{ "config": { "allocator": "rank", "alpha_names": [ "eq_mom_252_21", "eq_earnings_yield" ], "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": 0, "bars_halted_flat": 0, "hold_between_rebalance": 648, "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": -0.0018828767245373317, "avg_win_d": 0.0019243838215842032, "cagr": 0.06929190885242287, "calmar": 4.998464980108334, "end_ts": 1696291200000, "fees_paid": 21.56355129420389, "final_equity": 101647.03372218442, "funding_net": 0.0, "gross_mean": 0.6526824652866341, "initial_equity": 100000.0, "max_dd": 0.013862637655394972, "max_dd_bar": 0.013862637655394972, "max_dd_peak_ts": 1689638400000, "max_dd_trough_ts": 1690416000000, "n_days": 63, "n_periods": 62, "net_mean": -0.08404491593609589, "profit_factor_d": 1.3248725145216778, "sharpe": 2.1102262450718294, "sharpe_hourly": 2.1102262450718294, "sortino": 3.168758119609592, "sortino_hourly": 3.168758119609592, "start_ts": 1688601600000, "total_return": 0.01647033722184421, "turnover_ann": 12.459682314838433, "vol_ann": 0.04607557628309673, "vol_ann_hourly": 0.04607557628309673, "win_rate_d": 0.5645161290322581 }, "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": -0.002686266599236073, "avg_win_d": 0.002224134455653273, "cagr": -0.14556935998064324, "calmar": -3.154044799832338, "end_ts": 1704240000000, "fees_paid": 20.26814599903634, "final_equity": 97737.38377142366, "funding_net": 0.0, "gross_mean": 0.6926474417602689, "initial_equity": 101647.03372218442, "max_dd": 0.046153231554726615, "max_dd_bar": 0.046153231554726615, "max_dd_peak_ts": 1699833600000, "max_dd_trough_ts": 1704240000000, "n_days": 63, "n_periods": 62, "net_mean": -0.11388458628601907, "profit_factor_d": 0.5979746498503642, "sharpe": -3.6367815157569483, "sharpe_hourly": -3.6367815157569483, "sortino": -4.232541876755192, "sortino_hourly": -4.232541876755192, "start_ts": 1696377600000, "total_return": -0.038463000912022594, "turnover_ann": 11.62374089259355, "vol_ann": 0.06293453325787737, "vol_ann_hourly": 0.06293453325787737, "win_rate_d": 0.41935483870967744 }, "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": -0.0027002491234159737, "avg_win_d": 0.003123036911447523, "cagr": 0.23911738055236587, "calmar": 16.70867729400275, "end_ts": 1712188800000, "fees_paid": 20.24569339022976, "final_equity": 103103.88884549416, "funding_net": 0.0, "gross_mean": 0.6484347447113296, "initial_equity": 97737.38377142366, "max_dd": 0.01431097006333304, "max_dd_bar": 0.01431097006333304, "max_dd_peak_ts": 1707955200000, "max_dd_trough_ts": 1708560000000, "n_days": 63, "n_periods": 62, "net_mean": -0.15954190053491507, "profit_factor_d": 1.8312415696184994, "sharpe": 4.621204113592857, "sharpe_hourly": 4.621204113592857, "sortino": 7.688146708369713, "sortino_hourly": 7.688146708369713, "start_ts": 1704326400000, "total_return": 0.054907394356094485, "turnover_ann": 11.643553863701486, "vol_ann": 0.06862594738031448, "vol_ann_hourly": 0.06862594738031448, "win_rate_d": 0.6129032258064516 }, "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": -0.00235439006866053, "avg_win_d": 0.002364130894115853, "cagr": -0.018458111212139472, "calmar": -0.9789994620985394, "end_ts": 1720137600000, "fees_paid": 21.235975587537933, "final_equity": 102626.09351796702, "funding_net": 0.0, "gross_mean": 0.6590992028032632, "initial_equity": 103103.88884549416, "max_dd": 0.018854056541127706, "max_dd_bar": 0.018854056541127706, "max_dd_peak_ts": 1713312000000, "max_dd_trough_ts": 1717545600000, "n_days": 63, "n_periods": 62, "net_mean": -0.12916043267842847, "profit_factor_d": 0.9413787217062807, "sharpe": -0.4976012680504655, "sharpe_hourly": -0.4976012680504655, "sortino": -0.6931266428840669, "sortino_hourly": -0.6931266428840669, "start_ts": 1712275200000, "total_return": -0.004634115481746193, "turnover_ann": 12.028754640677583, "vol_ann": 0.05225205513481949, "vol_ann_hourly": 0.05225205513481949, "win_rate_d": 0.4838709677419355 }, "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": -0.002325847311863442, "avg_win_d": 0.002062797546539444, "cagr": -0.016655516641593038, "calmar": -0.6001164532262547, "end_ts": 1727913600000, "fees_paid": 21.167596103508913, "final_equity": 102216.06381871461, "funding_net": 0.0, "gross_mean": 0.6614878595134878, "initial_equity": 102626.09351796702, "max_dd": 0.027753807701908828, "max_dd_bar": 0.027753807701908828, "max_dd_peak_ts": 1720569600000, "max_dd_trough_ts": 1722384000000, "n_days": 63, "n_periods": 62, "net_mean": -0.05727113167427721, "profit_factor_d": 0.946028301923456, "sharpe": -0.4160667736842159, "sharpe_hourly": -0.4160667736842159, "sortino": -0.5690326692942285, "sortino_hourly": -0.5690326692942285, "start_ts": 1720396800000, "total_return": -0.003995374716086464, "turnover_ann": 12.063476877094063, "vol_ann": 0.053285209454075604, "vol_ann_hourly": 0.053285209454075604, "win_rate_d": 0.5161290322580645 }, "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": -0.002162416370188507, "avg_win_d": 0.0018782161263801423, "cagr": 0.06297306197350228, "calmar": 4.688267920847507, "end_ts": 1735862400000, "fees_paid": 23.076482866372018, "final_equity": 103784.27400594273, "funding_net": 0.0, "gross_mean": 0.6831783373455617, "initial_equity": 102216.06381871461, "max_dd": 0.013432052740304679, "max_dd_bar": 0.013432052740304679, "max_dd_peak_ts": 1732060800000, "max_dd_trough_ts": 1734566400000, "n_days": 63, "n_periods": 62, "net_mean": -0.016587145429642677, "profit_factor_d": 1.2854878021480605, "sharpe": 1.8290222631719457, "sharpe_hourly": 1.8290222631719457, "sortino": 2.832538442286951, "sortino_hourly": 2.832538442286951, "start_ts": 1728000000000, "total_return": 0.015342110903521222, "turnover_ann": 12.950578356708688, "vol_ann": 0.04967628035588177, "vol_ann_hourly": 0.04967628035588177, "win_rate_d": 0.5967741935483871 }, "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": -0.0036750971886378367, "avg_win_d": 0.0026542555773038322, "cagr": -0.1429057663573151, "calmar": -2.772935430719434, "end_ts": 1743984000000, "fees_paid": 23.629886720138494, "final_equity": 99869.88869152412, "funding_net": 0.0, "gross_mean": 0.6461929489227005, "initial_equity": 103784.27400594273, "max_dd": 0.05153591561280546, "max_dd_bar": 0.05153591561280546, "max_dd_peak_ts": 1738886400000, "max_dd_trough_ts": 1741651200000, "n_days": 63, "n_periods": 62, "net_mean": -0.02438464382894819, "profit_factor_d": 0.6770881084221468, "sharpe": -3.0197444936581888, "sharpe_hourly": -3.0197444936581888, "sortino": -3.6188553358375906, "sortino_hourly": -3.6188553358375906, "start_ts": 1736121600000, "total_return": -0.03771655534435281, "turnover_ann": 13.351548050669045, "vol_ann": 0.0740344445661136, "vol_ann_hourly": 0.0740344445661136, "win_rate_d": 0.4838709677419355 }, "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": -0.002978964496897808, "avg_win_d": 0.0022368207847676493, "cagr": 0.010859781195956986, "calmar": 0.43767988351537435, "end_ts": 1752019200000, "fees_paid": 19.543687644545212, "final_equity": 100142.15528155529, "funding_net": 0.0, "gross_mean": 0.7025446431736039, "initial_equity": 99869.88869152412, "max_dd": 0.02481215519601443, "max_dd_bar": 0.02481215519601443, "max_dd_peak_ts": 1746576000000, "max_dd_trough_ts": 1747180800000, "n_days": 63, "n_periods": 62, "net_mean": 0.03322085940871274, "profit_factor_d": 1.0396688092261583, "sharpe": 0.27985971226666156, "sharpe_hourly": 0.27985971226666156, "sortino": 0.35424409850311256, "sortino_hourly": 0.35424409850311256, "start_ts": 1744070400000, "total_return": 0.0027262130117331473, "turnover_ann": 11.265611579844435, "vol_ann": 0.06463215416982106, "vol_ann_hourly": 0.06463215416982106, "win_rate_d": 0.5806451612903226 }, "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": -0.002824610614009485, "avg_win_d": 0.002431764051743452, "cagr": 0.0579464563208858, "calmar": 3.0566157230349864, "end_ts": 1759795200000, "fees_paid": 21.440272226574674, "final_equity": 101527.11668625144, "funding_net": 0.0, "gross_mean": 0.6589829872494789, "initial_equity": 100142.15528155529, "max_dd": 0.01895771715240324, "max_dd_bar": 0.01895771715240324, "max_dd_peak_ts": 1758499200000, "max_dd_trough_ts": 1759795200000, "n_days": 63, "n_periods": 62, "net_mean": -0.06087766407507422, "profit_factor_d": 1.1920432151244897, "sharpe": 1.2531707643957448, "sharpe_hourly": 1.2531707643957448, "sortino": 1.7973972655489396, "sortino_hourly": 1.7973972655489396, "start_ts": 1752105600000, "total_return": 0.01382995403686138, "turnover_ann": 12.259892847353514, "vol_ann": 0.06625548284316878, "vol_ann_hourly": 0.06625548284316878, "win_rate_d": 0.5806451612903226 }, "test_end": 1759795200000, "test_start": 1752019200000, "train_start": 1730246400000 }, { "leg": 9, "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": -0.004162450205371105, "avg_win_d": 0.0030414364278880048, "cagr": -0.05396739656281513, "calmar": -1.1913257337629928, "end_ts": 1767744000000, "fees_paid": 26.041911458629848, "final_equity": 100132.50506863419, "funding_net": 0.0, "gross_mean": 0.646646809092238, "initial_equity": 101527.11668625144, "max_dd": 0.04530028608745862, "max_dd_bar": 0.04530028608745862, "max_dd_peak_ts": 1762214400000, "max_dd_trough_ts": 1766016000000, "n_days": 63, "n_periods": 62, "net_mean": -0.1453518688551009, "profit_factor_d": 0.8872593359860531, "sharpe": -0.8508643644717238, "sharpe_hourly": -0.8508643644717238, "sortino": -1.1826937349069964, "sortino_hourly": -1.1826937349069964, "start_ts": 1759881600000, "total_return": -0.013736346142154465, "turnover_ann": 15.033834824483003, "vol_ann": 0.09091352786615536, "vol_ann_hourly": 0.09091352786615536, "win_rate_d": 0.5483870967741935 }, "test_end": 1767744000000, "test_start": 1759795200000, "train_start": 1738022400000 }, { "leg": 10, "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": -0.002106012990632955, "avg_win_d": 0.0021373731126703866, "cagr": 0.23032532164006847, "calmar": 13.260326787465404, "end_ts": 1775692800000, "fees_paid": 25.880198314835795, "final_equity": 105443.16040503886, "funding_net": 0.0, "gross_mean": 0.637314465524798, "initial_equity": 100132.50506863419, "max_dd": 0.017369505694066922, "max_dd_bar": 0.017369505694066922, "max_dd_peak_ts": 1771891200000, "max_dd_trough_ts": 1773360000000, "n_days": 63, "n_periods": 62, "net_mean": 0.13619654399173647, "profit_factor_d": 2.296858022933864, "sharpe": 6.345363887549683, "sharpe_hourly": 6.345363887549683, "sortino": 11.421420393427399, "sortino_hourly": 11.421420393427399, "start_ts": 1767830400000, "total_return": 0.053036277608001114, "turnover_ann": 14.521458778761657, "vol_ann": 0.048145058876171064, "vol_ann_hourly": 0.048145058876171064, "win_rate_d": 0.6935483870967742 }, "test_end": 1775692800000, "test_start": 1767744000000, "train_start": 1745971200000 }, { "leg": 11, "risk_counters": { "bars_half_gross": 0, "bars_halted_flat": 0, "hold_between_rebalance": 32, "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": -0.00332063976751726, "avg_win_d": 0.002581936594433904, "cagr": -0.06924578580717455, "calmar": -3.9373699278110776, "end_ts": 1780272000000, "fees_paid": 18.523489326368512, "final_equity": 104370.66985033748, "funding_net": 0.0, "gross_mean": 0.6408346395531406, "initial_equity": 105443.16040503886, "max_dd": 0.01758681228250014, "max_dd_bar": 0.01758681228250014, "max_dd_peak_ts": 1778544000000, "max_dd_trough_ts": 1780272000000, "n_days": 36, "n_periods": 35, "net_mean": -0.03699796212495426, "profit_factor_d": 0.8232796717000976, "sharpe": -1.4324940683484455, "sharpe_hourly": -1.4324940683484455, "sortino": -1.9123620478011467, "sortino_hourly": -1.9123620478011467, "start_ts": 1775779200000, "total_return": -0.010171267160255959, "turnover_ann": 17.788039091106747, "vol_ann": 0.07262550804559695, "vol_ann_hourly": 0.07262550804559695, "win_rate_d": 0.5142857142857142 }, "test_end": 1780099200000, "test_start": 1775692800000, "train_start": 1753920000000 } ], "summary": { "avg_loss_d": -0.002773401709456378, "avg_win_d": 0.002379167695576164, "cagr": 0.014825272643340659, "calmar": 0.23468810102756216, "end_ts": 1780272000000, "fees_paid": 262.6168909319814, "final_equity": 104370.66985033748, "funding_net": 0.0, "gross_mean": 0.6615780480974829, "initial_equity": 100000.0, "max_dd": 0.06317010780874466, "max_dd_bar": 0.06317010780874466, "max_dd_peak_ts": 1732060800000, "max_dd_trough_ts": 1766016000000, "n_days": 729, "n_periods": 728, "net_mean": -0.05555308703439733, "profit_factor_d": 1.0523337506005166, "sharpe": 0.3718893426077236, "sharpe_hourly": 0.3718893426077236, "sortino": 0.5104527515562504, "sortino_hourly": 0.5104527515562504, "start_ts": 1688601600000, "total_return": 0.04370669850337472, "turnover_ann": 12.908235648784013, "vol_ann": 0.06300837270478082, "vol_ann_hourly": 0.06300837270478082, "win_rate_d": 0.5425824175824175 }, "validation": { "clears_dsr_gate": false, "dsr": 0.13141872196803306, "expected_max_sr": 0.06111862957449173, "n_obs": 728, "n_trials": 14, "n_trials_used": 14, "psr": 0.6996068632855088, "sr_ann": 0.3718893426077236, "sr_trials_variance": 0.0012360143844886563 } }