{ "config": { "allocator": "rank", "alpha_names": [ "carry_z_252" ], "embargo_bars": 168, "end": 1780272000000, "initial_cash": 100000.0, "instrument_ids": [ "BINANCE:PERP:1000PEPEUSDT", "BINANCE:PERP:1000SHIBUSDT", "BINANCE:PERP:AAVEUSDT", "BINANCE:PERP:ADAUSDT", "BINANCE:PERP:APEUSDT", "BINANCE:PERP:APTUSDT", "BINANCE:PERP:ARBUSDT", "BINANCE:PERP:ATOMUSDT", "BINANCE:PERP:AVAXUSDT", "BINANCE:PERP:AXSUSDT", "BINANCE:PERP:BCHUSDT", "BINANCE:PERP:BLZUSDT", "BINANCE:PERP:BNBUSDT", "BINANCE:PERP:BTCUSDT", "BINANCE:PERP:CHZUSDT", "BINANCE:PERP:COMPUSDT", "BINANCE:PERP:CRVUSDT", "BINANCE:PERP:DOGEUSDT", "BINANCE:PERP:DOTUSDT", "BINANCE:PERP:EOSUSDT", "BINANCE:PERP:ETCUSDT", "BINANCE:PERP:ETHUSDT", "BINANCE:PERP:FILUSDT", "BINANCE:PERP:FTMUSDT", "BINANCE:PERP:GALAUSDT", "BINANCE:PERP:ICPUSDT", "BINANCE:PERP:INJUSDT", "BINANCE:PERP:LDOUSDT", "BINANCE:PERP:LINAUSDT", "BINANCE:PERP:LINKUSDT", "BINANCE:PERP:LRCUSDT", "BINANCE:PERP:LTCUSDT", "BINANCE:PERP:LUNAUSDT", "BINANCE:PERP:MANAUSDT", "BINANCE:PERP:MATICUSDT", "BINANCE:PERP:MKRUSDT", "BINANCE:PERP:NEARUSDT", "BINANCE:PERP:OCEANUSDT", "BINANCE:PERP:OPUSDT", "BINANCE:PERP:REEFUSDT", "BINANCE:PERP:RNDRUSDT", "BINANCE:PERP:RUNEUSDT", "BINANCE:PERP:SANDUSDT", "BINANCE:PERP:SEIUSDT", "BINANCE:PERP:SOLUSDT", "BINANCE:PERP:SUIUSDT", "BINANCE:PERP:SUSHIUSDT", "BINANCE:PERP:SXPUSDT", "BINANCE:PERP:THETAUSDT", "BINANCE:PERP:TIAUSDT", "BINANCE:PERP:TOMOUSDT", "BINANCE:PERP:TRXUSDT", "BINANCE:PERP:UNIUSDT", "BINANCE:PERP:VETUSDT", "BINANCE:PERP:WAVESUSDT", "BINANCE:PERP:WLDUSDT", "BINANCE:PERP:XLMUSDT", "BINANCE:PERP:XRPUSDT" ], "n_legs": 25, "no_trade_band": 0.001, "purge_bars": 72, "rebalance_bars": 168, "risk_counters": { "bars_half_gross": 13404, "bars_halted_flat": 336, "hold_between_rebalance": 23892, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 1, "n_fallback_used": 224, "n_rebalances": 224 }, "start": 1622505600000, "test_bars": 1512, "train_bars": 6048 }, "legs": [ { "leg": 0, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.006750139486193236, "avg_win_d": 0.006748461906864188, "cagr": 0.3103231888953739, "calmar": 6.882214278037639, "end_ts": 1649721600000, "fees_paid": 256.72761288366667, "final_equity": 104772.29056362045, "funding_net": -41.91160129373975, "gross_mean": 0.5523227975846644, "initial_equity": 100000.0, "max_dd": 0.0450906025820309, "max_dd_bar": 0.04921781933225566, "max_dd_peak_ts": 1644451200000, "max_dd_trough_ts": 1646179200000, "n_days": 64, "n_periods": 1511, "net_mean": -0.11806026167952638, "profit_factor_d": 1.2496893435808845, "sharpe": 1.5301718240459974, "sharpe_hourly": 1.6811793385422988, "sortino": 2.45990699205002, "sortino_hourly": 2.313812648684294, "start_ts": 1644282000000, "total_return": 0.047722905636204516, "turnover_ann": 29.93316130014945, "vol_ann": 0.17868286216950338, "vol_ann_hourly": 0.16930244280501236, "win_rate_d": 0.5555555555555556 }, "test_end": 1649721600000, "test_start": 1644278400000, "train_start": 1622505600000 }, { "leg": 1, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0047842578985368926, "avg_win_d": 0.004076933034707982, "cagr": -0.08306201662872847, "calmar": -1.449598565124303, "end_ts": 1655164800000, "fees_paid": 319.3406768227065, "final_equity": 103216.82891093842, "funding_net": -223.6312360431885, "gross_mean": 0.4920988796395196, "initial_equity": 104772.29056362045, "max_dd": 0.05730001300160359, "max_dd_bar": 0.06268865710071247, "max_dd_peak_ts": 1652054400000, "max_dd_trough_ts": 1654214400000, "n_days": 64, "n_periods": 1511, "net_mean": 0.0249937652187972, "profit_factor_d": 0.9373713610945296, "sharpe": -0.46192045675968185, "sharpe_hourly": -0.6635146738838708, "sortino": -0.6389142514496804, "sortino_hourly": -0.8986326431012382, "start_ts": 1649725200000, "total_return": -0.01484611670046021, "turnover_ann": 35.77622125755412, "vol_ann": 0.11274412739690048, "vol_ann_hourly": 0.11986519398560826, "win_rate_d": 0.5238095238095238 }, "test_end": 1655164800000, "test_start": 1649721600000, "train_start": 1627948800000 }, { "leg": 2, "risk_counters": { "bars_half_gross": 295, "bars_halted_flat": 0, "hold_between_rebalance": 1210, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.005389375476604365, "avg_win_d": 0.004458603312831737, "cagr": -0.17182343700275837, "calmar": -1.7206559286852947, "end_ts": 1660608000000, "fees_paid": 393.2789956493999, "final_equity": 99914.30077349166, "funding_net": 453.47582509590427, "gross_mean": 0.5122965957041969, "initial_equity": 103216.82891093842, "max_dd": 0.09985926537564305, "max_dd_bar": 0.10264279126968368, "max_dd_peak_ts": 1655769600000, "max_dd_trough_ts": 1658966400000, "n_days": 64, "n_periods": 1511, "net_mean": 0.028316989944334077, "profit_factor_d": 0.8014420182924701, "sharpe": -1.578393737124201, "sharpe_hourly": -1.514923081800517, "sortino": -2.0438407745757576, "sortino_hourly": -2.109797215516876, "start_ts": 1655168400000, "total_return": -0.031996024023334124, "turnover_ann": 44.84967403498131, "vol_ann": 0.1256934757702537, "vol_ann_hourly": 0.11971901246111075, "win_rate_d": 0.49206349206349204 }, "test_end": 1660608000000, "test_start": 1655164800000, "train_start": 1633392000000 }, { "leg": 3, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.003629720846382645, "avg_win_d": 0.0042817913994348126, "cagr": 0.17932351856299933, "calmar": 4.609018363444943, "end_ts": 1666051200000, "fees_paid": 439.93978142707715, "final_equity": 102797.72919901526, "funding_net": 608.4783689153345, "gross_mean": 0.6887031999055334, "initial_equity": 99914.30077349166, "max_dd": 0.03890709570290507, "max_dd_bar": 0.04475000459117806, "max_dd_peak_ts": 1663286400000, "max_dd_trough_ts": 1663804800000, "n_days": 64, "n_periods": 1511, "net_mean": 0.03423947015162875, "profit_factor_d": 1.2976123340372632, "sharpe": 1.7651573481022578, "sharpe_hourly": 1.642344477862782, "sortino": 2.693973754051965, "sortino_hourly": 2.326002761985492, "start_ts": 1660611600000, "total_return": 0.028859016208904853, "turnover_ann": 50.48644175128444, "vol_ann": 0.10636880895452107, "vol_ann_hourly": 0.10370339238649301, "win_rate_d": 0.5238095238095238 }, "test_end": 1666051200000, "test_start": 1660608000000, "train_start": 1638835200000 }, { "leg": 4, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.004932311040217609, "avg_win_d": 0.0038011820604398716, "cagr": -0.21555693990734048, "calmar": -2.6032183127117703, "end_ts": 1671494400000, "fees_paid": 357.18008402016056, "final_equity": 98581.76073790026, "funding_net": 1319.3997599163222, "gross_mean": 0.6195875458821652, "initial_equity": 102797.72919901526, "max_dd": 0.08280401949185545, "max_dd_bar": 0.08994044238320609, "max_dd_peak_ts": 1666915200000, "max_dd_trough_ts": 1670976000000, "n_days": 64, "n_periods": 1511, "net_mean": 0.017923175166261855, "profit_factor_d": 0.7465861522165199, "sharpe": -1.987571268252106, "sharpe_hourly": -1.946037242073905, "sortino": -2.5226891279337025, "sortino_hourly": -2.6609565290195727, "start_ts": 1666054800000, "total_return": -0.04101227229400106, "turnover_ann": 40.72724813292317, "vol_ann": 0.11658975309610282, "vol_ann_hourly": 0.12099425261353879, "win_rate_d": 0.49206349206349204 }, "test_end": 1671494400000, "test_start": 1666051200000, "train_start": 1644278400000 }, { "leg": 5, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.004128874211569156, "avg_win_d": 0.003958822043037118, "cagr": 0.645325358249428, "calmar": 25.538210656522562, "end_ts": 1676937600000, "fees_paid": 383.4636073841506, "final_equity": 107423.06413887578, "funding_net": 704.7402202812495, "gross_mean": 0.6542774972738866, "initial_equity": 98581.76073790026, "max_dd": 0.025269012262791768, "max_dd_bar": 0.027285102304204, "max_dd_peak_ts": 1672704000000, "max_dd_trough_ts": 1672963200000, "n_days": 64, "n_periods": 1511, "net_mean": -0.03202243559105508, "profit_factor_d": 2.0614499150108685, "sharpe": 5.07444756525191, "sharpe_hourly": 4.08655825372587, "sortino": 8.317726293819542, "sortino_hourly": 5.983028975055522, "start_ts": 1671498000000, "total_return": 0.08968498163145955, "turnover_ann": 43.7364866624565, "vol_ann": 0.10007479290944539, "vol_ann_hourly": 0.1237236286396754, "win_rate_d": 0.6825396825396826 }, "test_end": 1676937600000, "test_start": 1671494400000, "train_start": 1649721600000 }, { "leg": 6, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0028357996818114506, "avg_win_d": 0.002744619202635123, "cagr": 0.18295398383880435, "calmar": 11.772098729274846, "end_ts": 1682380800000, "fees_paid": 463.1612746056394, "final_equity": 110581.80063652842, "funding_net": -251.83418295108999, "gross_mean": 0.7118003962802196, "initial_equity": 107423.06413887578, "max_dd": 0.015541322583698225, "max_dd_bar": 0.02389018179391378, "max_dd_peak_ts": 1679788800000, "max_dd_trough_ts": 1680566400000, "n_days": 64, "n_periods": 1511, "net_mean": 0.05070715030093184, "profit_factor_d": 1.4711268975601666, "sharpe": 2.677309787097842, "sharpe_hourly": 1.7463282256780328, "sortino": 4.610429801589924, "sortino_hourly": 2.547858047833402, "start_ts": 1676941200000, "total_return": 0.02940463971097551, "turnover_ann": 49.287189889214496, "vol_ann": 0.07227816983485438, "vol_ann_hourly": 0.09901603153338331, "win_rate_d": 0.6031746031746031 }, "test_end": 1682380800000, "test_start": 1676937600000, "train_start": 1655164800000 }, { "leg": 7, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.003154277259710678, "avg_win_d": 0.004212608251762634, "cagr": 0.7326779438060305, "calmar": 25.166525387914753, "end_ts": 1687824000000, "fees_paid": 442.4644684498847, "final_equity": 121579.3342532278, "funding_net": 246.5766010279889, "gross_mean": 0.6930157082916606, "initial_equity": 110581.80063652842, "max_dd": 0.0291131943131836, "max_dd_bar": 0.03526076168353143, "max_dd_peak_ts": 1686268800000, "max_dd_trough_ts": 1686787200000, "n_days": 64, "n_periods": 1511, "net_mean": 0.03466118341239865, "profit_factor_d": 2.3226478261865755, "sharpe": 5.925029361384117, "sharpe_hourly": 4.868873794405321, "sortino": 10.763312815233853, "sortino_hourly": 5.979304735018575, "start_ts": 1682384400000, "total_return": 0.09945156936670974, "turnover_ann": 43.79257466649541, "vol_ann": 0.09382827491795057, "vol_ann_hourly": 0.11424875432911838, "win_rate_d": 0.6349206349206349 }, "test_end": 1687824000000, "test_start": 1682380800000, "train_start": 1660608000000 }, { "leg": 8, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0033443942501153617, "avg_win_d": 0.0035177787289886694, "cagr": 0.18656167888852138, "calmar": 4.563114470057511, "end_ts": 1693267200000, "fees_paid": 539.3688364509001, "final_equity": 125220.08457511022, "funding_net": 348.9280865992551, "gross_mean": 0.685322255304651, "initial_equity": 121579.3342532278, "max_dd": 0.04088472470123461, "max_dd_bar": 0.0433342131359703, "max_dd_peak_ts": 1690588800000, "max_dd_trough_ts": 1691798400000, "n_days": 64, "n_periods": 1511, "net_mean": 0.003916472559607914, "profit_factor_d": 1.3148041416122394, "sharpe": 1.9530551356771926, "sharpe_hourly": 1.729237695316423, "sortino": 3.0180613795719538, "sortino_hourly": 2.597202671514675, "start_ts": 1687827600000, "total_return": 0.0299454701265216, "turnover_ann": 50.38214476848571, "vol_ann": 0.0874487785917533, "vol_ann_hourly": 0.10192290594667257, "win_rate_d": 0.5555555555555556 }, "test_end": 1693267200000, "test_start": 1687824000000, "train_start": 1666051200000 }, { "leg": 9, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.004562565227085252, "avg_win_d": 0.004119098460499228, "cagr": -0.001344310992224429, "calmar": -0.02904172303623577, "end_ts": 1698710400000, "fees_paid": 644.0294004692374, "final_equity": 125191.03259131909, "funding_net": 266.5779345701527, "gross_mean": 0.7261103938405608, "initial_equity": 125220.08457511022, "max_dd": 0.046288954362215806, "max_dd_bar": 0.04900071382739091, "max_dd_peak_ts": 1695859200000, "max_dd_trough_ts": 1698019200000, "n_days": 64, "n_periods": 1511, "net_mean": 0.045820361710306116, "profit_factor_d": 1.0584589172713295, "sharpe": 0.41969125475512625, "sharpe_hourly": 0.04083336785105311, "sortino": 0.5788126462166504, "sortino_hourly": 0.05622023862754248, "start_ts": 1693270800000, "total_return": -0.00023200738036321944, "turnover_ann": 59.30126497870486, "vol_ann": 0.10677762253744201, "vol_ann_hourly": 0.10688011046394219, "win_rate_d": 0.5396825396825397 }, "test_end": 1698710400000, "test_start": 1693267200000, "train_start": 1671494400000 }, { "leg": 10, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.005500018668955769, "avg_win_d": 0.005426183644987093, "cagr": -0.18293765025556996, "calmar": -3.333662346234372, "end_ts": 1704153600000, "fees_paid": 396.59024886199546, "final_equity": 120903.32508076842, "funding_net": 579.8727407584146, "gross_mean": 0.559502213751221, "initial_equity": 125191.03259131909, "max_dd": 0.05487587861506493, "max_dd_bar": 0.05765571653721413, "max_dd_peak_ts": 1702166400000, "max_dd_trough_ts": 1704153600000, "n_days": 64, "n_periods": 1511, "net_mean": -0.0687439899180402, "profit_factor_d": 0.7892603966040436, "sharpe": -1.6470561537350925, "sharpe_hourly": -1.3554438801048683, "sortino": -2.1417415490123592, "sortino_hourly": -1.8417078580408388, "start_ts": 1698714000000, "total_return": -0.03424931819635768, "turnover_ann": 37.00489520600787, "vol_ann": 0.142699442164411, "vol_ann_hourly": 0.1416563137988363, "win_rate_d": 0.4444444444444444 }, "test_end": 1704153600000, "test_start": 1698710400000, "train_start": 1676937600000 }, { "leg": 11, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.004824058313994069, "avg_win_d": 0.004982175879822296, "cagr": -0.13876055553860012, "calmar": -1.7557361387486508, "end_ts": 1709596800000, "fees_paid": 369.7325351667861, "final_equity": 117827.82482852293, "funding_net": 349.57189463504704, "gross_mean": 0.5730208109615699, "initial_equity": 120903.32508076842, "max_dd": 0.07903269316851769, "max_dd_bar": 0.08561584068546457, "max_dd_peak_ts": 1705017600000, "max_dd_trough_ts": 1709337600000, "n_days": 64, "n_periods": 1511, "net_mean": -0.03163647328118638, "profit_factor_d": 0.8262215015717443, "sharpe": -1.3913817846133263, "sharpe_hourly": -1.0268925524910126, "sortino": -1.9663700839980993, "sortino_hourly": -1.455875228732769, "start_ts": 1704157200000, "total_return": -0.025437681306042847, "turnover_ann": 35.072370199368955, "vol_ann": 0.12217508086944259, "vol_ann_hourly": 0.1364162884191989, "win_rate_d": 0.4444444444444444 }, "test_end": 1709596800000, "test_start": 1704153600000, "train_start": 1682380800000 }, { "leg": 12, "risk_counters": { "bars_half_gross": 1379, "bars_halted_flat": 0, "hold_between_rebalance": 132, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.00292054513879671, "avg_win_d": 0.0024725414067676976, "cagr": -0.2721329340747163, "calmar": -5.044983723959852, "end_ts": 1715040000000, "fees_paid": 367.33847154885467, "final_equity": 111545.84996287074, "funding_net": -10.527494869546445, "gross_mean": 0.3251583473883141, "initial_equity": 117827.82482852293, "max_dd": 0.05394129078797438, "max_dd_bar": 0.05735101707739665, "max_dd_peak_ts": 1709596800000, "max_dd_trough_ts": 1714953600000, "n_days": 64, "n_periods": 1511, "net_mean": -0.02161561234683982, "profit_factor_d": 0.5209862783539011, "sharpe": -4.5141505501108785, "sharpe_hourly": -4.883304401980492, "sortino": -5.216266262965609, "sortino_hourly": -6.694007768134992, "start_ts": 1709600400000, "total_return": -0.05331486747544123, "turnover_ann": 37.1656367878957, "vol_ann": 0.07002494238357986, "vol_ann_hourly": 0.06461706213345592, "win_rate_d": 0.38095238095238093 }, "test_end": 1715040000000, "test_start": 1709596800000, "train_start": 1687824000000 }, { "leg": 13, "risk_counters": { "bars_half_gross": 366, "bars_halted_flat": 336, "hold_between_rebalance": 805, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 1, "n_fallback_used": 8, "n_rebalances": 8 }, "summary": { "avg_loss_d": -0.002706569645693456, "avg_win_d": 0.0021474933685601107, "cagr": -0.18224493773769146, "calmar": -4.53542949133052, "end_ts": 1720483200000, "fees_paid": 370.90718478755457, "final_equity": 107741.22861547567, "funding_net": -99.16464938215458, "gross_mean": 0.47638406025894287, "initial_equity": 111545.84996287074, "max_dd": 0.04018250930502898, "max_dd_bar": 0.04329925553444225, "max_dd_peak_ts": 1715126400000, "max_dd_trough_ts": 1719532800000, "n_days": 64, "n_periods": 1511, "net_mean": -0.04786539116341785, "profit_factor_d": 0.6120802189947735, "sharpe": -2.9200518418021977, "sharpe_hourly": -2.60942458504507, "sortino": -3.39006579385105, "sortino_hourly": -3.524931653596185, "start_ts": 1715043600000, "total_return": -0.03410813892817588, "turnover_ann": 39.20939636676038, "vol_ann": 0.07291064333533138, "vol_ann_hourly": 0.07599511909958952, "win_rate_d": 0.42857142857142855 }, "test_end": 1720483200000, "test_start": 1715040000000, "train_start": 1693267200000 }, { "leg": 14, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.004249993843185877, "avg_win_d": 0.0034285102076864996, "cagr": 0.0762049231359665, "calmar": 1.9881532511715887, "end_ts": 1725926400000, "fees_paid": 507.70886650687174, "final_equity": 109114.74515007393, "funding_net": 219.25485598765033, "gross_mean": 0.6754525099191676, "initial_equity": 107741.22861547567, "max_dd": 0.03832950155681414, "max_dd_bar": 0.043602224188663774, "max_dd_peak_ts": 1721260800000, "max_dd_trough_ts": 1724457600000, "n_days": 64, "n_periods": 1511, "net_mean": 0.03288613114715769, "profit_factor_d": 1.0756126037479694, "sharpe": 0.549158295542218, "sharpe_hourly": 0.6975350005152999, "sortino": 0.7704644908995534, "sortino_hourly": 1.0055900584800996, "start_ts": 1720486800000, "total_return": 0.012748290995457934, "turnover_ann": 54.5528687152703, "vol_ann": 0.09153791689420682, "vol_ann_hourly": 0.11471147286928418, "win_rate_d": 0.5714285714285714 }, "test_end": 1725926400000, "test_start": 1720483200000, "train_start": 1698710400000 }, { "leg": 15, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 1503, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.00532853127513767, "avg_win_d": 0.006575335050796257, "cagr": -0.09024008049770516, "calmar": -1.0622692792512656, "end_ts": 1731369600000, "fees_paid": 421.1664049730952, "final_equity": 107349.19312126124, "funding_net": 588.7514720281031, "gross_mean": 0.6626201870952924, "initial_equity": 109114.74515007393, "max_dd": 0.08495028733327425, "max_dd_bar": 0.09698507212726726, "max_dd_peak_ts": 1728518400000, "max_dd_trough_ts": 1731024000000, "n_days": 64, "n_periods": 1511, "net_mean": -0.07439234466727786, "profit_factor_d": 0.9254897894860871, "sharpe": -0.46950008552819655, "sharpe_hourly": -0.5839850599149357, "sortino": -0.8285939368769136, "sortino_hourly": -0.8565163521345247, "start_ts": 1725930000000, "total_return": -0.016180691494851462, "turnover_ann": 45.48376393224838, "vol_ann": 0.1763772023376015, "vol_ann_hourly": 0.14417321729217503, "win_rate_d": 0.42857142857142855 }, "test_end": 1731369600000, "test_start": 1725926400000, "train_start": 1704153600000 }, { "leg": 16, "risk_counters": { "bars_half_gross": 259, "bars_halted_flat": 0, "hold_between_rebalance": 1245, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.004581277436512473, "avg_win_d": 0.0034382975213413424, "cagr": -0.413342577575193, "calmar": -5.3144179091264725, "end_ts": 1736812800000, "fees_paid": 296.9077812018508, "final_equity": 97914.67049458616, "funding_net": 76.31356590289928, "gross_mean": 0.43841716370790346, "initial_equity": 107349.19312126124, "max_dd": 0.0777775825392576, "max_dd_bar": 0.08902815851756851, "max_dd_peak_ts": 1731369600000, "max_dd_trough_ts": 1736812800000, "n_days": 64, "n_periods": 1511, "net_mean": -0.0375962967068034, "profit_factor_d": 0.5273858644068143, "sharpe": -4.771400807080633, "sharpe_hourly": -4.231504970732331, "sortino": -5.496107636127299, "sortino_hourly": -5.6482483270863115, "start_ts": 1731373200000, "total_return": -0.08788629287616423, "turnover_ann": 33.980556260115186, "vol_ann": 0.09727504474915984, "vol_ann_hourly": 0.12420796355725747, "win_rate_d": 0.4126984126984127 }, "test_end": 1736812800000, "test_start": 1731369600000, "train_start": 1709596800000 }, { "leg": 17, "risk_counters": { "bars_half_gross": 1512, "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": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0032259708499669665, "avg_win_d": 0.002755692907727151, "cagr": -0.09838138984234435, "calmar": -1.7974925649426121, "end_ts": 1742256000000, "fees_paid": 354.29744249540545, "final_equity": 96181.0967039247, "funding_net": 39.860285509341466, "gross_mean": 0.3335419720177899, "initial_equity": 97914.67049458616, "max_dd": 0.054732571227901206, "max_dd_bar": 0.059733769809217296, "max_dd_peak_ts": 1738454400000, "max_dd_trough_ts": 1740873600000, "n_days": 64, "n_periods": 1511, "net_mean": 0.013264073861958117, "profit_factor_d": 0.827526852695527, "sharpe": -0.8868895063868611, "sharpe_hourly": -1.015296002077447, "sortino": -1.0271576214831186, "sortino_hourly": -1.2440283932732352, "start_ts": 1736816400000, "total_return": -0.01770494433474401, "turnover_ann": 41.593692012438126, "vol_ann": 0.11630937022534699, "vol_ann_hourly": 0.09731650816504284, "win_rate_d": 0.49206349206349204 }, "test_end": 1742256000000, "test_start": 1736812800000, "train_start": 1715040000000 }, { "leg": 18, "risk_counters": { "bars_half_gross": 1512, "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": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0025220023981812794, "avg_win_d": 0.002323304857615599, "cagr": 0.03160342625773205, "calmar": 2.066612393594142, "end_ts": 1747699200000, "fees_paid": 323.57207375245366, "final_equity": 96698.67525042464, "funding_net": 71.76386981138592, "gross_mean": 0.3700160428442279, "initial_equity": 96181.0967039247, "max_dd": 0.015292382043044395, "max_dd_bar": 0.016534751613199505, "max_dd_peak_ts": 1742515200000, "max_dd_trough_ts": 1742947200000, "n_days": 64, "n_periods": 1511, "net_mean": 0.02061282508076308, "profit_factor_d": 1.0800444371571853, "sharpe": 0.6151370976000596, "sharpe_hourly": 0.5739866181708495, "sortino": 0.8732988228891649, "sortino_hourly": 0.8243503257063957, "start_ts": 1742259600000, "total_return": 0.005381291794719356, "turnover_ann": 38.89975570458657, "vol_ann": 0.05513851229127032, "vol_ann_hourly": 0.05703946921539273, "win_rate_d": 0.5396825396825397 }, "test_end": 1747699200000, "test_start": 1742256000000, "train_start": 1720483200000 }, { "leg": 19, "risk_counters": { "bars_half_gross": 1512, "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": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0016088526532976029, "avg_win_d": 0.0019023034977939536, "cagr": -0.0694842931460945, "calmar": -2.764324071877711, "end_ts": 1753142400000, "fees_paid": 323.75495521497385, "final_equity": 95504.91471677374, "funding_net": 19.553600382058253, "gross_mean": 0.3640549307927741, "initial_equity": 96698.67525042464, "max_dd": 0.025136088005374924, "max_dd_bar": 0.027311413299806797, "max_dd_peak_ts": 1748304000000, "max_dd_trough_ts": 1752451200000, "n_days": 64, "n_periods": 1511, "net_mean": 0.007716146811776958, "profit_factor_d": 0.7778931504446891, "sharpe": -1.8210194771705537, "sharpe_hourly": -1.3395637829211617, "sortino": -2.3866186819124118, "sortino_hourly": -1.8388471813005036, "start_ts": 1747702800000, "total_return": -0.012345159130250472, "turnover_ann": 38.832960396976006, "vol_ann": 0.04320157137515907, "vol_ann_hourly": 0.052723767363616586, "win_rate_d": 0.3968253968253968 }, "test_end": 1753142400000, "test_start": 1747699200000, "train_start": 1725926400000 }, { "leg": 20, "risk_counters": { "bars_half_gross": 1512, "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": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0013204431257009843, "avg_win_d": 0.0017318635542442934, "cagr": 0.013930447532427781, "calmar": 1.0924635160686824, "end_ts": 1758585600000, "fees_paid": 290.0865039376505, "final_equity": 95733.08646790317, "funding_net": 20.556810688581926, "gross_mean": 0.37170540431489396, "initial_equity": 95504.91471677374, "max_dd": 0.012751407555061989, "max_dd_bar": 0.014727743650570835, "max_dd_peak_ts": 1757548800000, "max_dd_trough_ts": 1758585600000, "n_days": 64, "n_periods": 1511, "net_mean": 0.006813237751970587, "profit_factor_d": 1.049262036681753, "sharpe": 0.3471382905328879, "sharpe_hourly": 0.29494587199495514, "sortino": 0.5197627674272046, "sortino_hourly": 0.4158915367359433, "start_ts": 1753146000000, "total_return": 0.0023891100453425906, "turnover_ann": 34.8980722195902, "vol_ann": 0.0379970519050167, "vol_ann_hourly": 0.051376395111459125, "win_rate_d": 0.4444444444444444 }, "test_end": 1758585600000, "test_start": 1753142400000, "train_start": 1731369600000 }, { "leg": 21, "risk_counters": { "bars_half_gross": 1512, "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": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0013957654170633136, "avg_win_d": 0.002052758073753339, "cagr": 0.2129932372867731, "calmar": 25.605626374648406, "end_ts": 1764028800000, "fees_paid": 346.2024584757666, "final_equity": 98975.26520793913, "funding_net": 142.32689646879652, "gross_mean": 0.37066609895476044, "initial_equity": 95733.08646790317, "max_dd": 0.008318220150929534, "max_dd_bar": 0.014574763174521332, "max_dd_peak_ts": 1762905600000, "max_dd_trough_ts": 1763510400000, "n_days": 64, "n_periods": 1511, "net_mean": 0.008553090896283871, "profit_factor_d": 1.838380261341064, "sharpe": 4.261289150335287, "sharpe_hourly": 3.1950615712948727, "sortino": 8.38471366706963, "sortino_hourly": 4.31922862109956, "start_ts": 1758589200000, "total_return": 0.03386685690033597, "turnover_ann": 41.01759972483669, "vol_ann": 0.04454744706521968, "vol_ann_hourly": 0.061017770001466, "win_rate_d": 0.5555555555555556 }, "test_end": 1764028800000, "test_start": 1758585600000, "train_start": 1736812800000 }, { "leg": 22, "risk_counters": { "bars_half_gross": 933, "bars_halted_flat": 0, "hold_between_rebalance": 576, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0025290260339847982, "avg_win_d": 0.0028492899077123823, "cagr": 0.2837343326296573, "calmar": 22.322442234064056, "end_ts": 1769472000000, "fees_paid": 337.01550897030523, "final_equity": 103332.61029713466, "funding_net": 7.275903750092539, "gross_mean": 0.48322638345322677, "initial_equity": 98975.26520793913, "max_dd": 0.01271072088145797, "max_dd_bar": 0.01770859081257803, "max_dd_peak_ts": 1768176000000, "max_dd_trough_ts": 1768262400000, "n_days": 64, "n_periods": 1511, "net_mean": -0.005406362676441959, "profit_factor_d": 1.712485597824753, "sharpe": 3.4326475545467323, "sharpe_hourly": 4.03678856675502, "sortino": 5.906803826234071, "sortino_hourly": 6.10337724755439, "start_ts": 1764032400000, "total_return": 0.0440245861432258, "turnover_ann": 38.489462021834555, "vol_ann": 0.07603131447805087, "vol_ann_hourly": 0.062356325846479495, "win_rate_d": 0.6031746031746031 }, "test_end": 1769472000000, "test_start": 1764028800000, "train_start": 1742256000000 }, { "leg": 23, "risk_counters": { "bars_half_gross": 1273, "bars_halted_flat": 0, "hold_between_rebalance": 237, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.003496109813805169, "avg_win_d": 0.002193033581976625, "cagr": -0.16409128511485882, "calmar": -3.6734088383822936, "end_ts": 1774915200000, "fees_paid": 374.87407318987425, "final_equity": 100186.84284466106, "funding_net": 182.80191805077416, "gross_mean": 0.4154983292976528, "initial_equity": 103332.61029713466, "max_dd": 0.04467003057223595, "max_dd_bar": 0.04953132901424229, "max_dd_peak_ts": 1769472000000, "max_dd_trough_ts": 1771545600000, "n_days": 64, "n_periods": 1511, "net_mean": 0.019013509009624206, "profit_factor_d": 0.7354296510068781, "sharpe": -1.8834534004172072, "sharpe_hourly": -2.1567989248814357, "sortino": -2.282718477497098, "sortino_hourly": -2.7289885120746975, "start_ts": 1769475600000, "total_return": -0.030443123844717368, "turnover_ann": 43.178292870410196, "vol_ann": 0.08251286540929201, "vol_ann_hourly": 0.08155843238383116, "win_rate_d": 0.5396825396825397 }, "test_end": 1774915200000, "test_start": 1769472000000, "train_start": 1747699200000 }, { "leg": 24, "risk_counters": { "bars_half_gross": 1339, "bars_halted_flat": 0, "hold_between_rebalance": 148, "hold_cov_cold_start": 0, "hold_degenerate_xsection": 0, "hold_stale_signal": 0, "n_auto_rearms": 0, "n_fallback_used": 9, "n_rebalances": 9 }, "summary": { "avg_loss_d": -0.0018189917752914702, "avg_win_d": 0.002503325830733142, "cagr": 0.046693445506691855, "calmar": 3.3434966312812784, "end_ts": 1780272000000, "fees_paid": 295.427877757043, "final_equity": 100965.97170489846, "funding_net": 240.58072330367384, "gross_mean": 0.4059307849789404, "initial_equity": 100186.84284466106, "max_dd": 0.013965453133654937, "max_dd_bar": 0.016219825418210876, "max_dd_peak_ts": 1777248000000, "max_dd_trough_ts": 1778803200000, "n_days": 63, "n_periods": 1487, "net_mean": -0.02883437093551241, "profit_factor_d": 1.1333544641831703, "sharpe": 0.807963701795738, "sharpe_hourly": 0.7704018107203262, "sortino": 1.170452145107747, "sortino_hourly": 1.0463018141522111, "start_ts": 1774918800000, "total_return": 0.00777675828597002, "turnover_ann": 34.604064514341474, "vol_ann": 0.060093366699259756, "vol_ann_hourly": 0.061707301808037025, "win_rate_d": 0.45161290322580644 }, "test_end": 1780272000000, "test_start": 1774915200000, "train_start": 1753142400000 } ], "summary": { "avg_loss_d": -0.0036911754960202562, "avg_win_d": 0.0035769185258958365, "cagr": 0.0022318193304444733, "calmar": 0.008597556217552588, "end_ts": 1780272000000, "fees_paid": 9614.537125003304, "final_equity": 100965.97170489846, "funding_net": 5859.592169143307, "gross_mean": 0.5265057759275582, "initial_equity": 100000.0, "max_dd": 0.2595876402515448, "max_dd_bar": 0.26249132944943, "max_dd_peak_ts": 1695859200000, "max_dd_trough_ts": 1742947200000, "n_days": 1575, "n_periods": 37775, "net_mean": -0.004654085675622245, "profit_factor_d": 1.0105764513690423, "sharpe": 0.06805326746728567, "sharpe_hourly": 0.07384781537710161, "sortino": 0.09644708000216975, "sortino_hourly": 0.10192001397486927, "start_ts": 1644282000000, "total_return": 0.009659717048984495, "turnover_ann": 41.69473378723397, "vol_ann": 0.1024317401078768, "vol_ann_hourly": 0.10523834253025326, "win_rate_d": 0.5101651842439644 }, "validation": { "clears_dsr_gate": false, "dsr": 0.007904997932791515, "expected_max_sr": 0.0643847749450201, "n_obs": 1574, "n_trials": 46, "n_trials_used": 46, "psr": 0.5561965087537402, "sr_ann": 0.06805326746728567, "sr_trials_variance": 0.0008231036688698606 } }