.2776905636258234, "initial_equity": 91448.09963244913, "max_dd": 0.011592628408221395, "max_dd_bar": 0.011592628408221395, "max_dd_peak_ts": 1769644800000, "max_dd_trough_ts": 1772409600000, "n_days": 63, "n_periods": 62, "net_mean": -0.0983625714250947, "profit_factor_d": 1.3968376670115337, "sharpe": 2.4103517813074924, "sharpe_hourly": 2.4103517813074924, "sortino": 3.5793805713507347, "sortino_hourly": 3.5793805713507347, "start_ts": 1767830400000, "total_return": 0.015235080666989642, "turnover_ann": 9.945152316618854, "vol_ann": 0.03721715392040804, "vol_ann_hourly": 0.03721715392040804, "win_rate_d": 0.5967741935483871 }, "test_end": 1775692800000, "test_start": 1767744000000, "train_start": 1745971200000 }, { "leg": 11, "risk_counters": { "bars_half_gross": 36, "bars_halted_flat": 0, "hold_between_rebalance": 0, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 4, "n_rebalances": 4 }, "summary": { "avg_loss_d": -0.0012574465277688709, "avg_win_d": 0.001143154250492301, "cagr": -0.03879950055176806, "calmar": -5.014505101641169, "end_ts": 1780272000000, "fees_paid": 7.2111821390397735, "final_equity": 92319.38076668934, "funding_net": 0.0, "gross_mean": 0.2608466664259055, "initial_equity": 92841.3188071924, "max_dd": 0.007737453600170752, "max_dd_bar": 0.007737453600170752, "max_dd_peak_ts": 1776038400000, "max_dd_trough_ts": 1780272000000, "n_days": 36, "n_periods": 35, "net_mean": -0.09887972772912697, "profit_factor_d": 0.7655643319075826, "sharpe": -2.0950452912506763, "sharpe_hourly": -2.0950452912506763, "sortino": -2.6582501343888247, "sortino_hourly": -2.6582501343888247, "start_ts": 1775779200000, "total_return": -0.005621829237335452, "turnover_ann": 7.883744305063432, "vol_ann": 0.02788034983218711, "vol_ann_hourly": 0.02788034983218711, "win_rate_d": 0.45714285714285713 }, "test_end": 1780099200000, "test_start": 1775692800000, "train_start": 1753920000000 } ], "summary": { "avg_loss_d": -0.0024430731056608525, "avg_win_d": 0.0022242500708534755, "cagr": -0.027117865538881514, "calmar": -0.2394498659433762, "end_ts": 1780272000000, "fees_paid": 432.44126677870855, "final_equity": 92319.38076668934, "funding_net": 0.0, "gross_mean": 0.5861794789007923, "initial_equity": 100000.0, "max_dd": 0.11325070253033342, "max_dd_bar": 0.11325070253033342, "max_dd_peak_ts": 1700006400000, "max_dd_trough_ts": 1766016000000, "n_days": 729, "n_periods": 728, "net_mean": -0.05513294306390025, "profit_factor_d": 0.9129743415004622, "sharpe": -0.6182150683165268, "sharpe_hourly": -0.6182150683165268, "sortino": -0.8325432168722098, "sortino_hourly": -0.8325432168722098, "start_ts": 1688601600000, "total_return": -0.0768061923331066, "turnover_ann": 22.086907210228294, "vol_ann": 0.06172892395086215, "vol_ann_hourly": 0.06172892395086215, "win_rate_d": 0.49313186813186816 }, "validation": { "clears_dsr_gate": false, "dsr": 0.028505919947376758, "expected_max_sr": 0.03800053811846494, "n_obs": 728, "n_trials": 4, "n_trials_used": 4, "psr": 0.1907036269240921, "sr_ann": -0.6182150683165268, "sr_trials_variance": 0.0013045075865214363 } }