diff --git a/docs/research/portfolio-capacity-bracket.md b/docs/research/portfolio-capacity-bracket.md index e463274..95e8789 100644 --- a/docs/research/portfolio-capacity-bracket.md +++ b/docs/research/portfolio-capacity-bracket.md @@ -22,6 +22,11 @@ Because the current ~505-name production membership is projected backward, paired arm-versus-control differences are the primary evidence. Absolute profitability is descriptive and survivorship-biased. +Implementation correction: the first completed v1 artifact at commit `23fe39f` +incorrectly allowed the snapshot's broad rank-only universe to submit trades. +That artifact is invalid, is removed from the branch, and must not be used for +strategy conclusions. Runner v2 fixes the construction/ranking partition below. + ## Frozen arms 1. **cap10_incumbent:** exact production-style cap-10 control, no displacement. @@ -37,6 +42,12 @@ live-like full-universe residual-momentum/low-volatility 80/20 rank, activation threshold 80, normal gate-reset re-entry, close fill, 3×ATR trail, 30-session maximum hold, 1% risk, and costs of 0.10% and 0.20% per fill. +Every priced symbol contributes to the daily cross-sectional rank. Only symbols +not listed in the snapshot's `research_rank_only` side table may submit trade +setups to any arm. The resulting construction universe must contain 450-600 +symbols (expected approximately 505); validation fails outside that frozen +guardrail or when the side table references unknown ticker symbols. + The daily replay uses zero outcome horizon: setup and rank observations continue through the snapshot's last session because portfolio simulation, unlike outcome grading, does not require 30 future bars. @@ -83,7 +94,8 @@ positions liquidate at the last measurement close with costs. The validate-only mode must print realized cohort counts and fail unless both protocols contain the seven annual clusters 2019–2025 and every warm anchor has -at least 12 seeds. +at least 12 seeds. It must also print ranking, rank-only, and tradable symbol +counts plus the raw, removed, and retained qualified-long counts. ## Reporting @@ -120,6 +132,12 @@ atomically and resume verifies a fingerprint over the implementation commit, this specification hash, snapshot SHA-256, cache key, arm definitions, costs, and cohort manifest. An authoritative run refuses a dirty worktree. +The existing v1 candidate/rank cache is intentionally reusable: its +full-universe current-day ranks are correct. Runner v2 derives a fingerprinted +construction view by removing qualified rows whose symbols are rank-only. V2 +uses a versioned checkpoint directory, so invalid v1 portfolio cells are never +resumed and the expensive daily rank replay does not need to run again. + The loader reads only ticker ID/symbol and the OHLCV columns used by replay, so snapshots created before SEC metadata added `tickers.cik`, `tickers.sic`, and `tickers.sic_description` remain valid. Do not migrate or alter the research diff --git a/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json b/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json deleted file mode 100644 index 49caa20..0000000 --- a/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json +++ /dev/null @@ -1,97519 +0,0 @@ -{ - "analysis": { - "bootstrap": { - "interval": "central 90% percentile, context only", - "replicates": 10000, - "resampling_unit": "seven annual paired summaries", - "seed": 20260805 - }, - "paired_per_year": [ - { - "arm_id": "cap10_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -63.3, - "control_median": -63.3, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.8, - "control_median": -0.8, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.4531928264007718, - "control_median": -0.4531928264007718, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8065962015836108, - "control_median": -0.8065962015836108, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 68.7, - "control_median": 68.7, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5329423569693267, - "control_median": 0.5329423569693267, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -1.18, - "control_median": -1.18, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -1.7241062363007238, - "control_median": -1.7241062363007238, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -63.2, - "control_median": -63.2, - "paired_delta_median": 0.0, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -16.55, - "control_median": -16.55, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.355, - "control_median": -0.355, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.029158031591220206, - "control_median": -0.029158031591220206, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.12236592070712332, - "control_median": -0.12236592070712332, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 44.25, - "control_median": 44.25, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.9614923442778619, - "control_median": 0.9614923442778619, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.08, - "control_median": 0.08, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": 0.12461381768556787, - "control_median": 0.12461381768556787, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -16.45, - "control_median": -16.45, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -82.6, - "control_median": -82.6, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6651490670000286, - "control_median": -0.6651490670000286, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8804703414383201, - "control_median": -0.8804703414383201, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 83.85, - "control_median": 83.85, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.35693277342603646, - "control_median": 0.35693277342603646, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -3.1399999999999997, - "control_median": -3.1399999999999997, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.812102532208317, - "control_median": -3.812102532208317, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -82.35, - "control_median": -82.35, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -88.3, - "control_median": -88.3, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.99, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.809647336101318, - "control_median": -0.809647336101318, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9311990231779976, - "control_median": -0.9311990231779976, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 89.80000000000001, - "control_median": 89.80000000000001, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.2960752844634145, - "control_median": 0.2960752844634145, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.98, - "control_median": -2.98, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -4.025318219137797, - "control_median": -4.025318219137797, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -88.35, - "control_median": -88.35, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -82.6, - "control_median": -82.6, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.995, - "control_median": -0.995, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6109054096263475, - "control_median": -0.6109054096263475, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8923420512220004, - "control_median": -0.8923420512220004, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 82.7, - "control_median": 82.7, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.4093915247632419, - "control_median": 0.4093915247632419, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.67, - "control_median": -2.67, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.6088469029273313, - "control_median": -3.6088469029273313, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -82.55000000000001, - "control_median": -82.55000000000001, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -74.95, - "control_median": -74.95, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.99, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6152148901555253, - "control_median": -0.6152148901555253, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9390662602028554, - "control_median": -0.9390662602028554, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 76.6, - "control_median": 76.6, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.3279907296503128, - "control_median": 0.3279907296503128, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.525, - "control_median": -2.525, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.223337745147031, - "control_median": -3.223337745147031, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -75.2, - "control_median": -75.2, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -85.4, - "control_median": -85.4, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.92, - "control_median": -0.92, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.7486282527099299, - "control_median": -0.7486282527099299, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.984182503180141, - "control_median": -0.984182503180141, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 91.9, - "control_median": 91.9, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.2829567883022461, - "control_median": 0.2829567883022461, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.42, - "control_median": 0.42, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": 1.8060121638511468, - "control_median": 1.8060121638511468, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -85.4, - "control_median": -85.4, - "paired_delta_median": 0.0, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -82.6, - "control_median": -82.6, - "paired_delta_median": 0.0 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6152148901555253, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.6152148901555253, - "paired_delta_median": 0.0 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8923420512220004, - "control_median": -0.8923420512220004, - "paired_delta_median": 0.0 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 82.7, - "control_median": 82.7, - "paired_delta_median": 0.0 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.35693277342603646, - "control_median": 0.35693277342603646, - "paired_delta_median": 0.0 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.525, - "control_median": -2.525, - "paired_delta_median": 0.0 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.223337745147031, - "control_median": -3.223337745147031, - "paired_delta_median": 0.0 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -82.35, - "control_median": -82.35, - "paired_delta_median": 0.0 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cash_unbounded", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.5655608214849921, - "arm_median": -35.8, - "control_median": -63.3, - "paired_delta_median": 12.600000000000001, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 0.7249999999999999, - "arm_median": -0.58, - "control_median": -0.8, - "paired_delta_median": 0.28, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 0.2757605053917159, - "arm_median": -0.124972682848177, - "control_median": -0.4531928264007718, - "paired_delta_median": 0.1470319251456737, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 0.3684702697652146, - "arm_median": -0.29720671998911047, - "control_median": -0.8065962015836108, - "paired_delta_median": 0.30017498266166354, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.8879184861717613, - "arm_median": 61.0, - "control_median": 68.7, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.5719163152114648, - "arm_median": 0.8377407859873371, - "control_median": 0.5329423569693267, - "paired_delta_median": 0.13877349390339289, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 0.00847457627118644, - "arm_median": -0.01, - "control_median": -1.18, - "paired_delta_median": 0.45999999999999996, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 0.012024269738309609, - "arm_median": -0.02073111844278167, - "control_median": -1.7241062363007238, - "paired_delta_median": 0.6390239801884723, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 0.564873417721519, - "arm_median": -35.7, - "control_median": -63.2, - "paired_delta_median": 12.599999999999994, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": -1.365558912386707, - "arm_median": 22.6, - "control_median": -16.55, - "paired_delta_median": 14.5, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": -1.3661971830985915, - "arm_median": 0.485, - "control_median": -0.355, - "paired_delta_median": 0.27, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -5.255971639130643, - "arm_median": 0.15325378709632875, - "control_median": -0.029158031591220206, - "paired_delta_median": 0.11959914509059903, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -5.384924259071312, - "arm_median": 0.6589312148993849, - "control_median": -0.12236592070712332, - "paired_delta_median": 0.3446191558632373, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0632768361581921, - "arm_median": 47.05, - "control_median": 44.25, - "paired_delta_median": 1.3000000000000007, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.2657898447622271, - "arm_median": 1.2170472452035446, - "control_median": 0.9614923442778619, - "paired_delta_median": 0.15704650081716404, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 8.0625, - "arm_median": 0.645, - "control_median": 0.08, - "paired_delta_median": 0.175, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 8.356725711392505, - "arm_median": 1.041363494247763, - "control_median": 0.12461381768556787, - "paired_delta_median": 0.31276674666924537, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": -1.3708206686930091, - "arm_median": 22.55, - "control_median": -16.45, - "paired_delta_median": 14.450000000000003, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.950363196125908, - "arm_median": -78.5, - "control_median": -82.6, - "paired_delta_median": 0.8000000000000043, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.9896907216494846, - "arm_median": -0.96, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.7890486263225432, - "arm_median": -0.5248349576160939, - "control_median": -0.6651490670000286, - "paired_delta_median": 0.12098227796933247, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9979273761447756, - "arm_median": -0.8786454576048375, - "control_median": -0.8804703414383201, - "paired_delta_median": 0.020395495111865947, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9743589743589743, - "arm_median": 81.69999999999999, - "control_median": 83.85, - "paired_delta_median": -1.1499999999999986, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.2230552352398316, - "arm_median": 0.43654849716738653, - "control_median": 0.35693277342603646, - "paired_delta_median": 0.06687921801159749, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 0.7197452229299363, - "arm_median": -2.26, - "control_median": -3.1399999999999997, - "paired_delta_median": 0.18999999999999995, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 0.7551916289990459, - "arm_median": -2.8788679212097867, - "control_median": -3.812102532208317, - "paired_delta_median": 0.33101720189143946, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 0.9514268366727383, - "arm_median": -78.35, - "control_median": -82.35, - "paired_delta_median": 0.7999999999999972, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0458663646659117, - "arm_median": -92.35, - "control_median": -88.3, - "paired_delta_median": -4.050000000000004, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0101010101010102, - "arm_median": -1.0, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.752674327404515, - "arm_median": -0.6094007641349168, - "control_median": -0.809647336101318, - "paired_delta_median": 0.18515280023140995, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9315162093384234, - "arm_median": -0.867426984210411, - "control_median": -0.9311990231779976, - "paired_delta_median": 0.06765781131051507, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0412026726057906, - "arm_median": 93.5, - "control_median": 89.80000000000001, - "paired_delta_median": 4.200000000000003, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.3682770465718856, - "arm_median": 0.4051130157885317, - "control_median": 0.2960752844634145, - "paired_delta_median": 0.09414577629460046, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.1510067114093958, - "arm_median": -3.4299999999999997, - "control_median": -2.98, - "paired_delta_median": -0.405, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0538844233820939, - "arm_median": -4.242220170305474, - "control_median": -4.025318219137797, - "paired_delta_median": -0.358837437878339, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0458404074702887, - "arm_median": -92.4, - "control_median": -88.35, - "paired_delta_median": -4.050000000000004, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0145278450363195, - "arm_median": -83.8, - "control_median": -82.6, - "paired_delta_median": 2.5500000000000043, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.8994974874371859, - "arm_median": -0.895, - "control_median": -0.995, - "paired_delta_median": 0.08499999999999996, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -0.6095842344044137, - "arm_median": 0.3723983064205918, - "control_median": -0.6109054096263475, - "paired_delta_median": 1.020506926466824, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -0.2148092321129165, - "arm_median": 0.1916833108050627, - "control_median": -0.8923420512220004, - "paired_delta_median": 1.0778590832044204, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1269649334945584, - "arm_median": 93.19999999999999, - "control_median": 82.7, - "paired_delta_median": 7.750000000000007, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 3.3679249992834404, - "arm_median": 1.378799950744888, - "control_median": 0.4093915247632419, - "paired_delta_median": 0.9993213071159919, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": -0.20224719101123598, - "arm_median": 0.54, - "control_median": -2.67, - "paired_delta_median": 3.21, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": -1.9155176807816505, - "arm_median": 6.912810049791404, - "control_median": -3.6088469029273313, - "paired_delta_median": 10.436780633223652, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0151423379769835, - "arm_median": -83.8, - "control_median": -82.55000000000001, - "paired_delta_median": 2.5500000000000043, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.236157438292195, - "arm_median": -92.65, - "control_median": -74.95, - "paired_delta_median": -17.300000000000004, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0101010101010102, - "arm_median": -1.0, - "control_median": -0.99, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.8745756385295117, - "arm_median": -0.538051955390632, - "control_median": -0.6152148901555253, - "paired_delta_median": 0.09543365089177056, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9792449125415487, - "arm_median": -0.9195758578430644, - "control_median": -0.9390662602028554, - "paired_delta_median": -0.013644699489979928, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.220626631853786, - "arm_median": 93.5, - "control_median": 76.6, - "paired_delta_median": 15.550000000000004, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.1576854518573585, - "arm_median": 0.3797100960602471, - "control_median": 0.3279907296503128, - "paired_delta_median": 0.07318384373356007, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.2000000000000002, - "arm_median": -3.0300000000000002, - "control_median": -2.525, - "paired_delta_median": -1.0849999999999997, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.2334404297361425, - "arm_median": -3.975795093558883, - "control_median": -3.223337745147031, - "paired_delta_median": -1.0660775270408185, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.2327127659574468, - "arm_median": -92.7, - "control_median": -75.2, - "paired_delta_median": -17.25, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1370023419203745, - "arm_median": -97.1, - "control_median": -85.4, - "paired_delta_median": -10.700000000000003, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.0869565217391304, - "arm_median": -1.0, - "control_median": -0.92, - "paired_delta_median": -0.06999999999999995, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 0.847208138157609, - "arm_median": -0.6342439481505637, - "control_median": -0.7486282527099299, - "paired_delta_median": 0.1367344287144563, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9874672178013167, - "arm_median": -0.9718479582240294, - "control_median": -0.984182503180141, - "paired_delta_median": -0.004083587612592865, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.058759521218716, - "arm_median": 97.3, - "control_median": 91.9, - "paired_delta_median": 3.799999999999997, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 0.9823260507345285, - "arm_median": 0.27795582438147143, - "control_median": 0.2829567883022461, - "paired_delta_median": 0.04379857161393827, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": -0.0, - "arm_median": -0.0, - "control_median": 0.42, - "paired_delta_median": -0.47, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": -0.0039532539174827325, - "arm_median": -0.0071396246617660124, - "control_median": 1.8060121638511468, - "paired_delta_median": -1.516535537528699, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.1370023419203745, - "arm_median": -97.1, - "control_median": -85.4, - "paired_delta_median": -10.700000000000003, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.0145278450363195, - "arm_median": -83.8, - "control_median": -82.6, - "paired_delta_median": 0.8000000000000043 - }, - "calmar": { - "arm_control_ratio": 0.9896907216494846, - "arm_median": -0.96, - "bootstrap_90": { - "n": 7, - "p05": -0.010000000000000009, - "p95": 0.27, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 0.8530920919085955, - "arm_median": -0.5248349576160939, - "bootstrap_90": { - "n": 7, - "p05": 0.11959914509059903, - "p95": 0.18515280023140995, - "point": 0.1367344287144563, - "replicates": 10000 - }, - "control_median": -0.6152148901555253, - "paired_delta_median": 0.1367344287144563 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9720790172586062, - "arm_median": -0.867426984210411, - "control_median": -0.8923420512220004, - "paired_delta_median": 0.06765781131051507 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1269649334945584, - "arm_median": 93.19999999999999, - "control_median": 82.7, - "paired_delta_median": 3.799999999999997 - }, - "profit_factor": { - "arm_control_ratio": 1.2230552352398316, - "arm_median": 0.43654849716738653, - "control_median": 0.35693277342603646, - "paired_delta_median": 0.09414577629460046 - }, - "sharpe": { - "arm_control_ratio": 0.0039603960396039604, - "arm_median": -0.01, - "control_median": -2.525, - "paired_delta_median": 0.175 - }, - "sortino": { - "arm_control_ratio": 0.006431568790454513, - "arm_median": -0.02073111844278167, - "control_median": -3.223337745147031, - "paired_delta_median": 0.31276674666924537 - }, - "total_return_pct": { - "arm_control_ratio": 1.0176077717061325, - "arm_median": -83.8, - "control_median": -82.35, - "paired_delta_median": 0.7999999999999972 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cap10_weekly_top10", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.8909952606635071, - "arm_median": -56.4, - "control_median": -63.3, - "paired_delta_median": 0.7999999999999972, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 0.9125, - "arm_median": -0.73, - "control_median": -0.8, - "paired_delta_median": 0.010000000000000009, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 0.5803311715709323, - "arm_median": -0.26300192389270205, - "control_median": -0.4531928264007718, - "paired_delta_median": 0.11711446311914464, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 0.717252857749528, - "arm_median": -0.5785334306357591, - "control_median": -0.8065962015836108, - "paired_delta_median": 0.06489268349682709, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9912663755458514, - "arm_median": 68.1, - "control_median": 68.7, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.2472333644983582, - "arm_median": 0.6647034889665383, - "control_median": 0.5329423569693267, - "paired_delta_median": 0.05092678329127004, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 0.5084745762711864, - "arm_median": -0.6, - "control_median": -1.18, - "paired_delta_median": 0.08000000000000007, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 0.5331808124041393, - "arm_median": -0.9192603637418629, - "control_median": -1.7241062363007238, - "paired_delta_median": 0.12445921560875117, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 0.8908227848101264, - "arm_median": -56.3, - "control_median": -63.2, - "paired_delta_median": 0.7999999999999972, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.5196374622356494, - "arm_median": -25.15, - "control_median": -16.55, - "paired_delta_median": -14.150000000000002, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.5492957746478875, - "arm_median": -0.55, - "control_median": -0.355, - "paired_delta_median": -0.19000000000000003, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 2.6607129291468423, - "arm_median": -0.07758115164323168, - "control_median": -0.029158031591220206, - "paired_delta_median": -0.05112419597297016, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 2.871239292965918, - "arm_median": -0.3513418396542443, - "control_median": -0.12236592070712332, - "paired_delta_median": -0.3285336396835847, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1163841807909605, - "arm_median": 49.4, - "control_median": 44.25, - "paired_delta_median": 5.350000000000001, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.9181721304961401, - "arm_median": 0.8828154742013327, - "control_median": 0.9614923442778619, - "paired_delta_median": -0.09191399141062423, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": -0.0625, - "arm_median": -0.005, - "control_median": 0.08, - "paired_delta_median": -0.11, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": -0.06999195041015681, - "arm_median": -0.008721964147868588, - "control_median": 0.12461381768556787, - "paired_delta_median": -0.1655650457964271, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.5258358662613982, - "arm_median": -25.1, - "control_median": -16.45, - "paired_delta_median": -14.1, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0266343825665862, - "arm_median": -84.80000000000001, - "control_median": -82.6, - "paired_delta_median": -3.6000000000000014, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.8246902862331739, - "arm_median": -0.5485419744519822, - "control_median": -0.6651490670000286, - "paired_delta_median": 0.10235388697428238, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1144539976201888, - "arm_median": -0.9812436918019485, - "control_median": -0.8804703414383201, - "paired_delta_median": -0.10380875080389584, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0250447227191415, - "arm_median": 85.95, - "control_median": 83.85, - "paired_delta_median": 2.1000000000000014, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.018834055620463, - "arm_median": 0.3636552651335085, - "control_median": 0.35693277342603646, - "paired_delta_median": 0.004160397645000452, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0939490445859874, - "arm_median": -3.435, - "control_median": -3.1399999999999997, - "paired_delta_median": -0.15500000000000003, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0693066797894668, - "arm_median": -4.076306701732694, - "control_median": -3.812102532208317, - "paired_delta_median": -0.19565195907024813, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0279295689131756, - "arm_median": -84.65, - "control_median": -82.35, - "paired_delta_median": -3.5999999999999943, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0379388448471123, - "arm_median": -91.65, - "control_median": -88.3, - "paired_delta_median": -3.549999999999997, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0101010101010102, - "arm_median": -1.0, - "control_median": -0.99, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.7957429523711245, - "arm_median": -0.6442711616086789, - "control_median": -0.809647336101318, - "paired_delta_median": 0.15831867153598211, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9454538160038216, - "arm_median": -0.880405669922669, - "control_median": -0.9311990231779976, - "paired_delta_median": 0.044258356799332266, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0306236080178173, - "arm_median": 92.55, - "control_median": 89.80000000000001, - "paired_delta_median": 2.8500000000000014, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.1387434165366133, - "arm_median": 0.3371537809819183, - "control_median": 0.2960752844634145, - "paired_delta_median": 0.01918465592380203, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.1426174496644297, - "arm_median": -3.4050000000000002, - "control_median": -2.98, - "paired_delta_median": -0.4249999999999998, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.1000614939839306, - "arm_median": -4.42809757390546, - "control_median": -4.025318219137797, - "paired_delta_median": -0.3420275288878556, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.037351443123939, - "arm_median": -91.65, - "control_median": -88.35, - "paired_delta_median": -3.549999999999997, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.074455205811138, - "arm_median": -88.75, - "control_median": -82.6, - "paired_delta_median": -5.899999999999999, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.9949748743718593, - "arm_median": -0.99, - "control_median": -0.995, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.9776321643039654, - "arm_median": -0.5972407777980067, - "control_median": -0.6109054096263475, - "paired_delta_median": 0.04008472477338182, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.074007346752843, - "arm_median": -0.9583819188289302, - "control_median": -0.8923420512220004, - "paired_delta_median": -0.05667982234273489, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0792019347037485, - "arm_median": 89.25, - "control_median": 82.7, - "paired_delta_median": 7.150000000000006, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.8550768612910354, - "arm_median": 0.3500612200337041, - "control_median": 0.4093915247632419, - "paired_delta_median": -0.052407733378581275, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.3220973782771537, - "arm_median": -3.5300000000000002, - "control_median": -2.67, - "paired_delta_median": -0.9500000000000002, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.2007425812106665, - "arm_median": -4.333296145415083, - "control_median": -3.6088469029273313, - "paired_delta_median": -0.9478588433222805, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0751059963658387, - "arm_median": -88.75, - "control_median": -82.55000000000001, - "paired_delta_median": -5.850000000000001, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.154769846564376, - "arm_median": -86.55, - "control_median": -74.95, - "paired_delta_median": -8.000000000000007, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.99, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.9932216993972968, - "arm_median": -0.6110447786947921, - "control_median": -0.6152148901555253, - "paired_delta_median": 0.05488736952242815, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0625253137674902, - "arm_median": -0.9977816727705024, - "control_median": -0.9390662602028554, - "paired_delta_median": -0.052164368735697186, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1351174934725847, - "arm_median": 86.94999999999999, - "control_median": 76.6, - "paired_delta_median": 8.150000000000006, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.8452028654910572, - "arm_median": 0.277218704554947, - "control_median": 0.3279907296503128, - "paired_delta_median": -0.045137548473708725, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.2396039603960396, - "arm_median": -3.13, - "control_median": -2.525, - "paired_delta_median": -0.9449999999999998, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.1662104154834325, - "arm_median": -3.7590900510113494, - "control_median": -3.223337745147031, - "paired_delta_median": -0.7435894705741242, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.151595744680851, - "arm_median": -86.6, - "control_median": -75.2, - "paired_delta_median": -8.050000000000004, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0632318501170959, - "arm_median": -90.8, - "control_median": -85.4, - "paired_delta_median": -5.700000000000003, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.0543478260869565, - "arm_median": -0.97, - "control_median": -0.92, - "paired_delta_median": -0.040000000000000036, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 0.8866266418345723, - "arm_median": -0.6637537536826887, - "control_median": -0.7486282527099299, - "paired_delta_median": 0.09244307205956248, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0152170233423012, - "arm_median": -0.9991588313041176, - "control_median": -0.984182503180141, - "paired_delta_median": -0.009615347706899202, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0087051142546246, - "arm_median": 92.7, - "control_median": 91.9, - "paired_delta_median": 1.5, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 0.8724569571255736, - "arm_median": 0.2468676185202027, - "control_median": 0.2829567883022461, - "paired_delta_median": -0.03546931910839421, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": 1.0238095238095237, - "arm_median": 0.43, - "control_median": 0.42, - "paired_delta_median": 0.020000000000000018, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": 1.2236645319099155, - "arm_median": 2.209953029102527, - "control_median": 1.8060121638511468, - "paired_delta_median": 0.48762279349217974, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.0632318501170959, - "arm_median": -90.8, - "control_median": -85.4, - "paired_delta_median": -5.700000000000003, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.047820823244552, - "arm_median": -86.55, - "control_median": -82.6, - "paired_delta_median": -5.700000000000003 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "bootstrap_90": { - "n": 7, - "p05": -0.040000000000000036, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 0.9707840095466889, - "arm_median": -0.5972407777980067, - "bootstrap_90": { - "n": 7, - "p05": 0.04008472477338182, - "p95": 0.11711446311914464, - "point": 0.09244307205956248, - "replicates": 10000 - }, - "control_median": -0.6152148901555253, - "paired_delta_median": 0.09244307205956248 - }, - "gain_to_pain": { - "arm_control_ratio": 1.074007346752843, - "arm_median": -0.9583819188289302, - "control_median": -0.8923420512220004, - "paired_delta_median": -0.052164368735697186 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.051390568319226, - "arm_median": 86.94999999999999, - "control_median": 82.7, - "paired_delta_median": 2.8500000000000014 - }, - "profit_factor": { - "arm_control_ratio": 0.980748326004431, - "arm_median": 0.3500612200337041, - "control_median": 0.35693277342603646, - "paired_delta_median": -0.03546931910839421 - }, - "sharpe": { - "arm_control_ratio": 1.2396039603960396, - "arm_median": -3.13, - "control_median": -2.525, - "paired_delta_median": -0.15500000000000003 - }, - "sortino": { - "arm_control_ratio": 1.1662104154834325, - "arm_median": -3.7590900510113494, - "control_median": -3.223337745147031, - "paired_delta_median": -0.19565195907024813 - }, - "total_return_pct": { - "arm_control_ratio": 1.0516089860352156, - "arm_median": -86.6, - "control_median": -82.35, - "paired_delta_median": -5.700000000000003 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cap15_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.79304897314376, - "arm_median": -50.2, - "control_median": -63.3, - "paired_delta_median": 7.5, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 0.8999999999999999, - "arm_median": -0.72, - "control_median": -0.8, - "paired_delta_median": 0.08999999999999997, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 0.5070963501128498, - "arm_median": -0.22981242816515773, - "control_median": -0.4531928264007718, - "paired_delta_median": 0.18250858085723498, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 0.6264638167441258, - "arm_median": -0.505303335015383, - "control_median": -0.8065962015836108, - "paired_delta_median": 0.08696405327164547, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9767103347889373, - "arm_median": 67.1, - "control_median": 68.7, - "paired_delta_median": -1.6000000000000085, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.382939633547501, - "arm_median": 0.7370271078491021, - "control_median": 0.5329423569693267, - "paired_delta_median": 0.14891313801499417, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 0.4915254237288135, - "arm_median": -0.58, - "control_median": -1.18, - "paired_delta_median": 0.3799999999999999, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 0.48492991395426965, - "arm_median": -0.8360706888173297, - "control_median": -1.7241062363007238, - "paired_delta_median": 0.5222444750946722, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 0.7927215189873418, - "arm_median": -50.1, - "control_median": -63.2, - "paired_delta_median": 7.5, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": -1.2628398791540785, - "arm_median": 20.9, - "control_median": -16.55, - "paired_delta_median": 15.849999999999998, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": -1.4507042253521127, - "arm_median": 0.515, - "control_median": -0.355, - "paired_delta_median": 0.29000000000000004, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -4.235770910134817, - "arm_median": 0.12350674201088255, - "control_median": -0.029158031591220206, - "paired_delta_median": 0.10282608107816522, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -4.424886757394635, - "arm_median": 0.5414553420933519, - "control_median": -0.12236592070712332, - "paired_delta_median": 0.3094467590822648, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9966101694915255, - "arm_median": 44.1, - "control_median": 44.25, - "paired_delta_median": 2.1499999999999986, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.2094804061456204, - "arm_median": 1.1629061510630931, - "control_median": 0.9614923442778619, - "paired_delta_median": 0.14288014925992654, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 7.8125, - "arm_median": 0.625, - "control_median": 0.08, - "paired_delta_median": 0.27, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 7.114770885042144, - "arm_median": 0.8865987619432281, - "control_median": 0.12461381768556787, - "paired_delta_median": 0.45160688332153937, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": -1.264437689969605, - "arm_median": 20.8, - "control_median": -16.45, - "paired_delta_median": 15.75, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9588377723970943, - "arm_median": -79.19999999999999, - "control_median": -82.6, - "paired_delta_median": -0.04999999999999716, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.9845360824742267, - "arm_median": -0.955, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.8322037310203901, - "arm_median": -0.5535395352421553, - "control_median": -0.6651490670000286, - "paired_delta_median": 0.09839064193425637, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9902273857641758, - "arm_median": -0.871865844445359, - "control_median": -0.8804703414383201, - "paired_delta_median": 0.01707326152663674, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9946332737030413, - "arm_median": 83.4, - "control_median": 83.85, - "paired_delta_median": 0.29999999999999716, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.1572636370082132, - "arm_median": 0.41306531954244347, - "control_median": 0.35693277342603646, - "paired_delta_median": 0.03691868432526968, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 0.874203821656051, - "arm_median": -2.745, - "control_median": -3.1399999999999997, - "paired_delta_median": 0.1449999999999998, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 0.9061220113823408, - "arm_median": -3.4542300140803146, - "control_median": -3.812102532208317, - "paired_delta_median": 0.16808457121608633, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 0.9587128111718277, - "arm_median": -78.95, - "control_median": -82.35, - "paired_delta_median": -0.04999999999999716, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0792751981879956, - "arm_median": -95.3, - "control_median": -88.3, - "paired_delta_median": -5.649999999999999, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.005050505050505, - "arm_median": -0.995, - "control_median": -0.99, - "paired_delta_median": -0.0050000000000000044, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.9709783233676602, - "arm_median": -0.7861500129267502, - "control_median": -0.809647336101318, - "paired_delta_median": 0.024263834022578423, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9932527556367294, - "arm_median": -0.9249159958177768, - "control_median": -0.9311990231779976, - "paired_delta_median": -0.0008462953331996315, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0684855233853003, - "arm_median": 95.94999999999999, - "control_median": 89.80000000000001, - "paired_delta_median": 5.100000000000001, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.9949428508046855, - "arm_median": 0.29457798757683784, - "control_median": 0.2960752844634145, - "paired_delta_median": 0.004874639776596218, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.313758389261745, - "arm_median": -3.915, - "control_median": -2.98, - "paired_delta_median": -0.74, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.207360285948506, - "arm_median": -4.8600093560919415, - "control_median": -4.025318219137797, - "paired_delta_median": -0.7934537655909306, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.078664402942841, - "arm_median": -95.3, - "control_median": -88.35, - "paired_delta_median": -5.600000000000001, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.8934624697336564, - "arm_median": -73.80000000000001, - "control_median": -82.6, - "paired_delta_median": 11.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.8190954773869347, - "arm_median": -0.815, - "control_median": -0.995, - "paired_delta_median": 0.15999999999999998, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -1.1213602218778196, - "arm_median": 0.6850450256849614, - "control_median": -0.6109054096263475, - "paired_delta_median": 1.3245401133257124, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -0.5844889150750922, - "arm_median": 0.5215640373946293, - "control_median": -0.8923420512220004, - "paired_delta_median": 1.4002853972792444, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0985489721886335, - "arm_median": 90.85, - "control_median": 82.7, - "paired_delta_median": 5.5, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 3.9862594725032467, - "arm_median": 1.6319408435500207, - "control_median": 0.4093915247632419, - "paired_delta_median": 1.2140435620054362, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": -0.21161048689138576, - "arm_median": 0.565, - "control_median": -2.67, - "paired_delta_median": 3.235, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": -2.013497571008137, - "arm_median": 7.266404473184419, - "control_median": -3.6088469029273313, - "paired_delta_median": 10.635906445707452, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 0.8946093276801936, - "arm_median": -73.85, - "control_median": -82.55000000000001, - "paired_delta_median": 11.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.211474316210807, - "arm_median": -90.8, - "control_median": -74.95, - "paired_delta_median": -15.800000000000004, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.005050505050505, - "arm_median": -0.995, - "control_median": -0.99, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0940725120824781, - "arm_median": -0.6730897003430014, - "control_median": -0.6152148901555253, - "paired_delta_median": -0.023614178793981144, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9746433770630389, - "arm_median": -0.9152547111300695, - "control_median": -0.9390662602028554, - "paired_delta_median": -0.007933827510974822, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.201697127937337, - "arm_median": 92.05, - "control_median": 76.6, - "paired_delta_median": 12.900000000000006, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.9983658536531641, - "arm_median": 0.3274547447976587, - "control_median": 0.3279907296503128, - "paired_delta_median": -0.02123054100688518, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.304950495049505, - "arm_median": -3.295, - "control_median": -2.525, - "paired_delta_median": -1.2000000000000002, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.2814639150331775, - "arm_median": -4.130591006370329, - "control_median": -3.223337745147031, - "paired_delta_median": -1.2775604795607602, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.2087765957446808, - "arm_median": -90.9, - "control_median": -75.2, - "paired_delta_median": -15.75, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0889929742388758, - "arm_median": -93.0, - "control_median": -85.4, - "paired_delta_median": -7.300000000000011, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.076086956521739, - "arm_median": -0.99, - "control_median": -0.92, - "paired_delta_median": -0.05999999999999994, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 0.9803911163785877, - "arm_median": -0.7339484884268397, - "control_median": -0.7486282527099299, - "paired_delta_median": 0.02176051956756908, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0160717110584152, - "arm_median": -1.0, - "control_median": -0.984182503180141, - "paired_delta_median": -0.006599266651958757, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0250272034820456, - "arm_median": 94.2, - "control_median": 91.9, - "paired_delta_median": 1.3999999999999915, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 0.8586083646670299, - "arm_median": 0.24294906527562649, - "control_median": 0.2829567883022461, - "paired_delta_median": -0.02451300492520425, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": 0.4761904761904762, - "arm_median": 0.2, - "control_median": 0.42, - "paired_delta_median": -0.24, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": 0.47050436857537986, - "arm_median": 0.8497366127922393, - "control_median": 1.8060121638511468, - "paired_delta_median": -1.0402760878628272, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.0889929742388758, - "arm_median": -93.0, - "control_median": -85.4, - "paired_delta_median": -7.300000000000011, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 0.9588377723970943, - "arm_median": -79.19999999999999, - "control_median": -82.6, - "paired_delta_median": -0.04999999999999716 - }, - "calmar": { - "arm_control_ratio": 0.9845360824742267, - "arm_median": -0.955, - "bootstrap_90": { - "n": 7, - "p05": -0.010000000000000009, - "p95": 0.15999999999999998, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 0.8997498989372987, - "arm_median": -0.5535395352421553, - "bootstrap_90": { - "n": 7, - "p05": 0.02176051956756908, - "p95": 0.18250858085723498, - "point": 0.09839064193425637, - "replicates": 10000 - }, - "control_median": -0.6152148901555253, - "paired_delta_median": 0.09839064193425637 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9770534104622766, - "arm_median": -0.871865844445359, - "control_median": -0.8923420512220004, - "paired_delta_median": 0.01707326152663674 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0985489721886335, - "arm_median": 90.85, - "control_median": 82.7, - "paired_delta_median": 2.1499999999999986 - }, - "profit_factor": { - "arm_control_ratio": 1.1572636370082132, - "arm_median": 0.41306531954244347, - "control_median": 0.35693277342603646, - "paired_delta_median": 0.03691868432526968 - }, - "sharpe": { - "arm_control_ratio": 0.22970297029702968, - "arm_median": -0.58, - "control_median": -2.525, - "paired_delta_median": 0.1449999999999998 - }, - "sortino": { - "arm_control_ratio": 0.25938041710835136, - "arm_median": -0.8360706888173297, - "control_median": -3.223337745147031, - "paired_delta_median": 0.16808457121608633 - }, - "total_return_pct": { - "arm_control_ratio": 0.9587128111718277, - "arm_median": -78.95, - "control_median": -82.35, - "paired_delta_median": -0.04999999999999716 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cap10_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -59.05, - "control_median": -59.05, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.59, - "control_median": -0.59, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.43408895613369985, - "control_median": -0.43408895613369985, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.7786561191200712, - "control_median": -0.7786561191200712, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5343762860835325, - "control_median": 0.5343762860835325, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": 300.9999349714551, - "control_median": 300.9999349714551, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -58.8, - "control_median": -58.8, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -42.25, - "control_median": -42.25, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.89, - "control_median": -0.89, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.26926906817577523, - "control_median": -0.26926906817577523, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.4699187840180882, - "control_median": -0.4699187840180882, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 47.4, - "control_median": 47.4, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.6754428467695939, - "control_median": 0.6754428467695939, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -0.645, - "control_median": -0.645, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -0.8905523028443585, - "control_median": -0.8905523028443585, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -42.05, - "control_median": -42.05, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -46.7, - "control_median": -46.7, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.67, - "control_median": -0.67, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.38737391504355523, - "control_median": -0.38737391504355523, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.5623218912660617, - "control_median": -0.5623218912660617, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 69.4, - "control_median": 69.4, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.541933160591684, - "control_median": 0.541933160591684, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -0.63, - "control_median": -0.63, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -0.9838739472109775, - "control_median": -0.9838739472109775, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -46.3, - "control_median": -46.3, - "paired_delta_median": 0.0, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -91.95, - "control_median": -91.95, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.9156844622092614, - "control_median": -0.9156844622092614, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9368221673701154, - "control_median": -0.9368221673701154, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 92.05, - "control_median": 92.05, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.23522341366703847, - "control_median": 0.23522341366703847, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -4.595, - "control_median": -4.595, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -4.955803097600697, - "control_median": -4.955803097600697, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -91.9, - "control_median": -91.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -87.2, - "control_median": -87.2, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.7068240596252163, - "control_median": -0.7068240596252163, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9003320678807236, - "control_median": -0.9003320678807236, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 89.35, - "control_median": 89.35, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.3770821457158167, - "control_median": 0.3770821457158167, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.51, - "control_median": -2.51, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.7380377605260366, - "control_median": -3.7380377605260366, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -87.2, - "control_median": -87.2, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.1, - "control_median": -64.1, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.86, - "control_median": -0.86, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.4606188714057041, - "control_median": -0.4606188714057041, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.7775169779891447, - "control_median": -0.7775169779891447, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 75.6, - "control_median": 75.6, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5186816643804341, - "control_median": 0.5186816643804341, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -1.23, - "control_median": -1.23, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -1.6706426659576499, - "control_median": -1.6706426659576499, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -63.9, - "control_median": -63.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -77.75, - "control_median": -77.75, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.98, - "control_median": -0.98, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.7129837604010457, - "control_median": -0.7129837604010457, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9576979074458063, - "control_median": -0.9576979074458063, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 79.3, - "control_median": 79.3, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.25126236825052417, - "control_median": 0.25126236825052417, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -3.74, - "control_median": -3.74, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -4.218548134447078, - "control_median": -4.218548134447078, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -78.05000000000001, - "control_median": -78.05000000000001, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.1, - "control_median": -64.1, - "paired_delta_median": 0.0 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.89, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.89, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.4606188714057041, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.4606188714057041, - "paired_delta_median": 0.0 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.7786561191200712, - "control_median": -0.7786561191200712, - "paired_delta_median": 0.0 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 79.3, - "control_median": 79.3, - "paired_delta_median": 0.0 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5186816643804341, - "control_median": 0.5186816643804341, - "paired_delta_median": 0.0 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -1.23, - "control_median": -1.23, - "paired_delta_median": 0.0 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -1.6706426659576499, - "control_median": -1.6706426659576499, - "paired_delta_median": 0.0 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -63.9, - "control_median": -63.9, - "paired_delta_median": 0.0 - } - }, - "protocol": "warm_book" - }, - { - "arm_id": "cash_unbounded", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0914479254868756, - "arm_median": -64.45, - "control_median": -59.05, - "paired_delta_median": -4.5, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.093220338983051, - "arm_median": -0.645, - "control_median": -0.59, - "paired_delta_median": -0.04500000000000004, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0274392934627259, - "arm_median": -0.4460000503899808, - "control_median": -0.43408895613369985, - "paired_delta_median": -0.01406702608857796, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0632185248954305, - "arm_median": -0.8278816103716427, - "control_median": -0.7786561191200712, - "paired_delta_median": -0.06096944853477254, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.9357998941995903, - "arm_median": 0.5000692719797397, - "control_median": 0.5343762860835325, - "paired_delta_median": -0.030467912458492785, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.924841685225961, - "arm_median": 278.3772871119052, - "control_median": 300.9999349714551, - "paired_delta_median": -22.373400025337617, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.092687074829932, - "arm_median": -64.25, - "control_median": -58.8, - "paired_delta_median": -4.5, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.1408284023668639, - "arm_median": -5.949999999999999, - "control_median": -42.25, - "paired_delta_median": 40.95, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.15168539325842698, - "arm_median": -0.135, - "control_median": -0.89, - "paired_delta_median": 0.7949999999999999, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": -0.027499236609684514, - "arm_median": 0.0074046938174349135, - "control_median": -0.26926906817577523, - "paired_delta_median": 0.28424542768517747, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": -0.32329844314538536, - "arm_median": 0.15192401127782051, - "control_median": -0.4699187840180882, - "paired_delta_median": 0.6816053969971756, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9008438818565402, - "arm_median": 42.7, - "control_median": 47.4, - "paired_delta_median": -4.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.49654365081693, - "arm_median": 1.0108297038227483, - "control_median": 0.6754428467695939, - "paired_delta_median": 0.3409456164721611, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": -0.2635658914728682, - "arm_median": 0.16999999999999998, - "control_median": -0.645, - "paired_delta_median": 0.9, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": -0.26713154010431367, - "arm_median": 0.23789460820225666, - "control_median": -0.8905523028443585, - "paired_delta_median": 1.2542281559200439, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.14030915576694414, - "arm_median": -5.9, - "control_median": -42.05, - "paired_delta_median": 40.75, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.6873661670235546, - "arm_median": -32.1, - "control_median": -46.7, - "paired_delta_median": 10.600000000000001, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 0.7611940298507462, - "arm_median": -0.51, - "control_median": -0.67, - "paired_delta_median": 0.15000000000000002, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 0.6694052306197179, - "arm_median": -0.2593101249357941, - "control_median": -0.38737391504355523, - "paired_delta_median": 0.11938026539610694, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 0.6408760842197311, - "arm_median": -0.360378651745627, - "control_median": -0.5623218912660617, - "paired_delta_median": 0.1657346981790403, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9538904899135446, - "arm_median": 66.2, - "control_median": 69.4, - "paired_delta_median": -3.200000000000003, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 1.251776461594426, - "arm_median": 0.6783791741861419, - "control_median": 0.541933160591684, - "paired_delta_median": 0.11034326803652306, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 0.14285714285714285, - "arm_median": -0.09, - "control_median": -0.63, - "paired_delta_median": 0.49, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 0.13995047055118004, - "arm_median": -0.1376936218752232, - "control_median": -0.9838739472109775, - "paired_delta_median": 0.7380927963462333, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 0.6868250539956804, - "arm_median": -31.8, - "control_median": -46.3, - "paired_delta_median": 10.599999999999994, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9934747145187601, - "arm_median": -91.35, - "control_median": -91.95, - "paired_delta_median": 0.5499999999999972, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.7535094200166524, - "arm_median": -0.6899768680375609, - "control_median": -0.9156844622092614, - "paired_delta_median": 0.21417331988276822, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9839573418420386, - "arm_median": -0.9217930495841962, - "control_median": -0.9368221673701154, - "paired_delta_median": 0.018227493202657208, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9940249864204237, - "arm_median": 91.5, - "control_median": 92.05, - "paired_delta_median": -0.29999999999999716, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.3514773630092949, - "arm_median": 0.3178991188207737, - "control_median": 0.23522341366703847, - "paired_delta_median": 0.08336191714106764, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 0.9553862894450491, - "arm_median": -4.390000000000001, - "control_median": -4.595, - "paired_delta_median": 0.16999999999999993, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.9688703453518838, - "arm_median": -4.801530658668322, - "control_median": -4.955803097600697, - "paired_delta_median": 0.13505296078349716, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.9940152339499455, - "arm_median": -91.35, - "control_median": -91.9, - "paired_delta_median": 0.5, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1186926605504586, - "arm_median": -97.55, - "control_median": -87.2, - "paired_delta_median": -8.049999999999997, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0206185567010309, - "arm_median": -0.99, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.8674413696827076, - "arm_median": -0.6131284304059894, - "control_median": -0.7068240596252163, - "paired_delta_median": 0.1522514261567175, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9305905180375535, - "arm_median": -0.8378404854549444, - "control_median": -0.9003320678807236, - "paired_delta_median": 0.050696083291062566, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0996082820369335, - "arm_median": 98.25, - "control_median": 89.35, - "paired_delta_median": 7.900000000000006, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0255292911504252, - "arm_median": 0.38670878560142286, - "control_median": 0.3770821457158167, - "paired_delta_median": 0.06928534805001657, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.5737051792828687, - "arm_median": -3.95, - "control_median": -2.51, - "paired_delta_median": -1.0500000000000003, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.3323893631735355, - "arm_median": -4.980521751265915, - "control_median": -3.7380377605260366, - "paired_delta_median": -0.9213833077414451, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.1186926605504586, - "arm_median": -97.55, - "control_median": -87.2, - "paired_delta_median": -8.100000000000001, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.43603744149766, - "arm_median": -92.05, - "control_median": -64.1, - "paired_delta_median": -26.950000000000003, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.1395348837209303, - "arm_median": -0.98, - "control_median": -0.86, - "paired_delta_median": -0.125, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.1186700889100571, - "arm_median": -0.5152805538290692, - "control_median": -0.4606188714057041, - "paired_delta_median": -0.055363609119240986, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.195740662125395, - "arm_median": -0.929708666074476, - "control_median": -0.7775169779891447, - "paired_delta_median": -0.15188514211126553, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.236772486772487, - "arm_median": 93.5, - "control_median": 75.6, - "paired_delta_median": 18.050000000000004, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.8428988868144762, - "arm_median": 0.4371961975173476, - "control_median": 0.5186816643804341, - "paired_delta_median": -0.08634167162248724, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 2.3495934959349594, - "arm_median": -2.89, - "control_median": -1.23, - "paired_delta_median": -1.67, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 2.2286345850611156, - "arm_median": -3.7232520246319227, - "control_median": -1.6706426659576499, - "paired_delta_median": -2.0258620003537766, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.4397496087636934, - "arm_median": -92.0, - "control_median": -63.9, - "paired_delta_median": -27.049999999999997, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.2540192926045015, - "arm_median": -97.5, - "control_median": -77.75, - "paired_delta_median": -19.4, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.010204081632653, - "arm_median": -0.99, - "control_median": -0.98, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.8933429526198183, - "arm_median": -0.6369390176866513, - "control_median": -0.7129837604010457, - "paired_delta_median": 0.0926200887703944, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0025569402991545, - "arm_median": -0.9601466838197705, - "control_median": -0.9576979074458063, - "paired_delta_median": 0.0006724929694528758, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.2383354350567466, - "arm_median": 98.2, - "control_median": 79.3, - "paired_delta_median": 18.450000000000003, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0807268585846717, - "arm_median": 0.27154598991993395, - "control_median": 0.25126236825052417, - "paired_delta_median": 0.03146780960240922, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.3048128342245988, - "arm_median": -4.88, - "control_median": -3.74, - "paired_delta_median": -0.9850000000000001, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.3074327623829276, - "arm_median": -5.515468040665489, - "control_median": -4.218548134447078, - "paired_delta_median": -1.2445276184102685, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.2504804612427929, - "arm_median": -97.6, - "control_median": -78.05000000000001, - "paired_delta_median": -19.199999999999996, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.4251170046801873, - "arm_median": -91.35, - "control_median": -64.1, - "paired_delta_median": -4.5 - }, - "calmar": { - "arm_control_ratio": 1.101123595505618, - "arm_median": -0.98, - "bootstrap_90": { - "n": 7, - "p05": -0.04500000000000004, - "p95": 0.15000000000000002, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.89, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.1186700889100571, - "arm_median": -0.5152805538290692, - "bootstrap_90": { - "n": 7, - "p05": -0.01406702608857796, - "p95": 0.21417331988276822, - "point": 0.11938026539610694, - "replicates": 10000 - }, - "control_median": -0.4606188714057041, - "paired_delta_median": 0.11938026539610694 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0760083493619175, - "arm_median": -0.8378404854549444, - "control_median": -0.7786561191200712, - "paired_delta_median": 0.018227493202657208 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1790668348045397, - "arm_median": 93.5, - "control_median": 79.3, - "paired_delta_median": 0.0 - }, - "profit_factor": { - "arm_control_ratio": 0.8428988868144762, - "arm_median": 0.4371961975173476, - "control_median": 0.5186816643804341, - "paired_delta_median": 0.06928534805001657 - }, - "sharpe": { - "arm_control_ratio": 2.3495934959349594, - "arm_median": -2.89, - "control_median": -1.23, - "paired_delta_median": 0.0 - }, - "sortino": { - "arm_control_ratio": 2.2286345850611156, - "arm_median": -3.7232520246319227, - "control_median": -1.6706426659576499, - "paired_delta_median": -0.9213833077414451 - }, - "total_return_pct": { - "arm_control_ratio": 1.4295774647887323, - "arm_median": -91.35, - "control_median": -63.9, - "paired_delta_median": -4.5 - } - }, - "protocol": "warm_book" - }, - { - "arm_id": "cap10_weekly_top10", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9703640982218459, - "arm_median": -57.3, - "control_median": -59.05, - "paired_delta_median": 1.7500000000000036, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.9661016949152542, - "arm_median": -0.57, - "control_median": -0.59, - "paired_delta_median": 0.020000000000000018, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.6447480208330865, - "arm_median": -0.27987799533270347, - "control_median": -0.43408895613369985, - "paired_delta_median": 0.15421096080099636, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.8559518080058006, - "arm_median": -0.666492112975605, - "control_median": -0.7786561191200712, - "paired_delta_median": 0.11216615409054281, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.2120880674439067, - "arm_median": 0.6477111198868412, - "control_median": 0.5343762860835325, - "paired_delta_median": 0.11333483380330878, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.9174111809934049, - "arm_median": 276.1407058211007, - "control_median": 300.9999349714551, - "paired_delta_median": -24.859200786716315, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.9710884353741497, - "arm_median": -57.1, - "control_median": -58.8, - "paired_delta_median": 1.6999999999999993, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.8994082840236687, - "arm_median": -38.0, - "control_median": -42.25, - "paired_delta_median": 4.600000000000001, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.8651685393258427, - "arm_median": -0.77, - "control_median": -0.89, - "paired_delta_median": 0.12, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.4984147640932998, - "arm_median": -0.13420767909245168, - "control_median": -0.26926906817577523, - "paired_delta_median": 0.13506138908332355, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9528082311809598, - "arm_median": -0.4477424853989821, - "control_median": -0.4699187840180882, - "paired_delta_median": 0.025170149189336632, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0379746835443038, - "arm_median": 49.2, - "control_median": 47.4, - "paired_delta_median": 1.6000000000000014, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.1952480624325923, - "arm_median": 0.8073217538853114, - "control_median": 0.6754428467695939, - "paired_delta_median": 0.13187890711571743, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 0.7441860465116279, - "arm_median": -0.48, - "control_median": -0.645, - "paired_delta_median": 0.17500000000000004, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.7498913579086482, - "arm_median": -0.6678174756686297, - "control_median": -0.8905523028443585, - "paired_delta_median": 0.23847373003736694, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.8989298454221165, - "arm_median": -37.8, - "control_median": -42.05, - "paired_delta_median": 4.600000000000001, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.3768736616702355, - "arm_median": -64.3, - "control_median": -46.7, - "paired_delta_median": -17.599999999999994, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 1.3134328358208955, - "arm_median": -0.88, - "control_median": -0.67, - "paired_delta_median": -0.20999999999999996, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 0.8808303091631926, - "arm_median": -0.34121068534957105, - "control_median": -0.38737391504355523, - "paired_delta_median": 0.06367006367941369, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 1.720258504201981, - "arm_median": -0.9673390155493842, - "control_median": -0.5623218912660617, - "paired_delta_median": -0.4048933981626204, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0561959654178672, - "arm_median": 73.3, - "control_median": 69.4, - "paired_delta_median": 3.8999999999999915, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 0.9900394403917082, - "arm_median": 0.5365352030419005, - "control_median": 0.541933160591684, - "paired_delta_median": 0.0002290955352567403, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 1.111111111111111, - "arm_median": -0.7, - "control_median": -0.63, - "paired_delta_median": -0.06999999999999995, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 1.142907741538011, - "arm_median": -1.1244771509649865, - "control_median": -0.9838739472109775, - "paired_delta_median": -0.14034672243633395, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 1.3801295896328294, - "arm_median": -63.9, - "control_median": -46.3, - "paired_delta_median": -17.6, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0179445350734093, - "arm_median": -93.6, - "control_median": -91.95, - "paired_delta_median": -1.6499999999999915, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.795155958886663, - "arm_median": -0.7281119565856236, - "control_median": -0.9156844622092614, - "paired_delta_median": 0.1875725056236378, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0527534212960066, - "arm_median": -0.986242741844829, - "control_median": -0.9368221673701154, - "paired_delta_median": -0.0494215506832707, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0190114068441065, - "arm_median": 93.8, - "control_median": 92.05, - "paired_delta_median": 1.75, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0000761521219332, - "arm_median": 0.23524132642911758, - "control_median": 0.23522341366703847, - "paired_delta_median": 1.7912762079103084e-05, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.070729053318825, - "arm_median": -4.92, - "control_median": -4.595, - "paired_delta_median": -0.3250000000000002, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0335822628158222, - "arm_median": -5.122230179687789, - "control_median": -4.955803097600697, - "paired_delta_median": -0.1664233124570793, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.018498367791077, - "arm_median": -93.6, - "control_median": -91.9, - "paired_delta_median": -1.6999999999999886, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0470183486238531, - "arm_median": -91.3, - "control_median": -87.2, - "paired_delta_median": -4.099999999999994, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.9111641549112989, - "arm_median": -0.6440327469593837, - "control_median": -0.7068240596252163, - "paired_delta_median": 0.06279131266583254, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9824344269359118, - "arm_median": -0.8845172191604231, - "control_median": -0.9003320678807236, - "paired_delta_median": 0.01581136543637468, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.055400111919418, - "arm_median": 94.3, - "control_median": 89.35, - "paired_delta_median": 4.950000000000003, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.8885718902908881, - "arm_median": 0.3350645950136474, - "control_median": 0.3770821457158167, - "paired_delta_median": -0.04201755070216939, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.402390438247012, - "arm_median": -3.52, - "control_median": -2.51, - "paired_delta_median": -1.01, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.2862921542392165, - "arm_median": -4.808208643614572, - "control_median": -3.7380377605260366, - "paired_delta_median": -1.0702868948684707, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0458715596330275, - "arm_median": -91.2, - "control_median": -87.2, - "paired_delta_median": -4.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.2730109204368174, - "arm_median": -81.6, - "control_median": -64.1, - "paired_delta_median": -17.5, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.127906976744186, - "arm_median": -0.97, - "control_median": -0.86, - "paired_delta_median": -0.10999999999999999, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.101660510453749, - "arm_median": -0.5074456209974377, - "control_median": -0.4606188714057041, - "paired_delta_median": -0.04682674959173372, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.2239159846013343, - "arm_median": -0.9516154576598379, - "control_median": -0.7775169779891447, - "paired_delta_median": -0.1740978727428258, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.113756613756614, - "arm_median": 84.2, - "control_median": 75.6, - "paired_delta_median": 8.600000000000009, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.8148857900207255, - "arm_median": 0.4226663178479148, - "control_median": 0.5186816643804341, - "paired_delta_median": -0.09601534653251931, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.821138211382114, - "arm_median": -2.24, - "control_median": -1.23, - "paired_delta_median": -1.0100000000000002, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.6641240644131483, - "arm_median": -2.780156663455462, - "control_median": -1.6706426659576499, - "paired_delta_median": -1.1094989256202024, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.2754303599374022, - "arm_median": -81.5, - "control_median": -63.9, - "paired_delta_median": -17.6, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1292604501607717, - "arm_median": -87.8, - "control_median": -77.75, - "paired_delta_median": -9.700000000000003, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.010204081632653, - "arm_median": -0.99, - "control_median": -0.98, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.9050972994488314, - "arm_median": -0.6453196760898592, - "control_median": -0.7129837604010457, - "paired_delta_median": 0.06766408431118653, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.027091179500633, - "arm_median": -0.9836430733638013, - "control_median": -0.9576979074458063, - "paired_delta_median": -0.02593960740272766, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.116015132408575, - "arm_median": 88.5, - "control_median": 79.3, - "paired_delta_median": 8.900000000000006, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.7715033270233119, - "arm_median": 0.19384975306103597, - "control_median": 0.25126236825052417, - "paired_delta_median": -0.05653327600501798, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.2700534759358288, - "arm_median": -4.75, - "control_median": -3.74, - "paired_delta_median": -0.98, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.211035444091358, - "arm_median": -5.108811313420887, - "control_median": -4.218548134447078, - "paired_delta_median": -0.8685351694524839, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.127482383087764, - "arm_median": -88.0, - "control_median": -78.05000000000001, - "paired_delta_median": -9.599999999999994, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.2730109204368174, - "arm_median": -81.6, - "control_median": -64.1, - "paired_delta_median": -4.099999999999994 - }, - "calmar": { - "arm_control_ratio": 1.0898876404494382, - "arm_median": -0.97, - "bootstrap_90": { - "n": 7, - "p05": -0.10999999999999999, - "p95": 0.020000000000000018, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.89, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.101660510453749, - "arm_median": -0.5074456209974377, - "bootstrap_90": { - "n": 7, - "p05": 0.06279131266583254, - "p95": 0.15421096080099636, - "point": 0.06766408431118653, - "replicates": 10000 - }, - "control_median": -0.4606188714057041, - "paired_delta_median": 0.06766408431118653 - }, - "gain_to_pain": { - "arm_control_ratio": 1.222125447026887, - "arm_median": -0.9516154576598379, - "control_median": -0.7786561191200712, - "paired_delta_median": -0.02593960740272766 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.116015132408575, - "arm_median": 88.5, - "control_median": 79.3, - "paired_delta_median": 3.8999999999999915 - }, - "profit_factor": { - "arm_control_ratio": 0.8148857900207255, - "arm_median": 0.4226663178479148, - "control_median": 0.5186816643804341, - "paired_delta_median": 1.7912762079103084e-05 - }, - "sharpe": { - "arm_control_ratio": 1.821138211382114, - "arm_median": -2.24, - "control_median": -1.23, - "paired_delta_median": -0.3250000000000002 - }, - "sortino": { - "arm_control_ratio": 1.6641240644131483, - "arm_median": -2.780156663455462, - "control_median": -1.6706426659576499, - "paired_delta_median": -0.8685351694524839 - }, - "total_return_pct": { - "arm_control_ratio": 1.2754303599374022, - "arm_median": -81.5, - "control_median": -63.9, - "paired_delta_median": -4.0 - } - }, - "protocol": "warm_book" - }, - { - "arm_id": "cap15_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9881456392887384, - "arm_median": -58.35, - "control_median": -59.05, - "paired_delta_median": 0.34999999999999787, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.9915254237288136, - "arm_median": -0.585, - "control_median": -0.59, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.8863211051254719, - "arm_median": -0.3847422033231834, - "control_median": -0.43408895613369985, - "paired_delta_median": 0.06350969638101617, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.030800156936777, - "arm_median": -0.8026388497887511, - "control_median": -0.7786561191200712, - "paired_delta_median": -0.030571797372041076, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0569733671775683, - "arm_median": 0.5648215024415548, - "control_median": 0.5343762860835325, - "paired_delta_median": 0.034991503459264106, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.9384154351820989, - "arm_median": 282.4629849660215, - "control_median": 300.9999349714551, - "paired_delta_median": -17.757688896075393, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.988095238095238, - "arm_median": -58.099999999999994, - "control_median": -58.8, - "paired_delta_median": 0.3999999999999986, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.6023668639053255, - "arm_median": -25.45, - "control_median": -42.25, - "paired_delta_median": 17.3, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.6573033707865168, - "arm_median": -0.585, - "control_median": -0.89, - "paired_delta_median": 0.29500000000000004, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.3657551979467947, - "arm_median": -0.09848656133157963, - "control_median": -0.26926906817577523, - "paired_delta_median": 0.17103412704353993, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.38140470073354454, - "arm_median": -0.17922923318749007, - "control_median": -0.4699187840180882, - "paired_delta_median": 0.28761563569464843, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9240506329113923, - "arm_median": 43.8, - "control_median": 47.4, - "paired_delta_median": -3.8500000000000014, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.297794542426186, - "arm_median": 0.8765860402583856, - "control_median": 0.6754428467695939, - "paired_delta_median": 0.20199249988248758, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 0.17829457364341086, - "arm_median": -0.115, - "control_median": -0.645, - "paired_delta_median": 0.535, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.1886417375382039, - "arm_median": -0.16799533377720854, - "control_median": -0.8905523028443585, - "paired_delta_median": 0.7310375261152139, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.6016646848989299, - "arm_median": -25.3, - "control_median": -42.05, - "paired_delta_median": 17.25, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.8115631691648821, - "arm_median": -37.9, - "control_median": -46.7, - "paired_delta_median": 8.800000000000004, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 0.8208955223880597, - "arm_median": -0.55, - "control_median": -0.67, - "paired_delta_median": 0.10999999999999999, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 0.780116168921233, - "arm_median": -0.3021966545437975, - "control_median": -0.38737391504355523, - "paired_delta_median": 0.06282424749648813, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 0.7037032267866125, - "arm_median": -0.39570772937667825, - "control_median": -0.5623218912660617, - "paired_delta_median": 0.16060665262489848, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9985590778097981, - "arm_median": 69.3, - "control_median": 69.4, - "paired_delta_median": -0.10000000000000853, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 1.1549498376343859, - "arm_median": 0.6259056158340549, - "control_median": 0.541933160591684, - "paired_delta_median": 0.05789310046798579, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 0.1746031746031746, - "arm_median": -0.11, - "control_median": -0.63, - "paired_delta_median": 0.52, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 0.17678161369853243, - "arm_median": -0.1739308240639013, - "control_median": -0.9838739472109775, - "paired_delta_median": 0.8101996044647513, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 0.8099352051835854, - "arm_median": -37.5, - "control_median": -46.3, - "paired_delta_median": 8.799999999999997, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.011963023382273, - "arm_median": -93.05, - "control_median": -91.95, - "paired_delta_median": -0.9000000000000057, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.8390970197964043, - "arm_median": -0.7683481033136644, - "control_median": -0.9156844622092614, - "paired_delta_median": 0.14476742606654608, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9757008199347669, - "arm_median": -0.9140581568360869, - "control_median": -0.9368221673701154, - "paired_delta_median": 0.02389992176779998, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0124932102118414, - "arm_median": 93.19999999999999, - "control_median": 92.05, - "paired_delta_median": 1.0499999999999972, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.2508384411099926, - "arm_median": 0.2942264880638493, - "control_median": 0.23522341366703847, - "paired_delta_median": 0.056791705659782685, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0163220892274212, - "arm_median": -4.67, - "control_median": -4.595, - "paired_delta_median": -0.08500000000000041, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.015784216495708, - "arm_median": -5.034026566603327, - "control_median": -4.955803097600697, - "paired_delta_median": -0.1093367414832418, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0125136017410228, - "arm_median": -93.05, - "control_median": -91.9, - "paired_delta_median": -0.9500000000000028, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1186926605504586, - "arm_median": -97.55, - "control_median": -87.2, - "paired_delta_median": -9.799999999999997, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0309278350515465, - "arm_median": -1.0, - "control_median": -0.97, - "paired_delta_median": -0.020000000000000018, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.1330727428349812, - "arm_median": -0.8008830759413001, - "control_median": -0.7068240596252163, - "paired_delta_median": -0.10377621445799573, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0558695593580396, - "arm_median": -0.9506332237891322, - "control_median": -0.9003320678807236, - "paired_delta_median": -0.040388700139971534, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.097929490766648, - "arm_median": 98.1, - "control_median": 89.35, - "paired_delta_median": 8.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.7887841374436888, - "arm_median": 0.29743641505386587, - "control_median": 0.3770821457158167, - "paired_delta_median": -0.0808850563972967, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.621513944223108, - "arm_median": -4.07, - "control_median": -2.51, - "paired_delta_median": -1.475, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.3797868048526396, - "arm_median": -5.157695178014737, - "control_median": -3.7380377605260366, - "paired_delta_median": -1.2411094389866546, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.1186926605504586, - "arm_median": -97.55, - "control_median": -87.2, - "paired_delta_median": -9.799999999999997, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.4149765990639627, - "arm_median": -90.7, - "control_median": -64.1, - "paired_delta_median": -23.6, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.1395348837209303, - "arm_median": -0.98, - "control_median": -0.86, - "paired_delta_median": -0.12, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.3738906439774368, - "arm_median": -0.6328399578637429, - "control_median": -0.4606188714057041, - "paired_delta_median": -0.15146021677052499, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1251163613198627, - "arm_median": -0.8747970731395622, - "control_median": -0.7775169779891447, - "paired_delta_median": -0.09682036174613046, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.2275132275132277, - "arm_median": 92.8, - "control_median": 75.6, - "paired_delta_median": 16.1, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.7748379000276862, - "arm_median": 0.40189421161140065, - "control_median": 0.5186816643804341, - "paired_delta_median": -0.10595342501206079, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 2.3658536585365857, - "arm_median": -2.91, - "control_median": -1.23, - "paired_delta_median": -1.54, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 2.179121818577146, - "arm_median": -3.640533884434205, - "control_median": -1.6706426659576499, - "paired_delta_median": -1.7877174030041365, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.4186228482003131, - "arm_median": -90.65, - "control_median": -63.9, - "paired_delta_median": -23.699999999999996, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1794212218649518, - "arm_median": -91.7, - "control_median": -77.75, - "paired_delta_median": -13.100000000000001, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.010204081632653, - "arm_median": -0.99, - "control_median": -0.98, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.9907548720184897, - "arm_median": -0.7063921342873996, - "control_median": -0.7129837604010457, - "paired_delta_median": 0.0050218492465559095, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9933539808929455, - "arm_median": -0.9513330288541353, - "control_median": -0.9576979074458063, - "paired_delta_median": 0.006304247945895292, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1715006305170241, - "arm_median": 92.9, - "control_median": 79.3, - "paired_delta_median": 12.899999999999999, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.9285773649709427, - "arm_median": 0.23331654782643038, - "control_median": 0.25126236825052417, - "paired_delta_median": -0.010615515024212901, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.2192513368983957, - "arm_median": -4.5600000000000005, - "control_median": -3.74, - "paired_delta_median": -0.8949999999999998, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.2151475785111585, - "arm_median": -5.1261585504061316, - "control_median": -4.218548134447078, - "paired_delta_median": -0.99391221495968, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.1774503523382447, - "arm_median": -91.9, - "control_median": -78.05000000000001, - "paired_delta_median": -12.999999999999993, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.1, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.4149765990639627, - "arm_median": -90.7, - "control_median": -64.1, - "paired_delta_median": -0.9000000000000057 - }, - "calmar": { - "arm_control_ratio": 1.101123595505618, - "arm_median": -0.98, - "bootstrap_90": { - "n": 7, - "p05": -0.020000000000000018, - "p95": 0.10999999999999999, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.89, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.3738906439774368, - "arm_median": -0.6328399578637429, - "bootstrap_90": { - "n": 7, - "p05": -0.10377621445799573, - "p95": 0.14476742606654608, - "point": 0.06282424749648813, - "replicates": 10000 - }, - "control_median": -0.4606188714057041, - "paired_delta_median": 0.06282424749648813 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1234703634360907, - "arm_median": -0.8747970731395622, - "control_median": -0.7786561191200712, - "paired_delta_median": 0.006304247945895292 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1715006305170241, - "arm_median": 92.9, - "control_median": 79.3, - "paired_delta_median": 1.0499999999999972 - }, - "profit_factor": { - "arm_control_ratio": 0.7748379000276862, - "arm_median": 0.40189421161140065, - "control_median": 0.5186816643804341, - "paired_delta_median": 0.034991503459264106 - }, - "sharpe": { - "arm_control_ratio": 2.3658536585365857, - "arm_median": -2.91, - "control_median": -1.23, - "paired_delta_median": -0.08500000000000041 - }, - "sortino": { - "arm_control_ratio": 2.179121818577146, - "arm_median": -3.640533884434205, - "control_median": -1.6706426659576499, - "paired_delta_median": -0.99391221495968 - }, - "total_return_pct": { - "arm_control_ratio": 1.4186228482003131, - "arm_median": -90.65, - "control_median": -63.9, - "paired_delta_median": -0.9500000000000028 - } - }, - "protocol": "warm_book" - }, - { - "arm_id": "cap10_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.5, - "control_median": -64.5, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.82, - "control_median": -0.82, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.4705687850851242, - "control_median": -0.4705687850851242, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8157746979812023, - "control_median": -0.8157746979812023, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 69.7, - "control_median": 69.7, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5214748749320034, - "control_median": 0.5214748749320034, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -1.24, - "control_median": -1.24, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -1.802778555811107, - "control_median": -1.802778555811107, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.3, - "control_median": -64.3, - "paired_delta_median": 0.0, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -18.65, - "control_median": -18.65, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.4, - "control_median": -0.4, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.04331568348291384, - "control_median": -0.04331568348291384, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.15075289195559652, - "control_median": -0.15075289195559652, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 45.05, - "control_median": 45.05, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.9434520383871434, - "control_median": 0.9434520383871434, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.045000000000000005, - "control_median": 0.045000000000000005, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": 0.06953506833170298, - "control_median": 0.06953506833170298, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -18.6, - "control_median": -18.6, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -83.25, - "control_median": -83.25, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6812944106107004, - "control_median": -0.6812944106107004, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8841259619388253, - "control_median": -0.8841259619388253, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 84.35, - "control_median": 84.35, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.34920396818858557, - "control_median": 0.34920396818858557, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -3.2, - "control_median": -3.2, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.8756382723334144, - "control_median": -3.8756382723334144, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -83.05, - "control_median": -83.05, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -88.65, - "control_median": -88.65, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.99, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.8214171233158536, - "control_median": -0.8214171233158536, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9329284493545449, - "control_median": -0.9329284493545449, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 90.1, - "control_median": 90.1, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.2915791646445925, - "control_median": 0.2915791646445925, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -3.0250000000000004, - "control_median": -3.0250000000000004, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -4.07325080262145, - "control_median": -4.07325080262145, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -88.65, - "control_median": -88.65, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -83.0, - "control_median": -83.0, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.995, - "control_median": -0.995, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6203545831280868, - "control_median": -0.6203545831280868, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8954643973893359, - "control_median": -0.8954643973893359, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 83.15, - "control_median": 83.15, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.404164265690917, - "control_median": 0.404164265690917, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.705, - "control_median": -2.705, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.6521490363547082, - "control_median": -3.6521490363547082, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -83.0, - "control_median": -83.0, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -75.4, - "control_median": -75.4, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.99, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6232223667001268, - "control_median": -0.6232223667001268, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9411415356854291, - "control_median": -0.9411415356854291, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 77.05, - "control_median": 77.05, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.3239398087178705, - "control_median": 0.3239398087178705, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.555, - "control_median": -2.555, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.2524031257275974, - "control_median": -3.2524031257275974, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -75.65, - "control_median": -75.65, - "paired_delta_median": 0.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -85.7, - "control_median": -85.7, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.93, - "control_median": -0.93, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.7575922416222621, - "control_median": -0.7575922416222621, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9845622354098451, - "control_median": -0.9845622354098451, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 92.0, - "control_median": 92.0, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.2791735263632168, - "control_median": 0.2791735263632168, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.42, - "control_median": 0.42, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": 1.7825809616172346, - "control_median": 1.7825809616172346, - "paired_delta_median": 0.0, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -85.7, - "control_median": -85.7, - "paired_delta_median": 0.0, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -83.0, - "control_median": -83.0, - "paired_delta_median": 0.0 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.97, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.6232223667001268, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.6232223667001268, - "paired_delta_median": 0.0 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.8954643973893359, - "control_median": -0.8954643973893359, - "paired_delta_median": 0.0 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 83.15, - "control_median": 83.15, - "paired_delta_median": 0.0 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.34920396818858557, - "control_median": 0.34920396818858557, - "paired_delta_median": 0.0 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.555, - "control_median": -2.555, - "paired_delta_median": 0.0 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.2524031257275974, - "control_median": -3.2524031257275974, - "paired_delta_median": 0.0 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -83.0, - "control_median": -83.0, - "paired_delta_median": 0.0 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cash_unbounded", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.5488372093023256, - "arm_median": -35.4, - "control_median": -64.5, - "paired_delta_median": 19.500000000000007, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 0.7682926829268293, - "arm_median": -0.63, - "control_median": -0.82, - "paired_delta_median": 0.29000000000000004, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 0.22247736236933524, - "arm_median": -0.10469090211908101, - "control_median": -0.4705687850851242, - "paired_delta_median": 0.18287465388080948, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 0.4041896528898765, - "arm_median": -0.329727692013366, - "control_median": -0.8157746979812023, - "paired_delta_median": 0.3042589985930151, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.8895265423242468, - "arm_median": 62.0, - "control_median": 69.7, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.6592086687263357, - "arm_median": 0.8652356330101617, - "control_median": 0.5214748749320034, - "paired_delta_median": 0.1380809403942712, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 0.18548387096774194, - "arm_median": -0.23, - "control_median": -1.24, - "paired_delta_median": 0.6, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 0.18935704163778036, - "arm_median": -0.34136881405642133, - "control_median": -1.802778555811107, - "paired_delta_median": 0.8600886050774514, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 0.5489891135303265, - "arm_median": -35.3, - "control_median": -64.3, - "paired_delta_median": 19.599999999999994, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": -1.0831099195710456, - "arm_median": 20.2, - "control_median": -18.65, - "paired_delta_median": 16.5, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": -1.05, - "arm_median": 0.42000000000000004, - "control_median": -0.4, - "paired_delta_median": 0.31499999999999995, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -3.7844017487112946, - "arm_median": 0.16392394831936408, - "control_median": -0.04331568348291384, - "paired_delta_median": 0.1189098395780515, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -4.016301404389012, - "arm_median": 0.6054690516769674, - "control_median": -0.15075289195559652, - "paired_delta_median": 0.3256169976816138, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0632630410654829, - "arm_median": 47.9, - "control_median": 45.05, - "paired_delta_median": 1.6499999999999986, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.3035413399008076, - "arm_median": 1.229828734251325, - "control_median": 0.9434520383871434, - "paired_delta_median": 0.1525548760520864, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 13.999999999999998, - "arm_median": 0.63, - "control_median": 0.045000000000000005, - "paired_delta_median": 0.30499999999999994, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 14.225551051908978, - "arm_median": 0.98917466445062, - "control_median": 0.06953506833170298, - "paired_delta_median": 0.45276478586556906, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": -1.0833333333333333, - "arm_median": 20.15, - "control_median": -18.6, - "paired_delta_median": 16.35, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9573573573573573, - "arm_median": -79.69999999999999, - "control_median": -83.25, - "paired_delta_median": 0.14999999999999147, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.9896907216494846, - "arm_median": -0.96, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.7627487718420463, - "arm_median": -0.5196564749561625, - "control_median": -0.6812944106107004, - "paired_delta_median": 0.12864979815906485, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.00812636046293, - "arm_median": -0.8913106882001749, - "control_median": -0.8841259619388253, - "paired_delta_median": -0.0022469799751208552, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9739181979845881, - "arm_median": 82.15, - "control_median": 84.35, - "paired_delta_median": -0.2499999999999929, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.2640748297193796, - "arm_median": 0.4414199466253179, - "control_median": 0.34920396818858557, - "paired_delta_median": 0.06270741209042713, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 0.7484375, - "arm_median": -2.395, - "control_median": -3.2, - "paired_delta_median": 0.09499999999999997, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 0.7767129120006311, - "arm_median": -3.0102582883651814, - "control_median": -3.8756382723334144, - "paired_delta_median": 0.204931384895648, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 0.9560505719446117, - "arm_median": -79.4, - "control_median": -83.05, - "paired_delta_median": 0.15000000000000568, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0406091370558375, - "arm_median": -92.25, - "control_median": -88.65, - "paired_delta_median": -3.5999999999999943, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0101010101010102, - "arm_median": -1.0, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.757432420594216, - "arm_median": -0.6221679600306647, - "control_median": -0.8214171233158536, - "paired_delta_median": 0.20353368353811746, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9503330843315065, - "arm_median": -0.8865927707357143, - "control_median": -0.9329284493545449, - "paired_delta_median": 0.055182668343950636, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0388457269700333, - "arm_median": 93.6, - "control_median": 90.1, - "paired_delta_median": 3.8000000000000043, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.3465941621018123, - "arm_median": 0.3926388009009314, - "control_median": 0.2915791646445925, - "paired_delta_median": 0.09878712482588214, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.196694214876033, - "arm_median": -3.62, - "control_median": -3.0250000000000004, - "paired_delta_median": -0.45999999999999996, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.103707909557085, - "arm_median": -4.495679128463039, - "control_median": -4.07325080262145, - "paired_delta_median": -0.27794324129570636, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0406091370558375, - "arm_median": -92.25, - "control_median": -88.65, - "paired_delta_median": -3.700000000000003, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9831325301204819, - "arm_median": -81.6, - "control_median": -83.0, - "paired_delta_median": 1.5500000000000043, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.8994974874371859, - "arm_median": -0.895, - "control_median": -0.995, - "paired_delta_median": 0.08999999999999997, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -0.6489549713278112, - "arm_median": 0.4025821907069638, - "control_median": -0.6203545831280868, - "paired_delta_median": 1.0330974264145087, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -0.23301027766584473, - "arm_median": 0.2086524078755675, - "control_median": -0.8954643973893359, - "paired_delta_median": 1.0941642084656384, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1256764882742032, - "arm_median": 93.6, - "control_median": 83.15, - "paired_delta_median": 7.799999999999997, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 3.472753945474726, - "arm_median": 1.4035630482980275, - "control_median": 0.404164265690917, - "paired_delta_median": 0.9914113476119139, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": -0.20517560073937155, - "arm_median": 0.555, - "control_median": -2.705, - "paired_delta_median": 3.2350000000000003, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": -1.8568014377306516, - "arm_median": 6.781315581510036, - "control_median": -3.6521490363547082, - "paired_delta_median": 10.211787052212344, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 0.9831325301204819, - "arm_median": -81.6, - "control_median": -83.0, - "paired_delta_median": 1.6000000000000014, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.232758620689655, - "arm_median": -92.94999999999999, - "control_median": -75.4, - "paired_delta_median": -16.699999999999996, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.99, - "control_median": -0.99, - "paired_delta_median": -0.0050000000000000044, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.8515475127799098, - "arm_median": -0.5307034562723019, - "control_median": -0.6232223667001268, - "paired_delta_median": 0.13885969438739776, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9856159599575957, - "arm_median": -0.92760411815056, - "control_median": -0.9411415356854291, - "paired_delta_median": 0.0070445598395653675, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.2219338092147958, - "arm_median": 94.15, - "control_median": 77.05, - "paired_delta_median": 15.449999999999996, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.253195790839034, - "arm_median": 0.40596000477043714, - "control_median": 0.3239398087178705, - "paired_delta_median": 0.12466085962260617, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.289628180039139, - "arm_median": -3.295, - "control_median": -2.555, - "paired_delta_median": -0.8549999999999999, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.273717785004069, - "arm_median": -4.142643705242066, - "control_median": -3.2524031257275974, - "paired_delta_median": -1.072739568665989, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.2293456708526107, - "arm_median": -93.0, - "control_median": -75.65, - "paired_delta_median": -16.699999999999996, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.133022170361727, - "arm_median": -97.1, - "control_median": -85.7, - "paired_delta_median": -10.099999999999994, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.075268817204301, - "arm_median": -1.0, - "control_median": -0.93, - "paired_delta_median": -0.06999999999999995, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 0.8016977889355273, - "arm_median": -0.6073600250232774, - "control_median": -0.7575922416222621, - "paired_delta_median": 0.12778932888520678, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9901204846275041, - "arm_median": -0.9748352376699346, - "control_median": -0.9845622354098451, - "paired_delta_median": 0.016018456333931952, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.056521739130435, - "arm_median": 97.2, - "control_median": 92.0, - "paired_delta_median": 4.299999999999997, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 1.0730748265734764, - "arm_median": 0.2995740833861147, - "control_median": 0.2791735263632168, - "paired_delta_median": 0.0431568815151917, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": 0.04761904761904762, - "arm_median": 0.02, - "control_median": 0.42, - "paired_delta_median": -0.42, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": 0.044331136678910234, - "arm_median": 0.07902384025067687, - "control_median": 1.7825809616172346, - "paired_delta_median": -1.4298492953892485, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.133022170361727, - "arm_median": -97.1, - "control_median": -85.7, - "paired_delta_median": -10.099999999999994, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 0.9831325301204819, - "arm_median": -81.6, - "control_median": -83.0, - "paired_delta_median": 0.14999999999999147 - }, - "calmar": { - "arm_control_ratio": 0.9896907216494846, - "arm_median": -0.96, - "bootstrap_90": { - "n": 7, - "p05": -0.0050000000000000044, - "p95": 0.29000000000000004, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 0.833821927328554, - "arm_median": -0.5196564749561625, - "bootstrap_90": { - "n": 7, - "p05": 0.12778932888520678, - "p95": 0.20353368353811746, - "point": 0.13885969438739776, - "replicates": 10000 - }, - "control_median": -0.6232223667001268, - "paired_delta_median": 0.13885969438739776 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9900927086777697, - "arm_median": -0.8865927707357143, - "control_median": -0.8954643973893359, - "paired_delta_median": 0.055182668343950636 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1256764882742032, - "arm_median": 93.6, - "control_median": 83.15, - "paired_delta_median": 3.8000000000000043 - }, - "profit_factor": { - "arm_control_ratio": 1.2640748297193796, - "arm_median": 0.4414199466253179, - "control_median": 0.34920396818858557, - "paired_delta_median": 0.12466085962260617 - }, - "sharpe": { - "arm_control_ratio": 0.09001956947162426, - "arm_median": -0.23, - "control_median": -2.555, - "paired_delta_median": 0.09499999999999997 - }, - "sortino": { - "arm_control_ratio": 0.10495894907863043, - "arm_median": -0.34136881405642133, - "control_median": -3.2524031257275974, - "paired_delta_median": 0.204931384895648 - }, - "total_return_pct": { - "arm_control_ratio": 0.9831325301204819, - "arm_median": -81.6, - "control_median": -83.0, - "paired_delta_median": 0.15000000000000568 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cap10_weekly_top10", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9023255813953489, - "arm_median": -58.2, - "control_median": -64.5, - "paired_delta_median": 0.4000000000000057, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 0.9146341463414634, - "arm_median": -0.75, - "control_median": -0.82, - "paired_delta_median": 0.010000000000000009, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 0.5916951197297777, - "arm_median": -0.2784332536320386, - "control_median": -0.4705687850851242, - "paired_delta_median": 0.117391715539643, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 0.7307666182983983, - "arm_median": -0.5961409173371204, - "control_median": -0.8157746979812023, - "paired_delta_median": 0.059694587511711306, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9913916786226684, - "arm_median": 69.1, - "control_median": 69.7, - "paired_delta_median": 0.0, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.2457220235216486, - "arm_median": 0.6496127364159939, - "control_median": 0.5214748749320034, - "paired_delta_median": 0.04773884391659766, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 0.5403225806451614, - "arm_median": -0.67, - "control_median": -1.24, - "paired_delta_median": 0.05999999999999994, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 0.5701099603620999, - "arm_median": -1.027782010995114, - "control_median": -1.802778555811107, - "paired_delta_median": 0.09943259445383534, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 0.9020217729393468, - "arm_median": -58.0, - "control_median": -64.3, - "paired_delta_median": 0.29999999999999716, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.4932975871313674, - "arm_median": -27.85, - "control_median": -18.65, - "paired_delta_median": -14.7, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.525, - "arm_median": -0.61, - "control_median": -0.4, - "paired_delta_median": -0.2, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 2.106715200015668, - "arm_median": -0.0912538087925222, - "control_median": -0.04331568348291384, - "paired_delta_median": -0.051510205210763105, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 2.534612228252138, - "arm_median": -0.3821001233950283, - "control_median": -0.15075289195559652, - "paired_delta_median": -0.3439929170401924, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1087680355160934, - "arm_median": 49.95, - "control_median": 45.05, - "paired_delta_median": 5.699999999999999, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.9157997773888208, - "arm_median": 0.8640131667319751, - "control_median": 0.9434520383871434, - "paired_delta_median": -0.09460049042656327, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": -1.111111111111111, - "arm_median": -0.05, - "control_median": 0.045000000000000005, - "paired_delta_median": -0.125, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": -1.0634712489730456, - "arm_median": -0.07394854596614223, - "control_median": 0.06953506833170298, - "paired_delta_median": -0.18011833567471836, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.4919354838709675, - "arm_median": -27.75, - "control_median": -18.6, - "paired_delta_median": -14.600000000000001, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0282282282282282, - "arm_median": -85.6, - "control_median": -83.25, - "paired_delta_median": -3.8500000000000014, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0051546391752577, - "arm_median": -0.975, - "control_median": -0.97, - "paired_delta_median": -0.0050000000000000044, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.8286962325240232, - "arm_median": -0.5645861113127624, - "control_median": -0.6812944106107004, - "paired_delta_median": 0.10252843806440595, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1148594503066065, - "arm_median": -0.9856761839289185, - "control_median": -0.8841259619388253, - "paired_delta_median": -0.10347043466424188, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.027267338470658, - "arm_median": 86.65, - "control_median": 84.35, - "paired_delta_median": 2.1999999999999957, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.0124040925401712, - "arm_median": 0.3535355265253918, - "control_median": 0.34920396818858557, - "paired_delta_median": 0.0012885432931250274, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.1015625, - "arm_median": -3.5250000000000004, - "control_median": -3.2, - "paired_delta_median": -0.18000000000000016, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.075908858400861, - "arm_median": -4.169833549160929, - "control_median": -3.8756382723334144, - "paired_delta_median": -0.2244355216339402, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.028898254063817, - "arm_median": -85.45, - "control_median": -83.05, - "paired_delta_median": -3.8500000000000014, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0377890580936266, - "arm_median": -92.0, - "control_median": -88.65, - "paired_delta_median": -3.549999999999997, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0101010101010102, - "arm_median": -1.0, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.7984925725718379, - "arm_median": -0.6558954719510346, - "control_median": -0.8214171233158536, - "paired_delta_median": 0.15821490137290833, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9476441970409292, - "arm_median": -0.8840842312852268, - "control_median": -0.9329284493545449, - "paired_delta_median": 0.043367114432232345, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0305216426193118, - "arm_median": 92.85, - "control_median": 90.1, - "paired_delta_median": 2.8999999999999986, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.1390621174677706, - "arm_median": 0.33212678068955326, - "control_median": 0.2915791646445925, - "paired_delta_median": 0.017640663445314814, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.1421487603305784, - "arm_median": -3.455, - "control_median": -3.0250000000000004, - "paired_delta_median": -0.44500000000000006, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.1020110034543549, - "arm_median": -4.488767204318121, - "control_median": -4.07325080262145, - "paired_delta_median": -0.3603716222748532, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0377890580936266, - "arm_median": -92.0, - "control_median": -88.65, - "paired_delta_median": -3.6500000000000057, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0740963855421688, - "arm_median": -89.15, - "control_median": -83.0, - "paired_delta_median": -5.900000000000006, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.9949748743718593, - "arm_median": -0.99, - "control_median": -0.995, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.9780378972431011, - "arm_median": -0.6067302920277146, - "control_median": -0.6203545831280868, - "paired_delta_median": 0.040020013004524846, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0719097253247931, - "arm_median": -0.9598569962437344, - "control_median": -0.8954643973893359, - "paired_delta_median": -0.05495324932467793, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0775706554419722, - "arm_median": 89.6, - "control_median": 83.15, - "paired_delta_median": 7.049999999999997, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.8533491790234016, - "arm_median": 0.34489324431794, - "control_median": 0.404164265690917, - "paired_delta_median": -0.05279134114838617, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.323475046210721, - "arm_median": -3.58, - "control_median": -2.705, - "paired_delta_median": -0.9649999999999999, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.2008792384797942, - "arm_median": -4.385789953592356, - "control_median": -3.6521490363547082, - "paired_delta_median": -0.960011328589979, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0740963855421688, - "arm_median": -89.15, - "control_median": -83.0, - "paired_delta_median": -5.900000000000006, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1525198938992043, - "arm_median": -86.9, - "control_median": -75.4, - "paired_delta_median": -8.0, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.99, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.9930072679141431, - "arm_median": -0.6188643396598791, - "control_median": -0.6232223667001268, - "paired_delta_median": 0.05478432017795584, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0612876965187408, - "arm_median": -0.9988219325056994, - "control_median": -0.9411415356854291, - "paired_delta_median": -0.051092144633766046, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1323815704088256, - "arm_median": 87.25, - "control_median": 77.05, - "paired_delta_median": 8.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.8418355225832177, - "arm_median": 0.2727040381575161, - "control_median": 0.3239398087178705, - "paired_delta_median": -0.045584597397165555, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.2407045009784734, - "arm_median": -3.17, - "control_median": -2.555, - "paired_delta_median": -0.9550000000000001, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.1677640569489367, - "arm_median": -3.7980394689330614, - "control_median": -3.2524031257275974, - "paired_delta_median": -0.7528596194827848, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.1493721083939192, - "arm_median": -86.95, - "control_median": -75.65, - "paired_delta_median": -8.0, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0630105017502915, - "arm_median": -91.1, - "control_median": -85.7, - "paired_delta_median": -5.599999999999994, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.043010752688172, - "arm_median": -0.97, - "control_median": -0.93, - "paired_delta_median": -0.040000000000000036, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 0.8868532721691881, - "arm_median": -0.6718731584526934, - "control_median": -0.7575922416222621, - "paired_delta_median": 0.09233818092030222, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 1.015097609825214, - "arm_median": -0.9994267718887035, - "control_median": -0.9845622354098451, - "paired_delta_median": -0.009140749329762277, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.008695652173913, - "arm_median": 92.8, - "control_median": 92.0, - "paired_delta_median": 1.5, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 0.8688490545755521, - "arm_median": 0.24255965444320388, - "control_median": 0.2791735263632168, - "paired_delta_median": -0.03604272376889714, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.42, - "control_median": 0.42, - "paired_delta_median": 0.019999999999999962, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": 1.2211689525171066, - "arm_median": 2.1768325256750547, - "control_median": 1.7825809616172346, - "paired_delta_median": 0.47831348406328966, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.0630105017502915, - "arm_median": -91.1, - "control_median": -85.7, - "paired_delta_median": -5.700000000000003, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.046987951807229, - "arm_median": -86.9, - "control_median": -83.0, - "paired_delta_median": -5.599999999999994 - }, - "calmar": { - "arm_control_ratio": 1.0051546391752577, - "arm_median": -0.975, - "bootstrap_90": { - "n": 7, - "p05": -0.040000000000000036, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 0.9735374152892885, - "arm_median": -0.6067302920277146, - "bootstrap_90": { - "n": 7, - "p05": 0.040020013004524846, - "p95": 0.117391715539643, - "point": 0.09233818092030222, - "replicates": 10000 - }, - "control_median": -0.6232223667001268, - "paired_delta_median": 0.09233818092030222 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0719097253247931, - "arm_median": -0.9598569962437344, - "control_median": -0.8954643973893359, - "paired_delta_median": -0.051092144633766046 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0493084786530367, - "arm_median": 87.25, - "control_median": 83.15, - "paired_delta_median": 2.8999999999999986 - }, - "profit_factor": { - "arm_control_ratio": 0.9876555702015459, - "arm_median": 0.34489324431794, - "control_median": 0.34920396818858557, - "paired_delta_median": -0.03604272376889714 - }, - "sharpe": { - "arm_control_ratio": 1.2407045009784734, - "arm_median": -3.17, - "control_median": -2.555, - "paired_delta_median": -0.18000000000000016 - }, - "sortino": { - "arm_control_ratio": 1.1677640569489367, - "arm_median": -3.7980394689330614, - "control_median": -3.2524031257275974, - "paired_delta_median": -0.2244355216339402 - }, - "total_return_pct": { - "arm_control_ratio": 1.047590361445783, - "arm_median": -86.95, - "control_median": -83.0, - "paired_delta_median": -5.700000000000003 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cap15_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.8062015503875969, - "arm_median": -52.0, - "control_median": -64.5, - "paired_delta_median": 6.899999999999999, - "paired_paths": 11 - }, - "calmar": { - "arm_control_ratio": 0.8902439024390244, - "arm_median": -0.73, - "control_median": -0.82, - "paired_delta_median": 0.08999999999999997, - "paired_paths": 11 - }, - "ev_net_r": { - "arm_control_ratio": 0.5270430426597951, - "arm_median": -0.24801000427198702, - "control_median": -0.4705687850851242, - "paired_delta_median": 0.18230902344082184, - "paired_paths": 11 - }, - "gain_to_pain": { - "arm_control_ratio": 0.6439262309445898, - "arm_median": -0.5252987265709966, - "control_median": -0.8157746979812023, - "paired_delta_median": 0.08539398555049427, - "paired_paths": 11 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.975609756097561, - "arm_median": 68.0, - "control_median": 69.7, - "paired_delta_median": -1.6000000000000085, - "paired_paths": 11 - }, - "profit_factor": { - "arm_control_ratio": 1.3815204732941901, - "arm_median": 0.72042821602709, - "control_median": 0.5214748749320034, - "paired_delta_median": 0.1451995258558545, - "paired_paths": 11 - }, - "sharpe": { - "arm_control_ratio": 0.5241935483870968, - "arm_median": -0.65, - "control_median": -1.24, - "paired_delta_median": 0.3799999999999999, - "paired_paths": 11 - }, - "sortino": { - "arm_control_ratio": 0.5154995910676913, - "arm_median": -0.9293316083062286, - "control_median": -1.802778555811107, - "paired_delta_median": 0.5002387918196585, - "paired_paths": 11 - }, - "total_return_pct": { - "arm_control_ratio": 0.807153965785381, - "arm_median": -51.9, - "control_median": -64.3, - "paired_delta_median": 6.899999999999999, - "paired_paths": 11 - } - }, - "paths": 11 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": -0.9195710455764075, - "arm_median": 17.15, - "control_median": -18.65, - "paired_delta_median": 14.5, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": -1.0374999999999999, - "arm_median": 0.415, - "control_median": -0.4, - "paired_delta_median": 0.265, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -2.544314569656867, - "arm_median": 0.11020872458022299, - "control_median": -0.04331568348291384, - "paired_delta_median": 0.10249863317837843, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -3.246740864736135, - "arm_median": 0.48945557478938656, - "control_median": -0.15075289195559652, - "paired_delta_median": 0.2536416431294479, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9778024417314095, - "arm_median": 44.05, - "control_median": 45.05, - "paired_delta_median": 2.1999999999999993, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.212303337378702, - "arm_median": 1.1437500547934731, - "control_median": 0.9434520383871434, - "paired_delta_median": 0.13994330049098214, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 12.888888888888886, - "arm_median": 0.58, - "control_median": 0.045000000000000005, - "paired_delta_median": 0.265, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 11.778276920411757, - "arm_median": 0.8190032904905516, - "control_median": 0.06953506833170298, - "paired_delta_median": 0.4464359656425077, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": -0.9166666666666666, - "arm_median": 17.05, - "control_median": -18.6, - "paired_delta_median": 14.399999999999999, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9621621621621621, - "arm_median": -80.1, - "control_median": -83.25, - "paired_delta_median": -0.14999999999999858, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.9948453608247423, - "arm_median": -0.965, - "control_median": -0.97, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.8372046865011575, - "arm_median": -0.5703828734503223, - "control_median": -0.6812944106107004, - "paired_delta_median": 0.09793206038512847, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.991967560821767, - "arm_median": -0.8770242739236549, - "control_median": -0.8841259619388253, - "paired_delta_median": 0.015799824766413728, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.997036158861885, - "arm_median": 84.1, - "control_median": 84.35, - "paired_delta_median": 0.30000000000000426, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 1.1548329023431145, - "arm_median": 0.40327223209295693, - "control_median": 0.34920396818858557, - "paired_delta_median": 0.03569483237176496, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 0.8812499999999999, - "arm_median": -2.82, - "control_median": -3.2, - "paired_delta_median": 0.15500000000000025, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 0.9116016737363217, - "arm_median": -3.5330383358556867, - "control_median": -3.8756382723334144, - "paired_delta_median": 0.1558549881874347, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 0.9608669476219145, - "arm_median": -79.8, - "control_median": -83.05, - "paired_delta_median": -0.15000000000000568, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.077834179357022, - "arm_median": -95.55000000000001, - "control_median": -88.65, - "paired_delta_median": -5.5, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.005050505050505, - "arm_median": -0.995, - "control_median": -0.99, - "paired_delta_median": 0.0, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 0.9730825278072787, - "arm_median": -0.799306650740374, - "control_median": -0.8214171233158536, - "paired_delta_median": 0.024649131558327098, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9934990307715394, - "arm_median": -0.9268635102129356, - "control_median": -0.9329284493545449, - "paired_delta_median": -0.0012546206869929466, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0665926748057715, - "arm_median": 96.1, - "control_median": 90.1, - "paired_delta_median": 5.0, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.9954388503797861, - "arm_median": 0.29024922844851153, - "control_median": 0.2915791646445925, - "paired_delta_median": 0.00486482554928494, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.3107438016528923, - "arm_median": -3.965, - "control_median": -3.0250000000000004, - "paired_delta_median": -0.7450000000000001, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.2054068511088911, - "arm_median": -4.909924423764686, - "control_median": -4.07325080262145, - "paired_delta_median": -0.7963212853254804, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.0772701635645798, - "arm_median": -95.5, - "control_median": -88.65, - "paired_delta_median": -5.5, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.902409638554217, - "arm_median": -74.9, - "control_median": -83.0, - "paired_delta_median": 10.299999999999997, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 0.8241206030150753, - "arm_median": -0.82, - "control_median": -0.995, - "paired_delta_median": 0.16000000000000003, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": -1.086729454444065, - "arm_median": 0.6741575976846612, - "control_median": -0.6203545831280868, - "paired_delta_median": 1.3232889762604576, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": -0.5542922047297465, - "arm_median": 0.4963489350859288, - "control_median": -0.8954643973893359, - "paired_delta_median": 1.3784845536161532, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0962116656644618, - "arm_median": 91.15, - "control_median": 83.15, - "paired_delta_median": 5.350000000000001, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 4.002342881980415, - "arm_median": 1.6176039719388833, - "control_median": 0.404164265690917, - "paired_delta_median": 1.2051139056445033, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": -0.20887245841035118, - "arm_median": 0.565, - "control_median": -2.705, - "paired_delta_median": 3.265, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": -1.9609947387024576, - "arm_median": 7.161845045248834, - "control_median": -3.6521490363547082, - "paired_delta_median": 10.579273986623042, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 0.9030120481927709, - "arm_median": -74.94999999999999, - "control_median": -83.0, - "paired_delta_median": 10.299999999999997, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.206896551724138, - "arm_median": -91.0, - "control_median": -75.4, - "paired_delta_median": -15.5, - "paired_paths": 12 - }, - "calmar": { - "arm_control_ratio": 1.005050505050505, - "arm_median": -0.995, - "control_median": -0.99, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 12 - }, - "ev_net_r": { - "arm_control_ratio": 1.0995637599386914, - "arm_median": -0.6852727288066813, - "control_median": -0.6232223667001268, - "paired_delta_median": -0.02378276170393645, - "paired_paths": 12 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9696983749587325, - "arm_median": -0.9126234177603265, - "control_median": -0.9411415356854291, - "paired_delta_median": -0.005377756464990779, - "paired_paths": 12 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1953277092796886, - "arm_median": 92.1, - "control_median": 77.05, - "paired_delta_median": 12.75, - "paired_paths": 12 - }, - "profit_factor": { - "arm_control_ratio": 0.9868869270252191, - "arm_median": 0.3196919623667165, - "control_median": 0.3239398087178705, - "paired_delta_median": -0.021160350363589778, - "paired_paths": 12 - }, - "sharpe": { - "arm_control_ratio": 1.3033268101761253, - "arm_median": -3.33, - "control_median": -2.555, - "paired_delta_median": -1.105, - "paired_paths": 12 - }, - "sortino": { - "arm_control_ratio": 1.2646451499741729, - "arm_median": -4.113135838712246, - "control_median": -3.2524031257275974, - "paired_delta_median": -1.2171801971356366, - "paired_paths": 12 - }, - "total_return_pct": { - "arm_control_ratio": 1.2042300066093852, - "arm_median": -91.1, - "control_median": -75.65, - "paired_delta_median": -15.450000000000003, - "paired_paths": 12 - } - }, - "paths": 12 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0886814469078179, - "arm_median": -93.3, - "control_median": -85.7, - "paired_delta_median": -7.199999999999989, - "paired_paths": 7 - }, - "calmar": { - "arm_control_ratio": 1.064516129032258, - "arm_median": -0.99, - "control_median": -0.93, - "paired_delta_median": -0.05999999999999994, - "paired_paths": 7 - }, - "ev_net_r": { - "arm_control_ratio": 0.9791050884517908, - "arm_median": -0.7417624187439554, - "control_median": -0.7575922416222621, - "paired_delta_median": 0.022088120634487174, - "paired_paths": 7 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0156798260535846, - "arm_median": -1.0, - "control_median": -0.9845622354098451, - "paired_delta_median": -0.006213257104656811, - "paired_paths": 7 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0260869565217392, - "arm_median": 94.4, - "control_median": 92.0, - "paired_delta_median": 1.4000000000000057, - "paired_paths": 7 - }, - "profit_factor": { - "arm_control_ratio": 0.858224400541462, - "arm_median": 0.23959353231011776, - "control_median": 0.2791735263632168, - "paired_delta_median": -0.024250501306111893, - "paired_paths": 7 - }, - "sharpe": { - "arm_control_ratio": 0.4761904761904762, - "arm_median": 0.2, - "control_median": 0.42, - "paired_delta_median": -0.25, - "paired_paths": 7 - }, - "sortino": { - "arm_control_ratio": 0.45739046431217584, - "arm_median": 0.8153355337081518, - "control_median": 1.7825809616172346, - "paired_delta_median": -1.0504512992751398, - "paired_paths": 7 - }, - "total_return_pct": { - "arm_control_ratio": 1.087514585764294, - "arm_median": -93.2, - "control_median": -85.7, - "paired_delta_median": -7.199999999999989, - "paired_paths": 7 - } - }, - "paths": 7 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 0.9650602409638553, - "arm_median": -80.1, - "control_median": -83.0, - "paired_delta_median": -0.14999999999999858 - }, - "calmar": { - "arm_control_ratio": 0.9948453608247423, - "arm_median": -0.965, - "bootstrap_90": { - "n": 7, - "p05": -0.010000000000000009, - "p95": 0.16000000000000003, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.97, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 0.9152156660718357, - "arm_median": -0.5703828734503223, - "bootstrap_90": { - "n": 7, - "p05": 0.022088120634487174, - "p95": 0.18230902344082184, - "point": 0.09793206038512847, - "replicates": 10000 - }, - "control_median": -0.6232223667001268, - "paired_delta_median": 0.09793206038512847 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9794071952838751, - "arm_median": -0.8770242739236549, - "control_median": -0.8954643973893359, - "paired_delta_median": 0.015799824766413728 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0962116656644618, - "arm_median": 91.15, - "control_median": 83.15, - "paired_delta_median": 2.1999999999999993 - }, - "profit_factor": { - "arm_control_ratio": 1.1548329023431145, - "arm_median": 0.40327223209295693, - "control_median": 0.34920396818858557, - "paired_delta_median": 0.03569483237176496 - }, - "sharpe": { - "arm_control_ratio": 0.25440313111545987, - "arm_median": -0.65, - "control_median": -2.555, - "paired_delta_median": 0.15500000000000025 - }, - "sortino": { - "arm_control_ratio": 0.28573690664447604, - "arm_median": -0.9293316083062286, - "control_median": -3.2524031257275974, - "paired_delta_median": 0.1558549881874347 - }, - "total_return_pct": { - "arm_control_ratio": 0.96144578313253, - "arm_median": -79.8, - "control_median": -83.0, - "paired_delta_median": -0.15000000000000568 - } - }, - "protocol": "empty_book" - }, - { - "arm_id": "cap10_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -60.3, - "control_median": -60.3, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.6, - "control_median": -0.6, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.45112684604504766, - "control_median": -0.45112684604504766, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.7898017130698114, - "control_median": -0.7898017130698114, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5226058755097595, - "control_median": 0.5226058755097595, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": 301.11926037160697, - "control_median": 301.11926037160697, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -60.05, - "control_median": -60.05, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -43.6, - "control_median": -43.6, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.9, - "control_median": -0.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.2814612406739272, - "control_median": -0.2814612406739272, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.48481451939878006, - "control_median": -0.48481451939878006, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 48.3, - "control_median": 48.3, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.6642204404239482, - "control_median": 0.6642204404239482, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -0.685, - "control_median": -0.685, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -0.9430140464708445, - "control_median": -0.9430140464708445, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -43.4, - "control_median": -43.4, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -48.4, - "control_median": -48.4, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.69, - "control_median": -0.69, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.40313137519034115, - "control_median": -0.40313137519034115, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.5806005401629935, - "control_median": -0.5806005401629935, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 70.1, - "control_median": 70.1, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5299293301684069, - "control_median": 0.5299293301684069, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -0.68, - "control_median": -0.68, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -1.0538354036160036, - "control_median": -1.0538354036160036, - "paired_delta_median": 0.0, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -48.0, - "control_median": -48.0, - "paired_delta_median": 0.0, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -92.25, - "control_median": -92.25, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.9304094219034582, - "control_median": -0.9304094219034582, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9383791367556105, - "control_median": -0.9383791367556105, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 92.35, - "control_median": 92.35, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.23036402796354433, - "control_median": 0.23036402796354433, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -4.645, - "control_median": -4.645, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -5.007101321611201, - "control_median": -5.007101321611201, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -92.25, - "control_median": -92.25, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -87.55, - "control_median": -87.55, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.975, - "control_median": -0.975, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.7162732408604635, - "control_median": -0.7162732408604635, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9032245338561924, - "control_median": -0.9032245338561924, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 89.6, - "control_median": 89.6, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.37286462607390325, - "control_median": 0.37286462607390325, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -2.54, - "control_median": -2.54, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -3.7756447979407453, - "control_median": -3.7756447979407453, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -87.55, - "control_median": -87.55, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.8, - "control_median": -64.8, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.86, - "control_median": -0.86, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.46947194576716444, - "control_median": -0.46947194576716444, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.7839894756279706, - "control_median": -0.7839894756279706, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 76.0, - "control_median": 76.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5126606575333529, - "control_median": 0.5126606575333529, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -1.26, - "control_median": -1.26, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -1.7048420858239395, - "control_median": -1.7048420858239395, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.6, - "control_median": -64.6, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -78.15, - "control_median": -78.15, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.98, - "control_median": -0.98, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.7209729792973751, - "control_median": -0.7209729792973751, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.9585732335699672, - "control_median": -0.9585732335699672, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 79.65, - "control_median": 79.65, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.24769701302458227, - "control_median": 0.24769701302458227, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -3.7800000000000002, - "control_median": -3.7800000000000002, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -4.25495530057416, - "control_median": -4.25495530057416, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -78.4, - "control_median": -78.4, - "paired_delta_median": 0.0, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.8, - "control_median": -64.8, - "paired_delta_median": 0.0 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -0.9, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.9, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.0, - "arm_median": -0.46947194576716444, - "bootstrap_90": { - "n": 7, - "p05": 0.0, - "p95": 0.0, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.46947194576716444, - "paired_delta_median": 0.0 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0, - "arm_median": -0.7898017130698114, - "control_median": -0.7898017130698114, - "paired_delta_median": 0.0 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 79.65, - "control_median": 79.65, - "paired_delta_median": 0.0 - }, - "profit_factor": { - "arm_control_ratio": 1.0, - "arm_median": 0.5126606575333529, - "control_median": 0.5126606575333529, - "paired_delta_median": 0.0 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": -1.26, - "control_median": -1.26, - "paired_delta_median": 0.0 - }, - "sortino": { - "arm_control_ratio": 1.0, - "arm_median": -1.7048420858239395, - "control_median": -1.7048420858239395, - "paired_delta_median": 0.0 - }, - "total_return_pct": { - "arm_control_ratio": 1.0, - "arm_median": -64.6, - "control_median": -64.6, - "paired_delta_median": 0.0 - } - }, - "protocol": "warm_book" - }, - { - "arm_id": "cash_unbounded", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0737976782752903, - "arm_median": -64.75, - "control_median": -60.3, - "paired_delta_median": -6.049999999999997, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0833333333333335, - "arm_median": -0.65, - "control_median": -0.6, - "paired_delta_median": -0.065, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0122291337010942, - "arm_median": -0.4566437365614855, - "control_median": -0.45112684604504766, - "paired_delta_median": -0.00600700409406954, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.05244117020169, - "arm_median": -0.8312198391304918, - "control_median": -0.7898017130698114, - "paired_delta_median": -0.05805278804513364, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.9406168983269069, - "arm_median": 0.49157191766940755, - "control_median": 0.5226058755097595, - "paired_delta_median": -0.035235442915992315, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.9247283491570017, - "arm_median": 278.4535165428135, - "control_median": 301.11926037160697, - "paired_delta_median": -22.226142048594625, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0749375520399667, - "arm_median": -64.55, - "control_median": -60.05, - "paired_delta_median": -6.100000000000005, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.2672018348623853, - "arm_median": -11.65, - "control_median": -43.6, - "paired_delta_median": 32.4, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.2833333333333333, - "arm_median": -0.255, - "control_median": -0.9, - "paired_delta_median": 0.635, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.03844314831785712, - "arm_median": -0.010820256220955862, - "control_median": -0.2814612406739272, - "paired_delta_median": 0.26853867365945017, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": -0.17253296478661817, - "arm_median": 0.08364648640347093, - "control_median": -0.48481451939878006, - "paired_delta_median": 0.5816948579167065, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9472049689440994, - "arm_median": 45.75, - "control_median": 48.3, - "paired_delta_median": -2.650000000000002, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.481816461195506, - "arm_median": 0.9842527824827354, - "control_median": 0.6642204404239482, - "paired_delta_median": 0.31851954591276865, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": -0.0437956204379562, - "arm_median": 0.03, - "control_median": -0.685, - "paired_delta_median": 0.72, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": -0.04542112991227274, - "arm_median": 0.042832763513850236, - "control_median": -0.9430140464708445, - "paired_delta_median": 0.9915380722964817, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.2672811059907835, - "arm_median": -11.600000000000001, - "control_median": -43.4, - "paired_delta_median": 32.25, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.7975206611570248, - "arm_median": -38.6, - "control_median": -48.4, - "paired_delta_median": 6.199999999999996, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 0.8405797101449275, - "arm_median": -0.58, - "control_median": -0.69, - "paired_delta_median": 0.08999999999999997, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 0.6860933972242719, - "arm_median": -0.2765857747320337, - "control_median": -0.40313137519034115, - "paired_delta_median": 0.11401823248343645, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 0.7517062260557528, - "arm_median": -0.4364410408918553, - "control_median": -0.5806005401629935, - "paired_delta_median": 0.12510134542065532, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9671897289586305, - "arm_median": 67.8, - "control_median": 70.1, - "paired_delta_median": -2.299999999999997, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 1.2500915345145869, - "arm_median": 0.6624601695345109, - "control_median": 0.5299293301684069, - "paired_delta_median": 0.10828066084591348, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 0.29411764705882354, - "arm_median": -0.2, - "control_median": -0.68, - "paired_delta_median": 0.44000000000000006, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 0.2937966435777825, - "arm_median": -0.3096133044658196, - "control_median": -1.0538354036160036, - "paired_delta_median": 0.6864998385460577, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 0.7958333333333334, - "arm_median": -38.2, - "control_median": -48.0, - "paired_delta_median": 6.199999999999996, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9875338753387534, - "arm_median": -91.1, - "control_median": -92.25, - "paired_delta_median": 0.7999999999999972, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.7839826897732547, - "arm_median": -0.7294248811742521, - "control_median": -0.9304094219034582, - "paired_delta_median": 0.20686821843082948, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.978231501829504, - "arm_median": -0.9179520322339144, - "control_median": -0.9383791367556105, - "paired_delta_median": 0.022390187554540142, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9897130481862481, - "arm_median": 91.4, - "control_median": 92.35, - "paired_delta_median": -0.5500000000000043, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.3553789714827384, - "arm_median": 0.3122305592878495, - "control_median": 0.23036402796354433, - "paired_delta_median": 0.08394721855668322, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 0.9644779332615717, - "arm_median": -4.48, - "control_median": -4.645, - "paired_delta_median": 0.18500000000000005, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.9713888947413141, - "arm_median": -4.863842618657678, - "control_median": -5.007101321611201, - "paired_delta_median": 0.1635973668088404, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.9875338753387534, - "arm_median": -91.1, - "control_median": -92.25, - "paired_delta_median": 0.7999999999999972, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1182181610508282, - "arm_median": -97.9, - "control_median": -87.55, - "paired_delta_median": -9.75, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0153846153846153, - "arm_median": -0.99, - "control_median": -0.975, - "paired_delta_median": -0.015000000000000013, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.9178853320309299, - "arm_median": -0.6574567015120768, - "control_median": -0.7162732408604635, - "paired_delta_median": 0.06686085234225503, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9998367274523601, - "arm_median": -0.9030770620854588, - "control_median": -0.9032245338561924, - "paired_delta_median": 0.00407511339283162, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0993303571428572, - "arm_median": 98.5, - "control_median": 89.6, - "paired_delta_median": 8.150000000000006, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.9521124262243315, - "arm_median": 0.35500904378445214, - "control_median": 0.37286462607390325, - "paired_delta_median": -0.004739384988485834, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.7086614173228345, - "arm_median": -4.34, - "control_median": -2.54, - "paired_delta_median": -1.695, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.4062454200064578, - "arm_median": -5.309483204675381, - "control_median": -3.7756447979407453, - "paired_delta_median": -1.4305324376971817, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.1182181610508282, - "arm_median": -97.9, - "control_median": -87.55, - "paired_delta_median": -9.75, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.4197530864197532, - "arm_median": -92.0, - "control_median": -64.8, - "paired_delta_median": -26.250000000000004, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.1395348837209303, - "arm_median": -0.98, - "control_median": -0.86, - "paired_delta_median": -0.11499999999999999, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.086024214754317, - "arm_median": -0.5098579012509661, - "control_median": -0.46947194576716444, - "paired_delta_median": -0.049625634774645044, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1791561813310343, - "arm_median": -0.9244460362851978, - "control_median": -0.7839894756279706, - "paired_delta_median": -0.1400057964236367, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.230921052631579, - "arm_median": 93.55000000000001, - "control_median": 76.0, - "paired_delta_median": 17.6, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.8882491481914951, - "arm_median": 0.45537039236529253, - "control_median": 0.5126606575333529, - "paired_delta_median": -0.06257129986815216, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 2.365079365079365, - "arm_median": -2.98, - "control_median": -1.26, - "paired_delta_median": -1.68, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 2.2079820421811953, - "arm_median": -3.764260710253991, - "control_median": -1.7048420858239395, - "paired_delta_median": -1.9881863484888167, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.4241486068111457, - "arm_median": -92.0, - "control_median": -64.6, - "paired_delta_median": -26.25, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.2431222008957135, - "arm_median": -97.15, - "control_median": -78.15, - "paired_delta_median": -18.700000000000003, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.010204081632653, - "arm_median": -0.99, - "control_median": -0.98, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.8165885153683573, - "arm_median": -0.588738254785145, - "control_median": -0.7209729792973751, - "paired_delta_median": 0.14251678833562298, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9880518950981199, - "arm_median": -0.9471201000191387, - "control_median": -0.9585732335699672, - "paired_delta_median": 0.009062054074358838, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.229127432517263, - "arm_median": 97.9, - "control_median": 79.65, - "paired_delta_median": 17.849999999999994, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.286383125701661, - "arm_median": 0.3186332578415272, - "control_median": 0.24769701302458227, - "paired_delta_median": 0.08516941473428001, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.2248677248677247, - "arm_median": -4.63, - "control_median": -3.7800000000000002, - "paired_delta_median": -0.7449999999999999, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.2538971833055454, - "arm_median": -5.33527646648094, - "control_median": -4.25495530057416, - "paired_delta_median": -0.9470358284263085, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.2391581632653061, - "arm_median": -97.15, - "control_median": -78.4, - "paired_delta_median": -18.5, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.4058641975308641, - "arm_median": -91.1, - "control_median": -64.8, - "paired_delta_median": -6.049999999999997 - }, - "calmar": { - "arm_control_ratio": 1.0888888888888888, - "arm_median": -0.98, - "bootstrap_90": { - "n": 7, - "p05": -0.065, - "p95": 0.08999999999999997, - "point": -0.010000000000000009, - "replicates": 10000 - }, - "control_median": -0.9, - "paired_delta_median": -0.010000000000000009 - }, - "ev_net_r": { - "arm_control_ratio": 1.086024214754317, - "arm_median": -0.5098579012509661, - "bootstrap_90": { - "n": 7, - "p05": -0.00600700409406954, - "p95": 0.20686821843082948, - "point": 0.11401823248343645, - "replicates": 10000 - }, - "control_median": -0.46947194576716444, - "paired_delta_median": 0.11401823248343645 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1434225162355844, - "arm_median": -0.9030770620854588, - "control_median": -0.7898017130698114, - "paired_delta_median": 0.009062054074358838 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.174513496547395, - "arm_median": 93.55000000000001, - "control_median": 79.65, - "paired_delta_median": 0.0 - }, - "profit_factor": { - "arm_control_ratio": 0.8882491481914951, - "arm_median": 0.45537039236529253, - "control_median": 0.5126606575333529, - "paired_delta_median": 0.08394721855668322 - }, - "sharpe": { - "arm_control_ratio": 2.365079365079365, - "arm_median": -2.98, - "control_median": -1.26, - "paired_delta_median": 0.0 - }, - "sortino": { - "arm_control_ratio": 2.2079820421811953, - "arm_median": -3.764260710253991, - "control_median": -1.7048420858239395, - "paired_delta_median": -0.9470358284263085 - }, - "total_return_pct": { - "arm_control_ratio": 1.410216718266254, - "arm_median": -91.1, - "control_median": -64.6, - "paired_delta_median": -6.100000000000005 - } - }, - "protocol": "warm_book" - }, - { - "arm_id": "cap10_weekly_top10", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9784411276948591, - "arm_median": -59.0, - "control_median": -60.3, - "paired_delta_median": 1.3000000000000007, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.9833333333333333, - "arm_median": -0.59, - "control_median": -0.6, - "paired_delta_median": 0.010000000000000009, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.6577073061570055, - "arm_median": -0.2967094226473944, - "control_median": -0.45112684604504766, - "paired_delta_median": 0.15441742339765321, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.8666609443275396, - "arm_median": -0.6844902984805912, - "control_median": -0.7898017130698114, - "paired_delta_median": 0.10531751844592907, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.2085759212489515, - "arm_median": 0.6316088774443224, - "control_median": 0.5226058755097595, - "paired_delta_median": 0.10900300193456286, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.9177105798475349, - "arm_median": 276.3403310388883, - "control_median": 301.11926037160697, - "paired_delta_median": -24.779110808552105, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.9791840133222315, - "arm_median": -58.8, - "control_median": -60.05, - "paired_delta_median": 1.2500000000000036, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9174311926605504, - "arm_median": -40.0, - "control_median": -43.6, - "paired_delta_median": 3.9499999999999993, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.8777777777777778, - "arm_median": -0.79, - "control_median": -0.9, - "paired_delta_median": 0.11499999999999999, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.5220110404267456, - "arm_median": -0.1469258750839994, - "control_median": -0.2814612406739272, - "paired_delta_median": 0.1345353655899278, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9740640531234809, - "arm_median": -0.47224039577868815, - "control_median": -0.48481451939878006, - "paired_delta_median": 0.015225408594414153, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0476190476190477, - "arm_median": 50.6, - "control_median": 48.3, - "paired_delta_median": 2.0500000000000007, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.1915423832922687, - "arm_median": 0.7914468066141916, - "control_median": 0.6642204404239482, - "paired_delta_median": 0.1272263661902434, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 0.7883211678832117, - "arm_median": -0.54, - "control_median": -0.685, - "paired_delta_median": 0.15499999999999992, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.7849512146456521, - "arm_median": -0.7402200212052008, - "control_median": -0.9430140464708445, - "paired_delta_median": 0.21777755955320488, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.9170506912442395, - "arm_median": -39.8, - "control_median": -43.4, - "paired_delta_median": 3.950000000000003, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.3636363636363638, - "arm_median": -66.0, - "control_median": -48.4, - "paired_delta_median": -17.6, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 1.2898550724637683, - "arm_median": -0.89, - "control_median": -0.69, - "paired_delta_median": -0.20000000000000007, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 0.8853784850417431, - "arm_median": -0.3569238462388188, - "control_median": -0.40313137519034115, - "paired_delta_median": 0.06384344571101436, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 1.6819973194528801, - "arm_median": -0.9765685522270493, - "control_median": -0.5806005401629935, - "paired_delta_median": -0.3958547566190086, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0613409415121258, - "arm_median": 74.4, - "control_median": 70.1, - "paired_delta_median": 4.300000000000011, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 0.985443838962118, - "arm_median": 0.5222155934997786, - "control_median": 0.5299293301684069, - "paired_delta_median": -0.0025824923070600914, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 1.102941176470588, - "arm_median": -0.75, - "control_median": -0.68, - "paired_delta_median": -0.06999999999999995, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 1.1380427172470189, - "arm_median": -1.1993097062622655, - "control_median": -1.0538354036160036, - "paired_delta_median": -0.14522614121882826, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 1.3645833333333333, - "arm_median": -65.5, - "control_median": -48.0, - "paired_delta_median": -17.5, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0178861788617888, - "arm_median": -93.9, - "control_median": -92.25, - "paired_delta_median": -1.6500000000000057, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.7976753452090716, - "arm_median": -0.7421646568026138, - "control_median": -0.9304094219034582, - "paired_delta_median": 0.18824476510084437, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0541495103495266, - "arm_median": -0.9891919075331383, - "control_median": -0.9383791367556105, - "paired_delta_median": -0.050812108559911306, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0189496480779643, - "arm_median": 94.1, - "control_median": 92.35, - "paired_delta_median": 1.749999999999993, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.993294065124082, - "arm_median": 0.22881922179426664, - "control_median": 0.23036402796354433, - "paired_delta_median": -0.001544806169277671, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0764262648008613, - "arm_median": -5.0, - "control_median": -4.645, - "paired_delta_median": -0.355, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.036778063800971, - "arm_median": -5.191252813475344, - "control_median": -5.007101321611201, - "paired_delta_median": -0.1842453596376643, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0178861788617888, - "arm_median": -93.9, - "control_median": -92.25, - "paired_delta_median": -1.6500000000000057, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0462592804111936, - "arm_median": -91.6, - "control_median": -87.55, - "paired_delta_median": -4.049999999999997, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.9948717948717949, - "arm_median": -0.97, - "control_median": -0.975, - "paired_delta_median": 0.0050000000000000044, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.912286484866014, - "arm_median": -0.6534463971081801, - "control_median": -0.7162732408604635, - "paired_delta_median": 0.06282684375228342, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9819407062938115, - "arm_median": -0.8869129367166482, - "control_median": -0.9032245338561924, - "paired_delta_median": 0.016320871589835362, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0546875, - "arm_median": 94.5, - "control_median": 89.6, - "paired_delta_median": 4.899999999999999, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.8860855351538505, - "arm_median": 0.3303899517346349, - "control_median": 0.37286462607390325, - "paired_delta_median": -0.042474674339268326, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.405511811023622, - "arm_median": -3.57, - "control_median": -2.54, - "paired_delta_median": -1.0299999999999998, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.2875426741141802, - "arm_median": -4.8613037996459205, - "control_median": -3.7756447979407453, - "paired_delta_median": -1.0856983103492983, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0462592804111936, - "arm_median": -91.6, - "control_median": -87.55, - "paired_delta_median": -4.049999999999997, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.2669753086419753, - "arm_median": -82.1, - "control_median": -64.8, - "paired_delta_median": -17.299999999999997, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.127906976744186, - "arm_median": -0.97, - "control_median": -0.86, - "paired_delta_median": -0.10999999999999999, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.0997995875508242, - "arm_median": -0.5163250523214103, - "control_median": -0.46947194576716444, - "paired_delta_median": -0.046853106554245905, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.2176682265792513, - "arm_median": -0.9546390744447081, - "control_median": -0.7839894756279706, - "paired_delta_median": -0.17065191917407418, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1131578947368421, - "arm_median": 84.6, - "control_median": 76.0, - "paired_delta_median": 8.599999999999994, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.8130001173013041, - "arm_median": 0.4167931747103796, - "control_median": 0.5126606575333529, - "paired_delta_median": -0.0958674828229733, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.8095238095238093, - "arm_median": -2.28, - "control_median": -1.26, - "paired_delta_median": -1.0199999999999998, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.654858268237017, - "arm_median": -2.8212720217641882, - "control_median": -1.7048420858239395, - "paired_delta_median": -1.1163973379858037, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.2693498452012384, - "arm_median": -82.0, - "control_median": -64.6, - "paired_delta_median": -17.400000000000006, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1273192578374918, - "arm_median": -88.1, - "control_median": -78.15, - "paired_delta_median": -9.599999999999994, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.010204081632653, - "arm_median": -0.99, - "control_median": -0.98, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.9060297335411146, - "arm_median": -0.6532229563231443, - "control_median": -0.7209729792973751, - "paired_delta_median": 0.06775002297423083, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0267251374759456, - "arm_median": -0.9841912350178863, - "control_median": -0.9585732335699672, - "paired_delta_median": -0.025614598204830252, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.113622096672944, - "arm_median": 88.7, - "control_median": 79.65, - "paired_delta_median": 8.799999999999997, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.7680530214953969, - "arm_median": 0.1902444392689151, - "control_median": 0.24769701302458227, - "paired_delta_median": -0.05659442617759193, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.2698412698412698, - "arm_median": -4.8, - "control_median": -3.7800000000000002, - "paired_delta_median": -0.9899999999999998, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.2109736116765035, - "arm_median": -5.152638587858373, - "control_median": -4.25495530057416, - "paired_delta_median": -0.8633884282601514, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.1262755102040816, - "arm_median": -88.3, - "control_median": -78.4, - "paired_delta_median": -9.599999999999994, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.2669753086419753, - "arm_median": -82.1, - "control_median": -64.8, - "paired_delta_median": -4.049999999999997 - }, - "calmar": { - "arm_control_ratio": 1.0777777777777777, - "arm_median": -0.97, - "bootstrap_90": { - "n": 7, - "p05": -0.10999999999999999, - "p95": 0.010000000000000009, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.9, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.0997995875508242, - "arm_median": -0.5163250523214103, - "bootstrap_90": { - "n": 7, - "p05": 0.06282684375228342, - "p95": 0.15441742339765321, - "point": 0.06775002297423083, - "replicates": 10000 - }, - "control_median": -0.46947194576716444, - "paired_delta_median": 0.06775002297423083 - }, - "gain_to_pain": { - "arm_control_ratio": 1.2087072725307277, - "arm_median": -0.9546390744447081, - "control_median": -0.7898017130698114, - "paired_delta_median": -0.025614598204830252 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.113622096672944, - "arm_median": 88.7, - "control_median": 79.65, - "paired_delta_median": 4.300000000000011 - }, - "profit_factor": { - "arm_control_ratio": 0.8130001173013041, - "arm_median": 0.4167931747103796, - "control_median": 0.5126606575333529, - "paired_delta_median": -0.0025824923070600914 - }, - "sharpe": { - "arm_control_ratio": 1.8095238095238093, - "arm_median": -2.28, - "control_median": -1.26, - "paired_delta_median": -0.355 - }, - "sortino": { - "arm_control_ratio": 1.654858268237017, - "arm_median": -2.8212720217641882, - "control_median": -1.7048420858239395, - "paired_delta_median": -0.8633884282601514 - }, - "total_return_pct": { - "arm_control_ratio": 1.2693498452012384, - "arm_median": -82.0, - "control_median": -64.6, - "paired_delta_median": -4.049999999999997 - } - }, - "protocol": "warm_book" - }, - { - "arm_id": "cap15_incumbent", - "clusters": [ - { - "cluster": 2019, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.9892205638474295, - "arm_median": -59.65, - "control_median": -60.3, - "paired_delta_median": 0.3500000000000014, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.9916666666666667, - "arm_median": -0.595, - "control_median": -0.6, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.8801392445077868, - "arm_median": -0.3970544414552689, - "control_median": -0.45112684604504766, - "paired_delta_median": 0.06897824779098011, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0354181330141723, - "arm_median": -0.8177750151981391, - "control_median": -0.7898017130698114, - "paired_delta_median": -0.036251818299378624, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0, - "arm_median": 99.9, - "control_median": 99.9, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.0590291890368033, - "arm_median": 0.5534548765269691, - "control_median": 0.5226058755097595, - "paired_delta_median": 0.03927363139275064, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0, - "arm_median": 0.99, - "control_median": 0.99, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.9389219648234456, - "arm_median": 282.7274875942919, - "control_median": 301.11926037160697, - "paired_delta_median": -17.583298791595155, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.9900083263946712, - "arm_median": -59.45, - "control_median": -60.05, - "paired_delta_median": 0.3500000000000014, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2020, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.6135321100917431, - "arm_median": -26.75, - "control_median": -43.6, - "paired_delta_median": 17.4, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 0.6944444444444444, - "arm_median": -0.625, - "control_median": -0.9, - "paired_delta_median": 0.27, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.3580623603513946, - "arm_median": -0.10078067618313832, - "control_median": -0.2814612406739272, - "paired_delta_median": 0.17796540999248966, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.41040143610782254, - "arm_median": -0.19896857500718312, - "control_median": -0.48481451939878006, - "paired_delta_median": 0.2928730168054241, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.8944099378881989, - "arm_median": 43.2, - "control_median": 48.3, - "paired_delta_median": -5.0, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.3163574252192702, - "arm_median": 0.8743515087344782, - "control_median": 0.6642204404239482, - "paired_delta_median": 0.20472051920999068, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 0.2262773722627737, - "arm_median": -0.155, - "control_median": -0.685, - "paired_delta_median": 0.5249999999999999, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 0.22777738980902204, - "arm_median": -0.2147972780583728, - "control_median": -0.9430140464708445, - "paired_delta_median": 0.7223659647014926, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 0.6140552995391705, - "arm_median": -26.65, - "control_median": -43.4, - "paired_delta_median": 17.349999999999998, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2021, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 0.8305785123966943, - "arm_median": -40.2, - "control_median": -48.4, - "paired_delta_median": 8.199999999999996, - "paired_paths": 13 - }, - "calmar": { - "arm_control_ratio": 0.8260869565217391, - "arm_median": -0.57, - "control_median": -0.69, - "paired_delta_median": 0.10999999999999999, - "paired_paths": 13 - }, - "ev_net_r": { - "arm_control_ratio": 0.7881647323680313, - "arm_median": -0.31773393243605164, - "control_median": -0.40313137519034115, - "paired_delta_median": 0.06317848717056107, - "paired_paths": 13 - }, - "gain_to_pain": { - "arm_control_ratio": 0.7277864688524867, - "arm_median": -0.4225532169390714, - "control_median": -0.5806005401629935, - "paired_delta_median": 0.15190874949545297, - "paired_paths": 13 - }, - "max_drawdown_pct": { - "arm_control_ratio": 0.9985734664764623, - "arm_median": 70.0, - "control_median": 70.1, - "paired_delta_median": -0.09999999999999432, - "paired_paths": 13 - }, - "profit_factor": { - "arm_control_ratio": 1.1549763266092765, - "arm_median": 0.6120558311204211, - "control_median": 0.5299293301684069, - "paired_delta_median": 0.056569877392591006, - "paired_paths": 13 - }, - "sharpe": { - "arm_control_ratio": 0.2205882352941176, - "arm_median": -0.15, - "control_median": -0.68, - "paired_delta_median": 0.53, - "paired_paths": 13 - }, - "sortino": { - "arm_control_ratio": 0.2258439760595353, - "arm_median": -0.23800237766494342, - "control_median": -1.0538354036160036, - "paired_delta_median": 0.8160794332719612, - "paired_paths": 13 - }, - "total_return_pct": { - "arm_control_ratio": 0.8291666666666666, - "arm_median": -39.8, - "control_median": -48.0, - "paired_delta_median": 8.200000000000003, - "paired_paths": 13 - } - }, - "paths": 13 - }, - { - "cluster": 2022, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.0124661246612467, - "arm_median": -93.4, - "control_median": -92.25, - "paired_delta_median": -1.000000000000007, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0, - "arm_median": -1.0, - "control_median": -1.0, - "paired_delta_median": 0.0, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.8448629728324394, - "arm_median": -0.786068470140667, - "control_median": -0.9304094219034582, - "paired_delta_median": 0.14105514709278927, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9785440813702888, - "arm_median": -0.9182453503535635, - "control_median": -0.9383791367556105, - "paired_delta_median": 0.023508781023317937, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0135354629128317, - "arm_median": 93.6, - "control_median": 92.35, - "paired_delta_median": 1.0500000000000043, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 1.2500191538149505, - "arm_median": 0.28795944730439327, - "control_median": 0.23036402796354433, - "paired_delta_median": 0.053054784022581125, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.0182992465016147, - "arm_median": -4.73, - "control_median": -4.645, - "paired_delta_median": -0.1349999999999998, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.0194129498228421, - "arm_median": -5.1043039283255265, - "control_median": -5.007101321611201, - "paired_delta_median": -0.13116179471542955, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.0124661246612467, - "arm_median": -93.4, - "control_median": -92.25, - "paired_delta_median": -1.0500000000000043, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2023, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1159337521416335, - "arm_median": -97.7, - "control_median": -87.55, - "paired_delta_median": -9.649999999999999, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.0256410256410258, - "arm_median": -1.0, - "control_median": -0.975, - "paired_delta_median": -0.020000000000000018, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.1535869267701617, - "arm_median": -0.8262834466519259, - "control_median": -0.7162732408604635, - "paired_delta_median": -0.10799809760630597, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.0641338204256092, - "arm_median": -0.96115177391453, - "control_median": -0.9032245338561924, - "paired_delta_median": -0.038455653714098426, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.0948660714285714, - "arm_median": 98.1, - "control_median": 89.6, - "paired_delta_median": 7.899999999999999, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.7797611032048473, - "arm_median": 0.29074533217344967, - "control_median": 0.37286462607390325, - "paired_delta_median": -0.08169792974890983, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.6338582677165356, - "arm_median": -4.15, - "control_median": -2.54, - "paired_delta_median": -1.4649999999999999, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.3812448708744693, - "arm_median": -5.215090011399527, - "control_median": -3.7756447979407453, - "paired_delta_median": -1.2371599397866637, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.1159337521416335, - "arm_median": -97.7, - "control_median": -87.55, - "paired_delta_median": -9.649999999999999, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2024, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.402777777777778, - "arm_median": -90.9, - "control_median": -64.8, - "paired_delta_median": -23.15000000000001, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.1395348837209303, - "arm_median": -0.98, - "control_median": -0.86, - "paired_delta_median": -0.11499999999999999, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 1.3671114437566536, - "arm_median": -0.6418204695809936, - "control_median": -0.46947194576716444, - "paired_delta_median": -0.15129057026603063, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1234696370393669, - "arm_median": -0.8807883716264396, - "control_median": -0.7839894756279706, - "paired_delta_median": -0.09361396103545722, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.2236842105263157, - "arm_median": 93.0, - "control_median": 76.0, - "paired_delta_median": 15.899999999999999, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.7636441779995583, - "arm_median": 0.39149032641477033, - "control_median": 0.5126606575333529, - "paired_delta_median": -0.10646335658981676, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 2.357142857142857, - "arm_median": -2.97, - "control_median": -1.26, - "paired_delta_median": -1.6, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 2.1986883866355424, - "arm_median": -3.7484164951486107, - "control_median": -1.7048420858239395, - "paired_delta_median": -1.850802921730041, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.4063467492260062, - "arm_median": -90.85, - "control_median": -64.6, - "paired_delta_median": -23.200000000000003, - "paired_paths": 14 - } - }, - "paths": 14 - }, - { - "cluster": 2025, - "metrics": { - "cagr_pct": { - "arm_control_ratio": 1.1772232885476646, - "arm_median": -92.0, - "control_median": -78.15, - "paired_delta_median": -12.950000000000003, - "paired_paths": 14 - }, - "calmar": { - "arm_control_ratio": 1.010204081632653, - "arm_median": -0.99, - "control_median": -0.98, - "paired_delta_median": -0.010000000000000009, - "paired_paths": 14 - }, - "ev_net_r": { - "arm_control_ratio": 0.9992901313732883, - "arm_median": -0.720461183198665, - "control_median": -0.7209729792973751, - "paired_delta_median": -0.0009830033233099722, - "paired_paths": 14 - }, - "gain_to_pain": { - "arm_control_ratio": 0.9926316890700992, - "arm_median": -0.9515101679359432, - "control_median": -0.9585732335699672, - "paired_delta_median": 0.006374220466919767, - "paired_paths": 14 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1694915254237288, - "arm_median": 93.15, - "control_median": 79.65, - "paired_delta_median": 12.749999999999993, - "paired_paths": 14 - }, - "profit_factor": { - "arm_control_ratio": 0.919759837013236, - "arm_median": 0.2278217643281552, - "control_median": 0.24769701302458227, - "paired_delta_median": -0.020120140232215783, - "paired_paths": 14 - }, - "sharpe": { - "arm_control_ratio": 1.2248677248677247, - "arm_median": -4.63, - "control_median": -3.7800000000000002, - "paired_delta_median": -0.8750000000000002, - "paired_paths": 14 - }, - "sortino": { - "arm_control_ratio": 1.2195407150040318, - "arm_median": -5.189091229572406, - "control_median": -4.25495530057416, - "paired_delta_median": -0.9837841994338064, - "paired_paths": 14 - }, - "total_return_pct": { - "arm_control_ratio": 1.1753826530612246, - "arm_median": -92.15, - "control_median": -78.4, - "paired_delta_median": -12.850000000000001, - "paired_paths": 14 - } - }, - "paths": 14 - } - ], - "cost_per_side_pct": 0.2, - "headline": { - "cagr_pct": { - "arm_control_ratio": 1.402777777777778, - "arm_median": -90.9, - "control_median": -64.8, - "paired_delta_median": -1.000000000000007 - }, - "calmar": { - "arm_control_ratio": 1.0888888888888888, - "arm_median": -0.98, - "bootstrap_90": { - "n": 7, - "p05": -0.020000000000000018, - "p95": 0.10999999999999999, - "point": 0.0, - "replicates": 10000 - }, - "control_median": -0.9, - "paired_delta_median": 0.0 - }, - "ev_net_r": { - "arm_control_ratio": 1.3671114437566536, - "arm_median": -0.6418204695809936, - "bootstrap_90": { - "n": 7, - "p05": -0.10799809760630597, - "p95": 0.14105514709278927, - "point": 0.06317848717056107, - "replicates": 10000 - }, - "control_median": -0.46947194576716444, - "paired_delta_median": 0.06317848717056107 - }, - "gain_to_pain": { - "arm_control_ratio": 1.1152019007441503, - "arm_median": -0.8807883716264396, - "control_median": -0.7898017130698114, - "paired_delta_median": 0.006374220466919767 - }, - "max_drawdown_pct": { - "arm_control_ratio": 1.1694915254237288, - "arm_median": 93.15, - "control_median": 79.65, - "paired_delta_median": 1.0500000000000043 - }, - "profit_factor": { - "arm_control_ratio": 0.7636441779995583, - "arm_median": 0.39149032641477033, - "control_median": 0.5126606575333529, - "paired_delta_median": 0.03927363139275064 - }, - "sharpe": { - "arm_control_ratio": 2.357142857142857, - "arm_median": -2.97, - "control_median": -1.26, - "paired_delta_median": -0.1349999999999998 - }, - "sortino": { - "arm_control_ratio": 2.1986883866355424, - "arm_median": -3.7484164951486107, - "control_median": -1.7048420858239395, - "paired_delta_median": -0.9837841994338064 - }, - "total_return_pct": { - "arm_control_ratio": 1.4063467492260062, - "arm_median": -90.85, - "control_median": -64.6, - "paired_delta_median": -1.0500000000000043 - } - }, - "protocol": "warm_book" - } - ], - "warm_seed_dispersion": [ - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cap10_incumbent", - "cost_per_side_pct": 0.1, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - }, - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cash_unbounded", - "cost_per_side_pct": 0.1, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - }, - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cap10_weekly_top10", - "cost_per_side_pct": 0.1, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - }, - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cap15_incumbent", - "cost_per_side_pct": 0.1, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - }, - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cap10_incumbent", - "cost_per_side_pct": 0.2, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - }, - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cash_unbounded", - "cost_per_side_pct": 0.2, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - }, - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cap10_weekly_top10", - "cost_per_side_pct": 0.2, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - }, - { - "anchors": [ - { - "cluster": 2019, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2020, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2021, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 13 - }, - { - "cluster": 2022, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2023, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2024, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - }, - { - "cluster": 2025, - "metrics": { - "calmar": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - }, - "ev_net_r": { - "arm_iqr": null, - "control_iqr": null, - "iqr_ratio": null - } - }, - "seeds": 14 - } - ], - "arm_id": "cap15_incumbent", - "cost_per_side_pct": 0.2, - "headline": { - "calmar": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - }, - "ev_net_r": { - "bootstrap_90": { - "n": 0, - "p05": null, - "p95": null, - "point": null - }, - "median_iqr_ratio": null - } - } - } - ] - }, - "arms": [ - { - "id": "cap10_incumbent", - "label": "Cap 10, arrival-order incumbents", - "max_positions": 10, - "min_initial_risk_fraction": null, - "weekly_top_n_rebalance": false - }, - { - "id": "cash_unbounded", - "label": "Cash-constrained, no count cap", - "max_positions": null, - "min_initial_risk_fraction": 0.005, - "weekly_top_n_rebalance": false - }, - { - "id": "cap10_weekly_top10", - "label": "Cap 10, weekly current-rank top 10", - "max_positions": 10, - "min_initial_risk_fraction": null, - "weekly_top_n_rebalance": true - }, - { - "id": "cap15_incumbent", - "label": "Cap 15, arrival-order incumbents", - "max_positions": 15, - "min_initial_risk_fraction": null, - "weekly_top_n_rebalance": false - } - ], - "candidate_cache": { - "entry_candidates_by_direction": { - "long": 6123971, - "short": 6042299 - }, - "key": { - "activation_hash": "855eb2297e2cd5d6e49cbffe7278ae4b19401ac121525bf1eac04b3b5798c19f", - "cadence": "daily", - "outcome_horizon_sessions": 0, - "recommendation_config_hash": "2d6d2256fc6507b878d392c25b06c1825d4dc98565929b00f378478c39092a4c", - "runtime_config": { - "exit_policy": "atr_trail3", - "hold_days": 30, - "max_positions": 10, - "ranking_key": "residual_high_vol_blend_80_20_score", - "risk_per_trade": 0.01, - "threshold": 80.0 - }, - "snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite", - "snapshot_sha256": "c04a5bbef2c8c1f9e218817a5b0adce40ccc4bccba22699bc5ed2564f09858ce", - "universe_manifest": { - "symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", - "symbols_with_prices": 4654, - "ticker_rows": 4655 - }, - "version": "portfolio-capacity-candidates-v1-zero-horizon" - }, - "qualified_long_count": 142404, - "rank_first_date": "2016-03-30", - "rank_last_date": "2026-07-17", - "rank_observation_count": 7002445, - "setup_candidate_count": 12166270 - }, - "cell_count": 1400, - "cells": [ - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 13.4474, - "avg_gross_exposure_pct": 86.5526, - "avg_hold_days": 12.9, - "avg_positions": 9.9881, - "blocked_fraction": 0.9725368063420159, - "cagr_pct": -63.3, - "calmar": -0.63, - "capacity_opportunities": 7064, - "end_date": "2020-01-31", - "ev_net_r": -0.4531928264007718, - "ev_without_best": { - "1": -0.5447311019151907, - "10": -0.8304314779457861, - "5": -0.6894569782295485 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 102, - "time": 28, - "trailing_stop": 54 - }, - "gain_to_pain": -0.8129542548374357, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 194, - "peak_positions": 10, - "profit_factor": 0.5329423569693267, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 6870, - "skipped_min_initial_risk": 0, - "sortino": 278.3328348447234, - "start_date": "2019-02-01", - "total_return_pct": -63.2, - "trades": 194, - "transaction_cost": 192.0225978224867, - "turnover_multiple": 19.202259782248667, - "underwater_pct": 98.02371541501977, - "win_rate": 22.2 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 13.3623, - "avg_gross_exposure_pct": 86.6377, - "avg_hold_days": 12.9, - "avg_positions": 9.9881, - "blocked_fraction": 0.9725368063420159, - "cagr_pct": -64.5, - "calmar": -0.65, - "capacity_opportunities": 7064, - "end_date": "2020-01-31", - "ev_net_r": -0.4705687850851242, - "ev_without_best": { - "1": -0.561972122143368, - "10": -0.8472361733566466, - "5": -0.7065252323007633 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 102, - "time": 28, - "trailing_stop": 54 - }, - "gain_to_pain": -0.8206838100900743, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 194, - "peak_positions": 10, - "profit_factor": 0.5214748749320034, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 6870, - "skipped_min_initial_risk": 0, - "sortino": 278.4919835905488, - "start_date": "2019-02-01", - "total_return_pct": -64.3, - "trades": 194, - "transaction_cost": 379.28928389606807, - "turnover_multiple": 18.9644641948034, - "underwater_pct": 98.02371541501977, - "win_rate": 22.2 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 15.0238, - "avg_gross_exposure_pct": 84.9762, - "avg_hold_days": 12.2, - "avg_positions": 9.9405, - "blocked_fraction": 0.9682983682983684, - "cagr_pct": -70.7, - "calmar": -0.71, - "capacity_opportunities": 6435, - "end_date": "2020-02-28", - "ev_net_r": -0.5065516691312356, - "ev_without_best": { - "1": -0.5533270548451191, - "10": -0.8498835858196887, - "5": -0.7082920367137818 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 28, - "trailing_stop": 58 - }, - "gain_to_pain": -0.9180688792579667, - "longest_underwater_sessions": 203, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.47319136761201314, - "sessions_at_capacity": 243, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 6231, - "skipped_min_initial_risk": 0, - "sortino": 345.56280440672845, - "start_date": "2019-03-01", - "total_return_pct": -70.6, - "trades": 204, - "transaction_cost": 179.65995811622616, - "turnover_multiple": 17.965995811622616, - "underwater_pct": 97.23320158102767, - "win_rate": 19.1 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 14.9702, - "avg_gross_exposure_pct": 85.0298, - "avg_hold_days": 12.2, - "avg_positions": 9.9405, - "blocked_fraction": 0.9682983682983684, - "cagr_pct": -71.7, - "calmar": -0.72, - "capacity_opportunities": 6435, - "end_date": "2020-02-28", - "ev_net_r": -0.5236152851827542, - "ev_without_best": { - "1": -0.5702983449610932, - "10": -0.8664272049182941, - "5": -0.7251181075672419 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 28, - "trailing_stop": 58 - }, - "gain_to_pain": -0.9236856761375613, - "longest_underwater_sessions": 203, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.4629158004106445, - "sessions_at_capacity": 243, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 6231, - "skipped_min_initial_risk": 0, - "sortino": 345.6800719455228, - "start_date": "2019-03-01", - "total_return_pct": -71.5, - "trades": 204, - "transaction_cost": 354.7474637282015, - "turnover_multiple": 17.737373186410075, - "underwater_pct": 97.23320158102767, - "win_rate": 19.1 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 16.8381, - "avg_gross_exposure_pct": 83.1619, - "avg_hold_days": 11.6, - "avg_positions": 9.9365, - "blocked_fraction": 0.9649323112053498, - "cagr_pct": -75.3, - "calmar": -0.99, - "capacity_opportunities": 6131, - "end_date": "2020-03-30", - "ev_net_r": -0.598158578871268, - "ev_without_best": { - "1": -0.6813915364729191, - "10": -0.9501228618750894, - "5": -0.8285766253496101 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 129, - "time": 23, - "trailing_stop": 53 - }, - "gain_to_pain": -0.8609883481799706, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 75.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 215, - "peak_positions": 10, - "profit_factor": 0.41515790556438015, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -3.28, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 5916, - "skipped_min_initial_risk": 0, - "sortino": -4.0725774085616955, - "start_date": "2019-04-01", - "total_return_pct": -75.2, - "trades": 215, - "transaction_cost": 172.6431951474046, - "turnover_multiple": 17.26431951474046, - "underwater_pct": 98.02371541501977, - "win_rate": 17.2 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 16.7728, - "avg_gross_exposure_pct": 83.2272, - "avg_hold_days": 11.6, - "avg_positions": 9.9365, - "blocked_fraction": 0.9649323112053498, - "cagr_pct": -76.2, - "calmar": -0.99, - "capacity_opportunities": 6131, - "end_date": "2020-03-30", - "ev_net_r": -0.614607564025251, - "ev_without_best": { - "1": -0.6977144931429201, - "10": -0.9659770920759229, - "5": -0.8446470230685538 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 129, - "time": 23, - "trailing_stop": 53 - }, - "gain_to_pain": -0.8663442196547512, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 76.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 215, - "peak_positions": 10, - "profit_factor": 0.40666004965753433, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -3.36, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 5916, - "skipped_min_initial_risk": 0, - "sortino": -4.147951371241546, - "start_date": "2019-04-01", - "total_return_pct": -76.0, - "trades": 215, - "transaction_cost": 340.8243028420727, - "turnover_multiple": 17.041215142103635, - "underwater_pct": 98.02371541501977, - "win_rate": 17.2 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 16.743, - "avg_gross_exposure_pct": 83.257, - "avg_hold_days": 11.7, - "avg_positions": 9.9365, - "blocked_fraction": 0.9674062739097169, - "cagr_pct": -74.6, - "calmar": -0.98, - "capacity_opportunities": 6535, - "end_date": "2020-04-29", - "ev_net_r": -0.5952934872275161, - "ev_without_best": { - "1": -0.6405017189162644, - "10": -0.9060913386469258, - "5": -0.7834220713929076 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 131, - "time": 24, - "trailing_stop": 48 - }, - "gain_to_pain": -0.9019163582538343, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 75.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.4243500842809642, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -2.7, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 6322, - "skipped_min_initial_risk": 0, - "sortino": -3.3793616312401262, - "start_date": "2019-05-01", - "total_return_pct": -74.4, - "trades": 213, - "transaction_cost": 161.0684101187699, - "turnover_multiple": 16.106841011876988, - "underwater_pct": 98.41897233201581, - "win_rate": 20.2 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 16.6951, - "avg_gross_exposure_pct": 83.3049, - "avg_hold_days": 11.7, - "avg_positions": 9.9365, - "blocked_fraction": 0.9674062739097169, - "cagr_pct": -75.4, - "calmar": -0.99, - "capacity_opportunities": 6535, - "end_date": "2020-04-29", - "ev_net_r": -0.6116238498758032, - "ev_without_best": { - "1": -0.6567402163838025, - "10": -0.9219328398589064, - "5": -0.7994656283968543 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 131, - "time": 24, - "trailing_stop": 48 - }, - "gain_to_pain": -0.9083068321004165, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 76.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.41570912588147635, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -2.76, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 6322, - "skipped_min_initial_risk": 0, - "sortino": -3.4500385917532577, - "start_date": "2019-05-01", - "total_return_pct": -75.3, - "trades": 213, - "transaction_cost": 317.9221612140549, - "turnover_multiple": 15.896108060702742, - "underwater_pct": 98.81422924901186, - "win_rate": 19.7 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 18.6469, - "avg_gross_exposure_pct": 81.3531, - "avg_hold_days": 11.8, - "avg_positions": 9.9365, - "blocked_fraction": 0.971176070700204, - "cagr_pct": -67.9, - "calmar": -0.99, - "capacity_opportunities": 7355, - "end_date": "2020-06-01", - "ev_net_r": -0.49545641080352343, - "ev_without_best": { - "1": -0.5793860352522703, - "10": -0.8606494302377639, - "5": -0.7276285196302819 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 25, - "trailing_stop": 51 - }, - "gain_to_pain": -0.8184800216687562, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 68.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.4956543150685987, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -2.17, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 7143, - "skipped_min_initial_risk": 0, - "sortino": -2.976581077056723, - "start_date": "2019-06-03", - "total_return_pct": -67.7, - "trades": 212, - "transaction_cost": 185.93951451836523, - "turnover_multiple": 18.59395145183652, - "underwater_pct": 99.60474308300395, - "win_rate": 21.2 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 18.5862, - "avg_gross_exposure_pct": 81.4138, - "avg_hold_days": 11.8, - "avg_positions": 9.9365, - "blocked_fraction": 0.971176070700204, - "cagr_pct": -68.9, - "calmar": -0.99, - "capacity_opportunities": 7355, - "end_date": "2020-06-01", - "ev_net_r": -0.5116722332969469, - "ev_without_best": { - "1": -0.5954729323512259, - "10": -0.8762411567209426, - "5": -0.7435216224119782 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 25, - "trailing_stop": 51 - }, - "gain_to_pain": -0.8259832845798044, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 69.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.48559346543302906, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -2.23, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 7143, - "skipped_min_initial_risk": 0, - "sortino": -3.0495390520851022, - "start_date": "2019-06-03", - "total_return_pct": -68.8, - "trades": 212, - "transaction_cost": 366.9764649373921, - "turnover_multiple": 18.348823246869603, - "underwater_pct": 99.60474308300395, - "win_rate": 20.8 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 20.3241, - "avg_gross_exposure_pct": 79.6759, - "avg_hold_days": 11.8, - "avg_positions": 9.9325, - "blocked_fraction": 0.9732877579440435, - "cagr_pct": -64.5, - "calmar": -0.93, - "capacity_opportunities": 7899, - "end_date": "2020-06-29", - "ev_net_r": -0.5049136926722033, - "ev_without_best": { - "1": -0.5501220989743906, - "10": -0.8263713972794184, - "5": -0.69267508361213 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 121, - "time": 25, - "trailing_stop": 55 - }, - "gain_to_pain": -0.8065962015836108, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 69.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 211, - "peak_positions": 10, - "profit_factor": 0.4926056570768671, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -1.91, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 7688, - "skipped_min_initial_risk": 0, - "sortino": -2.6250886510123244, - "start_date": "2019-07-01", - "total_return_pct": -64.4, - "trades": 211, - "transaction_cost": 178.86842590137095, - "turnover_multiple": 17.886842590137093, - "underwater_pct": 98.81422924901186, - "win_rate": 22.7 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 20.2511, - "avg_gross_exposure_pct": 79.7489, - "avg_hold_days": 11.8, - "avg_positions": 9.9325, - "blocked_fraction": 0.9732877579440435, - "cagr_pct": -65.6, - "calmar": -0.94, - "capacity_opportunities": 7899, - "end_date": "2020-06-29", - "ev_net_r": -0.5208394459605521, - "ev_without_best": { - "1": -0.5659531854642692, - "10": -0.8418131755800584, - "5": -0.708301426119787 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 121, - "time": 25, - "trailing_stop": 55 - }, - "gain_to_pain": -0.8157746979812023, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 211, - "peak_positions": 10, - "profit_factor": 0.48277067810299473, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -1.97, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 7688, - "skipped_min_initial_risk": 0, - "sortino": -2.695835309447514, - "start_date": "2019-07-01", - "total_return_pct": -65.5, - "trades": 211, - "transaction_cost": 353.5133250464555, - "turnover_multiple": 17.675666252322774, - "underwater_pct": 98.81422924901186, - "win_rate": 22.7 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 22.7554, - "avg_gross_exposure_pct": 77.2446, - "avg_hold_days": 12.4, - "avg_positions": 9.9365, - "blocked_fraction": 0.9761140819964349, - "cagr_pct": -48.4, - "calmar": -0.8, - "capacity_opportunities": 8415, - "end_date": "2020-07-30", - "ev_net_r": -0.2789979086326741, - "ev_without_best": { - "1": -0.34059342653826585, - "10": -0.68392758164002, - "5": -0.5301654665427062 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 28, - "trailing_stop": 51 - }, - "gain_to_pain": -0.6033012799138215, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 60.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 201, - "peak_positions": 10, - "profit_factor": 0.6792442510534411, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -1.18, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 8214, - "skipped_min_initial_risk": 0, - "sortino": -1.7241062363007238, - "start_date": "2019-08-01", - "total_return_pct": -48.3, - "trades": 201, - "transaction_cost": 185.4226186201824, - "turnover_multiple": 18.54226186201824, - "underwater_pct": 99.60474308300395, - "win_rate": 23.9 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 22.7071, - "avg_gross_exposure_pct": 77.2929, - "avg_hold_days": 12.4, - "avg_positions": 9.9365, - "blocked_fraction": 0.9761140819964349, - "cagr_pct": -49.9, - "calmar": -0.82, - "capacity_opportunities": 8415, - "end_date": "2020-07-30", - "ev_net_r": -0.2941752698729607, - "ev_without_best": { - "1": -0.35572432473673976, - "10": -0.698540541948094, - "5": -0.5450851937364598 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 28, - "trailing_stop": 51 - }, - "gain_to_pain": -0.6199767744110547, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 61.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 201, - "peak_positions": 10, - "profit_factor": 0.6660003198164961, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -1.24, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 8214, - "skipped_min_initial_risk": 0, - "sortino": -1.802778555811107, - "start_date": "2019-08-01", - "total_return_pct": -49.8, - "trades": 201, - "transaction_cost": 366.2613374431245, - "turnover_multiple": 18.313066872156224, - "underwater_pct": 99.60474308300395, - "win_rate": 23.9 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 26.0433, - "avg_gross_exposure_pct": 73.9567, - "avg_hold_days": 12.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.9772296015180265, - "cagr_pct": -56.1, - "calmar": -0.94, - "capacity_opportunities": 8959, - "end_date": "2020-08-31", - "ev_net_r": -0.3492523150256363, - "ev_without_best": { - "1": -0.41028363516116, - "10": -0.7182134281499726, - "5": -0.5960677834550471 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 24, - "trailing_stop": 65 - }, - "gain_to_pain": -0.6844253944082772, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 59.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.589946453974635, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -1.44, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 8755, - "skipped_min_initial_risk": 0, - "sortino": -2.058280680795811, - "start_date": "2019-09-03", - "total_return_pct": -55.9, - "trades": 204, - "transaction_cost": 186.3257294676022, - "turnover_multiple": 18.63257294676022, - "underwater_pct": 98.81422924901186, - "win_rate": 21.6 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 25.9912, - "avg_gross_exposure_pct": 74.0088, - "avg_hold_days": 12.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.9772296015180265, - "cagr_pct": -57.4, - "calmar": -0.94, - "capacity_opportunities": 8959, - "end_date": "2020-08-31", - "ev_net_r": -0.36407723427970407, - "ev_without_best": { - "1": -0.4250610418519334, - "10": -0.7326129747872084, - "5": -0.6105740287577812 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 24, - "trailing_stop": 65 - }, - "gain_to_pain": -0.6976207996237459, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 60.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5779880949293464, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -1.5, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 8755, - "skipped_min_initial_risk": 0, - "sortino": -2.1301599122395105, - "start_date": "2019-09-03", - "total_return_pct": -57.2, - "trades": 204, - "transaction_cost": 368.050030717182, - "turnover_multiple": 18.4025015358591, - "underwater_pct": 98.81422924901186, - "win_rate": 21.6 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 25.6235, - "avg_gross_exposure_pct": 74.3765, - "avg_hold_days": 13.6, - "avg_positions": 9.9365, - "blocked_fraction": 0.9791713832918271, - "cagr_pct": -38.5, - "calmar": -0.79, - "capacity_opportunities": 8834, - "end_date": "2020-09-29", - "ev_net_r": -0.16346373185326546, - "ev_without_best": { - "1": -0.23014990346167494, - "10": -0.5754601702565487, - "5": -0.4418636473724234 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 86, - "time": 22, - "trailing_stop": 66 - }, - "gain_to_pain": -0.4990004449567099, - "longest_underwater_sessions": 202, - "max_drawdown_pct": 48.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 184, - "peak_positions": 10, - "profit_factor": 0.7988256205608513, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.78, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 8650, - "skipped_min_initial_risk": 0, - "sortino": -1.130325294210742, - "start_date": "2019-10-01", - "total_return_pct": -38.4, - "trades": 184, - "transaction_cost": 199.08365952493276, - "turnover_multiple": 19.908365952493277, - "underwater_pct": 97.62845849802372, - "win_rate": 26.6 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 25.5743, - "avg_gross_exposure_pct": 74.4257, - "avg_hold_days": 13.6, - "avg_positions": 9.9365, - "blocked_fraction": 0.9791713832918271, - "cagr_pct": -40.1, - "calmar": -0.81, - "capacity_opportunities": 8834, - "end_date": "2020-09-29", - "ev_net_r": -0.17866532295432008, - "ev_without_best": { - "1": -0.2453008476856708, - "10": -0.5899123684271871, - "5": -0.4565502875393604 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 86, - "time": 22, - "trailing_stop": 66 - }, - "gain_to_pain": -0.5190192561177166, - "longest_underwater_sessions": 202, - "max_drawdown_pct": 49.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 184, - "peak_positions": 10, - "profit_factor": 0.782843387222551, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.83, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 8650, - "skipped_min_initial_risk": 0, - "sortino": -1.2014574191338727, - "start_date": "2019-10-01", - "total_return_pct": -40.0, - "trades": 184, - "transaction_cost": 393.7279372466428, - "turnover_multiple": 19.68639686233214, - "underwater_pct": 97.62845849802372, - "win_rate": 26.6 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 32.0053, - "avg_gross_exposure_pct": 67.9947, - "avg_hold_days": 12.8, - "avg_positions": 9.9563, - "blocked_fraction": 0.9792548687552921, - "cagr_pct": -40.4, - "calmar": -0.71, - "capacity_opportunities": 9448, - "end_date": "2020-10-30", - "ev_net_r": -0.21396168411279715, - "ev_without_best": { - "1": -0.3033342791486683, - "10": -0.6213925027716052, - "5": -0.4982531942614082 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 24, - "trailing_stop": 65 - }, - "gain_to_pain": -0.49230610484190374, - "longest_underwater_sessions": 215, - "max_drawdown_pct": 56.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 196, - "peak_positions": 10, - "profit_factor": 0.7321622269392972, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.58, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 9252, - "skipped_min_initial_risk": 0, - "sortino": -0.8245242204120075, - "start_date": "2019-11-01", - "total_return_pct": -40.3, - "trades": 196, - "transaction_cost": 220.9544855210737, - "turnover_multiple": 22.095448552107367, - "underwater_pct": 96.44268774703558, - "win_rate": 24.0 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 31.9447, - "avg_gross_exposure_pct": 68.0553, - "avg_hold_days": 12.8, - "avg_positions": 9.9563, - "blocked_fraction": 0.9792548687552921, - "cagr_pct": -41.9, - "calmar": -0.73, - "capacity_opportunities": 9448, - "end_date": "2020-10-30", - "ev_net_r": -0.2268363437933902, - "ev_without_best": { - "1": -0.3160523007726175, - "10": -0.633696202210407, - "5": -0.510656303105023 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 24, - "trailing_stop": 65 - }, - "gain_to_pain": -0.5113193399451431, - "longest_underwater_sessions": 215, - "max_drawdown_pct": 57.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 196, - "peak_positions": 10, - "profit_factor": 0.7191370683222769, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 9252, - "skipped_min_initial_risk": 0, - "sortino": -0.8813084402531469, - "start_date": "2019-11-01", - "total_return_pct": -41.8, - "trades": 196, - "transaction_cost": 437.2081794978425, - "turnover_multiple": 21.860408974892124, - "underwater_pct": 96.44268774703558, - "win_rate": 24.0 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 33.998, - "avg_gross_exposure_pct": 66.002, - "avg_hold_days": 14.4, - "avg_positions": 9.9365, - "blocked_fraction": 0.9821114672732912, - "cagr_pct": 3.6, - "calmar": 0.09, - "capacity_opportunities": 9671, - "end_date": "2020-11-30", - "ev_net_r": 0.05582513419154097, - "ev_without_best": { - "1": -0.013850915449703965, - "10": -0.40551531561998133, - "5": -0.23433689188124898 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 74, - "time": 29, - "trailing_stop": 60 - }, - "gain_to_pain": 0.24232463586862762, - "longest_underwater_sessions": 198, - "max_drawdown_pct": 39.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 173, - "peak_positions": 10, - "profit_factor": 1.076919911400204, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.36, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 9498, - "skipped_min_initial_risk": 0, - "sortino": 0.5140002023357171, - "start_date": "2019-12-02", - "total_return_pct": 3.6, - "trades": 173, - "transaction_cost": 213.33891268289818, - "turnover_multiple": 21.33389126828982, - "underwater_pct": 95.25691699604744, - "win_rate": 29.5 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2019-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 33.9434, - "avg_gross_exposure_pct": 66.0566, - "avg_hold_days": 14.4, - "avg_positions": 9.9365, - "blocked_fraction": 0.9821114672732912, - "cagr_pct": 1.4, - "calmar": 0.04, - "capacity_opportunities": 9671, - "end_date": "2020-11-30", - "ev_net_r": 0.04299159249280175, - "ev_without_best": { - "1": -0.026616803497838112, - "10": -0.41775338724697014, - "5": -0.2468188527698848 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 74, - "time": 29, - "trailing_stop": 60 - }, - "gain_to_pain": 0.19443649370645602, - "longest_underwater_sessions": 198, - "max_drawdown_pct": 39.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 173, - "peak_positions": 10, - "profit_factor": 1.0586008215282396, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.32, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 9498, - "skipped_min_initial_risk": 0, - "sortino": 0.4598996496794034, - "start_date": "2019-12-02", - "total_return_pct": 1.4, - "trades": 173, - "transaction_cost": 422.33987035198555, - "turnover_multiple": 21.11699351759928, - "underwater_pct": 95.25691699604744, - "win_rate": 28.9 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.5629, - "avg_gross_exposure_pct": 65.4371, - "avg_hold_days": 13.6, - "avg_positions": 9.9365, - "blocked_fraction": 0.9815594307476448, - "cagr_pct": -24.7, - "calmar": -0.67, - "capacity_opportunities": 9978, - "end_date": "2020-12-30", - "ev_net_r": -0.11994757437148608, - "ev_without_best": { - "1": -0.1863959527696126, - "10": -0.5535068367745195, - "5": -0.3910051650061896 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 84, - "time": 30, - "trailing_stop": 60 - }, - "gain_to_pain": -0.2658248869938283, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 36.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 184, - "peak_positions": 10, - "profit_factor": 0.8401315478937372, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.19, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 9794, - "skipped_min_initial_risk": 0, - "sortino": -0.26553154090959435, - "start_date": "2020-01-02", - "total_return_pct": -24.6, - "trades": 184, - "transaction_cost": 184.1182455100215, - "turnover_multiple": 18.411824551002148, - "underwater_pct": 98.02371541501977, - "win_rate": 26.1 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.5064, - "avg_gross_exposure_pct": 65.4936, - "avg_hold_days": 13.6, - "avg_positions": 9.9365, - "blocked_fraction": 0.9815594307476448, - "cagr_pct": -26.4, - "calmar": -0.71, - "capacity_opportunities": 9978, - "end_date": "2020-12-30", - "ev_net_r": -0.13233298424716733, - "ev_without_best": { - "1": -0.19871532679979043, - "10": -0.5654691480886305, - "5": -0.40313653065898797 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 84, - "time": 30, - "trailing_stop": 60 - }, - "gain_to_pain": -0.29016755617717016, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 37.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 184, - "peak_positions": 10, - "profit_factor": 0.8255475645779059, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.23, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 9794, - "skipped_min_initial_risk": 0, - "sortino": -0.31946321276939543, - "start_date": "2020-01-02", - "total_return_pct": -26.3, - "trades": 184, - "transaction_cost": 364.2899856200487, - "turnover_multiple": 18.214499281002436, - "underwater_pct": 98.02371541501977, - "win_rate": 25.5 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 34.539, - "avg_gross_exposure_pct": 65.461, - "avg_hold_days": 13.4, - "avg_positions": 9.9563, - "blocked_fraction": 0.9823134398940698, - "cagr_pct": -31.3, - "calmar": -0.7, - "capacity_opportunities": 10573, - "end_date": "2021-02-01", - "ev_net_r": -0.1625843712112797, - "ev_without_best": { - "1": -0.24511031126635863, - "10": -0.6539353950812025, - "5": -0.5085985530621715 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 28, - "trailing_stop": 62 - }, - "gain_to_pain": -0.3214292958018452, - "longest_underwater_sessions": 240, - "max_drawdown_pct": 44.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 187, - "peak_positions": 10, - "profit_factor": 0.8129576772917414, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.31, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 10386, - "skipped_min_initial_risk": 0, - "sortino": -0.42108248372399354, - "start_date": "2020-02-03", - "total_return_pct": -31.2, - "trades": 187, - "transaction_cost": 171.00702849923073, - "turnover_multiple": 17.100702849923074, - "underwater_pct": 99.2094861660079, - "win_rate": 26.7 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 34.4807, - "avg_gross_exposure_pct": 65.5193, - "avg_hold_days": 13.4, - "avg_positions": 9.9563, - "blocked_fraction": 0.9823134398940698, - "cagr_pct": -32.9, - "calmar": -0.73, - "capacity_opportunities": 10573, - "end_date": "2021-02-01", - "ev_net_r": -0.17531956083280367, - "ev_without_best": { - "1": -0.2577399496038839, - "10": -0.6661687889297434, - "5": -0.5210140003916733 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 28, - "trailing_stop": 62 - }, - "gain_to_pain": -0.3426473375563888, - "longest_underwater_sessions": 240, - "max_drawdown_pct": 45.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 187, - "peak_positions": 10, - "profit_factor": 0.8002739165588975, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.35, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 10386, - "skipped_min_initial_risk": 0, - "sortino": -0.4722727189517353, - "start_date": "2020-02-03", - "total_return_pct": -32.8, - "trades": 187, - "transaction_cost": 338.3573362940569, - "turnover_multiple": 16.917866814702844, - "underwater_pct": 99.2094861660079, - "win_rate": 26.7 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 37.1504, - "avg_gross_exposure_pct": 62.8496, - "avg_hold_days": 14.2, - "avg_positions": 9.9286, - "blocked_fraction": 0.9843708374034278, - "cagr_pct": -11.4, - "calmar": -0.36, - "capacity_opportunities": 11261, - "end_date": "2021-03-01", - "ev_net_r": -0.018100995936518715, - "ev_without_best": { - "1": -0.104359376901396, - "10": -0.5285735994423871, - "5": -0.34049569686564074 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 76, - "time": 31, - "trailing_stop": 59 - }, - "gain_to_pain": -0.0009027789608014625, - "longest_underwater_sessions": 86, - "max_drawdown_pct": 31.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.9772294278918359, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": 0.11, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 11085, - "skipped_min_initial_risk": 0, - "sortino": 0.15494851803047, - "start_date": "2020-03-02", - "total_return_pct": -11.3, - "trades": 176, - "transaction_cost": 189.3194102029396, - "turnover_multiple": 18.93194102029396, - "underwater_pct": 97.23320158102767, - "win_rate": 27.3 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 37.1002, - "avg_gross_exposure_pct": 62.8998, - "avg_hold_days": 14.2, - "avg_positions": 9.9286, - "blocked_fraction": 0.9843708374034278, - "cagr_pct": -13.3, - "calmar": -0.42, - "capacity_opportunities": 11261, - "end_date": "2021-03-01", - "ev_net_r": -0.030450815035015292, - "ev_without_best": { - "1": -0.1166366001311292, - "10": -0.5404568023330721, - "5": -0.3525533868049864 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 76, - "time": 31, - "trailing_stop": 59 - }, - "gain_to_pain": -0.02797681468976214, - "longest_underwater_sessions": 86, - "max_drawdown_pct": 31.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.9620855023723226, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": 0.08, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 11085, - "skipped_min_initial_risk": 0, - "sortino": 0.10616118907696252, - "start_date": "2020-03-02", - "total_return_pct": -13.2, - "trades": 176, - "transaction_cost": 374.69524815575386, - "turnover_multiple": 18.73476240778769, - "underwater_pct": 97.62845849802372, - "win_rate": 27.3 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 36.7475, - "avg_gross_exposure_pct": 63.2525, - "avg_hold_days": 15.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9862837548221175, - "cagr_pct": 15.7, - "calmar": 0.48, - "capacity_opportunities": 11665, - "end_date": "2021-03-31", - "ev_net_r": 0.1133248240267187, - "ev_without_best": { - "1": 0.01921293189533329, - "10": -0.4729853169741176, - "5": -0.2529448780891932 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 57, - "time": 25, - "trailing_stop": 68 - }, - "gain_to_pain": 0.4096172329511142, - "longest_underwater_sessions": 108, - "max_drawdown_pct": 32.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 160, - "peak_positions": 10, - "profit_factor": 1.1488179099890496, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.55, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 11505, - "skipped_min_initial_risk": 0, - "sortino": 0.7646813596313093, - "start_date": "2020-04-01", - "total_return_pct": 15.6, - "trades": 160, - "transaction_cost": 227.155185164519, - "turnover_multiple": 22.715518516451898, - "underwater_pct": 91.30434782608695, - "win_rate": 31.2 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 36.699, - "avg_gross_exposure_pct": 63.301, - "avg_hold_days": 15.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9862837548221175, - "cagr_pct": 13.5, - "calmar": 0.41, - "capacity_opportunities": 11665, - "end_date": "2021-03-31", - "ev_net_r": 0.10129851629382054, - "ev_without_best": { - "1": 0.007268559938530616, - "10": -0.48444950252408775, - "5": -0.2646135502885038 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 57, - "time": 25, - "trailing_stop": 68 - }, - "gain_to_pain": 0.3719600963445261, - "longest_underwater_sessions": 108, - "max_drawdown_pct": 33.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 160, - "peak_positions": 10, - "profit_factor": 1.1317494208994747, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.51, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 11505, - "skipped_min_initial_risk": 0, - "sortino": 0.7158726151168583, - "start_date": "2020-04-01", - "total_return_pct": 13.5, - "trades": 160, - "transaction_cost": 450.266029306263, - "turnover_multiple": 22.51330146531315, - "underwater_pct": 91.699604743083, - "win_rate": 31.2 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 36.5316, - "avg_gross_exposure_pct": 63.4684, - "avg_hold_days": 14.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9847652790079716, - "cagr_pct": -20.5, - "calmar": -0.41, - "capacity_opportunities": 11290, - "end_date": "2021-04-30", - "ev_net_r": -0.0764134357353385, - "ev_without_best": { - "1": -0.1977719961038216, - "10": -0.6963636756223917, - "5": -0.5265343843661242 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 74, - "time": 27, - "trailing_stop": 61 - }, - "gain_to_pain": -0.17768186010432138, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 49.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 172, - "peak_positions": 10, - "profit_factor": 0.9134368851983776, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.1, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 11118, - "skipped_min_initial_risk": 0, - "sortino": -0.13467740330336408, - "start_date": "2020-05-01", - "total_return_pct": -20.4, - "trades": 172, - "transaction_cost": 183.08854162880485, - "turnover_multiple": 18.308854162880483, - "underwater_pct": 97.23320158102767, - "win_rate": 26.7 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 36.4815, - "avg_gross_exposure_pct": 63.5185, - "avg_hold_days": 14.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9847652790079716, - "cagr_pct": -22.2, - "calmar": -0.44, - "capacity_opportunities": 11290, - "end_date": "2021-04-30", - "ev_net_r": -0.0888628122803117, - "ev_without_best": { - "1": -0.21012716491974934, - "10": -0.708251493547151, - "5": -0.5385539291753915 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 74, - "time": 27, - "trailing_stop": 61 - }, - "gain_to_pain": -0.20205687403512956, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 50.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 172, - "peak_positions": 10, - "profit_factor": 0.900257784656173, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.13, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 11118, - "skipped_min_initial_risk": 0, - "sortino": -0.18331249164374827, - "start_date": "2020-05-01", - "total_return_pct": -22.1, - "trades": 172, - "transaction_cost": 362.7806176852729, - "turnover_multiple": 18.139030884263644, - "underwater_pct": 97.23320158102767, - "win_rate": 26.7 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 34.9844, - "avg_gross_exposure_pct": 65.0156, - "avg_hold_days": 14.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9842023559492283, - "cagr_pct": 17.6, - "calmar": 0.51, - "capacity_opportunities": 10951, - "end_date": "2021-05-28", - "ev_net_r": 0.14977828700043042, - "ev_without_best": { - "1": 0.01587520352161749, - "10": -0.5256885612711861, - "5": -0.31738723252823187 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 75, - "time": 25, - "trailing_stop": 63 - }, - "gain_to_pain": 0.5315169743615655, - "longest_underwater_sessions": 139, - "max_drawdown_pct": 34.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 173, - "peak_positions": 10, - "profit_factor": 1.187455540220937, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.57, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 10778, - "skipped_min_initial_risk": 0, - "sortino": 0.8172901131086724, - "start_date": "2020-06-01", - "total_return_pct": 17.3, - "trades": 173, - "transaction_cost": 222.6614322545749, - "turnover_multiple": 22.26614322545749, - "underwater_pct": 95.25691699604744, - "win_rate": 27.2 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 34.9338, - "avg_gross_exposure_pct": 65.0662, - "avg_hold_days": 14.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9842023559492283, - "cagr_pct": 15.1, - "calmar": 0.43, - "capacity_opportunities": 10951, - "end_date": "2021-05-28", - "ev_net_r": 0.13689231930874804, - "ev_without_best": { - "1": 0.003101161482372526, - "10": -0.5379684602587947, - "5": -0.32983275264197903 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 75, - "time": 25, - "trailing_stop": 63 - }, - "gain_to_pain": 0.4784805678405285, - "longest_underwater_sessions": 139, - "max_drawdown_pct": 35.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 173, - "peak_positions": 10, - "profit_factor": 1.1695668222350746, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.54, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 10778, - "skipped_min_initial_risk": 0, - "sortino": 0.7643087217124854, - "start_date": "2020-06-01", - "total_return_pct": 14.9, - "trades": 173, - "transaction_cost": 440.7154256154861, - "turnover_multiple": 22.035771280774302, - "underwater_pct": 95.25691699604744, - "win_rate": 27.2 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 34.3454, - "avg_gross_exposure_pct": 65.6546, - "avg_hold_days": 14.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9849663490953589, - "cagr_pct": 22.2, - "calmar": 0.66, - "capacity_opportunities": 11441, - "end_date": "2021-06-30", - "ev_net_r": 0.17168900266506956, - "ev_without_best": { - "1": 0.049729735141971626, - "10": -0.4016334675234223, - "5": -0.22047432187032728 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 69, - "time": 25, - "trailing_stop": 68 - }, - "gain_to_pain": 0.6084900703367749, - "longest_underwater_sessions": 75, - "max_drawdown_pct": 33.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 172, - "peak_positions": 10, - "profit_factor": 1.2366514855632267, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.64, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 11269, - "skipped_min_initial_risk": 0, - "sortino": 0.9731702755222705, - "start_date": "2020-07-01", - "total_return_pct": 22.2, - "trades": 172, - "transaction_cost": 217.99726092198821, - "turnover_multiple": 21.799726092198824, - "underwater_pct": 93.67588932806325, - "win_rate": 31.4 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 34.293, - "avg_gross_exposure_pct": 65.707, - "avg_hold_days": 14.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9849663490953589, - "cagr_pct": 19.7, - "calmar": 0.58, - "capacity_opportunities": 11441, - "end_date": "2021-06-30", - "ev_net_r": 0.15896093106353518, - "ev_without_best": { - "1": 0.03709629512608987, - "10": -0.4138510594265273, - "5": -0.2328764069995119 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 69, - "time": 25, - "trailing_stop": 68 - }, - "gain_to_pain": 0.554239165366733, - "longest_underwater_sessions": 75, - "max_drawdown_pct": 33.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 172, - "peak_positions": 10, - "profit_factor": 1.216766654739319, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.61, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 11269, - "skipped_min_initial_risk": 0, - "sortino": 0.9287401904521247, - "start_date": "2020-07-01", - "total_return_pct": 19.6, - "trades": 172, - "transaction_cost": 431.4509896664698, - "turnover_multiple": 21.572549483323492, - "underwater_pct": 93.67588932806325, - "win_rate": 31.4 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 31.679, - "avg_gross_exposure_pct": 68.321, - "avg_hold_days": 13.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9828175519630485, - "cagr_pct": -27.0, - "calmar": -0.61, - "capacity_opportunities": 10825, - "end_date": "2021-08-02", - "ev_net_r": -0.12103844855543337, - "ev_without_best": { - "1": -0.23535067665094825, - "10": -0.600053320649488, - "5": -0.46699036596683524 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 25, - "trailing_stop": 64 - }, - "gain_to_pain": -0.32182195792782575, - "longest_underwater_sessions": 158, - "max_drawdown_pct": 44.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 186, - "peak_positions": 10, - "profit_factor": 0.8441457140377473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.06, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 10639, - "skipped_min_initial_risk": 0, - "sortino": -0.09302044487977346, - "start_date": "2020-08-03", - "total_return_pct": -26.9, - "trades": 186, - "transaction_cost": 197.88450330670636, - "turnover_multiple": 19.78845033067064, - "underwater_pct": 98.02371541501977, - "win_rate": 24.7 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 31.6197, - "avg_gross_exposure_pct": 68.3803, - "avg_hold_days": 13.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9828175519630485, - "cagr_pct": -28.8, - "calmar": -0.64, - "capacity_opportunities": 10825, - "end_date": "2021-08-02", - "ev_net_r": -0.1342776760377869, - "ev_without_best": { - "1": -0.24850519686159486, - "10": -0.6127883818885, - "5": -0.4799546629407979 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 25, - "trailing_stop": 64 - }, - "gain_to_pain": -0.3465417032564911, - "longest_underwater_sessions": 158, - "max_drawdown_pct": 44.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 186, - "peak_positions": 10, - "profit_factor": 0.8291355865240254, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.09, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 10639, - "skipped_min_initial_risk": 0, - "sortino": -0.1405602243203017, - "start_date": "2020-08-03", - "total_return_pct": -28.7, - "trades": 186, - "transaction_cost": 391.2826295825551, - "turnover_multiple": 19.564131479127756, - "underwater_pct": 98.02371541501977, - "win_rate": 24.7 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 28.0566, - "avg_gross_exposure_pct": 71.9434, - "avg_hold_days": 13.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9826648224988473, - "cagr_pct": -17.5, - "calmar": -0.35, - "capacity_opportunities": 10845, - "end_date": "2021-08-31", - "ev_net_r": -0.03668436498133164, - "ev_without_best": { - "1": -0.14932291104601694, - "10": -0.5174056766590467, - "5": -0.38188934785636347 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 27, - "trailing_stop": 62 - }, - "gain_to_pain": -0.1768628720252139, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 188, - "peak_positions": 10, - "profit_factor": 0.9518389339597957, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.1, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 10657, - "skipped_min_initial_risk": 0, - "sortino": 0.15873764526664702, - "start_date": "2020-09-01", - "total_return_pct": -17.4, - "trades": 188, - "transaction_cost": 241.11516140393286, - "turnover_multiple": 24.111516140393285, - "underwater_pct": 97.62845849802372, - "win_rate": 28.7 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 27.9889, - "avg_gross_exposure_pct": 72.0111, - "avg_hold_days": 13.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9826648224988473, - "cagr_pct": -19.6, - "calmar": -0.38, - "capacity_opportunities": 10845, - "end_date": "2021-08-31", - "ev_net_r": -0.050588095325083605, - "ev_without_best": { - "1": -0.16314639356942467, - "10": -0.5309191044275594, - "5": -0.3955128178520081 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 27, - "trailing_stop": 62 - }, - "gain_to_pain": -0.20947187297025344, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 51.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 188, - "peak_positions": 10, - "profit_factor": 0.9343625728786784, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.07, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 10657, - "skipped_min_initial_risk": 0, - "sortino": 0.1061783903401897, - "start_date": "2020-09-01", - "total_return_pct": -19.5, - "trades": 188, - "transaction_cost": 476.3822473190013, - "turnover_multiple": 23.819112365950065, - "underwater_pct": 98.02371541501977, - "win_rate": 28.7 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 27.5196, - "avg_gross_exposure_pct": 72.4804, - "avg_hold_days": 13.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9841185812599259, - "cagr_pct": -15.6, - "calmar": -0.3, - "capacity_opportunities": 11334, - "end_date": "2021-09-30", - "ev_net_r": -0.02163169820110877, - "ev_without_best": { - "1": -0.15125594593047947, - "10": -0.5253451478363701, - "5": -0.3843477404952818 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 80, - "time": 28, - "trailing_stop": 62 - }, - "gain_to_pain": -0.06786896938903275, - "longest_underwater_sessions": 76, - "max_drawdown_pct": 51.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 180, - "peak_positions": 10, - "profit_factor": 0.9711457545959281, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.06, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 11154, - "skipped_min_initial_risk": 0, - "sortino": 0.09427911734066576, - "start_date": "2020-10-01", - "total_return_pct": -15.5, - "trades": 180, - "transaction_cost": 249.89733775646553, - "turnover_multiple": 24.989733775646553, - "underwater_pct": 94.86166007905138, - "win_rate": 27.8 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 27.4529, - "avg_gross_exposure_pct": 72.5471, - "avg_hold_days": 13.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9841185812599259, - "cagr_pct": -17.7, - "calmar": -0.34, - "capacity_opportunities": 11334, - "end_date": "2021-09-30", - "ev_net_r": -0.03604327164074408, - "ev_without_best": { - "1": -0.16556849363563836, - "10": -0.5394058436650774, - "5": -0.3985390702756983 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 80, - "time": 28, - "trailing_stop": 62 - }, - "gain_to_pain": -0.09944890987606346, - "longest_underwater_sessions": 76, - "max_drawdown_pct": 52.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 180, - "peak_positions": 10, - "profit_factor": 0.9525415038956084, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.02, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 11154, - "skipped_min_initial_risk": 0, - "sortino": 0.032908947586443416, - "start_date": "2020-10-01", - "total_return_pct": -17.7, - "trades": 180, - "transaction_cost": 493.74366020195583, - "turnover_multiple": 24.68718301009779, - "underwater_pct": 94.86166007905138, - "win_rate": 27.8 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 24.9806, - "avg_gross_exposure_pct": 75.0194, - "avg_hold_days": 13.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9832650881253338, - "cagr_pct": -1.7, - "calmar": -0.03, - "capacity_opportunities": 11234, - "end_date": "2021-11-01", - "ev_net_r": 0.06802427881246245, - "ev_without_best": { - "1": -0.04405432798059828, - "10": -0.4481912645264286, - "5": -0.29979870707701145 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 90, - "time": 26, - "trailing_stop": 62 - }, - "gain_to_pain": 0.1466931586887355, - "longest_underwater_sessions": 98, - "max_drawdown_pct": 59.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 188, - "peak_positions": 10, - "profit_factor": 1.0976187876855186, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.29, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 11046, - "skipped_min_initial_risk": 0, - "sortino": 0.47167464512304624, - "start_date": "2020-11-02", - "total_return_pct": -1.7, - "trades": 188, - "transaction_cost": 328.4756728891366, - "turnover_multiple": 32.84756728891366, - "underwater_pct": 92.4901185770751, - "win_rate": 27.1 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 24.9153, - "avg_gross_exposure_pct": 75.0847, - "avg_hold_days": 13.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9832650881253338, - "cagr_pct": -4.4, - "calmar": -0.07, - "capacity_opportunities": 11234, - "end_date": "2021-11-01", - "ev_net_r": 0.05321873227854632, - "ev_without_best": { - "1": -0.05878444924064163, - "10": -0.4624868575204383, - "5": -0.31420614876285624 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 90, - "time": 26, - "trailing_stop": 62 - }, - "gain_to_pain": 0.10796279185909961, - "longest_underwater_sessions": 98, - "max_drawdown_pct": 60.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 188, - "peak_positions": 10, - "profit_factor": 1.0753029681164297, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.25, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 11046, - "skipped_min_initial_risk": 0, - "sortino": 0.40222464094005483, - "start_date": "2020-11-02", - "total_return_pct": -4.4, - "trades": 188, - "transaction_cost": 648.8861878171776, - "turnover_multiple": 32.44430939085888, - "underwater_pct": 92.4901185770751, - "win_rate": 26.6 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 22.9015, - "avg_gross_exposure_pct": 77.0985, - "avg_hold_days": 12.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9820156695156695, - "cagr_pct": -40.0, - "calmar": -0.61, - "capacity_opportunities": 11232, - "end_date": "2021-11-30", - "ev_net_r": -0.2019238190713012, - "ev_without_best": { - "1": -0.30753898110207795, - "10": -0.6099274421335685, - "5": -0.5037830532328108 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 101, - "time": 24, - "trailing_stop": 67 - }, - "gain_to_pain": -0.49256739136666405, - "longest_underwater_sessions": 118, - "max_drawdown_pct": 65.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 202, - "peak_positions": 10, - "profit_factor": 0.7463874793945263, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 11030, - "skipped_min_initial_risk": 0, - "sortino": -0.7525061586936572, - "start_date": "2020-12-01", - "total_return_pct": -39.9, - "trades": 202, - "transaction_cost": 288.0588455347045, - "turnover_multiple": 28.805884553470452, - "underwater_pct": 93.67588932806325, - "win_rate": 23.8 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2020-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 22.8286, - "avg_gross_exposure_pct": 77.1714, - "avg_hold_days": 12.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9820156695156695, - "cagr_pct": -41.8, - "calmar": -0.63, - "capacity_opportunities": 11232, - "end_date": "2021-11-30", - "ev_net_r": -0.2169752441513123, - "ev_without_best": { - "1": -0.3225214576862277, - "10": -0.6246123158552834, - "5": -0.5185201825995194 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 101, - "time": 24, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5132934392927785, - "longest_underwater_sessions": 118, - "max_drawdown_pct": 66.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 202, - "peak_positions": 10, - "profit_factor": 0.7311784241219674, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.52, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 11030, - "skipped_min_initial_risk": 0, - "sortino": -0.8202693221354672, - "start_date": "2020-12-01", - "total_return_pct": -41.7, - "trades": 202, - "transaction_cost": 568.6444150481705, - "turnover_multiple": 28.432220752408526, - "underwater_pct": 93.67588932806325, - "win_rate": 23.8 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.9107, - "avg_gross_exposure_pct": 79.0893, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9799601101719062, - "cagr_pct": -45.2, - "calmar": -0.65, - "capacity_opportunities": 10529, - "end_date": "2021-12-31", - "ev_net_r": -0.23713541899995788, - "ev_without_best": { - "1": -0.33839189122907587, - "10": -0.6264165355862756, - "5": -0.49272520747615256 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 111, - "time": 20, - "trailing_stop": 70 - }, - "gain_to_pain": -0.564129310908433, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 211, - "peak_positions": 10, - "profit_factor": 0.7114337126126775, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 10318, - "skipped_min_initial_risk": 0, - "sortino": -0.9713203624150463, - "start_date": "2021-01-04", - "total_return_pct": -44.8, - "trades": 211, - "transaction_cost": 297.72788966697794, - "turnover_multiple": 29.772788966697792, - "underwater_pct": 93.2806324110672, - "win_rate": 23.7 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.8408, - "avg_gross_exposure_pct": 79.1592, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9799601101719062, - "cagr_pct": -47.0, - "calmar": -0.67, - "capacity_opportunities": 10529, - "end_date": "2021-12-31", - "ev_net_r": -0.25277357841124587, - "ev_without_best": { - "1": -0.35396685105304554, - "10": -0.6418014964579889, - "5": -0.5081164894001722 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 111, - "time": 20, - "trailing_stop": 70 - }, - "gain_to_pain": -0.5828640184928373, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 211, - "peak_positions": 10, - "profit_factor": 0.6966245770364318, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.67, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 10318, - "skipped_min_initial_risk": 0, - "sortino": -1.0429959668410587, - "start_date": "2021-01-04", - "total_return_pct": -46.6, - "trades": 211, - "transaction_cost": 587.2930562179135, - "turnover_multiple": 29.364652810895677, - "underwater_pct": 93.2806324110672, - "win_rate": 23.7 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 19.0381, - "avg_gross_exposure_pct": 80.9619, - "avg_hold_days": 11.0, - "avg_positions": 9.9841, - "blocked_fraction": 0.9766273705791901, - "cagr_pct": -66.2, - "calmar": -0.85, - "capacity_opportunities": 9755, - "end_date": "2022-01-28", - "ev_net_r": -0.43957355891978506, - "ev_without_best": { - "1": -0.5341387452987921, - "10": -0.7567692598952346, - "5": -0.6659170395782973 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 17, - "trailing_stop": 75 - }, - "gain_to_pain": -0.7985533885117706, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 77.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 228, - "peak_positions": 10, - "profit_factor": 0.48760253959106, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -1.37, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 9527, - "skipped_min_initial_risk": 0, - "sortino": -2.0532812701607255, - "start_date": "2021-02-01", - "total_return_pct": -65.8, - "trades": 228, - "transaction_cost": 258.562897031052, - "turnover_multiple": 25.856289703105197, - "underwater_pct": 96.04743083003953, - "win_rate": 19.7 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 18.9685, - "avg_gross_exposure_pct": 81.0315, - "avg_hold_days": 11.0, - "avg_positions": 9.9841, - "blocked_fraction": 0.9766273705791901, - "cagr_pct": -67.4, - "calmar": -0.86, - "capacity_opportunities": 9755, - "end_date": "2022-01-28", - "ev_net_r": -0.4555012008338855, - "ev_without_best": { - "1": -0.5500091958876325, - "10": -0.7723282070953561, - "5": -0.6816840491477556 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 17, - "trailing_stop": 75 - }, - "gain_to_pain": -0.8076421696306818, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 78.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 228, - "peak_positions": 10, - "profit_factor": 0.4765212267722894, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -1.42, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 9527, - "skipped_min_initial_risk": 0, - "sortino": -2.123357036752365, - "start_date": "2021-02-01", - "total_return_pct": -67.0, - "trades": 228, - "transaction_cost": 509.6287776869519, - "turnover_multiple": 25.481438884347593, - "underwater_pct": 96.44268774703558, - "win_rate": 19.7 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 19.0502, - "avg_gross_exposure_pct": 80.9498, - "avg_hold_days": 10.9, - "avg_positions": 9.9841, - "blocked_fraction": 0.9751869108245748, - "cagr_pct": -73.3, - "calmar": -0.89, - "capacity_opportunities": 9229, - "end_date": "2022-02-25", - "ev_net_r": -0.5392487715818728, - "ev_without_best": { - "1": -0.6338363703568582, - "10": -0.8370984286351403, - "5": -0.7573581235136364 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.8037286150516115, - "longest_underwater_sessions": 178, - "max_drawdown_pct": 82.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 229, - "peak_positions": 10, - "profit_factor": 0.39975741393052083, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -1.77, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 9000, - "skipped_min_initial_risk": 0, - "sortino": -2.6072610862517642, - "start_date": "2021-03-01", - "total_return_pct": -72.9, - "trades": 229, - "transaction_cost": 250.782382826485, - "turnover_multiple": 25.0782382826485, - "underwater_pct": 98.02371541501977, - "win_rate": 17.9 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 18.9844, - "avg_gross_exposure_pct": 81.0156, - "avg_hold_days": 10.9, - "avg_positions": 9.9841, - "blocked_fraction": 0.9751869108245748, - "cagr_pct": -74.2, - "calmar": -0.89, - "capacity_opportunities": 9229, - "end_date": "2022-02-25", - "ev_net_r": -0.5553738934966048, - "ev_without_best": { - "1": -0.6499054179258298, - "10": -0.8528394518642695, - "5": -0.7733177026009626 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.8111917654859833, - "longest_underwater_sessions": 178, - "max_drawdown_pct": 83.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 229, - "peak_positions": 10, - "profit_factor": 0.39042314531082173, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -1.82, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 9000, - "skipped_min_initial_risk": 0, - "sortino": -2.6759198244997666, - "start_date": "2021-03-01", - "total_return_pct": -73.8, - "trades": 229, - "transaction_cost": 494.4365231238983, - "turnover_multiple": 24.721826156194915, - "underwater_pct": 98.02371541501977, - "win_rate": 17.5 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 15.8743, - "avg_gross_exposure_pct": 84.1257, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9777416404106108, - "cagr_pct": -65.4, - "calmar": -0.83, - "capacity_opportunities": 9839, - "end_date": "2022-03-30", - "ev_net_r": -0.4443496929959047, - "ev_without_best": { - "1": -0.5428408555743943, - "10": -0.8032255271474572, - "5": -0.6983516878292745 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 20, - "trailing_stop": 64 - }, - "gain_to_pain": -0.842802338159648, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 79.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 219, - "peak_positions": 10, - "profit_factor": 0.5129785422508055, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.28, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 9620, - "skipped_min_initial_risk": 0, - "sortino": -1.9196759121011715, - "start_date": "2021-04-01", - "total_return_pct": -65.2, - "trades": 219, - "transaction_cost": 238.96128711862633, - "turnover_multiple": 23.896128711862634, - "underwater_pct": 97.23320158102767, - "win_rate": 20.1 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 15.8048, - "avg_gross_exposure_pct": 84.1952, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9777416404106108, - "cagr_pct": -66.6, - "calmar": -0.84, - "capacity_opportunities": 9839, - "end_date": "2022-03-30", - "ev_net_r": -0.46082348172729365, - "ev_without_best": { - "1": -0.5592575971313944, - "10": -0.8193094333045535, - "5": -0.7146055574749423 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 20, - "trailing_stop": 64 - }, - "gain_to_pain": -0.8540945750662866, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 79.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 219, - "peak_positions": 10, - "profit_factor": 0.5018321050102764, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.33, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 9620, - "skipped_min_initial_risk": 0, - "sortino": -1.988631444601387, - "start_date": "2021-04-01", - "total_return_pct": -66.4, - "trades": 219, - "transaction_cost": 471.34352910649244, - "turnover_multiple": 23.567176455324624, - "underwater_pct": 97.23320158102767, - "win_rate": 20.1 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 16.3144, - "avg_gross_exposure_pct": 83.6856, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9758311238017541, - "cagr_pct": -76.2, - "calmar": -0.93, - "capacity_opportunities": 9806, - "end_date": "2022-04-29", - "ev_net_r": -0.5716515254279199, - "ev_without_best": { - "1": -0.6217983602216149, - "10": -0.8548649230694182, - "5": -0.7516519431884712 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 142, - "time": 23, - "trailing_stop": 62 - }, - "gain_to_pain": -0.8471946147709766, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 81.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 237, - "peak_positions": 10, - "profit_factor": 0.39016519122343823, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.9, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 9569, - "skipped_min_initial_risk": 0, - "sortino": -2.7345271708642107, - "start_date": "2021-05-03", - "total_return_pct": -75.8, - "trades": 237, - "transaction_cost": 215.24615925095026, - "turnover_multiple": 21.524615925095024, - "underwater_pct": 98.41897233201581, - "win_rate": 16.5 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 16.2394, - "avg_gross_exposure_pct": 83.7606, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9758311238017541, - "cagr_pct": -77.1, - "calmar": -0.93, - "capacity_opportunities": 9806, - "end_date": "2022-04-29", - "ev_net_r": -0.587913585510872, - "ev_without_best": { - "1": -0.6380034049573727, - "10": -0.8708372986738894, - "5": -0.767686837862962 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 142, - "time": 23, - "trailing_stop": 62 - }, - "gain_to_pain": -0.8526771158256433, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 82.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 237, - "peak_positions": 10, - "profit_factor": 0.3815648549810371, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.95, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 9569, - "skipped_min_initial_risk": 0, - "sortino": -2.803310495477438, - "start_date": "2021-05-03", - "total_return_pct": -76.7, - "trades": 237, - "transaction_cost": 424.4470215622954, - "turnover_multiple": 21.222351078114766, - "underwater_pct": 98.41897233201581, - "win_rate": 16.0 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 12.2063, - "avg_gross_exposure_pct": 87.7937, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9754646063896429, - "cagr_pct": -83.3, - "calmar": -0.96, - "capacity_opportunities": 9578, - "end_date": "2022-05-27", - "ev_net_r": -0.7348295959666873, - "ev_without_best": { - "1": -0.7861023783677591, - "10": -1.0060358913539933, - "5": -0.9157454395845356 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 17, - "trailing_stop": 63 - }, - "gain_to_pain": -0.8853248168840754, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 87.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 235, - "peak_positions": 10, - "profit_factor": 0.3109555084236481, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.94, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 9343, - "skipped_min_initial_risk": 0, - "sortino": -3.713505971748346, - "start_date": "2021-06-01", - "total_return_pct": -82.9, - "trades": 235, - "transaction_cost": 181.46141916868496, - "turnover_multiple": 18.146141916868494, - "underwater_pct": 98.81422924901186, - "win_rate": 18.3 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 12.1383, - "avg_gross_exposure_pct": 87.8617, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9754646063896429, - "cagr_pct": -84.0, - "calmar": -0.96, - "capacity_opportunities": 9578, - "end_date": "2022-05-27", - "ev_net_r": -0.751697058048742, - "ev_without_best": { - "1": -0.8029149249799901, - "10": -1.0226249621903634, - "5": -0.9323733531361209 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 17, - "trailing_stop": 63 - }, - "gain_to_pain": -0.888285135570003, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 87.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 235, - "peak_positions": 10, - "profit_factor": 0.30385744420068383, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.0, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 9343, - "skipped_min_initial_risk": 0, - "sortino": -3.780491794572554, - "start_date": "2021-06-01", - "total_return_pct": -83.6, - "trades": 235, - "transaction_cost": 357.7313035963271, - "turnover_multiple": 17.886565179816355, - "underwater_pct": 98.81422924901186, - "win_rate": 17.9 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 12.4481, - "avg_gross_exposure_pct": 87.5519, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9715575620767495, - "cagr_pct": -81.9, - "calmar": -1.0, - "capacity_opportunities": 8860, - "end_date": "2022-06-30", - "ev_net_r": -0.6560785396611796, - "ev_without_best": { - "1": -0.7131153882958223, - "10": -0.9710715877142613, - "5": -0.8589712184539585 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 164, - "time": 19, - "trailing_stop": 59 - }, - "gain_to_pain": -0.8756158659925648, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.37444331825114907, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.67, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 8608, - "skipped_min_initial_risk": 0, - "sortino": -4.217134429368595, - "start_date": "2021-07-01", - "total_return_pct": -81.8, - "trades": 252, - "transaction_cost": 208.33521035653632, - "turnover_multiple": 20.833521035653632, - "underwater_pct": 99.60474308300395, - "win_rate": 16.3 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 12.3834, - "avg_gross_exposure_pct": 87.6166, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9715575620767495, - "cagr_pct": -82.6, - "calmar": -1.0, - "capacity_opportunities": 8860, - "end_date": "2022-06-30", - "ev_net_r": -0.6727737252783031, - "ev_without_best": { - "1": -0.7296006545952973, - "10": -0.9870569528970997, - "5": -0.8752056425885975 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 164, - "time": 19, - "trailing_stop": 59 - }, - "gain_to_pain": -0.8799667883076475, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 82.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.3665597876267933, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.74, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 8608, - "skipped_min_initial_risk": 0, - "sortino": -4.289776354981637, - "start_date": "2021-07-01", - "total_return_pct": -82.5, - "trades": 252, - "transaction_cost": 410.6981775684891, - "turnover_multiple": 20.534908878424456, - "underwater_pct": 99.60474308300395, - "win_rate": 15.9 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 12.7503, - "avg_gross_exposure_pct": 87.2497, - "avg_hold_days": 10.4, - "avg_positions": 9.9921, - "blocked_fraction": 0.9756759473313901, - "cagr_pct": -87.0, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2022-08-01", - "ev_net_r": -0.7854018983448768, - "ev_without_best": { - "1": -0.8353952733831715, - "10": -1.0210642441711222, - "5": -0.940033909533222 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 154, - "time": 15, - "trailing_stop": 63 - }, - "gain_to_pain": -0.9225109850055792, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 87.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 242, - "peak_positions": 10, - "profit_factor": 0.28139288783152383, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.06, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 9707, - "skipped_min_initial_risk": 0, - "sortino": -4.4291892858273565, - "start_date": "2021-08-02", - "total_return_pct": -86.9, - "trades": 242, - "transaction_cost": 169.86435139785766, - "turnover_multiple": 16.986435139785765, - "underwater_pct": 99.60474308300395, - "win_rate": 16.5 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 12.7024, - "avg_gross_exposure_pct": 87.2976, - "avg_hold_days": 10.4, - "avg_positions": 9.9921, - "blocked_fraction": 0.9756759473313901, - "cagr_pct": -87.5, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2022-08-01", - "ev_net_r": -0.8018723963705229, - "ev_without_best": { - "1": -0.8518108038403728, - "10": -1.0371118564583528, - "5": -0.9560973121985585 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 154, - "time": 15, - "trailing_stop": 63 - }, - "gain_to_pain": -0.9249741893916922, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 87.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 242, - "peak_positions": 10, - "profit_factor": 0.2751331950343263, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.13, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 9707, - "skipped_min_initial_risk": 0, - "sortino": -4.49268691691206, - "start_date": "2021-08-02", - "total_return_pct": -87.4, - "trades": 242, - "transaction_cost": 335.25080705542, - "turnover_multiple": 16.762540352771, - "underwater_pct": 99.60474308300395, - "win_rate": 16.5 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 15.6042, - "avg_gross_exposure_pct": 84.3958, - "avg_hold_days": 10.4, - "avg_positions": 9.9841, - "blocked_fraction": 0.9779897285399853, - "cagr_pct": -86.1, - "calmar": -1.0, - "capacity_opportunities": 10904, - "end_date": "2022-08-31", - "ev_net_r": -0.7830968117321182, - "ev_without_best": { - "1": -0.8334988966593827, - "10": -1.0274678977171228, - "5": -0.9389957956409436 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 11, - "trailing_stop": 64 - }, - "gain_to_pain": -0.9419127330222024, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 86.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 240, - "peak_positions": 10, - "profit_factor": 0.27543647442734526, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.0, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 10664, - "skipped_min_initial_risk": 0, - "sortino": -4.359737647496574, - "start_date": "2021-09-01", - "total_return_pct": -86.0, - "trades": 240, - "transaction_cost": 162.18120023728366, - "turnover_multiple": 16.218120023728364, - "underwater_pct": 99.60474308300395, - "win_rate": 13.8 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 15.5449, - "avg_gross_exposure_pct": 84.4551, - "avg_hold_days": 10.4, - "avg_positions": 9.9841, - "blocked_fraction": 0.9779897285399853, - "cagr_pct": -86.6, - "calmar": -1.0, - "capacity_opportunities": 10904, - "end_date": "2022-08-31", - "ev_net_r": -0.799096313296728, - "ev_without_best": { - "1": -0.8494409999794059, - "10": -1.0430192174118698, - "5": -0.9545747160025811 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 11, - "trailing_stop": 64 - }, - "gain_to_pain": -0.9438102053316104, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 86.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 240, - "peak_positions": 10, - "profit_factor": 0.26953261317569444, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.07, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 10664, - "skipped_min_initial_risk": 0, - "sortino": -4.420319548841258, - "start_date": "2021-09-01", - "total_return_pct": -86.5, - "trades": 240, - "transaction_cost": 320.28823198361886, - "turnover_multiple": 16.014411599180942, - "underwater_pct": 99.60474308300395, - "win_rate": 13.3 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 15.3031, - "avg_gross_exposure_pct": 84.6969, - "avg_hold_days": 10.2, - "avg_positions": 9.996, - "blocked_fraction": 0.9771113602391629, - "cagr_pct": -83.3, - "calmar": -0.98, - "capacity_opportunities": 10704, - "end_date": "2022-09-30", - "ev_net_r": -0.6742195943388776, - "ev_without_best": { - "1": -0.7227163630930221, - "10": -0.9215311428984806, - "5": -0.8355815157634164 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 15, - "trailing_stop": 65 - }, - "gain_to_pain": -0.9798415225260131, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 85.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 245, - "peak_positions": 10, - "profit_factor": 0.33942222860092386, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -3.62, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 10459, - "skipped_min_initial_risk": 0, - "sortino": -4.10670338891921, - "start_date": "2021-10-01", - "total_return_pct": -83.2, - "trades": 245, - "transaction_cost": 171.04264418029024, - "turnover_multiple": 17.104264418029025, - "underwater_pct": 99.2094861660079, - "win_rate": 18.0 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 15.2549, - "avg_gross_exposure_pct": 84.7451, - "avg_hold_days": 10.2, - "avg_positions": 9.996, - "blocked_fraction": 0.9771113602391629, - "cagr_pct": -83.9, - "calmar": -0.98, - "capacity_opportunities": 10704, - "end_date": "2022-09-30", - "ev_net_r": -0.6898150959430978, - "ev_without_best": { - "1": -0.7381025566437076, - "10": -0.9365839770176402, - "5": -0.8506410334106025 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 15, - "trailing_stop": 65 - }, - "gain_to_pain": -0.9814152836810999, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 85.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 245, - "peak_positions": 10, - "profit_factor": 0.3318481487503779, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -3.69, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 10459, - "skipped_min_initial_risk": 0, - "sortino": -4.172532846827093, - "start_date": "2021-10-01", - "total_return_pct": -83.8, - "trades": 245, - "transaction_cost": 337.9144034027135, - "turnover_multiple": 16.895720170135675, - "underwater_pct": 99.2094861660079, - "win_rate": 18.0 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 14.3454, - "avg_gross_exposure_pct": 85.6546, - "avg_hold_days": 9.8, - "avg_positions": 10.0, - "blocked_fraction": 0.976863985539991, - "cagr_pct": -86.7, - "calmar": -1.0, - "capacity_opportunities": 11065, - "end_date": "2022-10-31", - "ev_net_r": -0.7590441666459437, - "ev_without_best": { - "1": -0.8061894437146889, - "10": -1.012196208421988, - "5": -0.9232080143147318 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 168, - "time": 12, - "trailing_stop": 66 - }, - "gain_to_pain": -0.8964394123985676, - "longest_underwater_sessions": 236, - "max_drawdown_pct": 86.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.3174216410974123, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.34, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 10809, - "skipped_min_initial_risk": 0, - "sortino": -3.910699092668288, - "start_date": "2021-11-01", - "total_return_pct": -86.6, - "trades": 256, - "transaction_cost": 175.83591511342914, - "turnover_multiple": 17.583591511342913, - "underwater_pct": 99.2094861660079, - "win_rate": 16.8 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 14.271, - "avg_gross_exposure_pct": 85.729, - "avg_hold_days": 9.8, - "avg_positions": 10.0, - "blocked_fraction": 0.976863985539991, - "cagr_pct": -87.3, - "calmar": -1.0, - "capacity_opportunities": 11065, - "end_date": "2022-10-31", - "ev_net_r": -0.7745764865677636, - "ev_without_best": { - "1": -0.8216661347655325, - "10": -1.0272440038600956, - "5": -0.9385364404266435 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 168, - "time": 12, - "trailing_stop": 66 - }, - "gain_to_pain": -0.898929528347413, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 87.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.31105732802621494, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.4, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 10809, - "skipped_min_initial_risk": 0, - "sortino": -3.970784750094275, - "start_date": "2021-11-01", - "total_return_pct": -87.2, - "trades": 256, - "transaction_cost": 346.94329934979356, - "turnover_multiple": 17.347164967489675, - "underwater_pct": 99.60474308300395, - "win_rate": 16.8 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 15.7265, - "avg_gross_exposure_pct": 84.2735, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.97847809377402, - "cagr_pct": -89.4, - "calmar": -1.0, - "capacity_opportunities": 11709, - "end_date": "2022-11-30", - "ev_net_r": -0.8320755130885139, - "ev_without_best": { - "1": -0.8802630708533451, - "10": -1.062714594663328, - "5": -0.9776387641470397 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 12, - "trailing_stop": 73 - }, - "gain_to_pain": -0.9401543576272889, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 89.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.26490538144754316, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.09, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 11457, - "skipped_min_initial_risk": 0, - "sortino": -4.4634475813488566, - "start_date": "2021-12-01", - "total_return_pct": -89.3, - "trades": 252, - "transaction_cost": 168.58647753565148, - "turnover_multiple": 16.858647753565148, - "underwater_pct": 99.60474308300395, - "win_rate": 17.9 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2021-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 15.6357, - "avg_gross_exposure_pct": 84.3643, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.97847809377402, - "cagr_pct": -89.8, - "calmar": -1.0, - "capacity_opportunities": 11709, - "end_date": "2022-11-30", - "ev_net_r": -0.8470830787013823, - "ev_without_best": { - "1": -0.8952120304247476, - "10": -1.0772288391199174, - "5": -0.9922674592627638 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 12, - "trailing_stop": 73 - }, - "gain_to_pain": -0.9419396227808483, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.25928027202970066, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.15, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 11457, - "skipped_min_initial_risk": 0, - "sortino": -4.519655344569472, - "start_date": "2021-12-01", - "total_return_pct": -89.7, - "trades": 252, - "transaction_cost": 332.8699155730729, - "turnover_multiple": 16.643495778653644, - "underwater_pct": 99.60474308300395, - "win_rate": 17.9 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 19.8476, - "avg_gross_exposure_pct": 80.1524, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9792634107285829, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 12490, - "end_date": "2023-01-03", - "ev_net_r": -0.8879575156466399, - "ev_without_best": { - "1": -0.9306803247320664, - "10": -1.1047400510179022, - "5": -1.0261664084291429 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 163, - "time": 12, - "trailing_stop": 74 - }, - "gain_to_pain": -0.9858307869862666, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 259, - "peak_positions": 10, - "profit_factor": 0.23390833932754188, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.47, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 12231, - "skipped_min_initial_risk": 0, - "sortino": -4.823157508087333, - "start_date": "2022-01-03", - "total_return_pct": -91.8, - "trades": 259, - "transaction_cost": 154.82862424648874, - "turnover_multiple": 15.482862424648873, - "underwater_pct": 98.41897233201581, - "win_rate": 16.6 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 19.7738, - "avg_gross_exposure_pct": 80.2262, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9792634107285829, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 12490, - "end_date": "2023-01-03", - "ev_net_r": -0.9022316525982511, - "ev_without_best": { - "1": -0.9448836411594418, - "10": -1.1184952658880711, - "5": -1.0400465441749094 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 163, - "time": 12, - "trailing_stop": 74 - }, - "gain_to_pain": -0.9869343174830466, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 259, - "peak_positions": 10, - "profit_factor": 0.22906181620841573, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.53, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 12231, - "skipped_min_initial_risk": 0, - "sortino": -4.875680308500706, - "start_date": "2022-01-03", - "total_return_pct": -92.1, - "trades": 259, - "transaction_cost": 305.72582949666554, - "turnover_multiple": 15.286291474833275, - "underwater_pct": 98.41897233201581, - "win_rate": 16.6 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 19.6248, - "avg_gross_exposure_pct": 80.3752, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9821479172570133, - "cagr_pct": -86.6, - "calmar": -0.96, - "capacity_opportunities": 14116, - "end_date": "2023-02-01", - "ev_net_r": -0.7353288576300373, - "ev_without_best": { - "1": -0.8547539830483946, - "10": -1.0943763565149984, - "5": -0.9946433949163925 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 153, - "time": 12, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8452412153436744, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.38903289754705844, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.85, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 13864, - "skipped_min_initial_risk": 0, - "sortino": -3.787742433641862, - "start_date": "2022-02-01", - "total_return_pct": -86.6, - "trades": 252, - "transaction_cost": 168.45451722019675, - "turnover_multiple": 16.845451722019675, - "underwater_pct": 99.60474308300395, - "win_rate": 19.4 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 19.5407, - "avg_gross_exposure_pct": 80.4593, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9821479172570133, - "cagr_pct": -87.1, - "calmar": -0.96, - "capacity_opportunities": 14116, - "end_date": "2023-02-01", - "ev_net_r": -0.7494935090502116, - "ev_without_best": { - "1": -0.8688461842736308, - "10": -1.1079913485721073, - "5": -1.008565224453444 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 153, - "time": 12, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8492856722873431, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.38275641124303383, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.9, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 13864, - "skipped_min_initial_risk": 0, - "sortino": -3.8421043669461565, - "start_date": "2022-02-01", - "total_return_pct": -87.1, - "trades": 252, - "transaction_cost": 332.90569155682175, - "turnover_multiple": 16.64528457784109, - "underwater_pct": 99.60474308300395, - "win_rate": 19.4 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 23.8318, - "avg_gross_exposure_pct": 76.1682, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9837002957607625, - "cagr_pct": -82.9, - "calmar": -0.94, - "capacity_opportunities": 15215, - "end_date": "2023-03-01", - "ev_net_r": -0.653092836664403, - "ev_without_best": { - "1": -0.7451944837197811, - "10": -1.0046133136144275, - "5": -0.8865241076852366 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 11, - "trailing_stop": 82 - }, - "gain_to_pain": -0.8650112828829035, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.43738924337775253, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.47, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 14967, - "skipped_min_initial_risk": 0, - "sortino": -3.319183958206275, - "start_date": "2022-03-01", - "total_return_pct": -82.9, - "trades": 248, - "transaction_cost": 174.32083607273177, - "turnover_multiple": 17.432083607273174, - "underwater_pct": 96.83794466403161, - "win_rate": 20.6 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 23.7534, - "avg_gross_exposure_pct": 76.2466, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9837002957607625, - "cagr_pct": -83.5, - "calmar": -0.94, - "capacity_opportunities": 15215, - "end_date": "2023-03-01", - "ev_net_r": -0.6663020953023235, - "ev_without_best": { - "1": -0.7583552043959194, - "10": -1.0173443802596345, - "5": -0.8994930560767979 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 11, - "trailing_stop": 82 - }, - "gain_to_pain": -0.8713352516558452, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 89.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.4307959707681414, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.52, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 14967, - "skipped_min_initial_risk": 0, - "sortino": -3.373286791036249, - "start_date": "2022-03-01", - "total_return_pct": -83.5, - "trades": 248, - "transaction_cost": 344.6928998823056, - "turnover_multiple": 17.23464499411528, - "underwater_pct": 96.83794466403161, - "win_rate": 20.6 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 26.4596, - "avg_gross_exposure_pct": 73.5404, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9839261506681298, - "cagr_pct": -85.9, - "calmar": -0.98, - "capacity_opportunities": 15491, - "end_date": "2023-04-03", - "ev_net_r": -0.7445392062156702, - "ev_without_best": { - "1": -0.8366382110230479, - "10": -1.0664287040172657, - "5": -0.9733257003091272 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 11, - "trailing_stop": 82 - }, - "gain_to_pain": -0.9262669725848895, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 87.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.3386864685873613, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.94, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 15242, - "skipped_min_initial_risk": 0, - "sortino": -3.9740416864525883, - "start_date": "2022-04-01", - "total_return_pct": -86.0, - "trades": 249, - "transaction_cost": 141.52108406253538, - "turnover_multiple": 14.152108406253538, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 26.3753, - "avg_gross_exposure_pct": 73.6247, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9839261506681298, - "cagr_pct": -86.4, - "calmar": -0.98, - "capacity_opportunities": 15491, - "end_date": "2023-04-03", - "ev_net_r": -0.7572204507349583, - "ev_without_best": { - "1": -0.8492689842089535, - "10": -1.0786017884164734, - "5": -0.9857484584568256 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 11, - "trailing_stop": 82 - }, - "gain_to_pain": -0.9282931080295106, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 88.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.33319373595801394, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.99, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 15242, - "skipped_min_initial_risk": 0, - "sortino": -4.02577031912988, - "start_date": "2022-04-01", - "total_return_pct": -86.5, - "trades": 249, - "transaction_cost": 279.9722114919356, - "turnover_multiple": 13.998610574596777, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 29.3408, - "avg_gross_exposure_pct": 70.6592, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9847638703411437, - "cagr_pct": -88.5, - "calmar": -0.99, - "capacity_opportunities": 16474, - "end_date": "2023-05-02", - "ev_net_r": -0.8061880005179224, - "ev_without_best": { - "1": -0.8977968084640501, - "10": -1.0881554058303702, - "5": -1.0076640034067719 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 144, - "time": 13, - "trailing_stop": 84 - }, - "gain_to_pain": -0.9323141059386333, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.299544207022335, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.08, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 16223, - "skipped_min_initial_risk": 0, - "sortino": -4.0994571377128945, - "start_date": "2022-05-02", - "total_return_pct": -88.5, - "trades": 251, - "transaction_cost": 135.72931560154706, - "turnover_multiple": 13.572931560154705, - "underwater_pct": 98.81422924901186, - "win_rate": 17.9 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 29.2733, - "avg_gross_exposure_pct": 70.7267, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9847638703411437, - "cagr_pct": -88.9, - "calmar": -1.0, - "capacity_opportunities": 16474, - "end_date": "2023-05-02", - "ev_net_r": -0.8182057769637959, - "ev_without_best": { - "1": -0.9097618634749145, - "10": -1.0997865976235248, - "5": -1.0195609636713208 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 144, - "time": 13, - "trailing_stop": 84 - }, - "gain_to_pain": -0.9340620923190112, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 89.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.2949222750766287, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.12, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 16223, - "skipped_min_initial_risk": 0, - "sortino": -4.145419925178007, - "start_date": "2022-05-02", - "total_return_pct": -88.8, - "trades": 251, - "transaction_cost": 268.5996509692097, - "turnover_multiple": 13.429982548460483, - "underwater_pct": 98.81422924901186, - "win_rate": 17.9 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 32.7612, - "avg_gross_exposure_pct": 67.2388, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861872273794877, - "cagr_pct": -88.0, - "calmar": -1.0, - "capacity_opportunities": 17882, - "end_date": "2023-06-01", - "ev_net_r": -0.7809626843984121, - "ev_without_best": { - "1": -0.8739585245220398, - "10": -1.0498687999588463, - "5": -0.9773619406457514 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 134, - "time": 13, - "trailing_stop": 90 - }, - "gain_to_pain": -0.9312666965344103, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.29260636190449407, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.02, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 17635, - "skipped_min_initial_risk": 0, - "sortino": -4.076594751823007, - "start_date": "2022-06-01", - "total_return_pct": -88.0, - "trades": 247, - "transaction_cost": 131.55788637558518, - "turnover_multiple": 13.155788637558516, - "underwater_pct": 99.2094861660079, - "win_rate": 19.4 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 32.6835, - "avg_gross_exposure_pct": 67.3165, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861872273794877, - "cagr_pct": -88.4, - "calmar": -1.0, - "capacity_opportunities": 17882, - "end_date": "2023-06-01", - "ev_net_r": -0.7924264903131126, - "ev_without_best": { - "1": -0.885366499829897, - "10": -1.0611421132910528, - "5": -0.9886914997935923 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 134, - "time": 13, - "trailing_stop": 90 - }, - "gain_to_pain": -0.9330258309671182, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.2880488056543978, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.06, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 17635, - "skipped_min_initial_risk": 0, - "sortino": -4.12073128611302, - "start_date": "2022-06-01", - "total_return_pct": -88.3, - "trades": 247, - "transaction_cost": 260.5306375193669, - "turnover_multiple": 13.026531875968345, - "underwater_pct": 99.2094861660079, - "win_rate": 19.4 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 35.5111, - "avg_gross_exposure_pct": 64.4889, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9878625797161078, - "cagr_pct": -88.1, - "calmar": -0.98, - "capacity_opportunities": 19444, - "end_date": "2023-07-03", - "ev_net_r": -0.8261159739731694, - "ev_without_best": { - "1": -0.9236569525263062, - "10": -1.1153460042495695, - "5": -1.03763976387211 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 13, - "trailing_stop": 87 - }, - "gain_to_pain": -0.931131349821585, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 89.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 236, - "peak_positions": 10, - "profit_factor": 0.29258835708381664, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.92, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 19208, - "skipped_min_initial_risk": 0, - "sortino": -3.842694995672278, - "start_date": "2022-07-01", - "total_return_pct": -88.2, - "trades": 236, - "transaction_cost": 134.03019809378938, - "turnover_multiple": 13.403019809378936, - "underwater_pct": 96.44268774703558, - "win_rate": 21.2 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 35.4391, - "avg_gross_exposure_pct": 64.5609, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9878625797161078, - "cagr_pct": -88.4, - "calmar": -0.99, - "capacity_opportunities": 19444, - "end_date": "2023-07-03", - "ev_net_r": -0.8372693263351704, - "ev_without_best": { - "1": -0.934750539854962, - "10": -1.126301172659295, - "5": -1.0486004606889334 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 13, - "trailing_stop": 87 - }, - "gain_to_pain": -0.9328310677419717, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 89.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 236, - "peak_positions": 10, - "profit_factor": 0.28823605421255627, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.95, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 19208, - "skipped_min_initial_risk": 0, - "sortino": -3.8824203192448903, - "start_date": "2022-07-01", - "total_return_pct": -88.5, - "trades": 236, - "transaction_cost": 265.6301449457582, - "turnover_multiple": 13.28150724728791, - "underwater_pct": 96.44268774703558, - "win_rate": 21.2 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 36.9289, - "avg_gross_exposure_pct": 63.0711, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9877988047808764, - "cagr_pct": -89.3, - "calmar": -0.98, - "capacity_opportunities": 20080, - "end_date": "2023-08-01", - "ev_net_r": -0.8131066716847136, - "ev_without_best": { - "1": -0.9080292400112904, - "10": -1.1776539890568862, - "5": -1.0923783895543517 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 132, - "time": 12, - "trailing_stop": 91 - }, - "gain_to_pain": -0.88398567028285, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 245, - "peak_positions": 10, - "profit_factor": 0.33283449484359595, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.7, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 19835, - "skipped_min_initial_risk": 0, - "sortino": -3.8469669386895124, - "start_date": "2022-08-01", - "total_return_pct": -89.3, - "trades": 245, - "transaction_cost": 112.11224983522703, - "turnover_multiple": 11.211224983522703, - "underwater_pct": 99.60474308300395, - "win_rate": 19.6 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 36.8676, - "avg_gross_exposure_pct": 63.1324, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9877988047808764, - "cagr_pct": -89.7, - "calmar": -0.98, - "capacity_opportunities": 20080, - "end_date": "2023-08-01", - "ev_net_r": -0.8246284696679114, - "ev_without_best": { - "1": -0.9194513798557373, - "10": -1.1889159539332972, - "5": -1.1036548241837756 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 132, - "time": 12, - "trailing_stop": 91 - }, - "gain_to_pain": -0.8871480788065861, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 245, - "peak_positions": 10, - "profit_factor": 0.328449894997608, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.73, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 19835, - "skipped_min_initial_risk": 0, - "sortino": -3.8872283437633057, - "start_date": "2022-08-01", - "total_return_pct": -89.7, - "trades": 245, - "transaction_cost": 222.09737145471095, - "turnover_multiple": 11.104868572735548, - "underwater_pct": 99.60474308300395, - "win_rate": 19.2 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 42.8744, - "avg_gross_exposure_pct": 57.1256, - "avg_hold_days": 9.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9870643737635063, - "cagr_pct": -92.2, - "calmar": -0.99, - "capacity_opportunities": 19713, - "end_date": "2023-09-01", - "ev_net_r": -0.8972700552801434, - "ev_without_best": { - "1": -0.9887868665214038, - "10": -1.1730159514720906, - "5": -1.1008887828295153 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 136, - "time": 12, - "trailing_stop": 97 - }, - "gain_to_pain": -0.9326851997405173, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 255, - "peak_positions": 10, - "profit_factor": 0.2622883173221618, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.47, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 19458, - "skipped_min_initial_risk": 0, - "sortino": -4.420361162555607, - "start_date": "2022-09-01", - "total_return_pct": -92.2, - "trades": 255, - "transaction_cost": 103.11179372166234, - "turnover_multiple": 10.311179372166235, - "underwater_pct": 99.2094861660079, - "win_rate": 19.6 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 42.8108, - "avg_gross_exposure_pct": 57.1892, - "avg_hold_days": 9.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9870643737635063, - "cagr_pct": -92.5, - "calmar": -0.99, - "capacity_opportunities": 19713, - "end_date": "2023-09-01", - "ev_net_r": -0.9082668452106977, - "ev_without_best": { - "1": -0.9996858549011398, - "10": -1.183798161350166, - "5": -1.1116899771388997 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 136, - "time": 12, - "trailing_stop": 97 - }, - "gain_to_pain": -0.9350624486904155, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 255, - "peak_positions": 10, - "profit_factor": 0.2587062064074142, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.5, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 19458, - "skipped_min_initial_risk": 0, - "sortino": -4.458392484642733, - "start_date": "2022-09-01", - "total_return_pct": -92.5, - "trades": 255, - "transaction_cost": 204.4160330074683, - "turnover_multiple": 10.220801650373414, - "underwater_pct": 99.2094861660079, - "win_rate": 19.6 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 46.2855, - "avg_gross_exposure_pct": 53.7145, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.987853454634866, - "cagr_pct": -83.2, - "calmar": -1.0, - "capacity_opportunities": 20335, - "end_date": "2023-10-03", - "ev_net_r": -0.6580833398818469, - "ev_without_best": { - "1": -0.7516040038651063, - "10": -1.0471275354266625, - "5": -0.944452074353395 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 17, - "trailing_stop": 90 - }, - "gain_to_pain": -0.919955550637095, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 83.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.4229766018995062, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.17, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 20088, - "skipped_min_initial_risk": 0, - "sortino": -3.287724164947288, - "start_date": "2022-10-03", - "total_return_pct": -83.2, - "trades": 247, - "transaction_cost": 127.78823617673967, - "turnover_multiple": 12.778823617673966, - "underwater_pct": 99.2094861660079, - "win_rate": 20.6 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 46.2393, - "avg_gross_exposure_pct": 53.7607, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.987853454634866, - "cagr_pct": -83.6, - "calmar": -1.0, - "capacity_opportunities": 20335, - "end_date": "2023-10-03", - "ev_net_r": -0.6686762109765177, - "ev_without_best": { - "1": -0.7620942509242338, - "10": -1.0573560629752181, - "5": -0.9547269596576841 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 17, - "trailing_stop": 90 - }, - "gain_to_pain": -0.9233520363450164, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 83.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.41787028658537945, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.21, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 20088, - "skipped_min_initial_risk": 0, - "sortino": -3.3303188230063276, - "start_date": "2022-10-03", - "total_return_pct": -83.6, - "trades": 247, - "transaction_cost": 253.2451314375292, - "turnover_multiple": 12.662256571876462, - "underwater_pct": 99.2094861660079, - "win_rate": 20.6 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 45.9283, - "avg_gross_exposure_pct": 54.0717, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9870207074209848, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 20186, - "end_date": "2023-11-01", - "ev_net_r": -0.8743380929203819, - "ev_without_best": { - "1": -0.9633125683721842, - "10": -1.1493514714172133, - "5": -1.0753853066200723 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 142, - "time": 13, - "trailing_stop": 97 - }, - "gain_to_pain": -0.9635325086339777, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.2674710857519097, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.59, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 19924, - "skipped_min_initial_risk": 0, - "sortino": -4.470441620505917, - "start_date": "2022-11-01", - "total_return_pct": -92.1, - "trades": 262, - "transaction_cost": 99.7389937231418, - "turnover_multiple": 9.97389937231418, - "underwater_pct": 99.60474308300395, - "win_rate": 19.1 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 45.878, - "avg_gross_exposure_pct": 54.122, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9870207074209848, - "cagr_pct": -92.3, - "calmar": -1.0, - "capacity_opportunities": 20186, - "end_date": "2023-11-01", - "ev_net_r": -0.8846088040582697, - "ev_without_best": { - "1": -0.9734853190782693, - "10": -1.1593776663861755, - "5": -1.0854251707930376 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 142, - "time": 13, - "trailing_stop": 97 - }, - "gain_to_pain": -0.9649100267419545, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.26397135252561477, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.63, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 19924, - "skipped_min_initial_risk": 0, - "sortino": -4.506266441471728, - "start_date": "2022-11-01", - "total_return_pct": -92.3, - "trades": 262, - "transaction_cost": 197.76201121189501, - "turnover_multiple": 9.88810056059475, - "underwater_pct": 99.60474308300395, - "win_rate": 19.1 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 51.4601, - "avg_gross_exposure_pct": 48.5399, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9872468475353459, - "cagr_pct": -90.9, - "calmar": -0.99, - "capacity_opportunities": 20936, - "end_date": "2023-12-01", - "ev_net_r": -0.8212496410294484, - "ev_without_best": { - "1": -0.9083520832889576, - "10": -1.0697565263899542, - "5": -0.9979279656269002 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 12, - "trailing_stop": 99 - }, - "gain_to_pain": -0.942758425786694, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 91.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.27690353915404464, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 20669, - "skipped_min_initial_risk": 0, - "sortino": -4.580981768008506, - "start_date": "2022-12-01", - "total_return_pct": -90.9, - "trades": 267, - "transaction_cost": 95.27374629258966, - "turnover_multiple": 9.527374629258967, - "underwater_pct": 98.41897233201581, - "win_rate": 19.1 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2022-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 51.4213, - "avg_gross_exposure_pct": 48.5787, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9872468475353459, - "cagr_pct": -91.2, - "calmar": -0.99, - "capacity_opportunities": 20936, - "end_date": "2023-12-01", - "ev_net_r": -0.830726188663146, - "ev_without_best": { - "1": -0.9177295262752692, - "10": -1.0790000865475107, - "5": -1.0072774739710502 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 12, - "trailing_stop": 99 - }, - "gain_to_pain": -0.9446807482747723, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 91.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.2734387523490719, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.55, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 20669, - "skipped_min_initial_risk": 0, - "sortino": -4.616474260010993, - "start_date": "2022-12-01", - "total_return_pct": -91.2, - "trades": 267, - "transaction_cost": 188.95950432832745, - "turnover_multiple": 9.447975216416372, - "underwater_pct": 98.41897233201581, - "win_rate": 19.1 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.9524, - "avg_gross_exposure_pct": 51.0476, - "avg_hold_days": 8.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9875310614128505, - "cagr_pct": -88.7, - "calmar": -0.97, - "capacity_opportunities": 22536, - "end_date": "2024-01-03", - "ev_net_r": -0.6914509760633553, - "ev_without_best": { - "1": -0.7737347295492959, - "10": -1.0442227195834275, - "5": -0.9606507325636138 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 162, - "time": 11, - "trailing_stop": 98 - }, - "gain_to_pain": -0.898136026885055, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 10, - "profit_factor": 0.3883900635952366, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.65, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 22255, - "skipped_min_initial_risk": 0, - "sortino": -3.936352291908873, - "start_date": "2023-01-03", - "total_return_pct": -88.7, - "trades": 281, - "transaction_cost": 130.17263181105898, - "turnover_multiple": 13.017263181105898, - "underwater_pct": 98.02371541501977, - "win_rate": 19.2 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.9077, - "avg_gross_exposure_pct": 51.0923, - "avg_hold_days": 8.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9875310614128505, - "cagr_pct": -89.0, - "calmar": -0.98, - "capacity_opportunities": 22536, - "end_date": "2024-01-03", - "ev_net_r": -0.7008405093688539, - "ev_without_best": { - "1": -0.7830298026743199, - "10": -1.053331507212409, - "5": -0.9698477768763241 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 162, - "time": 11, - "trailing_stop": 98 - }, - "gain_to_pain": -0.901537034448816, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 91.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 10, - "profit_factor": 0.38414096323789837, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.68, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 22255, - "skipped_min_initial_risk": 0, - "sortino": -3.9750561549042467, - "start_date": "2023-01-03", - "total_return_pct": -89.0, - "trades": 281, - "transaction_cost": 258.13587893649947, - "turnover_multiple": 12.906793946824973, - "underwater_pct": 98.02371541501977, - "win_rate": 19.2 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 50.7505, - "avg_gross_exposure_pct": 49.2495, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9881842722485286, - "cagr_pct": -90.0, - "calmar": -1.0, - "capacity_opportunities": 22597, - "end_date": "2024-02-01", - "ev_net_r": -0.7868224093196396, - "ev_without_best": { - "1": -0.8737954258960293, - "10": -1.0505123892363708, - "5": -0.9766605798267619 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 150, - "time": 15, - "trailing_stop": 92 - }, - "gain_to_pain": -0.9580543966956325, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.2950616745484053, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.35, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 22330, - "skipped_min_initial_risk": 0, - "sortino": -4.386688982791745, - "start_date": "2023-02-01", - "total_return_pct": -90.0, - "trades": 267, - "transaction_cost": 91.93540981816714, - "turnover_multiple": 9.193540981816714, - "underwater_pct": 99.60474308300395, - "win_rate": 18.7 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 50.7083, - "avg_gross_exposure_pct": 49.2917, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9881842722485286, - "cagr_pct": -90.3, - "calmar": -1.0, - "capacity_opportunities": 22597, - "end_date": "2024-02-01", - "ev_net_r": -0.7960257604528855, - "ev_without_best": { - "1": -0.8828986453273762, - "10": -1.0595231854975111, - "5": -0.9856950731338172 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 150, - "time": 15, - "trailing_stop": 92 - }, - "gain_to_pain": -0.9598733959118061, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.29148244596413586, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.39, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 22330, - "skipped_min_initial_risk": 0, - "sortino": -4.4212839652141485, - "start_date": "2023-02-01", - "total_return_pct": -90.3, - "trades": 267, - "transaction_cost": 182.39771355558148, - "turnover_multiple": 9.119885677779074, - "underwater_pct": 99.60474308300395, - "win_rate": 18.7 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 49.5, - "avg_gross_exposure_pct": 50.5, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9885820960319528, - "cagr_pct": -86.1, - "calmar": -0.98, - "capacity_opportunities": 23034, - "end_date": "2024-02-29", - "ev_net_r": -0.6828110494318723, - "ev_without_best": { - "1": -0.7707149083991695, - "10": -0.9733391842090647, - "5": -0.894568587506154 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 15, - "trailing_stop": 89 - }, - "gain_to_pain": -0.8886537151962884, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.36443875867120346, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.84, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 22771, - "skipped_min_initial_risk": 0, - "sortino": -3.8113842890355385, - "start_date": "2023-03-01", - "total_return_pct": -86.1, - "trades": 263, - "transaction_cost": 106.77905548493439, - "turnover_multiple": 10.677905548493438, - "underwater_pct": 99.60474308300395, - "win_rate": 20.2 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 49.4542, - "avg_gross_exposure_pct": 50.5458, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9885820960319528, - "cagr_pct": -86.5, - "calmar": -0.98, - "capacity_opportunities": 23034, - "end_date": "2024-02-29", - "ev_net_r": -0.6925476822846794, - "ev_without_best": { - "1": -0.780351916248215, - "10": -0.9828108051648051, - "5": -0.9040925131155158 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 15, - "trailing_stop": 89 - }, - "gain_to_pain": -0.8920528775803573, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.35998648151444873, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.88, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 22771, - "skipped_min_initial_risk": 0, - "sortino": -3.8505237514874744, - "start_date": "2023-03-01", - "total_return_pct": -86.5, - "trades": 263, - "transaction_cost": 211.76105358926054, - "turnover_multiple": 10.588052679463027, - "underwater_pct": 99.60474308300395, - "win_rate": 20.2 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 49.3904, - "avg_gross_exposure_pct": 50.6096, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9889248382279742, - "cagr_pct": -87.6, - "calmar": -0.98, - "capacity_opportunities": 24108, - "end_date": "2024-04-03", - "ev_net_r": -0.6996027330616635, - "ev_without_best": { - "1": -0.7862478561182864, - "10": -0.9802364222743298, - "5": -0.903821838528954 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 151, - "time": 17, - "trailing_stop": 89 - }, - "gain_to_pain": -0.8717078895042615, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 89.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.3575148070219976, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.92, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 23841, - "skipped_min_initial_risk": 0, - "sortino": -3.81961897625686, - "start_date": "2023-04-03", - "total_return_pct": -87.7, - "trades": 267, - "transaction_cost": 87.93259934440373, - "turnover_multiple": 8.793259934440371, - "underwater_pct": 99.60474308300395, - "win_rate": 19.9 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 49.3454, - "avg_gross_exposure_pct": 50.6546, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9889248382279742, - "cagr_pct": -88.0, - "calmar": -0.98, - "capacity_opportunities": 24108, - "end_date": "2024-04-03", - "ev_net_r": -0.70914357268085, - "ev_without_best": { - "1": -0.7956898327892803, - "10": -0.9894764316531327, - "5": -0.9131605409435657 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 151, - "time": 17, - "trailing_stop": 89 - }, - "gain_to_pain": -0.8752180892593682, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 89.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.35321309434012976, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.95, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 23841, - "skipped_min_initial_risk": 0, - "sortino": -3.857431650084343, - "start_date": "2023-04-03", - "total_return_pct": -88.0, - "trades": 267, - "transaction_cost": 174.37283455219452, - "turnover_multiple": 8.718641727609723, - "underwater_pct": 99.60474308300395, - "win_rate": 19.9 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 49.6958, - "avg_gross_exposure_pct": 50.3042, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9887828561861711, - "cagr_pct": -84.6, - "calmar": -0.99, - "capacity_opportunities": 23892, - "end_date": "2024-04-30", - "ev_net_r": -0.6244514825615419, - "ev_without_best": { - "1": -0.7104906266909858, - "10": -0.9065914836338701, - "5": -0.8307688689239948 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 159, - "time": 19, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9003693451468132, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 85.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 268, - "peak_positions": 10, - "profit_factor": 0.39628046619801266, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.71, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 23624, - "skipped_min_initial_risk": 0, - "sortino": -3.7118627142459566, - "start_date": "2023-05-01", - "total_return_pct": -84.5, - "trades": 268, - "transaction_cost": 102.43840027004664, - "turnover_multiple": 10.243840027004664, - "underwater_pct": 99.2094861660079, - "win_rate": 20.1 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 49.6517, - "avg_gross_exposure_pct": 50.3483, - "avg_hold_days": 9.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9887828561861711, - "cagr_pct": -85.0, - "calmar": -0.99, - "capacity_opportunities": 23892, - "end_date": "2024-04-30", - "ev_net_r": -0.6337777122578554, - "ev_without_best": { - "1": -0.7197175599298384, - "10": -0.9155896492128964, - "5": -0.839853912505131 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 159, - "time": 19, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9035151248057548, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 86.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 268, - "peak_positions": 10, - "profit_factor": 0.39145774447037407, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.74, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 23624, - "skipped_min_initial_risk": 0, - "sortino": -3.753189163549921, - "start_date": "2023-05-01", - "total_return_pct": -85.0, - "trades": 268, - "transaction_cost": 203.09347989109833, - "turnover_multiple": 10.154673994554916, - "underwater_pct": 99.2094861660079, - "win_rate": 19.8 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 48.8023, - "avg_gross_exposure_pct": 51.1977, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9890724057390724, - "cagr_pct": -83.7, - "calmar": -1.0, - "capacity_opportunities": 23976, - "end_date": "2024-05-31", - "ev_net_r": -0.6362495779069605, - "ev_without_best": { - "1": -0.7243118368261443, - "10": -0.9274072314052404, - "5": -0.8487701402362353 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 150, - "time": 21, - "trailing_stop": 81 - }, - "gain_to_pain": -0.8918454778019188, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 84.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.3990715532658792, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.69, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 23714, - "skipped_min_initial_risk": 0, - "sortino": -3.699262953136907, - "start_date": "2023-06-01", - "total_return_pct": -83.7, - "trades": 262, - "transaction_cost": 110.81128767217974, - "turnover_multiple": 11.081128767217974, - "underwater_pct": 99.2094861660079, - "win_rate": 21.4 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 48.7577, - "avg_gross_exposure_pct": 51.2423, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9890724057390724, - "cagr_pct": -84.1, - "calmar": -1.0, - "capacity_opportunities": 23976, - "end_date": "2024-05-31", - "ev_net_r": -0.6460297104028815, - "ev_without_best": { - "1": -0.7339921292786075, - "10": -0.9368738619692827, - "5": -0.8583111285557314 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 150, - "time": 21, - "trailing_stop": 81 - }, - "gain_to_pain": -0.8951232828578983, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 84.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.3941138542244708, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.73, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 23714, - "skipped_min_initial_risk": 0, - "sortino": -3.740597593525881, - "start_date": "2023-06-01", - "total_return_pct": -84.1, - "trades": 262, - "transaction_cost": 219.64844788035563, - "turnover_multiple": 10.982422394017782, - "underwater_pct": 99.2094861660079, - "win_rate": 21.0 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 47.8753, - "avg_gross_exposure_pct": 52.1247, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9887326366490345, - "cagr_pct": -78.8, - "calmar": -0.99, - "capacity_opportunities": 23253, - "end_date": "2024-07-02", - "ev_net_r": -0.5569814138652841, - "ev_without_best": { - "1": -0.6097026545749117, - "10": -0.8190220764741599, - "5": -0.7301324875329922 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 154, - "time": 18, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9131422623681238, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 79.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.41971149626060467, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.8, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 22991, - "skipped_min_initial_risk": 0, - "sortino": -3.518430852717756, - "start_date": "2023-07-03", - "total_return_pct": -78.8, - "trades": 262, - "transaction_cost": 114.7505896852049, - "turnover_multiple": 11.47505896852049, - "underwater_pct": 99.2094861660079, - "win_rate": 20.6 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 47.8279, - "avg_gross_exposure_pct": 52.1721, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9887326366490345, - "cagr_pct": -79.3, - "calmar": -0.99, - "capacity_opportunities": 23253, - "end_date": "2024-07-02", - "ev_net_r": -0.5663732812852905, - "ev_without_best": { - "1": -0.619066920932616, - "10": -0.8281022971554708, - "5": -0.7393301831225415 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 154, - "time": 18, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9152915039696977, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 80.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.41421467715736326, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.85, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 22991, - "skipped_min_initial_risk": 0, - "sortino": -3.563700479183536, - "start_date": "2023-07-03", - "total_return_pct": -79.3, - "trades": 262, - "transaction_cost": 227.44644685009632, - "turnover_multiple": 11.372322342504816, - "underwater_pct": 99.2094861660079, - "win_rate": 20.6 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 47.751, - "avg_gross_exposure_pct": 52.249, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9890133470666495, - "cagr_pct": -77.4, - "calmar": -0.98, - "capacity_opportunities": 23301, - "end_date": "2024-07-31", - "ev_net_r": -0.5377702589084579, - "ev_without_best": { - "1": -0.5930748608093007, - "10": -0.8520640956144965, - "5": -0.7486454753865626 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 21, - "trailing_stop": 79 - }, - "gain_to_pain": -0.8929207807033963, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.4621722986543381, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.51, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 23045, - "skipped_min_initial_risk": 0, - "sortino": -3.2438285027336833, - "start_date": "2023-08-01", - "total_return_pct": -77.4, - "trades": 256, - "transaction_cost": 103.96688883155609, - "turnover_multiple": 10.396688883155608, - "underwater_pct": 99.2094861660079, - "win_rate": 21.1 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 47.7044, - "avg_gross_exposure_pct": 52.2956, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9890133470666495, - "cagr_pct": -77.9, - "calmar": -0.98, - "capacity_opportunities": 23301, - "end_date": "2024-07-31", - "ev_net_r": -0.547051795478004, - "ev_without_best": { - "1": -0.6022888950765474, - "10": -0.860903599661509, - "5": -0.7577259510179472 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 21, - "trailing_stop": 79 - }, - "gain_to_pain": -0.8965826816585474, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.4566129041425223, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.55, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 23045, - "skipped_min_initial_risk": 0, - "sortino": -3.285968366217046, - "start_date": "2023-08-01", - "total_return_pct": -77.9, - "trades": 256, - "transaction_cost": 206.09162845690872, - "turnover_multiple": 10.304581422845438, - "underwater_pct": 99.2094861660079, - "win_rate": 21.1 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 46.034, - "avg_gross_exposure_pct": 53.966, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9891675196178779, - "cagr_pct": -78.8, - "calmar": -1.0, - "capacity_opportunities": 23448, - "end_date": "2024-09-03", - "ev_net_r": -0.5726579201175643, - "ev_without_best": { - "1": -0.6352985634247535, - "10": -0.9002644658964234, - "5": -0.794249406331635 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 144, - "time": 19, - "trailing_stop": 81 - }, - "gain_to_pain": -0.8857348302649691, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 79.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 254, - "peak_positions": 10, - "profit_factor": 0.4516928823086692, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.52, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 23194, - "skipped_min_initial_risk": 0, - "sortino": -3.222891742984168, - "start_date": "2023-09-01", - "total_return_pct": -79.0, - "trades": 254, - "transaction_cost": 110.64354240407675, - "turnover_multiple": 11.064354240407676, - "underwater_pct": 99.60474308300395, - "win_rate": 20.5 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 45.9819, - "avg_gross_exposure_pct": 54.0181, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9891675196178779, - "cagr_pct": -79.3, - "calmar": -1.0, - "capacity_opportunities": 23448, - "end_date": "2024-09-03", - "ev_net_r": -0.5826314942513777, - "ev_without_best": { - "1": -0.6452376741738883, - "10": -0.9098000702741531, - "5": -0.8040257789657139 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 144, - "time": 19, - "trailing_stop": 81 - }, - "gain_to_pain": -0.8890531478010807, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 79.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 254, - "peak_positions": 10, - "profit_factor": 0.44613603811219943, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.56, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 23194, - "skipped_min_initial_risk": 0, - "sortino": -3.265784045996076, - "start_date": "2023-09-01", - "total_return_pct": -79.6, - "trades": 254, - "transaction_cost": 219.14277262100111, - "turnover_multiple": 10.957138631050054, - "underwater_pct": 99.60474308300395, - "win_rate": 20.5 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 45.156, - "avg_gross_exposure_pct": 54.844, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9894706176127851, - "cagr_pct": -81.5, - "calmar": -1.0, - "capacity_opportunities": 24028, - "end_date": "2024-10-01", - "ev_net_r": -0.5973593366911532, - "ev_without_best": { - "1": -0.6603465754740597, - "10": -0.9273305767560812, - "5": -0.8203423493934577 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 19, - "trailing_stop": 79 - }, - "gain_to_pain": -0.892838624642082, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 253, - "peak_positions": 10, - "profit_factor": 0.43123757540757635, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.29, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 23775, - "skipped_min_initial_risk": 0, - "sortino": -2.8486367390515217, - "start_date": "2023-10-02", - "total_return_pct": -81.4, - "trades": 253, - "transaction_cost": 111.68442095312284, - "turnover_multiple": 11.168442095312285, - "underwater_pct": 99.60474308300395, - "win_rate": 20.2 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 45.0966, - "avg_gross_exposure_pct": 54.9034, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9894706176127851, - "cagr_pct": -81.9, - "calmar": -1.0, - "capacity_opportunities": 24028, - "end_date": "2024-10-01", - "ev_net_r": -0.606931453998318, - "ev_without_best": { - "1": -0.6698824995544376, - "10": -0.9364464011054233, - "5": -0.8297083761459165 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 19, - "trailing_stop": 79 - }, - "gain_to_pain": -0.8958055119207736, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 253, - "peak_positions": 10, - "profit_factor": 0.4260726179853615, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.32, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 23775, - "skipped_min_initial_risk": 0, - "sortino": -2.8858733774115803, - "start_date": "2023-10-02", - "total_return_pct": -81.9, - "trades": 253, - "transaction_cost": 221.1462729155681, - "turnover_multiple": 11.057313645778404, - "underwater_pct": 99.60474308300395, - "win_rate": 20.2 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 46.1648, - "avg_gross_exposure_pct": 53.8352, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9906077348066298, - "cagr_pct": -76.2, - "calmar": -1.0, - "capacity_opportunities": 25340, - "end_date": "2024-10-31", - "ev_net_r": -0.5430545404880195, - "ev_without_best": { - "1": -0.6097991792099153, - "10": -0.8923526254605904, - "5": -0.7792273437891176 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 134, - "time": 21, - "trailing_stop": 73 - }, - "gain_to_pain": -0.87096688129925, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 76.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 238, - "peak_positions": 10, - "profit_factor": 0.46203053502365915, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.92, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 25102, - "skipped_min_initial_risk": 0, - "sortino": -2.4801250865700837, - "start_date": "2023-11-01", - "total_return_pct": -76.2, - "trades": 238, - "transaction_cost": 129.4295395971484, - "turnover_multiple": 12.94295395971484, - "underwater_pct": 99.60474308300395, - "win_rate": 20.2 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 46.0942, - "avg_gross_exposure_pct": 53.9058, - "avg_hold_days": 10.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9906077348066298, - "cagr_pct": -76.8, - "calmar": -1.0, - "capacity_opportunities": 25340, - "end_date": "2024-10-31", - "ev_net_r": -0.5522503541324756, - "ev_without_best": { - "1": -0.6189549211378607, - "10": -0.9010456223270727, - "5": -0.7881957240606954 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 134, - "time": 21, - "trailing_stop": 73 - }, - "gain_to_pain": -0.8753602192364136, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 76.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 238, - "peak_positions": 10, - "profit_factor": 0.45654201461729854, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.96, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 25102, - "skipped_min_initial_risk": 0, - "sortino": -2.516412768069598, - "start_date": "2023-11-01", - "total_return_pct": -76.7, - "trades": 238, - "transaction_cost": 256.47978394210384, - "turnover_multiple": 12.823989197105192, - "underwater_pct": 99.60474308300395, - "win_rate": 20.2 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 47.1097, - "avg_gross_exposure_pct": 52.8903, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9910534024781283, - "cagr_pct": -75.0, - "calmar": -1.0, - "capacity_opportunities": 25261, - "end_date": "2024-12-02", - "ev_net_r": -0.5630009398076513, - "ev_without_best": { - "1": -0.6257916249881585, - "10": -0.8754023798203734, - "5": -0.7642884412732762 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 122, - "time": 21, - "trailing_stop": 73 - }, - "gain_to_pain": -0.8866384724423934, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 75.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 226, - "peak_positions": 10, - "profit_factor": 0.4262319612809592, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.89, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 25035, - "skipped_min_initial_risk": 0, - "sortino": -2.418487570965372, - "start_date": "2023-12-01", - "total_return_pct": -75.2, - "trades": 226, - "transaction_cost": 134.9260060598277, - "turnover_multiple": 13.49260060598277, - "underwater_pct": 99.60474308300395, - "win_rate": 20.4 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2023-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 47.0285, - "avg_gross_exposure_pct": 52.9715, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9910534024781283, - "cagr_pct": -75.5, - "calmar": -1.0, - "capacity_opportunities": 25261, - "end_date": "2024-12-02", - "ev_net_r": -0.5721122745651589, - "ev_without_best": { - "1": -0.6348257006838954, - "10": -0.884076316447036, - "5": -0.7730983365867592 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 122, - "time": 21, - "trailing_stop": 73 - }, - "gain_to_pain": -0.8905164550830419, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 75.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 226, - "peak_positions": 10, - "profit_factor": 0.4210220857952479, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.92, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 25035, - "skipped_min_initial_risk": 0, - "sortino": -2.452084124065233, - "start_date": "2023-12-01", - "total_return_pct": -75.7, - "trades": 226, - "transaction_cost": 267.5865581246795, - "turnover_multiple": 13.379327906233977, - "underwater_pct": 99.60474308300395, - "win_rate": 20.4 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.7739, - "avg_gross_exposure_pct": 53.2261, - "avg_hold_days": 10.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9911163394450755, - "cagr_pct": -66.2, - "calmar": -0.9, - "capacity_opportunities": 24652, - "end_date": "2024-12-31", - "ev_net_r": -0.44112042501061133, - "ev_without_best": { - "1": -0.5053682399226161, - "10": -0.824678214803962, - "5": -0.6890940000614767 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 19, - "trailing_stop": 80 - }, - "gain_to_pain": -0.7312706781758965, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 219, - "peak_positions": 10, - "profit_factor": 0.5486637700122572, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.3, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 24433, - "skipped_min_initial_risk": 0, - "sortino": -1.7695413834261404, - "start_date": "2024-01-02", - "total_return_pct": -66.1, - "trades": 219, - "transaction_cost": 141.4298419395361, - "turnover_multiple": 14.142984193953609, - "underwater_pct": 98.02371541501977, - "win_rate": 22.8 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.6779, - "avg_gross_exposure_pct": 53.3221, - "avg_hold_days": 10.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9911163394450755, - "cagr_pct": -66.9, - "calmar": -0.91, - "capacity_opportunities": 24652, - "end_date": "2024-12-31", - "ev_net_r": -0.45009132469620056, - "ev_without_best": { - "1": -0.5142587555532957, - "10": -0.8331891037650282, - "5": -0.6977952598987185 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 19, - "trailing_stop": 80 - }, - "gain_to_pain": -0.7374229302543128, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 73.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 219, - "peak_positions": 10, - "profit_factor": 0.5424523791910485, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.33, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 24433, - "skipped_min_initial_risk": 0, - "sortino": -1.8034746451831047, - "start_date": "2024-01-02", - "total_return_pct": -66.8, - "trades": 219, - "transaction_cost": 280.6456741335325, - "turnover_multiple": 14.032283706676626, - "underwater_pct": 98.02371541501977, - "win_rate": 22.4 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 46.6943, - "avg_gross_exposure_pct": 53.3057, - "avg_hold_days": 10.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9912124402688912, - "cagr_pct": -71.7, - "calmar": -0.94, - "capacity_opportunities": 24694, - "end_date": "2025-02-03", - "ev_net_r": -0.5440178640589479, - "ev_without_best": { - "1": -0.6093369431786952, - "10": -0.8758651207521859, - "5": -0.7749019123275355 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 16, - "trailing_stop": 83 - }, - "gain_to_pain": -0.9087843284330597, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 76.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 217, - "peak_positions": 10, - "profit_factor": 0.4418062328242228, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.63, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 24477, - "skipped_min_initial_risk": 0, - "sortino": -2.1828257527654245, - "start_date": "2024-02-01", - "total_return_pct": -72.0, - "trades": 217, - "transaction_cost": 126.16210293341942, - "turnover_multiple": 12.616210293341942, - "underwater_pct": 98.41897233201581, - "win_rate": 23.0 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 46.5663, - "avg_gross_exposure_pct": 53.4337, - "avg_hold_days": 10.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9912124402688912, - "cagr_pct": -72.3, - "calmar": -0.94, - "capacity_opportunities": 24694, - "end_date": "2025-02-03", - "ev_net_r": -0.5526548735476559, - "ev_without_best": { - "1": -0.6178912785277402, - "10": -0.8840140110053539, - "5": -0.7832661887444686 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 16, - "trailing_stop": 83 - }, - "gain_to_pain": -0.9130396111201916, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 77.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 217, - "peak_positions": 10, - "profit_factor": 0.43651603474049866, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.66, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 24477, - "skipped_min_initial_risk": 0, - "sortino": -2.2145193697470194, - "start_date": "2024-02-01", - "total_return_pct": -72.5, - "trades": 217, - "transaction_cost": 250.5459398584776, - "turnover_multiple": 12.52729699292388, - "underwater_pct": 98.41897233201581, - "win_rate": 22.6 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 45.7025, - "avg_gross_exposure_pct": 54.2975, - "avg_hold_days": 11.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9911379824416101, - "cagr_pct": -74.4, - "calmar": -0.99, - "capacity_opportunities": 24148, - "end_date": "2025-03-04", - "ev_net_r": -0.5926812685128943, - "ev_without_best": { - "1": -0.6591488013500744, - "10": -0.912613364742679, - "5": -0.8238172067532485 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 16, - "trailing_stop": 80 - }, - "gain_to_pain": -0.900514285540186, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 75.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.37862323678380355, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.84, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 23934, - "skipped_min_initial_risk": 0, - "sortino": -2.472013299387592, - "start_date": "2024-03-01", - "total_return_pct": -74.7, - "trades": 214, - "transaction_cost": 113.40787057882095, - "turnover_multiple": 11.340787057882094, - "underwater_pct": 99.2094861660079, - "win_rate": 19.6 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 45.556, - "avg_gross_exposure_pct": 54.444, - "avg_hold_days": 11.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9911379824416101, - "cagr_pct": -74.9, - "calmar": -0.99, - "capacity_opportunities": 24148, - "end_date": "2025-03-04", - "ev_net_r": -0.6012562111530712, - "ev_without_best": { - "1": -0.6676396140324309, - "10": -0.920772425121414, - "5": -0.8321108033658987 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 16, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9031224741093075, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 75.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.37391427943058375, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.87, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 23934, - "skipped_min_initial_risk": 0, - "sortino": -2.5035450202574863, - "start_date": "2024-03-01", - "total_return_pct": -75.2, - "trades": 214, - "transaction_cost": 225.24349009434914, - "turnover_multiple": 11.262174504717457, - "underwater_pct": 99.2094861660079, - "win_rate": 18.7 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 42.7948, - "avg_gross_exposure_pct": 57.2052, - "avg_hold_days": 10.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9904610492845787, - "cagr_pct": -81.9, - "calmar": -1.0, - "capacity_opportunities": 23273, - "end_date": "2025-04-01", - "ev_net_r": -0.7203993564921519, - "ev_without_best": { - "1": -0.7850387346925981, - "10": -1.0477013820316656, - "5": -0.9499995977266992 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 123, - "time": 17, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9325329464597338, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 222, - "peak_positions": 10, - "profit_factor": 0.3244237974762964, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.42, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 23051, - "skipped_min_initial_risk": 0, - "sortino": -3.16388394720462, - "start_date": "2024-04-01", - "total_return_pct": -81.9, - "trades": 222, - "transaction_cost": 98.9074808849796, - "turnover_multiple": 9.890748088497961, - "underwater_pct": 99.60474308300395, - "win_rate": 16.2 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 42.6003, - "avg_gross_exposure_pct": 57.3997, - "avg_hold_days": 10.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9904610492845787, - "cagr_pct": -82.3, - "calmar": -1.0, - "capacity_opportunities": 23273, - "end_date": "2025-04-01", - "ev_net_r": -0.7287853781440163, - "ev_without_best": { - "1": -0.7933428169688787, - "10": -1.0556249674901308, - "5": -0.9580981889740529 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 123, - "time": 17, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9345772013209931, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 82.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 222, - "peak_positions": 10, - "profit_factor": 0.32072145540646, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.45, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 23051, - "skipped_min_initial_risk": 0, - "sortino": -3.193685869190276, - "start_date": "2024-04-01", - "total_return_pct": -82.3, - "trades": 222, - "transaction_cost": 196.50209041630788, - "turnover_multiple": 9.825104520815394, - "underwater_pct": 99.60474308300395, - "win_rate": 15.8 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 39.8921, - "avg_gross_exposure_pct": 60.1079, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9914434842132284, - "cagr_pct": -71.3, - "calmar": -0.93, - "capacity_opportunities": 23374, - "end_date": "2025-05-02", - "ev_net_r": -0.5694952626571164, - "ev_without_best": { - "1": -0.6421317483709814, - "10": -0.9771078628189305, - "5": -0.8656404709445507 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 101, - "time": 15, - "trailing_stop": 74 - }, - "gain_to_pain": -0.8746510422968001, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 76.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.4378992010647775, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.7, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 23174, - "skipped_min_initial_risk": 0, - "sortino": -2.312166515158857, - "start_date": "2024-05-01", - "total_return_pct": -71.3, - "trades": 200, - "transaction_cost": 117.91838073463643, - "turnover_multiple": 11.791838073463643, - "underwater_pct": 96.83794466403161, - "win_rate": 17.0 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 39.6446, - "avg_gross_exposure_pct": 60.3554, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9914434842132284, - "cagr_pct": -71.8, - "calmar": -0.93, - "capacity_opportunities": 23374, - "end_date": "2025-05-02", - "ev_net_r": -0.5778988409390492, - "ev_without_best": { - "1": -0.6504096679045263, - "10": -0.984826375136146, - "5": -0.8736806505695797 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 101, - "time": 15, - "trailing_stop": 74 - }, - "gain_to_pain": -0.8787211893067851, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 76.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.4331599984611952, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.73, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 23174, - "skipped_min_initial_risk": 0, - "sortino": -2.3428250998745863, - "start_date": "2024-05-01", - "total_return_pct": -71.8, - "trades": 200, - "transaction_cost": 234.4172001940317, - "turnover_multiple": 11.720860009701585, - "underwater_pct": 96.83794466403161, - "win_rate": 16.5 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 43.698, - "avg_gross_exposure_pct": 56.302, - "avg_hold_days": 12.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9923760600130463, - "cagr_pct": -65.4, - "calmar": -0.89, - "capacity_opportunities": 24528, - "end_date": "2025-06-04", - "ev_net_r": -0.5067736756140967, - "ev_without_best": { - "1": -0.5824278525034545, - "10": -0.8895075756309805, - "5": -0.7869882853369347 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 88, - "time": 19, - "trailing_stop": 70 - }, - "gain_to_pain": -0.7921844280378523, - "longest_underwater_sessions": 221, - "max_drawdown_pct": 73.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 187, - "peak_positions": 10, - "profit_factor": 0.4447849702687976, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.46, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 24341, - "skipped_min_initial_risk": 0, - "sortino": -1.98053033763857, - "start_date": "2024-06-03", - "total_return_pct": -65.5, - "trades": 187, - "transaction_cost": 100.54921095424713, - "turnover_multiple": 10.054921095424714, - "underwater_pct": 97.23320158102767, - "win_rate": 18.7 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 43.4782, - "avg_gross_exposure_pct": 56.5218, - "avg_hold_days": 12.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9923760600130463, - "cagr_pct": -66.0, - "calmar": -0.9, - "capacity_opportunities": 24528, - "end_date": "2025-06-04", - "ev_net_r": -0.5144535242473087, - "ev_without_best": { - "1": -0.5900065464322435, - "10": -0.8965678503266177, - "5": -0.794299133205866 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 88, - "time": 19, - "trailing_stop": 70 - }, - "gain_to_pain": -0.7965245935542399, - "longest_underwater_sessions": 221, - "max_drawdown_pct": 73.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 187, - "peak_positions": 10, - "profit_factor": 0.4399028794071619, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.48, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 24341, - "skipped_min_initial_risk": 0, - "sortino": -2.0085913274269362, - "start_date": "2024-06-03", - "total_return_pct": -66.0, - "trades": 187, - "transaction_cost": 200.03149887699965, - "turnover_multiple": 10.001574943849983, - "underwater_pct": 97.23320158102767, - "win_rate": 18.2 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 61.7478, - "avg_gross_exposure_pct": 38.2522, - "avg_hold_days": 11.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9915477454102292, - "cagr_pct": -82.2, - "calmar": -1.0, - "capacity_opportunities": 25437, - "end_date": "2025-07-02", - "ev_net_r": -0.7417246267443853, - "ev_without_best": { - "1": -0.7922925433357587, - "10": -0.9364690290964124, - "5": -0.8782409070318894 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 102, - "time": 22, - "trailing_stop": 81 - }, - "gain_to_pain": -0.9508420885979768, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 82.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 215, - "peak_positions": 10, - "profit_factor": 0.21111765268469934, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.63, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 25222, - "skipped_min_initial_risk": 0, - "sortino": -3.282791543089442, - "start_date": "2024-07-01", - "total_return_pct": -82.3, - "trades": 215, - "transaction_cost": 78.00110870158647, - "turnover_multiple": 7.8001108701586475, - "underwater_pct": 99.2094861660079, - "win_rate": 17.2 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 61.7229, - "avg_gross_exposure_pct": 38.2771, - "avg_hold_days": 11.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9915477454102292, - "cagr_pct": -82.5, - "calmar": -1.0, - "capacity_opportunities": 25437, - "end_date": "2025-07-02", - "ev_net_r": -0.7495679962996856, - "ev_without_best": { - "1": -0.8001004680224924, - "10": -0.9441129730799794, - "5": -0.8859463457984211 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 102, - "time": 22, - "trailing_stop": 81 - }, - "gain_to_pain": -0.9518254563527982, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 82.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 215, - "peak_positions": 10, - "profit_factor": 0.20790103049325176, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.66, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 25222, - "skipped_min_initial_risk": 0, - "sortino": -3.3111203822649187, - "start_date": "2024-07-01", - "total_return_pct": -82.6, - "trades": 215, - "transaction_cost": 155.05954924751182, - "turnover_multiple": 7.752977462375591, - "underwater_pct": 99.2094861660079, - "win_rate": 16.3 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 62.0327, - "avg_gross_exposure_pct": 37.9673, - "avg_hold_days": 11.1, - "avg_positions": 10.0, - "blocked_fraction": 0.991328370808073, - "cagr_pct": -85.2, - "calmar": -0.99, - "capacity_opportunities": 26062, - "end_date": "2025-08-04", - "ev_net_r": -0.7809731226863675, - "ev_without_best": { - "1": -0.8292432677819048, - "10": -0.9626432707298527, - "5": -0.9108588727321414 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 120, - "time": 21, - "trailing_stop": 75 - }, - "gain_to_pain": -0.9776592483435599, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 85.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 226, - "peak_positions": 10, - "profit_factor": 0.18694035749986257, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.91, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 25836, - "skipped_min_initial_risk": 0, - "sortino": -3.509045001967222, - "start_date": "2024-08-01", - "total_return_pct": -85.4, - "trades": 226, - "transaction_cost": 74.09133433838561, - "turnover_multiple": 7.409133433838561, - "underwater_pct": 99.2094861660079, - "win_rate": 15.0 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 62.0068, - "avg_gross_exposure_pct": 37.9932, - "avg_hold_days": 11.1, - "avg_positions": 10.0, - "blocked_fraction": 0.991328370808073, - "cagr_pct": -85.4, - "calmar": -0.99, - "capacity_opportunities": 26062, - "end_date": "2025-08-04", - "ev_net_r": -0.788524908146926, - "ev_without_best": { - "1": -0.8367600453048276, - "10": -0.9700194201875451, - "5": -0.9182660968913121 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 120, - "time": 21, - "trailing_stop": 75 - }, - "gain_to_pain": -0.9784884194766645, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 86.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 226, - "peak_positions": 10, - "profit_factor": 0.18435719469533002, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.93, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 25836, - "skipped_min_initial_risk": 0, - "sortino": -3.536114327397633, - "start_date": "2024-08-01", - "total_return_pct": -85.7, - "trades": 226, - "transaction_cost": 147.28594999077876, - "turnover_multiple": 7.364297499538938, - "underwater_pct": 99.2094861660079, - "win_rate": 14.6 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 63.0002, - "avg_gross_exposure_pct": 36.9998, - "avg_hold_days": 11.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9920303747979399, - "cagr_pct": -80.1, - "calmar": -0.99, - "capacity_opportunities": 26601, - "end_date": "2025-09-04", - "ev_net_r": -0.7155716938072765, - "ev_without_best": { - "1": -0.7667346379665978, - "10": -0.9187709886820378, - "5": -0.8560843906638679 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 24, - "trailing_stop": 73 - }, - "gain_to_pain": -0.9479658830484323, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 81.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.2368053882414697, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.68, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 26389, - "skipped_min_initial_risk": 0, - "sortino": -3.339620937992933, - "start_date": "2024-09-03", - "total_return_pct": -80.1, - "trades": 212, - "transaction_cost": 72.01545377379298, - "turnover_multiple": 7.201545377379298, - "underwater_pct": 99.2094861660079, - "win_rate": 17.5 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 62.9761, - "avg_gross_exposure_pct": 37.0239, - "avg_hold_days": 11.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9920303747979399, - "cagr_pct": -80.4, - "calmar": -0.99, - "capacity_opportunities": 26601, - "end_date": "2025-09-04", - "ev_net_r": -0.7229492415317269, - "ev_without_best": { - "1": -0.7740740291806022, - "10": -0.925985024650987, - "5": -0.8633214051108439 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 24, - "trailing_stop": 73 - }, - "gain_to_pain": -0.9489955619923612, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 81.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.2337407621744253, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.71, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 26389, - "skipped_min_initial_risk": 0, - "sortino": -3.368267613932432, - "start_date": "2024-09-03", - "total_return_pct": -80.5, - "trades": 212, - "transaction_cost": 143.1701871190026, - "turnover_multiple": 7.15850935595013, - "underwater_pct": 99.2094861660079, - "win_rate": 17.0 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 61.2514, - "avg_gross_exposure_pct": 38.7486, - "avg_hold_days": 10.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9915328148848027, - "cagr_pct": -83.6, - "calmar": -1.0, - "capacity_opportunities": 27518, - "end_date": "2025-10-02", - "ev_net_r": -0.7330492632673984, - "ev_without_best": { - "1": -0.7664525528616032, - "10": -0.8954644911994678, - "5": -0.8368443313596007 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 123, - "time": 22, - "trailing_stop": 78 - }, - "gain_to_pain": -0.9925129467643738, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 83.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 233, - "peak_positions": 10, - "profit_factor": 0.20378745857963215, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.33, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 27285, - "skipped_min_initial_risk": 0, - "sortino": -4.8920620737250164, - "start_date": "2024-10-01", - "total_return_pct": -83.6, - "trades": 233, - "transaction_cost": 74.78187939465087, - "turnover_multiple": 7.478187939465086, - "underwater_pct": 99.60474308300395, - "win_rate": 17.2 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 61.227, - "avg_gross_exposure_pct": 38.773, - "avg_hold_days": 10.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9915328148848027, - "cagr_pct": -83.9, - "calmar": -1.0, - "capacity_opportunities": 27518, - "end_date": "2025-10-02", - "ev_net_r": -0.7404855472204441, - "ev_without_best": { - "1": -0.7738491393294468, - "10": -0.902657784572812, - "5": -0.8441206379827891 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 123, - "time": 22, - "trailing_stop": 78 - }, - "gain_to_pain": -0.9935176453299863, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 84.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 233, - "peak_positions": 10, - "profit_factor": 0.20088058077473644, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.37, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 27285, - "skipped_min_initial_risk": 0, - "sortino": -4.926714603139349, - "start_date": "2024-10-01", - "total_return_pct": -83.9, - "trades": 233, - "transaction_cost": 148.62307329196128, - "turnover_multiple": 7.431153664598062, - "underwater_pct": 99.60474308300395, - "win_rate": 16.7 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 60.4431, - "avg_gross_exposure_pct": 39.5569, - "avg_hold_days": 11.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9922477811990581, - "cagr_pct": -75.5, - "calmar": -0.99, - "capacity_opportunities": 27605, - "end_date": "2025-11-04", - "ev_net_r": -0.6377485117981564, - "ev_without_best": { - "1": -0.6880656856742489, - "10": -0.8533729639144392, - "5": -0.7859031020575671 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 26, - "trailing_stop": 68 - }, - "gain_to_pain": -0.9455995739459769, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 76.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.26937041585044774, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.39, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 27391, - "skipped_min_initial_risk": 0, - "sortino": -4.373415935435661, - "start_date": "2024-11-01", - "total_return_pct": -75.7, - "trades": 214, - "transaction_cost": 84.25535876571371, - "turnover_multiple": 8.425535876571372, - "underwater_pct": 99.2094861660079, - "win_rate": 17.8 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 60.4173, - "avg_gross_exposure_pct": 39.5827, - "avg_hold_days": 11.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9922477811990581, - "cagr_pct": -75.9, - "calmar": -0.99, - "capacity_opportunities": 27605, - "end_date": "2025-11-04", - "ev_net_r": -0.6451885222471824, - "ev_without_best": { - "1": -0.6954681911421502, - "10": -0.8605041685142188, - "5": -0.7931399193038854 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 26, - "trailing_stop": 68 - }, - "gain_to_pain": -0.9477058700498651, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 77.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.2658209783914692, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.43, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 27391, - "skipped_min_initial_risk": 0, - "sortino": -4.409996065259564, - "start_date": "2024-11-01", - "total_return_pct": -76.1, - "trades": 214, - "transaction_cost": 167.48896033368914, - "turnover_multiple": 8.374448016684457, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 60.4646, - "avg_gross_exposure_pct": 39.5354, - "avg_hold_days": 12.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9924211312301662, - "cagr_pct": -68.8, - "calmar": -0.96, - "capacity_opportunities": 26785, - "end_date": "2025-12-03", - "ev_net_r": -0.5556215892956594, - "ev_without_best": { - "1": -0.5931074086614206, - "10": -0.7778909502325799, - "5": -0.6926617738676951 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 98, - "time": 25, - "trailing_stop": 70 - }, - "gain_to_pain": -0.9951072657196645, - "longest_underwater_sessions": 239, - "max_drawdown_pct": 71.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 203, - "peak_positions": 10, - "profit_factor": 0.33155766182432916, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.96, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 26582, - "skipped_min_initial_risk": 0, - "sortino": -3.6580633100467925, - "start_date": "2024-12-02", - "total_return_pct": -68.8, - "trades": 203, - "transaction_cost": 91.37828195641515, - "turnover_multiple": 9.137828195641516, - "underwater_pct": 98.81422924901186, - "win_rate": 19.7 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2024-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 60.4393, - "avg_gross_exposure_pct": 39.5607, - "avg_hold_days": 12.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9924211312301662, - "cagr_pct": -69.3, - "calmar": -0.96, - "capacity_opportunities": 26785, - "end_date": "2025-12-03", - "ev_net_r": -0.56322822466054, - "ev_without_best": { - "1": -0.6006692941988009, - "10": -0.785246466193604, - "5": -0.7000975378464603 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 98, - "time": 25, - "trailing_stop": 70 - }, - "gain_to_pain": -0.9961171715510123, - "longest_underwater_sessions": 239, - "max_drawdown_pct": 72.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 203, - "peak_positions": 10, - "profit_factor": 0.32715816202928094, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.99, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 26582, - "skipped_min_initial_risk": 0, - "sortino": -3.697222845264258, - "start_date": "2024-12-02", - "total_return_pct": -69.3, - "trades": 203, - "transaction_cost": 181.6601795119687, - "turnover_multiple": 9.083008975598434, - "underwater_pct": 98.81422924901186, - "win_rate": 19.2 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8331, - "avg_gross_exposure_pct": 40.1669, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9922168747180027, - "cagr_pct": -78.7, - "calmar": -0.98, - "capacity_opportunities": 26596, - "end_date": "2026-01-05", - "ev_net_r": -0.7273961568822989, - "ev_without_best": { - "1": -0.7649879533845824, - "10": -0.9458007721833724, - "5": -0.8738549081001866 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 113, - "time": 23, - "trailing_stop": 61 - }, - "gain_to_pain": -0.9591334671284955, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 80.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 207, - "peak_positions": 10, - "profit_factor": 0.23415725276753316, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.84, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 26389, - "skipped_min_initial_risk": 0, - "sortino": -4.28610662402868, - "start_date": "2025-01-02", - "total_return_pct": -78.9, - "trades": 207, - "transaction_cost": 78.71153601247384, - "turnover_multiple": 7.871153601247384, - "underwater_pct": 98.81422924901186, - "win_rate": 15.9 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8059, - "avg_gross_exposure_pct": 40.1941, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9922168747180027, - "cagr_pct": -79.0, - "calmar": -0.98, - "capacity_opportunities": 26596, - "end_date": "2026-01-05", - "ev_net_r": -0.7351493539084841, - "ev_without_best": { - "1": -0.772697980976332, - "10": -0.9532372098104559, - "5": -0.8814107180697345 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 113, - "time": 23, - "trailing_stop": 61 - }, - "gain_to_pain": -0.9599504255474511, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 80.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 207, - "peak_positions": 10, - "profit_factor": 0.23105845503709008, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.87, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 26389, - "skipped_min_initial_risk": 0, - "sortino": -4.321331322437446, - "start_date": "2025-01-02", - "total_return_pct": -79.3, - "trades": 207, - "transaction_cost": 156.46668973131028, - "turnover_multiple": 7.823334486565515, - "underwater_pct": 98.81422924901186, - "win_rate": 15.5 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 55.444, - "avg_gross_exposure_pct": 44.556, - "avg_hold_days": 11.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9920102509987186, - "cagr_pct": -79.3, - "calmar": -0.92, - "capacity_opportunities": 26534, - "end_date": "2026-02-03", - "ev_net_r": -0.6685378381937893, - "ev_without_best": { - "1": -0.7206683867107938, - "10": -0.9355489340206079, - "5": -0.8559410908411833 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 114, - "time": 28, - "trailing_stop": 60 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 237, - "max_drawdown_pct": 86.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.31184673350639036, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.49, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 26322, - "skipped_min_initial_risk": 0, - "sortino": 2.1189987625872173, - "start_date": "2025-02-03", - "total_return_pct": -79.3, - "trades": 212, - "transaction_cost": 90.91038961241924, - "turnover_multiple": 9.091038961241923, - "underwater_pct": 98.02371541501977, - "win_rate": 18.4 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 55.4167, - "avg_gross_exposure_pct": 44.5833, - "avg_hold_days": 11.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9920102509987186, - "cagr_pct": -79.7, - "calmar": -0.93, - "capacity_opportunities": 26534, - "end_date": "2026-02-03", - "ev_net_r": -0.676865502180677, - "ev_without_best": { - "1": -0.7289720875589656, - "10": -0.9434879872489162, - "5": -0.8640664230983738 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 114, - "time": 28, - "trailing_stop": 60 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 237, - "max_drawdown_pct": 86.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.3077662188237327, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.48, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 26322, - "skipped_min_initial_risk": 0, - "sortino": 2.098042868668311, - "start_date": "2025-02-03", - "total_return_pct": -79.7, - "trades": 212, - "transaction_cost": 180.5295190817733, - "turnover_multiple": 9.026475954088664, - "underwater_pct": 98.02371541501977, - "win_rate": 18.4 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 53.7677, - "avg_gross_exposure_pct": 46.2323, - "avg_hold_days": 11.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9915115526626318, - "cagr_pct": -87.3, - "calmar": -0.96, - "capacity_opportunities": 26271, - "end_date": "2026-03-03", - "ev_net_r": -0.7777803654663112, - "ev_without_best": { - "1": -0.8256617994536958, - "10": -1.0166890271990348, - "5": -0.9534792759063937 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 123, - "time": 25, - "trailing_stop": 65 - }, - "gain_to_pain": -0.9697312843704902, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 90.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 223, - "peak_positions": 10, - "profit_factor": 0.23333982431187494, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.43, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 26048, - "skipped_min_initial_risk": 0, - "sortino": 1.8166854601176246, - "start_date": "2025-03-03", - "total_return_pct": -87.3, - "trades": 223, - "transaction_cost": 91.85739364807606, - "turnover_multiple": 9.185739364807604, - "underwater_pct": 98.41897233201581, - "win_rate": 14.3 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 53.734, - "avg_gross_exposure_pct": 46.266, - "avg_hold_days": 11.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9915115526626318, - "cagr_pct": -87.5, - "calmar": -0.96, - "capacity_opportunities": 26271, - "end_date": "2026-03-03", - "ev_net_r": -0.7861440198682925, - "ev_without_best": { - "1": -0.8339568814234068, - "10": -1.0246792972914345, - "5": -0.9615732289551338 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 123, - "time": 25, - "trailing_stop": 65 - }, - "gain_to_pain": -0.9705716967392609, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 223, - "peak_positions": 10, - "profit_factor": 0.23028952835577918, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.43, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 26048, - "skipped_min_initial_risk": 0, - "sortino": 1.7959174024926112, - "start_date": "2025-03-03", - "total_return_pct": -87.5, - "trades": 223, - "transaction_cost": 182.42625376809363, - "turnover_multiple": 9.12131268840468, - "underwater_pct": 98.41897233201581, - "win_rate": 14.3 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 51.1083, - "avg_gross_exposure_pct": 48.8917, - "avg_hold_days": 11.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9915934989725388, - "cagr_pct": -84.3, - "calmar": -0.92, - "capacity_opportunities": 26765, - "end_date": "2026-04-01", - "ev_net_r": -0.7246940194526881, - "ev_without_best": { - "1": -0.7740498315881651, - "10": -0.9675022129207462, - "5": -0.8910653343069364 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 122, - "time": 26, - "trailing_stop": 67 - }, - "gain_to_pain": -0.9934007333480412, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 91.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 225, - "peak_positions": 10, - "profit_factor": 0.2829567883022461, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.42, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 26540, - "skipped_min_initial_risk": 0, - "sortino": 1.8060121638511468, - "start_date": "2025-04-01", - "total_return_pct": -84.3, - "trades": 225, - "transaction_cost": 103.36591961986842, - "turnover_multiple": 10.336591961986842, - "underwater_pct": 98.02371541501977, - "win_rate": 18.2 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 51.0726, - "avg_gross_exposure_pct": 48.9274, - "avg_hold_days": 11.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9915934989725388, - "cagr_pct": -84.7, - "calmar": -0.92, - "capacity_opportunities": 26765, - "end_date": "2026-04-01", - "ev_net_r": -0.7335911284672908, - "ev_without_best": { - "1": -0.7829269103472261, - "10": -0.9761115111249611, - "5": -0.8998373181600869 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 122, - "time": 26, - "trailing_stop": 67 - }, - "gain_to_pain": -0.9937867428953432, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 225, - "peak_positions": 10, - "profit_factor": 0.2791735263632168, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.42, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 26540, - "skipped_min_initial_risk": 0, - "sortino": 1.7825809616172346, - "start_date": "2025-04-01", - "total_return_pct": -84.6, - "trades": 225, - "transaction_cost": 205.14615319299898, - "turnover_multiple": 10.25730765964995, - "underwater_pct": 98.02371541501977, - "win_rate": 18.2 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 47.3349, - "avg_gross_exposure_pct": 52.6651, - "avg_hold_days": 11.1, - "avg_positions": 10.0, - "blocked_fraction": 0.99187430338331, - "cagr_pct": -85.4, - "calmar": -0.92, - "capacity_opportunities": 27813, - "end_date": "2026-05-01", - "ev_net_r": -0.7486282527099299, - "ev_without_best": { - "1": -0.7978710800503926, - "10": -1.034437461654736, - "5": -0.9537362986669157 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 129, - "time": 27, - "trailing_stop": 60 - }, - "gain_to_pain": -0.9812506517245968, - "longest_underwater_sessions": 141, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 226, - "peak_positions": 10, - "profit_factor": 0.3049298200404247, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.41, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 27587, - "skipped_min_initial_risk": 0, - "sortino": 1.7223302356103474, - "start_date": "2025-05-01", - "total_return_pct": -85.4, - "trades": 226, - "transaction_cost": 116.35581255256328, - "turnover_multiple": 11.635581255256328, - "underwater_pct": 94.0711462450593, - "win_rate": 18.1 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 47.2948, - "avg_gross_exposure_pct": 52.7052, - "avg_hold_days": 11.1, - "avg_positions": 10.0, - "blocked_fraction": 0.99187430338331, - "cagr_pct": -85.7, - "calmar": -0.92, - "capacity_opportunities": 27813, - "end_date": "2026-05-01", - "ev_net_r": -0.7575922416222621, - "ev_without_best": { - "1": -0.8068154249745311, - "10": -1.0431153668518447, - "5": -0.9624638202352944 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 129, - "time": 27, - "trailing_stop": 60 - }, - "gain_to_pain": -0.9824944832917916, - "longest_underwater_sessions": 141, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 226, - "peak_positions": 10, - "profit_factor": 0.30124580894479197, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.4, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 27587, - "skipped_min_initial_risk": 0, - "sortino": 1.698519041611765, - "start_date": "2025-05-01", - "total_return_pct": -85.7, - "trades": 226, - "transaction_cost": 230.99241757959953, - "turnover_multiple": 11.549620878979976, - "underwater_pct": 94.0711462450593, - "win_rate": 18.1 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 47.8818, - "avg_gross_exposure_pct": 52.1182, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9912924768475815, - "cagr_pct": -87.0, - "calmar": -0.93, - "capacity_opportunities": 27103, - "end_date": "2026-06-02", - "ev_net_r": -0.7714071248222484, - "ev_without_best": { - "1": -0.8186514440721054, - "10": -1.0582279608705316, - "5": -0.9668558756425627 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 27, - "trailing_stop": 64 - }, - "gain_to_pain": -0.9903846522931008, - "longest_underwater_sessions": 145, - "max_drawdown_pct": 94.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 236, - "peak_positions": 10, - "profit_factor": 0.3029201011176311, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.38, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 26867, - "skipped_min_initial_risk": 0, - "sortino": 1.60549281072081, - "start_date": "2025-06-02", - "total_return_pct": -87.0, - "trades": 236, - "transaction_cost": 107.07544633708275, - "turnover_multiple": 10.707544633708274, - "underwater_pct": 96.83794466403161, - "win_rate": 17.8 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 47.841, - "avg_gross_exposure_pct": 52.159, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9912924768475815, - "cagr_pct": -87.4, - "calmar": -0.93, - "capacity_opportunities": 27103, - "end_date": "2026-06-02", - "ev_net_r": -0.7806794189445425, - "ev_without_best": { - "1": -0.8279062420576607, - "10": -1.0672329925350688, - "5": -0.975900633037369 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 27, - "trailing_stop": 64 - }, - "gain_to_pain": -0.9908592506702377, - "longest_underwater_sessions": 145, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 236, - "peak_positions": 10, - "profit_factor": 0.29919082365339006, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.37, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 26867, - "skipped_min_initial_risk": 0, - "sortino": 1.5801847262090956, - "start_date": "2025-06-02", - "total_return_pct": -87.3, - "trades": 236, - "transaction_cost": 212.5000063334528, - "turnover_multiple": 10.62500031667264, - "underwater_pct": 96.83794466403161, - "win_rate": 17.8 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 47.9796, - "avg_gross_exposure_pct": 52.0204, - "avg_hold_days": 10.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9913030382892211, - "cagr_pct": -88.6, - "calmar": -0.92, - "capacity_opportunities": 26561, - "end_date": "2026-07-01", - "ev_net_r": -0.8337844562026477, - "ev_without_best": { - "1": -0.8823270316595904, - "10": -1.1247365980456914, - "5": -1.0288945109952392 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 27, - "trailing_stop": 59 - }, - "gain_to_pain": -0.984182503180141, - "longest_underwater_sessions": 135, - "max_drawdown_pct": 96.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 231, - "peak_positions": 10, - "profit_factor": 0.2713400148967574, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.48, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 26330, - "skipped_min_initial_risk": 0, - "sortino": 2.4785338144221285, - "start_date": "2025-07-01", - "total_return_pct": -88.6, - "trades": 231, - "transaction_cost": 95.68267662518062, - "turnover_multiple": 9.56826766251806, - "underwater_pct": 98.02371541501977, - "win_rate": 14.3 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|empty_book|empty-2025-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 47.9304, - "avg_gross_exposure_pct": 52.0696, - "avg_hold_days": 10.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9913030382892211, - "cagr_pct": -88.9, - "calmar": -0.92, - "capacity_opportunities": 26561, - "end_date": "2026-07-01", - "ev_net_r": -0.8430434335748296, - "ev_without_best": { - "1": -0.8915680746453213, - "10": -1.1336033515205002, - "5": -1.0378762891412951 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 27, - "trailing_stop": 59 - }, - "gain_to_pain": -0.9845622354098451, - "longest_underwater_sessions": 135, - "max_drawdown_pct": 96.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 231, - "peak_positions": 10, - "profit_factor": 0.2681476351174614, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.48, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 26330, - "skipped_min_initial_risk": 0, - "sortino": 2.4541714805757597, - "start_date": "2025-07-01", - "total_return_pct": -88.9, - "trades": 231, - "transaction_cost": 189.9377292521159, - "turnover_multiple": 9.496886462605795, - "underwater_pct": 98.02371541501977, - "win_rate": 14.3 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-01|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.2934, - "avg_gross_exposure_pct": 85.7066, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -59.2, - "calmar": -0.59, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.43408895613369985, - "ev_without_best": { - "1": -0.534360452179244, - "10": -0.8345069674980845, - "5": -0.70101554623103 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7786381492981553, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4029.19, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5343762860835325, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 300.98404217426906, - "start_date": "2019-01-02", - "total_return_pct": -58.9, - "trades": 177, - "transaction_cost": 70.29488002454654, - "turnover_multiple": 17.44640486662246, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-01|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.2198, - "avg_gross_exposure_pct": 85.7802, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -60.4, - "calmar": -0.6, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.45112684604504766, - "ev_without_best": { - "1": -0.5512484489609623, - "10": -0.8509881570762746, - "5": -0.7176167050559321 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7897838994372114, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 3951.57, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5226058755097595, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 301.1018405402205, - "start_date": "2019-01-02", - "total_return_pct": -60.2, - "trades": 177, - "transaction_cost": 136.21150353322034, - "turnover_multiple": 17.235112060930255, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.0283, - "avg_gross_exposure_pct": 85.9717, - "avg_hold_days": 13.5, - "avg_positions": 9.9484, - "blocked_fraction": 0.975346687211094, - "cagr_pct": -58.4, - "calmar": -0.58, - "capacity_opportunities": 7139, - "end_date": "2019-12-31", - "ev_net_r": -0.4308238613456718, - "ev_without_best": { - "1": -0.531649679684116, - "10": -0.8334573369479125, - "5": -0.6992159550462604 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7667306393735571, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4036.98, - "measurement_start_positions": 8, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5376630990254793, - "sessions_at_capacity": 243, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 6963, - "skipped_min_initial_risk": 0, - "sortino": 301.09852337341596, - "start_date": "2019-01-02", - "total_return_pct": -58.2, - "trades": 176, - "transaction_cost": 71.34517092405324, - "turnover_multiple": 17.67290670849329, - "underwater_pct": 97.23320158102767, - "win_rate": 23.3 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 13.9572, - "avg_gross_exposure_pct": 86.0428, - "avg_hold_days": 13.5, - "avg_positions": 9.9484, - "blocked_fraction": 0.975346687211094, - "cagr_pct": -59.6, - "calmar": -0.6, - "capacity_opportunities": 7139, - "end_date": "2019-12-31", - "ev_net_r": -0.44790886632000115, - "ev_without_best": { - "1": -0.5485842042255779, - "10": -0.8499851262294255, - "5": -0.7158630525846028 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7790941465031722, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 3956.87, - "measurement_start_positions": 8, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5258044767804906, - "sessions_at_capacity": 243, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 6963, - "skipped_min_initial_risk": 0, - "sortino": 301.2194556458884, - "start_date": "2019-01-02", - "total_return_pct": -59.4, - "trades": 176, - "transaction_cost": 138.15316054301474, - "turnover_multiple": 17.457379259745043, - "underwater_pct": 97.23320158102767, - "win_rate": 23.3 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.2883, - "avg_gross_exposure_pct": 85.7117, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -59.2, - "calmar": -0.59, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.43408895613369997, - "ev_without_best": { - "1": -0.5343604521792441, - "10": -0.8345069674980845, - "5": -0.7010155462310301 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7786740889419869, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4437.52, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5343762860835324, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 300.9811348728508, - "start_date": "2019-01-02", - "total_return_pct": -59.0, - "trades": 177, - "transaction_cost": 77.40668302116458, - "turnover_multiple": 17.443680934658225, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.2145, - "avg_gross_exposure_pct": 85.7855, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -60.4, - "calmar": -0.6, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.45112684604504766, - "ev_without_best": { - "1": -0.5512484489609623, - "10": -0.8509881570762745, - "5": -0.717616705055932 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7898195267024115, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4357.95, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5226058755097595, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 301.0991828730743, - "start_date": "2019-01-02", - "total_return_pct": -60.2, - "trades": 177, - "transaction_cost": 150.19608282844166, - "turnover_multiple": 17.23242382639104, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.9803, - "avg_gross_exposure_pct": 85.0197, - "avg_hold_days": 13.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9760961617265401, - "cagr_pct": -54.9, - "calmar": -0.55, - "capacity_opportunities": 7321, - "end_date": "2019-12-31", - "ev_net_r": -0.4297770924691058, - "ev_without_best": { - "1": -0.5311763536205493, - "10": -0.8347873304158107, - "5": -0.6997171758715636 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.6834312633887205, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4219.05, - "measurement_start_positions": 9, - "opened_positions": 175, - "peak_positions": 10, - "profit_factor": 0.5396836028979488, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 7146, - "skipped_min_initial_risk": 0, - "sortino": 301.27656747715497, - "start_date": "2019-01-02", - "total_return_pct": -54.7, - "trades": 175, - "transaction_cost": 80.00301857455122, - "turnover_multiple": 18.96233004457193, - "underwater_pct": 94.46640316205533, - "win_rate": 23.4 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.9055, - "avg_gross_exposure_pct": 85.0945, - "avg_hold_days": 13.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9760961617265401, - "cagr_pct": -56.2, - "calmar": -0.56, - "capacity_opportunities": 7321, - "end_date": "2019-12-31", - "ev_net_r": -0.44685832539425013, - "ev_without_best": { - "1": -0.5481062196043086, - "10": -0.8513077419742919, - "5": -0.7163578144920039 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.697157055356502, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4144.28, - "measurement_start_positions": 9, - "opened_positions": 175, - "peak_positions": 10, - "profit_factor": 0.5278102443903091, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 7146, - "skipped_min_initial_risk": 0, - "sortino": 301.40105441642606, - "start_date": "2019-01-02", - "total_return_pct": -56.0, - "trades": 175, - "transaction_cost": 155.30331646341247, - "turnover_multiple": 18.73706849723142, - "underwater_pct": 94.46640316205533, - "win_rate": 23.4 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.9803, - "avg_gross_exposure_pct": 85.0197, - "avg_hold_days": 13.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9760961617265401, - "cagr_pct": -54.9, - "calmar": -0.55, - "capacity_opportunities": 7321, - "end_date": "2019-12-31", - "ev_net_r": -0.42977709246910584, - "ev_without_best": { - "1": -0.5311763536205494, - "10": -0.8347873304158107, - "5": -0.6997171758715636 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.6834358283453806, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4706.41, - "measurement_start_positions": 9, - "opened_positions": 175, - "peak_positions": 10, - "profit_factor": 0.5396836028979487, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 7146, - "skipped_min_initial_risk": 0, - "sortino": 301.27680506808537, - "start_date": "2019-01-02", - "total_return_pct": -54.7, - "trades": 175, - "transaction_cost": 89.2444713781109, - "turnover_multiple": 18.96232401726813, - "underwater_pct": 94.46640316205533, - "win_rate": 23.4 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.9055, - "avg_gross_exposure_pct": 85.0945, - "avg_hold_days": 13.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9760961617265401, - "cagr_pct": -56.2, - "calmar": -0.56, - "capacity_opportunities": 7321, - "end_date": "2019-12-31", - "ev_net_r": -0.44685832539425013, - "ev_without_best": { - "1": -0.5481062196043086, - "10": -0.8513077419742919, - "5": -0.7163578144920039 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.6971604293342879, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4627.57, - "measurement_start_positions": 9, - "opened_positions": 175, - "peak_positions": 10, - "profit_factor": 0.5278102443903091, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 7146, - "skipped_min_initial_risk": 0, - "sortino": 301.40053444520754, - "start_date": "2019-01-02", - "total_return_pct": -56.0, - "trades": 175, - "transaction_cost": 173.41436316389104, - "turnover_multiple": 18.73708697695454, - "underwater_pct": 94.46640316205533, - "win_rate": 23.4 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 15.4418, - "avg_gross_exposure_pct": 84.5582, - "avg_hold_days": 13.3, - "avg_positions": 9.996, - "blocked_fraction": 0.976315435338447, - "cagr_pct": -60.2, - "calmar": -0.6, - "capacity_opportunities": 7431, - "end_date": "2019-12-31", - "ev_net_r": -0.45966155750148074, - "ev_without_best": { - "1": -0.560652162675101, - "10": -0.8640322437155172, - "5": -0.7288968586920053 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.8051246942525535, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5302.61, - "measurement_start_positions": 10, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5181729324843244, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 7255, - "skipped_min_initial_risk": 0, - "sortino": 300.74946933979555, - "start_date": "2019-01-02", - "total_return_pct": -60.0, - "trades": 176, - "transaction_cost": 90.0981967136816, - "turnover_multiple": 16.991292347293427, - "underwater_pct": 97.23320158102767, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 15.3686, - "avg_gross_exposure_pct": 84.6314, - "avg_hold_days": 13.3, - "avg_positions": 9.996, - "blocked_fraction": 0.976315435338447, - "cagr_pct": -61.4, - "calmar": -0.61, - "capacity_opportunities": 7431, - "end_date": "2019-12-31", - "ev_net_r": -0.4767732648133947, - "ev_without_best": { - "1": -0.5776135421389337, - "10": -0.880588343909168, - "5": -0.7455714393380372 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.8142587707457206, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5222.41, - "measurement_start_positions": 10, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5068724548540091, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 7255, - "skipped_min_initial_risk": 0, - "sortino": 300.86729760722585, - "start_date": "2019-01-02", - "total_return_pct": -61.2, - "trades": 176, - "transaction_cost": 175.31222068456972, - "turnover_multiple": 16.784609087046952, - "underwater_pct": 97.23320158102767, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 13.0841, - "avg_gross_exposure_pct": 86.9159, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9756830601092896, - "cagr_pct": -61.0, - "calmar": -0.61, - "capacity_opportunities": 7320, - "end_date": "2019-12-31", - "ev_net_r": -0.4571146962592878, - "ev_without_best": { - "1": -0.5569497756047191, - "10": -0.8532799204755318, - "5": -0.723163841908818 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 26, - "trailing_stop": 49 - }, - "gain_to_pain": -0.7926348533185226, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4756.37, - "measurement_start_positions": 8, - "opened_positions": 178, - "peak_positions": 10, - "profit_factor": 0.5148284553615855, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 7142, - "skipped_min_initial_risk": 0, - "sortino": 274.2193011195136, - "start_date": "2019-01-02", - "total_return_pct": -60.8, - "trades": 178, - "transaction_cost": 81.74316405249414, - "turnover_multiple": 17.18603978506595, - "underwater_pct": 97.23320158102767, - "win_rate": 22.5 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 13.0122, - "avg_gross_exposure_pct": 86.9878, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9756830601092896, - "cagr_pct": -62.2, - "calmar": -0.62, - "capacity_opportunities": 7320, - "end_date": "2019-12-31", - "ev_net_r": -0.4742219387242391, - "ev_without_best": { - "1": -0.5739083636162174, - "10": -0.8698947991731389, - "5": -0.7398388821535344 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 26, - "trailing_stop": 49 - }, - "gain_to_pain": -0.803278256141673, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4679.6, - "measurement_start_positions": 8, - "opened_positions": 178, - "peak_positions": 10, - "profit_factor": 0.5034723479779017, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 7142, - "skipped_min_initial_risk": 0, - "sortino": 274.3161872370443, - "start_date": "2019-01-02", - "total_return_pct": -62.0, - "trades": 178, - "transaction_cost": 158.89522207380904, - "turnover_multiple": 16.977436327229785, - "underwater_pct": 97.23320158102767, - "win_rate": 22.5 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 15.4422, - "avg_gross_exposure_pct": 84.5578, - "avg_hold_days": 13.3, - "avg_positions": 9.996, - "blocked_fraction": 0.976315435338447, - "cagr_pct": -60.2, - "calmar": -0.6, - "capacity_opportunities": 7431, - "end_date": "2019-12-31", - "ev_net_r": -0.45966155750148086, - "ev_without_best": { - "1": -0.560652162675101, - "10": -0.8640322437155172, - "5": -0.7288968586920054 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.8051490635372739, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5094.76, - "measurement_start_positions": 10, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5181729324843243, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 7255, - "skipped_min_initial_risk": 0, - "sortino": 300.7488525783486, - "start_date": "2019-01-02", - "total_return_pct": -60.0, - "trades": 176, - "transaction_cost": 86.56401385798405, - "turnover_multiple": 16.990793257775447, - "underwater_pct": 97.23320158102767, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 15.3689, - "avg_gross_exposure_pct": 84.6311, - "avg_hold_days": 13.3, - "avg_positions": 9.996, - "blocked_fraction": 0.976315435338447, - "cagr_pct": -61.4, - "calmar": -0.61, - "capacity_opportunities": 7431, - "end_date": "2019-12-31", - "ev_net_r": -0.4767732648133948, - "ev_without_best": { - "1": -0.5776135421389337, - "10": -0.880588343909168, - "5": -0.7455714393380372 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.814261882941203, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5021.71, - "measurement_start_positions": 10, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.506872454854009, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 7255, - "skipped_min_initial_risk": 0, - "sortino": 300.8670862835801, - "start_date": "2019-01-02", - "total_return_pct": -61.2, - "trades": 176, - "transaction_cost": 168.56961076155986, - "turnover_multiple": 16.78408458090569, - "underwater_pct": 97.23320158102767, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.4638, - "avg_gross_exposure_pct": 85.5362, - "avg_hold_days": 13.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9759431383269547, - "cagr_pct": -58.8, - "calmar": -0.59, - "capacity_opportunities": 7316, - "end_date": "2019-12-31", - "ev_net_r": -0.4308238613456719, - "ev_without_best": { - "1": -0.5316496796841161, - "10": -0.8334573369479125, - "5": -0.6992159550462604 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.776708355497119, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4721.43, - "measurement_start_positions": 9, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5376630990254793, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 7140, - "skipped_min_initial_risk": 0, - "sortino": 301.13040054520206, - "start_date": "2019-01-02", - "total_return_pct": -58.6, - "trades": 176, - "transaction_cost": 82.15808215601275, - "turnover_multiple": 17.40110139428367, - "underwater_pct": 97.23320158102767, - "win_rate": 23.3 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.3941, - "avg_gross_exposure_pct": 85.6059, - "avg_hold_days": 13.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9759431383269547, - "cagr_pct": -60.0, - "calmar": -0.6, - "capacity_opportunities": 7316, - "end_date": "2019-12-31", - "ev_net_r": -0.44790886632000115, - "ev_without_best": { - "1": -0.5485842042255779, - "10": -0.8499851262294252, - "5": -0.7158630525846028 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7886102245334239, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4649.07, - "measurement_start_positions": 9, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5258044767804906, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 7140, - "skipped_min_initial_risk": 0, - "sortino": 301.2504538776121, - "start_date": "2019-01-02", - "total_return_pct": -59.8, - "trades": 176, - "transaction_cost": 159.8235243463956, - "turnover_multiple": 17.188762951127387, - "underwater_pct": 97.23320158102767, - "win_rate": 23.3 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 13.0841, - "avg_gross_exposure_pct": 86.9159, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9756830601092896, - "cagr_pct": -61.0, - "calmar": -0.61, - "capacity_opportunities": 7320, - "end_date": "2019-12-31", - "ev_net_r": -0.45711469625928786, - "ev_without_best": { - "1": -0.5569497756047193, - "10": -0.8532799204755319, - "5": -0.7231638419088181 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 26, - "trailing_stop": 49 - }, - "gain_to_pain": -0.7926308573554646, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4442.16, - "measurement_start_positions": 8, - "opened_positions": 178, - "peak_positions": 10, - "profit_factor": 0.5148284553615855, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 7142, - "skipped_min_initial_risk": 0, - "sortino": 274.2198077382291, - "start_date": "2019-01-02", - "total_return_pct": -60.8, - "trades": 178, - "transaction_cost": 76.34293156101714, - "turnover_multiple": 17.185993201734547, - "underwater_pct": 97.23320158102767, - "win_rate": 22.5 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 13.0122, - "avg_gross_exposure_pct": 86.9878, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9756830601092896, - "cagr_pct": -62.2, - "calmar": -0.62, - "capacity_opportunities": 7320, - "end_date": "2019-12-31", - "ev_net_r": -0.47422193872423923, - "ev_without_best": { - "1": -0.5739083636162174, - "10": -0.869894799173139, - "5": -0.7398388821535344 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 26, - "trailing_stop": 49 - }, - "gain_to_pain": -0.8032693207782715, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4371.22, - "measurement_start_positions": 8, - "opened_positions": 178, - "peak_positions": 10, - "profit_factor": 0.5034723479779016, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 7142, - "skipped_min_initial_risk": 0, - "sortino": 274.3159966798735, - "start_date": "2019-01-02", - "total_return_pct": -62.0, - "trades": 178, - "transaction_cost": 148.42415522685113, - "turnover_multiple": 16.977429096093438, - "underwater_pct": 97.23320158102767, - "win_rate": 22.5 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 15.3756, - "avg_gross_exposure_pct": 84.6244, - "avg_hold_days": 13.3, - "avg_positions": 9.996, - "blocked_fraction": 0.976315435338447, - "cagr_pct": -60.1, - "calmar": -0.6, - "capacity_opportunities": 7431, - "end_date": "2019-12-31", - "ev_net_r": -0.4596615575014807, - "ev_without_best": { - "1": -0.560652162675101, - "10": -0.864032243715517, - "5": -0.7288968586920052 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.80236886710717, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5362.19, - "measurement_start_positions": 10, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.5181729324843245, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 7255, - "skipped_min_initial_risk": 0, - "sortino": 300.7806923946256, - "start_date": "2019-01-02", - "total_return_pct": -59.9, - "trades": 176, - "transaction_cost": 91.35935123310554, - "turnover_multiple": 17.037693784275742, - "underwater_pct": 97.23320158102767, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 15.3022, - "avg_gross_exposure_pct": 84.6978, - "avg_hold_days": 13.3, - "avg_positions": 9.996, - "blocked_fraction": 0.976315435338447, - "cagr_pct": -61.3, - "calmar": -0.61, - "capacity_opportunities": 7431, - "end_date": "2019-12-31", - "ev_net_r": -0.4767732648133948, - "ev_without_best": { - "1": -0.5776135421389337, - "10": -0.880588343909168, - "5": -0.7455714393380372 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 47 - }, - "gain_to_pain": -0.8123868720218288, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5292.52, - "measurement_start_positions": 10, - "opened_positions": 176, - "peak_positions": 10, - "profit_factor": 0.506872454854009, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 7255, - "skipped_min_initial_risk": 0, - "sortino": 300.8990810861209, - "start_date": "2019-01-02", - "total_return_pct": -61.1, - "trades": 176, - "transaction_cost": 178.1524576090938, - "turnover_multiple": 16.830588983045295, - "underwater_pct": 97.23320158102767, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.1986, - "avg_gross_exposure_pct": 85.8014, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -58.9, - "calmar": -0.59, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.43408895613369985, - "ev_without_best": { - "1": -0.534360452179244, - "10": -0.8345069674980845, - "5": -0.70101554623103 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7774034654598628, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5646.06, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5343762860835325, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 301.0158277686411, - "start_date": "2019-01-02", - "total_return_pct": -58.7, - "trades": 177, - "transaction_cost": 98.89419633648421, - "turnover_multiple": 17.51561200845974, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.1185, - "avg_gross_exposure_pct": 85.8815, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -60.2, - "calmar": -0.6, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.45112684604504777, - "ev_without_best": { - "1": -0.5512484489609624, - "10": -0.8509881570762746, - "5": -0.7176167050559322 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7885487052027529, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5586.83, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5226058755097593, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 301.1366802029934, - "start_date": "2019-01-02", - "total_return_pct": -59.9, - "trades": 177, - "transaction_cost": 193.40427484040615, - "turnover_multiple": 17.3089457563955, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-13|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.0899, - "avg_gross_exposure_pct": 85.9101, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -58.6, - "calmar": -0.59, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.4340889561336998, - "ev_without_best": { - "1": -0.5343604521792439, - "10": -0.8345069674980845, - "5": -0.70101554623103 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7719592818994794, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5098.79, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5343762860835325, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 301.0593852095318, - "start_date": "2019-01-02", - "total_return_pct": -58.4, - "trades": 177, - "transaction_cost": 89.82248772519422, - "turnover_multiple": 17.616432080002163, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-13|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 14.0156, - "avg_gross_exposure_pct": 85.9844, - "avg_hold_days": 13.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9758031442241969, - "cagr_pct": -59.8, - "calmar": -0.6, - "capacity_opportunities": 7315, - "end_date": "2019-12-31", - "ev_net_r": -0.4511268460450476, - "ev_without_best": { - "1": -0.5512484489609623, - "10": -0.8509881570762745, - "5": -0.717616705055932 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 94, - "time": 25, - "trailing_stop": 48 - }, - "gain_to_pain": -0.7842236646439452, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5041.68, - "measurement_start_positions": 8, - "opened_positions": 177, - "peak_positions": 10, - "profit_factor": 0.5226058755097595, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 7138, - "skipped_min_initial_risk": 0, - "sortino": 301.1785399730784, - "start_date": "2019-01-02", - "total_return_pct": -59.6, - "trades": 177, - "transaction_cost": 175.48991394416112, - "turnover_multiple": 17.403912380809683, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-14|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 13.0247, - "avg_gross_exposure_pct": 86.9753, - "avg_hold_days": 13.2, - "avg_positions": 9.9127, - "blocked_fraction": 0.9748409893992933, - "cagr_pct": -57.4, - "calmar": -0.57, - "capacity_opportunities": 7075, - "end_date": "2019-12-31", - "ev_net_r": -0.39647717130409943, - "ev_without_best": { - "1": -0.49596966576277834, - "10": -0.829204297914149, - "5": -0.6823011162631873 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 28, - "trailing_stop": 41 - }, - "gain_to_pain": -0.7961938154265288, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5460.91, - "measurement_start_positions": 9, - "opened_positions": 178, - "peak_positions": 10, - "profit_factor": 0.5839602573059315, - "sessions_at_capacity": 237, - "sessions_measured": 252, - "sharpe": 1.0, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 6897, - "skipped_min_initial_risk": 0, - "sortino": 344.63960425094507, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 178, - "transaction_cost": 99.62538794880798, - "turnover_multiple": 18.243367487984234, - "underwater_pct": 97.23320158102767, - "win_rate": 23.6 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2019-seed-14|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 12.9713, - "avg_gross_exposure_pct": 87.0287, - "avg_hold_days": 13.2, - "avg_positions": 9.9127, - "blocked_fraction": 0.9748409893992933, - "cagr_pct": -58.7, - "calmar": -0.59, - "capacity_opportunities": 7075, - "end_date": "2019-12-31", - "ev_net_r": -0.4143399274957828, - "ev_without_best": { - "1": -0.5136880359401427, - "10": -0.8464138809719906, - "5": -0.6996940837307745 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 28, - "trailing_stop": 41 - }, - "gain_to_pain": -0.8075378430057305, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5397.34, - "measurement_start_positions": 9, - "opened_positions": 178, - "peak_positions": 10, - "profit_factor": 0.5712195464567319, - "sessions_at_capacity": 237, - "sessions_measured": 252, - "sharpe": 1.0, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 6897, - "skipped_min_initial_risk": 0, - "sortino": 344.7085419211414, - "start_date": "2019-01-02", - "total_return_pct": -58.5, - "trades": 178, - "transaction_cost": 194.37172923344932, - "turnover_multiple": 18.006252082826844, - "underwater_pct": 97.23320158102767, - "win_rate": 23.6 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.0986, - "avg_gross_exposure_pct": 64.9014, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -42.7, - "calmar": -0.9, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.2692690681757753, - "ev_without_best": { - "1": -0.33690299532226675, - "10": -0.6880384239478254, - "5": -0.5518368781642374 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4738592006696155, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 47.7, - "measurement_start_equity": 5854.05, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6754428467695939, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.66, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9109048938619366, - "start_date": "2020-01-02", - "total_return_pct": -42.5, - "trades": 183, - "transaction_cost": 88.62888337186654, - "turnover_multiple": 15.13975510490456, - "underwater_pct": 99.2094861660079, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.0398, - "avg_gross_exposure_pct": 64.9602, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -44.1, - "calmar": -0.91, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.28146124067392725, - "ev_without_best": { - "1": -0.34902770739676675, - "10": -0.6997648521788122, - "5": -0.5636835787295158 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4885035597395301, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 48.7, - "measurement_start_equity": 5762.42, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6642204404239482, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9629638710417231, - "start_date": "2020-01-02", - "total_return_pct": -43.9, - "trades": 183, - "transaction_cost": 172.59364139087566, - "turnover_multiple": 14.975795012414546, - "underwater_pct": 99.2094861660079, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.1128, - "avg_gross_exposure_pct": 64.8872, - "avg_hold_days": 13.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.981957735247209, - "cagr_pct": -41.0, - "calmar": -0.87, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.26099041421252334, - "ev_without_best": { - "1": -0.3293298369164021, - "10": -0.6841735253758693, - "5": -0.5465340330087165 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4598412834651296, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 46.9, - "measurement_start_equity": 5882.11, - "measurement_start_positions": 10, - "opened_positions": 181, - "peak_positions": 10, - "profit_factor": 0.6846281601917042, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.61, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 9851, - "skipped_min_initial_risk": 0, - "sortino": -0.8410137237529416, - "start_date": "2020-01-02", - "total_return_pct": -40.8, - "trades": 181, - "transaction_cost": 89.43530800165706, - "turnover_multiple": 15.204630311513567, - "underwater_pct": 97.62845849802372, - "win_rate": 23.2 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.0555, - "avg_gross_exposure_pct": 64.9445, - "avg_hold_days": 13.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.981957735247209, - "cagr_pct": -42.4, - "calmar": -0.89, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.27311302782280883, - "ev_without_best": { - "1": -0.341383854104507, - "10": -0.695820879646399, - "5": -0.5583052727639404 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4750266484139126, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 47.8, - "measurement_start_equity": 5786.55, - "measurement_start_positions": 10, - "opened_positions": 181, - "peak_positions": 10, - "profit_factor": 0.6733239043348554, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.64, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 9851, - "skipped_min_initial_risk": 0, - "sortino": -0.8926992129304562, - "start_date": "2020-01-02", - "total_return_pct": -42.2, - "trades": 181, - "transaction_cost": 174.06435743922756, - "turnover_multiple": 15.04042628502541, - "underwater_pct": 97.62845849802372, - "win_rate": 23.2 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.2216, - "avg_gross_exposure_pct": 64.7784, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9818652849740933, - "cagr_pct": -42.7, - "calmar": -0.89, - "capacity_opportunities": 10036, - "end_date": "2020-12-30", - "ev_net_r": -0.2651257598429069, - "ev_without_best": { - "1": -0.3331104638889212, - "10": -0.6860889311524185, - "5": -0.5491729555281155 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 88, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.47378150729531004, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 47.8, - "measurement_start_equity": 6733.59, - "measurement_start_positions": 10, - "opened_positions": 182, - "peak_positions": 10, - "profit_factor": 0.680026419326253, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.66, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 9854, - "skipped_min_initial_risk": 0, - "sortino": -0.9115681896271415, - "start_date": "2020-01-02", - "total_return_pct": -42.5, - "trades": 182, - "transaction_cost": 100.35984538782955, - "turnover_multiple": 14.904359396373934, - "underwater_pct": 99.2094861660079, - "win_rate": 23.1 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.1619, - "avg_gross_exposure_pct": 64.8381, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9818652849740933, - "cagr_pct": -44.0, - "calmar": -0.9, - "capacity_opportunities": 10036, - "end_date": "2020-12-30", - "ev_net_r": -0.2772566190868848, - "ev_without_best": { - "1": -0.34517315125246356, - "10": -0.6977477735896446, - "5": -0.5609546590075601 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 88, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4882081806486087, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 48.7, - "measurement_start_equity": 6628.1, - "measurement_start_positions": 10, - "opened_positions": 182, - "peak_positions": 10, - "profit_factor": 0.6687838934060917, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 9854, - "skipped_min_initial_risk": 0, - "sortino": -0.9625173825198114, - "start_date": "2020-01-02", - "total_return_pct": -43.8, - "trades": 182, - "transaction_cost": 195.5008621146613, - "turnover_multiple": 14.747881151058468, - "underwater_pct": 99.2094861660079, - "win_rate": 23.1 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.0986, - "avg_gross_exposure_pct": 64.9014, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -42.7, - "calmar": -0.9, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.2692690681757753, - "ev_without_best": { - "1": -0.33690299532226675, - "10": -0.6880384239478254, - "5": -0.5518368781642374 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4738604061230041, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 47.7, - "measurement_start_equity": 6537.5, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6754428467695939, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.66, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9108989191082546, - "start_date": "2020-01-02", - "total_return_pct": -42.5, - "trades": 183, - "transaction_cost": 98.97628469830913, - "turnover_multiple": 15.139775862074055, - "underwater_pct": 99.2094861660079, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.0398, - "avg_gross_exposure_pct": 64.9602, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -44.1, - "calmar": -0.91, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.2814612406739272, - "ev_without_best": { - "1": -0.3490277073967667, - "10": -0.6997648521788122, - "5": -0.5636835787295156 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.48850554010497416, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 48.7, - "measurement_start_equity": 6440.63, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6642204404239482, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9629736610614956, - "start_date": "2020-01-02", - "total_return_pct": -43.9, - "trades": 183, - "transaction_cost": 192.9069862702079, - "turnover_multiple": 14.975785464326309, - "underwater_pct": 99.2094861660079, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.9573, - "avg_gross_exposure_pct": 65.0427, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -42.1, - "calmar": -0.89, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.26926906817577523, - "ev_without_best": { - "1": -0.3369029953222667, - "10": -0.6880384239478254, - "5": -0.5518368781642373 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.46891789331769823, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 47.4, - "measurement_start_equity": 6311.44, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6754428467695939, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.64, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.885493584614808, - "start_date": "2020-01-02", - "total_return_pct": -41.9, - "trades": 183, - "transaction_cost": 96.54678995592316, - "turnover_multiple": 15.297109685891519, - "underwater_pct": 98.81422924901186, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.8988, - "avg_gross_exposure_pct": 65.1012, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -43.5, - "calmar": -0.9, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.28146124067392725, - "ev_without_best": { - "1": -0.34902770739676675, - "10": -0.6997648521788122, - "5": -0.5636835787295157 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.48385903113555084, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 48.3, - "measurement_start_equity": 6222.51, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6642204404239482, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.68, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9379759767770895, - "start_date": "2020-01-02", - "total_return_pct": -43.3, - "trades": 183, - "transaction_cost": 188.28696440233836, - "turnover_multiple": 15.129502757113958, - "underwater_pct": 98.81422924901186, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 36.8284, - "avg_gross_exposure_pct": 63.1716, - "avg_hold_days": 13.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.9821321621082052, - "cagr_pct": -38.1, - "calmar": -0.84, - "capacity_opportunities": 10018, - "end_date": "2020-12-30", - "ev_net_r": -0.24770629477333955, - "ev_without_best": { - "1": -0.31673894627479465, - "10": -0.675111447522099, - "5": -0.536150296560317 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 85, - "time": 24, - "trailing_stop": 60 - }, - "gain_to_pain": -0.4346363399089977, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 45.2, - "measurement_start_equity": 9158.31, - "measurement_start_positions": 10, - "opened_positions": 179, - "peak_positions": 10, - "profit_factor": 0.6993897395997933, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.53, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 9839, - "skipped_min_initial_risk": 0, - "sortino": -0.7306878890154879, - "start_date": "2020-01-02", - "total_return_pct": -37.9, - "trades": 179, - "transaction_cost": 140.32510284617095, - "turnover_multiple": 15.322161277153858, - "underwater_pct": 97.62845849802372, - "win_rate": 24.0 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 36.7733, - "avg_gross_exposure_pct": 63.2267, - "avg_hold_days": 13.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.9821321621082052, - "cagr_pct": -39.5, - "calmar": -0.86, - "capacity_opportunities": 10018, - "end_date": "2020-12-30", - "ev_net_r": -0.25965111952602143, - "ev_without_best": { - "1": -0.3286134050451725, - "10": -0.6865648685133945, - "5": -0.5477345998027756 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 85, - "time": 24, - "trailing_stop": 60 - }, - "gain_to_pain": -0.4505959796279339, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 46.0, - "measurement_start_equity": 9043.06, - "measurement_start_positions": 10, - "opened_positions": 179, - "peak_positions": 10, - "profit_factor": 0.6880038126362866, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.56, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 9839, - "skipped_min_initial_risk": 0, - "sortino": -0.7807845971902805, - "start_date": "2020-01-02", - "total_return_pct": -39.3, - "trades": 179, - "transaction_cost": 274.2407881391708, - "turnover_multiple": 15.163052558490751, - "underwater_pct": 97.62845849802372, - "win_rate": 23.5 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.0598, - "avg_gross_exposure_pct": 64.9402, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -42.5, - "calmar": -0.89, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.2692690681757753, - "ev_without_best": { - "1": -0.33690299532226675, - "10": -0.6880384239478256, - "5": -0.5518368781642374 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.47204487003320744, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 47.5, - "measurement_start_equity": 7584.63, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6754428467695939, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.65, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9016820953556681, - "start_date": "2020-01-02", - "total_return_pct": -42.3, - "trades": 183, - "transaction_cost": 115.2685960945203, - "turnover_multiple": 15.197655797912397, - "underwater_pct": 99.2094861660079, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.9991, - "avg_gross_exposure_pct": 65.0009, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -43.9, - "calmar": -0.91, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.28146124067392736, - "ev_without_best": { - "1": -0.34902770739676686, - "10": -0.6997648521788123, - "5": -0.5636835787295158 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4867214237510137, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 48.4, - "measurement_start_equity": 7491.88, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6642204404239482, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.69, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9534784077192484, - "start_date": "2020-01-02", - "total_return_pct": -43.7, - "trades": 183, - "transaction_cost": 225.2805636973551, - "turnover_multiple": 15.034982120466097, - "underwater_pct": 99.2094861660079, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.9467, - "avg_gross_exposure_pct": 65.0533, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -42.1, - "calmar": -0.89, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.26926906817577534, - "ev_without_best": { - "1": -0.33690299532226675, - "10": -0.6880384239478256, - "5": -0.5518368781642374 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.468397604635025, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 47.4, - "measurement_start_equity": 8135.54, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6754428467695939, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.64, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.8828673840965435, - "start_date": "2020-01-02", - "total_return_pct": -41.9, - "trades": 183, - "transaction_cost": 124.5831821818584, - "turnover_multiple": 15.313449652003236, - "underwater_pct": 98.81422924901186, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.8881, - "avg_gross_exposure_pct": 65.1119, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -43.4, - "calmar": -0.9, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.28146124067392736, - "ev_without_best": { - "1": -0.34902770739676686, - "10": -0.6997648521788123, - "5": -0.5636835787295158 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4833652947872358, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 48.3, - "measurement_start_equity": 8047.39, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6642204404239482, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.68, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.935354232354988, - "start_date": "2020-01-02", - "total_return_pct": -43.2, - "trades": 183, - "transaction_cost": 243.76752134125212, - "turnover_multiple": 15.145750444631869, - "underwater_pct": 98.81422924901186, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.1182, - "avg_gross_exposure_pct": 64.8818, - "avg_hold_days": 13.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.981957735247209, - "cagr_pct": -41.1, - "calmar": -0.88, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.26099041421252334, - "ev_without_best": { - "1": -0.32932983691640216, - "10": -0.6841735253758693, - "5": -0.5465340330087165 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.4601749432326215, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 46.9, - "measurement_start_equity": 7617.9, - "measurement_start_positions": 10, - "opened_positions": 181, - "peak_positions": 10, - "profit_factor": 0.6846281601917041, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.61, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 9851, - "skipped_min_initial_risk": 0, - "sortino": -0.8426213492179646, - "start_date": "2020-01-02", - "total_return_pct": -40.9, - "trades": 181, - "transaction_cost": 115.7515378385926, - "turnover_multiple": 15.194678039695008, - "underwater_pct": 97.62845849802372, - "win_rate": 23.2 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.061, - "avg_gross_exposure_pct": 64.939, - "avg_hold_days": 13.2, - "avg_positions": 9.9365, - "blocked_fraction": 0.981957735247209, - "cagr_pct": -42.4, - "calmar": -0.89, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.2731130278228087, - "ev_without_best": { - "1": -0.3413838541045069, - "10": -0.6958208796463989, - "5": -0.5583052727639403 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.47534409952048834, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 47.8, - "measurement_start_equity": 7536.71, - "measurement_start_positions": 10, - "opened_positions": 181, - "peak_positions": 10, - "profit_factor": 0.6733239043348554, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.65, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 9851, - "skipped_min_initial_risk": 0, - "sortino": -0.8942994336609498, - "start_date": "2020-01-02", - "total_return_pct": -42.2, - "trades": 181, - "transaction_cost": 226.5623666394903, - "turnover_multiple": 15.030588057619989, - "underwater_pct": 97.62845849802372, - "win_rate": 23.2 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.9968, - "avg_gross_exposure_pct": 65.0032, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -42.4, - "calmar": -0.89, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.2692690681757753, - "ev_without_best": { - "1": -0.33690299532226675, - "10": -0.6880384239478254, - "5": -0.5518368781642374 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.47091967471847807, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 47.4, - "measurement_start_equity": 7663.63, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6754428467695939, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.65, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.8956110210739089, - "start_date": "2020-01-02", - "total_return_pct": -42.2, - "trades": 183, - "transaction_cost": 116.74723833043215, - "turnover_multiple": 15.233934614592844, - "underwater_pct": 98.81422924901186, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 34.9386, - "avg_gross_exposure_pct": 65.0614, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9817583732057417, - "cagr_pct": -43.7, - "calmar": -0.9, - "capacity_opportunities": 10032, - "end_date": "2020-12-30", - "ev_net_r": -0.2814612406739273, - "ev_without_best": { - "1": -0.3490277073967668, - "10": -0.6997648521788122, - "5": -0.5636835787295158 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 89, - "time": 26, - "trailing_stop": 58 - }, - "gain_to_pain": -0.48577000766200934, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 48.3, - "measurement_start_equity": 7578.89, - "measurement_start_positions": 10, - "opened_positions": 183, - "peak_positions": 10, - "profit_factor": 0.6642204404239482, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.69, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 9849, - "skipped_min_initial_risk": 0, - "sortino": -0.9480521161645994, - "start_date": "2020-01-02", - "total_return_pct": -43.5, - "trades": 183, - "transaction_cost": 228.38153505055612, - "turnover_multiple": 15.06695143025932, - "underwater_pct": 98.81422924901186, - "win_rate": 23.0 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 36.5833, - "avg_gross_exposure_pct": 63.4167, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9820305480682839, - "cagr_pct": -38.5, - "calmar": -0.85, - "capacity_opportunities": 10017, - "end_date": "2020-12-30", - "ev_net_r": -0.2519638619890404, - "ev_without_best": { - "1": -0.3206346415112455, - "10": -0.6771053119107894, - "5": -0.5388812571148266 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 86, - "time": 24, - "trailing_stop": 60 - }, - "gain_to_pain": -0.438087901372587, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 45.2, - "measurement_start_equity": 8186.56, - "measurement_start_positions": 10, - "opened_positions": 180, - "peak_positions": 10, - "profit_factor": 0.6946141762004614, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 9837, - "skipped_min_initial_risk": 0, - "sortino": -0.744179498937599, - "start_date": "2020-01-02", - "total_return_pct": -38.3, - "trades": 180, - "transaction_cost": 125.85005530665777, - "turnover_multiple": 15.372764055556638, - "underwater_pct": 98.02371541501977, - "win_rate": 23.9 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 36.5272, - "avg_gross_exposure_pct": 63.4728, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9820305480682839, - "cagr_pct": -39.9, - "calmar": -0.87, - "capacity_opportunities": 10017, - "end_date": "2020-12-30", - "ev_net_r": -0.2639204843464268, - "ev_without_best": { - "1": -0.33252135690078033, - "10": -0.688574115093898, - "5": -0.5504797551593253 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 86, - "time": 24, - "trailing_stop": 60 - }, - "gain_to_pain": -0.4539898899888954, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 46.1, - "measurement_start_equity": 8105.72, - "measurement_start_positions": 10, - "opened_positions": 180, - "peak_positions": 10, - "profit_factor": 0.6832879546313165, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.57, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 9837, - "skipped_min_initial_risk": 0, - "sortino": -0.7946523960773302, - "start_date": "2020-01-02", - "total_return_pct": -39.7, - "trades": 180, - "transaction_cost": 246.60258027398055, - "turnover_multiple": 15.211639451768662, - "underwater_pct": 98.02371541501977, - "win_rate": 23.3 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 36.5909, - "avg_gross_exposure_pct": 63.4091, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9820305480682839, - "cagr_pct": -38.5, - "calmar": -0.85, - "capacity_opportunities": 10017, - "end_date": "2020-12-30", - "ev_net_r": -0.2519638619890403, - "ev_without_best": { - "1": -0.3206346415112454, - "10": -0.6771053119107894, - "5": -0.5388812571148265 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 86, - "time": 24, - "trailing_stop": 60 - }, - "gain_to_pain": -0.43818420222055665, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 45.2, - "measurement_start_equity": 8092.1, - "measurement_start_positions": 10, - "opened_positions": 180, - "peak_positions": 10, - "profit_factor": 0.6946141762004614, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 9837, - "skipped_min_initial_risk": 0, - "sortino": -0.7446311934585181, - "start_date": "2020-01-02", - "total_return_pct": -38.3, - "trades": 180, - "transaction_cost": 124.37645848582218, - "turnover_multiple": 15.370108931652126, - "underwater_pct": 98.02371541501977, - "win_rate": 23.9 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 36.5347, - "avg_gross_exposure_pct": 63.4653, - "avg_hold_days": 13.1, - "avg_positions": 9.9365, - "blocked_fraction": 0.9820305480682839, - "cagr_pct": -39.9, - "calmar": -0.87, - "capacity_opportunities": 10017, - "end_date": "2020-12-30", - "ev_net_r": -0.26392048434642684, - "ev_without_best": { - "1": -0.3325213569007804, - "10": -0.688574115093898, - "5": -0.5504797551593255 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 86, - "time": 24, - "trailing_stop": 60 - }, - "gain_to_pain": -0.45408355227339153, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 46.1, - "measurement_start_equity": 8016.91, - "measurement_start_positions": 10, - "opened_positions": 180, - "peak_positions": 10, - "profit_factor": 0.6832879546313166, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.58, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 9837, - "skipped_min_initial_risk": 0, - "sortino": -0.7951065026490725, - "start_date": "2020-01-02", - "total_return_pct": -39.7, - "trades": 180, - "transaction_cost": 243.8582842693376, - "turnover_multiple": 15.208994754171968, - "underwater_pct": 98.02371541501977, - "win_rate": 23.3 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-13|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.7454, - "avg_gross_exposure_pct": 64.2546, - "avg_hold_days": 12.4, - "avg_positions": 9.9563, - "blocked_fraction": 0.9808650588000797, - "cagr_pct": -48.3, - "calmar": -0.94, - "capacity_opportunities": 10034, - "end_date": "2020-12-30", - "ev_net_r": -0.3037757060651163, - "ev_without_best": { - "1": -0.3848805028457368, - "10": -0.7364026297939988, - "5": -0.6117557794822371 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 22, - "trailing_stop": 61 - }, - "gain_to_pain": -0.6091202236910034, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 51.2, - "measurement_start_equity": 8420.34, - "measurement_start_positions": 10, - "opened_positions": 192, - "peak_positions": 10, - "profit_factor": 0.651219848082188, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.82, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 9842, - "skipped_min_initial_risk": 0, - "sortino": -1.1020023807819121, - "start_date": "2020-01-02", - "total_return_pct": -48.1, - "trades": 192, - "transaction_cost": 134.14917233329066, - "turnover_multiple": 15.931562423048316, - "underwater_pct": 97.23320158102767, - "win_rate": 23.4 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-13|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.6874, - "avg_gross_exposure_pct": 64.3126, - "avg_hold_days": 12.4, - "avg_positions": 9.9563, - "blocked_fraction": 0.9808650588000797, - "cagr_pct": -49.6, - "calmar": -0.95, - "capacity_opportunities": 10034, - "end_date": "2020-12-30", - "ev_net_r": -0.3158924884029752, - "ev_without_best": { - "1": -0.3968912592877453, - "10": -0.7479881465871423, - "5": -0.6234873381922814 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 22, - "trailing_stop": 61 - }, - "gain_to_pain": -0.6218830188125196, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 52.2, - "measurement_start_equity": 8344.25, - "measurement_start_positions": 10, - "opened_positions": 192, - "peak_positions": 10, - "profit_factor": 0.6407599808495331, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.86, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 9842, - "skipped_min_initial_risk": 0, - "sortino": -1.1529805627511736, - "start_date": "2020-01-02", - "total_return_pct": -49.4, - "trades": 192, - "transaction_cost": 262.9771238933917, - "turnover_multiple": 15.757984473942637, - "underwater_pct": 97.23320158102767, - "win_rate": 23.4 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-14|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.7505, - "avg_gross_exposure_pct": 64.2495, - "avg_hold_days": 12.4, - "avg_positions": 9.9563, - "blocked_fraction": 0.9808688720605819, - "cagr_pct": -48.3, - "calmar": -0.94, - "capacity_opportunities": 10036, - "end_date": "2020-12-30", - "ev_net_r": -0.30210885970799545, - "ev_without_best": { - "1": -0.38320492954433777, - "10": -0.734644198472201, - "5": -0.6100443650407014 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 22, - "trailing_stop": 61 - }, - "gain_to_pain": -0.6093470468933923, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 51.2, - "measurement_start_equity": 8763.98, - "measurement_start_positions": 10, - "opened_positions": 192, - "peak_positions": 10, - "profit_factor": 0.6531336381386438, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.82, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 9844, - "skipped_min_initial_risk": 0, - "sortino": -1.099311949453803, - "start_date": "2020-01-02", - "total_return_pct": -48.1, - "trades": 192, - "transaction_cost": 139.66174938238072, - "turnover_multiple": 15.935881800549604, - "underwater_pct": 97.23320158102767, - "win_rate": 23.4 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2020-seed-14|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 35.6923, - "avg_gross_exposure_pct": 64.3077, - "avg_hold_days": 12.4, - "avg_positions": 9.9563, - "blocked_fraction": 0.9808688720605819, - "cagr_pct": -49.6, - "calmar": -0.95, - "capacity_opportunities": 10036, - "end_date": "2020-12-30", - "ev_net_r": -0.3142342863916936, - "ev_without_best": { - "1": -0.3952243755905408, - "10": -0.7462388345752409, - "5": -0.6217847992288266 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 22, - "trailing_stop": 61 - }, - "gain_to_pain": -0.6221065227028568, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 52.2, - "measurement_start_equity": 8689.11, - "measurement_start_positions": 10, - "opened_positions": 192, - "peak_positions": 10, - "profit_factor": 0.6426457253485548, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -0.86, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 9844, - "skipped_min_initial_risk": 0, - "sortino": -1.150215825463693, - "start_date": "2020-01-02", - "total_return_pct": -49.4, - "trades": 192, - "transaction_cost": 273.9163744020264, - "turnover_multiple": 15.762050106514154, - "underwater_pct": 97.23320158102767, - "win_rate": 23.4 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.765, - "avg_gross_exposure_pct": 79.235, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9806488332384746, - "cagr_pct": -39.4, - "calmar": -0.57, - "capacity_opportunities": 10542, - "end_date": "2021-12-31", - "ev_net_r": -0.3640333182938346, - "ev_without_best": { - "1": -0.46940650581801513, - "10": -0.7232048432509874, - "5": -0.6157765091667917 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.4627286222058724, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 7825.04, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5835008165353048, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.45, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 10338, - "skipped_min_initial_risk": 0, - "sortino": -0.7002330127131664, - "start_date": "2021-01-04", - "total_return_pct": -39.1, - "trades": 204, - "transaction_cost": 250.23045319527532, - "turnover_multiple": 31.97816921003283, - "underwater_pct": 94.0711462450593, - "win_rate": 21.6 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.6923, - "avg_gross_exposure_pct": 79.3077, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9806488332384746, - "cagr_pct": -41.4, - "calmar": -0.59, - "capacity_opportunities": 10542, - "end_date": "2021-12-31", - "ev_net_r": -0.3799713129231982, - "ev_without_best": { - "1": -0.4852805985847247, - "10": -0.7388684570805923, - "5": -0.6315347588249046 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.4849524030014457, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 7746.14, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5711700862192417, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.49, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 10338, - "skipped_min_initial_risk": 0, - "sortino": -0.771540031695263, - "start_date": "2021-01-04", - "total_return_pct": -41.0, - "trades": 204, - "transaction_cost": 488.49329342259153, - "turnover_multiple": 31.531401021837425, - "underwater_pct": 94.0711462450593, - "win_rate": 21.6 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.3804, - "avg_gross_exposure_pct": 79.6196, - "avg_hold_days": 11.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9804424190638944, - "cagr_pct": -46.7, - "calmar": -0.67, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.40724814851471336, - "ev_without_best": { - "1": -0.511804108990955, - "10": -0.7414922457922329, - "5": -0.6470316893971971 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5624439766037784, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 6918.88, - "measurement_start_positions": 10, - "opened_positions": 206, - "peak_positions": 10, - "profit_factor": 0.5363061075066436, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.63, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 10327, - "skipped_min_initial_risk": 0, - "sortino": -0.9841304285286525, - "start_date": "2021-01-04", - "total_return_pct": -46.3, - "trades": 206, - "transaction_cost": 197.94245098484186, - "turnover_multiple": 28.60903079470114, - "underwater_pct": 95.25691699604744, - "win_rate": 20.9 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.3071, - "avg_gross_exposure_pct": 79.6929, - "avg_hold_days": 11.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9804424190638944, - "cagr_pct": -48.4, - "calmar": -0.69, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.4230740229029086, - "ev_without_best": { - "1": -0.5275661580212968, - "10": -0.7568941910586806, - "5": -0.6626656342780709 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5807135210067833, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 6845.82, - "measurement_start_positions": 10, - "opened_positions": 206, - "peak_positions": 10, - "profit_factor": 0.5247980858068387, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.68, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 10327, - "skipped_min_initial_risk": 0, - "sortino": -1.0540818109369046, - "start_date": "2021-01-04", - "total_return_pct": -48.0, - "trades": 206, - "transaction_cost": 386.1630928866849, - "turnover_multiple": 28.204297869845025, - "underwater_pct": 95.25691699604744, - "win_rate": 20.9 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.8267, - "avg_gross_exposure_pct": 79.1733, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9807290677805203, - "cagr_pct": -41.9, - "calmar": -0.6, - "capacity_opportunities": 10534, - "end_date": "2021-12-31", - "ev_net_r": -0.36950670275702424, - "ev_without_best": { - "1": -0.4754286356870828, - "10": -0.7188886841063411, - "5": -0.6175218040470858 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 18, - "trailing_stop": 66 - }, - "gain_to_pain": -0.4775527033544998, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 7449.98, - "measurement_start_positions": 10, - "opened_positions": 203, - "peak_positions": 10, - "profit_factor": 0.5640232793051043, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.52, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 10331, - "skipped_min_initial_risk": 0, - "sortino": -0.8224875124161227, - "start_date": "2021-01-04", - "total_return_pct": -41.6, - "trades": 203, - "transaction_cost": 226.14646459917893, - "turnover_multiple": 30.355311638310297, - "underwater_pct": 94.0711462450593, - "win_rate": 21.2 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.7543, - "avg_gross_exposure_pct": 79.2457, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9807290677805203, - "cagr_pct": -43.8, - "calmar": -0.62, - "capacity_opportunities": 10534, - "end_date": "2021-12-31", - "ev_net_r": -0.38525326803779825, - "ev_without_best": { - "1": -0.4911100350893056, - "10": -0.7341841565340305, - "5": -0.6330582627486351 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 18, - "trailing_stop": 66 - }, - "gain_to_pain": -0.49770223295461236, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 7385.26, - "measurement_start_positions": 10, - "opened_positions": 203, - "peak_positions": 10, - "profit_factor": 0.5517424740667286, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.57, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 10331, - "skipped_min_initial_risk": 0, - "sortino": -0.8936292312732399, - "start_date": "2021-01-04", - "total_return_pct": -43.4, - "trades": 203, - "transaction_cost": 442.17390140744016, - "turnover_multiple": 29.936244723099808, - "underwater_pct": 94.0711462450593, - "win_rate": 21.2 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.3805, - "avg_gross_exposure_pct": 79.6195, - "avg_hold_days": 11.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9804424190638944, - "cagr_pct": -46.7, - "calmar": -0.67, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.40724814851471336, - "ev_without_best": { - "1": -0.511804108990955, - "10": -0.7414922457922329, - "5": -0.6470316893971971 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5624462121590121, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 7046.77, - "measurement_start_positions": 10, - "opened_positions": 206, - "peak_positions": 10, - "profit_factor": 0.5363061075066438, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.63, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 10327, - "skipped_min_initial_risk": 0, - "sortino": -0.9841272020927452, - "start_date": "2021-01-04", - "total_return_pct": -46.3, - "trades": 206, - "transaction_cost": 201.60093830209226, - "turnover_multiple": 28.608985152359487, - "underwater_pct": 95.25691699604744, - "win_rate": 20.9 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.3071, - "avg_gross_exposure_pct": 79.6929, - "avg_hold_days": 11.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9804424190638944, - "cagr_pct": -48.4, - "calmar": -0.69, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.4230740229029086, - "ev_without_best": { - "1": -0.5275661580212968, - "10": -0.7568941910586806, - "5": -0.6626656342780709 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5807140178352109, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 6980.48, - "measurement_start_positions": 10, - "opened_positions": 206, - "peak_positions": 10, - "profit_factor": 0.5247980858068387, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.68, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 10327, - "skipped_min_initial_risk": 0, - "sortino": -1.0540824533554938, - "start_date": "2021-01-04", - "total_return_pct": -48.0, - "trades": 206, - "transaction_cost": 393.758905703412, - "turnover_multiple": 28.204285787181682, - "underwater_pct": 95.25691699604744, - "win_rate": 20.9 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.7256, - "avg_gross_exposure_pct": 79.2744, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9808221779170226, - "cagr_pct": -47.1, - "calmar": -0.68, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.38737391504355523, - "ev_without_best": { - "1": -0.49391171436772624, - "10": -0.7196028541708496, - "5": -0.6315217350944357 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5678337985057283, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 7348.32, - "measurement_start_positions": 10, - "opened_positions": 202, - "peak_positions": 10, - "profit_factor": 0.541933160591684, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.66, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 10331, - "skipped_min_initial_risk": 0, - "sortino": -1.0272224615258128, - "start_date": "2021-01-04", - "total_return_pct": -46.7, - "trades": 202, - "transaction_cost": 203.14405713391596, - "turnover_multiple": 27.64496607849358, - "underwater_pct": 94.0711462450593, - "win_rate": 21.3 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.6521, - "avg_gross_exposure_pct": 79.3479, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9808221779170226, - "cagr_pct": -48.8, - "calmar": -0.7, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.40313137519034115, - "ev_without_best": { - "1": -0.5096037386309233, - "10": -0.734903194448338, - "5": -0.647081632286 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.58527544935801, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 7285.33, - "measurement_start_positions": 10, - "opened_positions": 202, - "peak_positions": 10, - "profit_factor": 0.5299293301684069, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.71, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 10331, - "skipped_min_initial_risk": 0, - "sortino": -1.0962756212155162, - "start_date": "2021-01-04", - "total_return_pct": -48.4, - "trades": 202, - "transaction_cost": 397.19716076820157, - "turnover_multiple": 27.260066515051584, - "underwater_pct": 94.0711462450593, - "win_rate": 21.3 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.5039, - "avg_gross_exposure_pct": 79.4961, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9805465932814575, - "cagr_pct": -42.9, - "calmar": -0.62, - "capacity_opportunities": 10538, - "end_date": "2021-12-31", - "ev_net_r": -0.37283042933986377, - "ev_without_best": { - "1": -0.47773020472444555, - "10": -0.7306111829406225, - "5": -0.6235348320346069 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.5413496246251417, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 7357.23, - "measurement_start_positions": 10, - "opened_positions": 205, - "peak_positions": 10, - "profit_factor": 0.5722377288132041, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.52, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 10333, - "skipped_min_initial_risk": 0, - "sortino": -0.812172566221, - "start_date": "2021-01-04", - "total_return_pct": -42.6, - "trades": 205, - "transaction_cost": 223.1696433734031, - "turnover_multiple": 30.333378645686366, - "underwater_pct": 94.86166007905138, - "win_rate": 21.5 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.4308, - "avg_gross_exposure_pct": 79.5692, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9805465932814575, - "cagr_pct": -44.8, - "calmar": -0.64, - "capacity_opportunities": 10538, - "end_date": "2021-12-31", - "ev_net_r": -0.38870360790501657, - "ev_without_best": { - "1": -0.49353947694556416, - "10": -0.7462080638863122, - "5": -0.63922754395176 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.5615423863125106, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 7297.49, - "measurement_start_positions": 10, - "opened_positions": 205, - "peak_positions": 10, - "profit_factor": 0.5600765050973773, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.57, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 10333, - "skipped_min_initial_risk": 0, - "sortino": -0.8821204886935204, - "start_date": "2021-01-04", - "total_return_pct": -44.4, - "trades": 205, - "transaction_cost": 436.4671756109965, - "turnover_multiple": 29.905294533531148, - "underwater_pct": 95.25691699604744, - "win_rate": 21.5 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.6301, - "avg_gross_exposure_pct": 79.3699, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9806488332384746, - "cagr_pct": -48.7, - "calmar": -0.7, - "capacity_opportunities": 10542, - "end_date": "2021-12-31", - "ev_net_r": -0.4099912624375109, - "ev_without_best": { - "1": -0.515590843775207, - "10": -0.7478225727757676, - "5": -0.6522536106133561 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.6215238167234844, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 8605.49, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5331148937246363, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 10338, - "skipped_min_initial_risk": 0, - "sortino": -1.0757672571019168, - "start_date": "2021-01-04", - "total_return_pct": -48.3, - "trades": 204, - "transaction_cost": 235.0114402194058, - "turnover_multiple": 27.309478044760475, - "underwater_pct": 95.65217391304348, - "win_rate": 20.6 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.5566, - "avg_gross_exposure_pct": 79.4434, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9806488332384746, - "cagr_pct": -50.3, - "calmar": -0.72, - "capacity_opportunities": 10542, - "end_date": "2021-12-31", - "ev_net_r": -0.4258749016724859, - "ev_without_best": { - "1": -0.5314103133869647, - "10": -0.7632808900550998, - "5": -0.6679448427792976 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.6385615655349011, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 8539.54, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5216341227602966, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.74, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 10338, - "skipped_min_initial_risk": 0, - "sortino": -1.1445606186582638, - "start_date": "2021-01-04", - "total_return_pct": -49.9, - "trades": 204, - "transaction_cost": 459.85122732607135, - "turnover_multiple": 26.92482424849999, - "underwater_pct": 95.65217391304348, - "win_rate": 20.6 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.3764, - "avg_gross_exposure_pct": 79.6236, - "avg_hold_days": 11.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9804424190638944, - "cagr_pct": -46.7, - "calmar": -0.67, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.4072481485147133, - "ev_without_best": { - "1": -0.511804108990955, - "10": -0.7414922457922328, - "5": -0.6470316893971971 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5623218912660617, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 9000.55, - "measurement_start_positions": 10, - "opened_positions": 206, - "peak_positions": 10, - "profit_factor": 0.5363061075066438, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.63, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 10327, - "skipped_min_initial_risk": 0, - "sortino": -0.9838739472109775, - "start_date": "2021-01-04", - "total_return_pct": -46.3, - "trades": 206, - "transaction_cost": 257.5219359422713, - "turnover_multiple": 28.611799939144976, - "underwater_pct": 95.25691699604744, - "win_rate": 20.9 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.303, - "avg_gross_exposure_pct": 79.697, - "avg_hold_days": 11.4, - "avg_positions": 10.0, - "blocked_fraction": 0.9804424190638944, - "cagr_pct": -48.4, - "calmar": -0.69, - "capacity_opportunities": 10533, - "end_date": "2021-12-31", - "ev_net_r": -0.4230740229029086, - "ev_without_best": { - "1": -0.5275661580212968, - "10": -0.7568941910586806, - "5": -0.6626656342780709 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 112, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.5806005401629935, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 8931.59, - "measurement_start_positions": 10, - "opened_positions": 206, - "peak_positions": 10, - "profit_factor": 0.5247980858068387, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.68, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 10327, - "skipped_min_initial_risk": 0, - "sortino": -1.0538354036160036, - "start_date": "2021-01-04", - "total_return_pct": -48.0, - "trades": 206, - "transaction_cost": 503.86478100918015, - "turnover_multiple": 28.206891550618653, - "underwater_pct": 95.25691699604744, - "win_rate": 20.9 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.2793, - "avg_gross_exposure_pct": 79.7207, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9807546454304134, - "cagr_pct": -49.9, - "calmar": -0.72, - "capacity_opportunities": 10548, - "end_date": "2021-12-31", - "ev_net_r": -0.43830016483492734, - "ev_without_best": { - "1": -0.544562659458441, - "10": -0.77144637628754, - "5": -0.6825009314964441 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.6129759500082348, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 9908.42, - "measurement_start_positions": 10, - "opened_positions": 203, - "peak_positions": 10, - "profit_factor": 0.5019445261826398, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 10345, - "skipped_min_initial_risk": 0, - "sortino": -1.1619417320702727, - "start_date": "2021-01-04", - "total_return_pct": -49.5, - "trades": 203, - "transaction_cost": 262.5898626094862, - "turnover_multiple": 26.501688726304113, - "underwater_pct": 96.04743083003953, - "win_rate": 20.2 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.2043, - "avg_gross_exposure_pct": 79.7957, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9807546454304134, - "cagr_pct": -51.6, - "calmar": -0.74, - "capacity_opportunities": 10548, - "end_date": "2021-12-31", - "ev_net_r": -0.45415942725909736, - "ev_without_best": { - "1": -0.5603573139107102, - "10": -0.7868561620685427, - "5": -0.698166199522676 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.6291944257551622, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 9838.48, - "measurement_start_positions": 10, - "opened_positions": 203, - "peak_positions": 10, - "profit_factor": 0.4909726984313845, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.8, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 10345, - "skipped_min_initial_risk": 0, - "sortino": -1.2309563158694032, - "start_date": "2021-01-04", - "total_return_pct": -51.1, - "trades": 203, - "transaction_cost": 514.1779123777034, - "turnover_multiple": 26.130962932165506, - "underwater_pct": 96.04743083003953, - "win_rate": 20.2 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.329, - "avg_gross_exposure_pct": 79.671, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.980630459551842, - "cagr_pct": -44.6, - "calmar": -0.64, - "capacity_opportunities": 10532, - "end_date": "2021-12-31", - "ev_net_r": -0.3548948389607968, - "ev_without_best": { - "1": -0.4602230093454058, - "10": -0.6901302942481515, - "5": -0.5957728548884835 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.5329470723406347, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 9501.42, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5766892059778921, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.58, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 10328, - "skipped_min_initial_risk": 0, - "sortino": -0.9017698583871605, - "start_date": "2021-01-04", - "total_return_pct": -44.2, - "trades": 204, - "transaction_cost": 278.2332044533921, - "turnover_multiple": 29.283328644917503, - "underwater_pct": 93.67588932806325, - "win_rate": 22.1 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.2558, - "avg_gross_exposure_pct": 79.7442, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.980630459551842, - "cagr_pct": -46.4, - "calmar": -0.66, - "capacity_opportunities": 10532, - "end_date": "2021-12-31", - "ev_net_r": -0.37065370711520307, - "ev_without_best": { - "1": -0.47591709324072967, - "10": -0.7055661132341547, - "5": -0.611336181022083 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 68 - }, - "gain_to_pain": -0.5519539809817653, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 9431.74, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5639926124178282, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 10328, - "skipped_min_initial_risk": 0, - "sortino": -0.9715776730746646, - "start_date": "2021-01-04", - "total_return_pct": -46.0, - "trades": 204, - "transaction_cost": 544.6560276643539, - "turnover_multiple": 28.87357092457775, - "underwater_pct": 93.67588932806325, - "win_rate": 22.1 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.9451, - "avg_gross_exposure_pct": 79.0549, - "avg_hold_days": 11.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9808567096285065, - "cagr_pct": -46.1, - "calmar": -0.66, - "capacity_opportunities": 10552, - "end_date": "2021-12-31", - "ev_net_r": -0.3837302087026441, - "ev_without_best": { - "1": -0.4902498801345718, - "10": -0.7157693714580161, - "5": -0.6277855488971563 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 66 - }, - "gain_to_pain": -0.5559128105684338, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 12428.47, - "measurement_start_positions": 10, - "opened_positions": 202, - "peak_positions": 10, - "profit_factor": 0.5452279061562098, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.63, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 10350, - "skipped_min_initial_risk": 0, - "sortino": -0.9775986519982635, - "start_date": "2021-01-04", - "total_return_pct": -45.7, - "trades": 202, - "transaction_cost": 348.2788886045626, - "turnover_multiple": 28.02266800374967, - "underwater_pct": 95.25691699604744, - "win_rate": 21.3 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.8728, - "avg_gross_exposure_pct": 79.1272, - "avg_hold_days": 11.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9808567096285065, - "cagr_pct": -47.8, - "calmar": -0.68, - "capacity_opportunities": 10552, - "end_date": "2021-12-31", - "ev_net_r": -0.39947527485018247, - "ev_without_best": { - "1": -0.5059294487368337, - "10": -0.7310566722154627, - "5": -0.6433327375209643 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 17, - "trailing_stop": 66 - }, - "gain_to_pain": -0.5738462381060953, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 12353.12, - "measurement_start_positions": 10, - "opened_positions": 202, - "peak_positions": 10, - "profit_factor": 0.5331453950783527, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.67, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 10350, - "skipped_min_initial_risk": 0, - "sortino": -1.0462560365745153, - "start_date": "2021-01-04", - "total_return_pct": -47.4, - "trades": 202, - "transaction_cost": 682.7923835062032, - "turnover_multiple": 27.63643450019927, - "underwater_pct": 95.25691699604744, - "win_rate": 21.3 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.0546, - "avg_gross_exposure_pct": 79.9454, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9806543385490754, - "cagr_pct": -37.8, - "calmar": -0.54, - "capacity_opportunities": 10545, - "end_date": "2021-12-31", - "ev_net_r": -0.3485914768006008, - "ev_without_best": { - "1": -0.45388859614008564, - "10": -0.7073924591036368, - "5": -0.5973050090573689 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 18, - "trailing_stop": 66 - }, - "gain_to_pain": -0.4375631182607631, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 8172.81, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5888215210250205, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.21, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 10341, - "skipped_min_initial_risk": 0, - "sortino": -0.34871118939103596, - "start_date": "2021-01-04", - "total_return_pct": -37.5, - "trades": 204, - "transaction_cost": 266.129458269702, - "turnover_multiple": 32.56278541526134, - "underwater_pct": 93.2806324110672, - "win_rate": 21.6 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 19.9801, - "avg_gross_exposure_pct": 80.0199, - "avg_hold_days": 11.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9806543385490754, - "cagr_pct": -39.8, - "calmar": -0.57, - "capacity_opportunities": 10545, - "end_date": "2021-12-31", - "ev_net_r": -0.36440149901200486, - "ev_without_best": { - "1": -0.46963408608283586, - "10": -0.7228788208285761, - "5": -0.6129032662187227 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 18, - "trailing_stop": 66 - }, - "gain_to_pain": -0.4604900313220643, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 8117.92, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5761180783248839, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.25, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 10341, - "skipped_min_initial_risk": 0, - "sortino": -0.4121720500331775, - "start_date": "2021-01-04", - "total_return_pct": -39.4, - "trades": 204, - "transaction_cost": 521.2910144310418, - "turnover_multiple": 32.10742495805834, - "underwater_pct": 93.67588932806325, - "win_rate": 21.6 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-13|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.2001, - "avg_gross_exposure_pct": 79.7999, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9806341370799316, - "cagr_pct": -48.2, - "calmar": -0.69, - "capacity_opportunities": 10534, - "end_date": "2021-12-31", - "ev_net_r": -0.40488074902898474, - "ev_without_best": { - "1": -0.5104551554237818, - "10": -0.7424486308410287, - "5": -0.6470146923453194 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.6212671401718336, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 10371.4, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.537342796772532, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.66, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 10330, - "skipped_min_initial_risk": 0, - "sortino": -1.0084962537382303, - "start_date": "2021-01-04", - "total_return_pct": -47.8, - "trades": 204, - "transaction_cost": 285.5565223569218, - "turnover_multiple": 27.533073872083012, - "underwater_pct": 96.04743083003953, - "win_rate": 21.1 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2021-seed-13|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.127, - "avg_gross_exposure_pct": 79.873, - "avg_hold_days": 11.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9806341370799316, - "cagr_pct": -49.9, - "calmar": -0.71, - "capacity_opportunities": 10534, - "end_date": "2021-12-31", - "ev_net_r": -0.42076729194983314, - "ev_without_best": { - "1": -0.526277543025284, - "10": -0.757910001480764, - "5": -0.6627089011540657 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 67 - }, - "gain_to_pain": -0.6385590860526381, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.1, - "measurement_start_equity": 10324.58, - "measurement_start_positions": 10, - "opened_positions": 204, - "peak_positions": 10, - "profit_factor": 0.5257096619359102, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 10330, - "skipped_min_initial_risk": 0, - "sortino": -1.0758006561880837, - "start_date": "2021-01-04", - "total_return_pct": -49.4, - "trades": 204, - "transaction_cost": 560.5108737779315, - "turnover_multiple": 27.1444879006183, - "underwater_pct": 96.04743083003953, - "win_rate": 21.1 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.2441, - "avg_gross_exposure_pct": 81.7559, - "avg_hold_days": 9.8, - "avg_positions": 9.9841, - "blocked_fraction": 0.9800177262106197, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 12411, - "end_date": "2023-01-03", - "ev_net_r": -0.9316212351634066, - "ev_without_best": { - "1": -0.9809921773538823, - "10": -1.1636221735435728, - "5": -1.0816288550063295 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 11, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9531238943080883, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.2, - "measurement_start_equity": 5654.04, - "measurement_start_positions": 10, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.2273370009191093, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.63, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 12163, - "skipped_min_initial_risk": 0, - "sortino": -5.000251804208599, - "start_date": "2022-01-03", - "total_return_pct": -92.0, - "trades": 248, - "transaction_cost": 76.67345441787896, - "turnover_multiple": 13.560826314967521, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.1658, - "avg_gross_exposure_pct": 81.8342, - "avg_hold_days": 9.8, - "avg_positions": 9.9841, - "blocked_fraction": 0.9800177262106197, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 12411, - "end_date": "2023-01-03", - "ev_net_r": -0.9460194913470019, - "ev_without_best": { - "1": -0.9953284115705254, - "10": -1.1775548840579848, - "5": -1.0956294669103326 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 11, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9544954036288477, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 5545.97, - "measurement_start_positions": 10, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.22278209998226237, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.69, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 12163, - "skipped_min_initial_risk": 0, - "sortino": -5.050872089919181, - "start_date": "2022-01-03", - "total_return_pct": -92.3, - "trades": 248, - "transaction_cost": 148.46710634887384, - "turnover_multiple": 13.38513428208896, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.2269, - "avg_gross_exposure_pct": 81.7731, - "avg_hold_days": 9.8, - "avg_positions": 9.9841, - "blocked_fraction": 0.9800128949065119, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 12408, - "end_date": "2023-01-03", - "ev_net_r": -0.9316212351634066, - "ev_without_best": { - "1": -0.9809921773538823, - "10": -1.163622173543573, - "5": -1.0816288550063295 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 11, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9532678474532769, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.2, - "measurement_start_equity": 4876.77, - "measurement_start_positions": 10, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.2273370009191093, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.65, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 12160, - "skipped_min_initial_risk": 0, - "sortino": -5.018889973907282, - "start_date": "2022-01-03", - "total_return_pct": -92.1, - "trades": 248, - "transaction_cost": 65.53847828897085, - "turnover_multiple": 13.438911059773341, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.1483, - "avg_gross_exposure_pct": 81.8517, - "avg_hold_days": 9.8, - "avg_positions": 9.9841, - "blocked_fraction": 0.9800128949065119, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 12408, - "end_date": "2023-01-03", - "ev_net_r": -0.946019491347002, - "ev_without_best": { - "1": -0.9953284115705255, - "10": -1.1775548840579848, - "5": -1.0956294669103326 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 11, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9546334598310585, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 4782.57, - "measurement_start_positions": 10, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.2227820999822623, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.71, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 12160, - "skipped_min_initial_risk": 0, - "sortino": -5.0694730133400965, - "start_date": "2022-01-03", - "total_return_pct": -92.4, - "trades": 248, - "transaction_cost": 126.87328620081456, - "turnover_multiple": 13.264132694431506, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.8097, - "avg_gross_exposure_pct": 82.1903, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9800112386609938, - "cagr_pct": -92.3, - "calmar": -1.0, - "capacity_opportunities": 12457, - "end_date": "2023-01-03", - "ev_net_r": -0.9156299085782655, - "ev_without_best": { - "1": -0.9647372932333558, - "10": -1.1404475319916112, - "5": -1.0646950519754155 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9368205310121038, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 5888.24, - "measurement_start_positions": 10, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.23432959066358175, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 12208, - "skipped_min_initial_risk": 0, - "sortino": -4.998058101912291, - "start_date": "2022-01-03", - "total_return_pct": -92.2, - "trades": 249, - "transaction_cost": 81.79790029755675, - "turnover_multiple": 13.891740196995494, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.7366, - "avg_gross_exposure_pct": 82.2634, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9800112386609938, - "cagr_pct": -92.6, - "calmar": -1.0, - "capacity_opportunities": 12457, - "end_date": "2023-01-03", - "ev_net_r": -0.9303627784398132, - "ev_without_best": { - "1": -0.9794097404652289, - "10": -1.1547120291996456, - "5": -1.0790387640847041 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.938378285644853, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 5795.83, - "measurement_start_positions": 10, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.2294788254846181, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.7, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 12208, - "skipped_min_initial_risk": 0, - "sortino": -5.049466285124961, - "start_date": "2022-01-03", - "total_return_pct": -92.5, - "trades": 249, - "transaction_cost": 158.85868675639088, - "turnover_multiple": 13.7045674870028, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.2441, - "avg_gross_exposure_pct": 81.7559, - "avg_hold_days": 9.8, - "avg_positions": 9.9841, - "blocked_fraction": 0.9800177262106197, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 12411, - "end_date": "2023-01-03", - "ev_net_r": -0.9316212351634066, - "ev_without_best": { - "1": -0.9809921773538823, - "10": -1.163622173543573, - "5": -1.0816288550063295 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 11, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9531252078853867, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.2, - "measurement_start_equity": 5381.99, - "measurement_start_positions": 10, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.2273370009191093, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.63, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 12163, - "skipped_min_initial_risk": 0, - "sortino": -5.00025543299997, - "start_date": "2022-01-03", - "total_return_pct": -92.0, - "trades": 248, - "transaction_cost": 72.98440894693802, - "turnover_multiple": 13.560859263383621, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.1658, - "avg_gross_exposure_pct": 81.8342, - "avg_hold_days": 9.8, - "avg_positions": 9.9841, - "blocked_fraction": 0.9800177262106197, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 12411, - "end_date": "2023-01-03", - "ev_net_r": -0.946019491347002, - "ev_without_best": { - "1": -0.9953284115705254, - "10": -1.1775548840579848, - "5": -1.0956294669103326 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 11, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9544940243683951, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 5295.14, - "measurement_start_positions": 10, - "opened_positions": 248, - "peak_positions": 10, - "profit_factor": 0.22278209998226237, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.69, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 12163, - "skipped_min_initial_risk": 0, - "sortino": -5.050859475380137, - "start_date": "2022-01-03", - "total_return_pct": -92.3, - "trades": 248, - "transaction_cost": 141.75260993304914, - "turnover_multiple": 13.38516167023432, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.8112, - "avg_gross_exposure_pct": 82.1888, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9800112386609938, - "cagr_pct": -92.3, - "calmar": -1.0, - "capacity_opportunities": 12457, - "end_date": "2023-01-03", - "ev_net_r": -0.9156299085782655, - "ev_without_best": { - "1": -0.9647372932333558, - "10": -1.1404475319916114, - "5": -1.0646950519754157 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9368187302285873, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 4558.62, - "measurement_start_positions": 10, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.2343295906635817, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 12208, - "skipped_min_initial_risk": 0, - "sortino": -4.997767889444695, - "start_date": "2022-01-03", - "total_return_pct": -92.2, - "trades": 249, - "transaction_cost": 63.33780180736679, - "turnover_multiple": 13.894073602837436, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.7381, - "avg_gross_exposure_pct": 82.2619, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9800112386609938, - "cagr_pct": -92.6, - "calmar": -1.0, - "capacity_opportunities": 12457, - "end_date": "2023-01-03", - "ev_net_r": -0.9303627784398133, - "ev_without_best": { - "1": -0.979409740465229, - "10": -1.1547120291996458, - "5": -1.0790387640847043 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9383749827750918, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 4482.51, - "measurement_start_positions": 10, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.22947882548461804, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.7, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 12208, - "skipped_min_initial_risk": 0, - "sortino": -5.049178312443185, - "start_date": "2022-01-03", - "total_return_pct": -92.5, - "trades": 249, - "transaction_cost": 122.8838895897616, - "turnover_multiple": 13.70704020624177, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.2516, - "avg_gross_exposure_pct": 82.7484, - "avg_hold_days": 9.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9801861062088881, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 12466, - "end_date": "2023-01-03", - "ev_net_r": -0.9180829500410155, - "ev_without_best": { - "1": -0.9675995534390851, - "10": -1.144901272447839, - "5": -1.0684307194468765 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 10, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9372893675823037, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.9, - "measurement_start_equity": 5373.77, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.23468867001677818, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.53, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 12219, - "skipped_min_initial_risk": 0, - "sortino": -4.907680149933116, - "start_date": "2022-01-03", - "total_return_pct": -91.8, - "trades": 247, - "transaction_cost": 76.91352974939949, - "turnover_multiple": 14.312769201026368, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.1782, - "avg_gross_exposure_pct": 82.8218, - "avg_hold_days": 9.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9801861062088881, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 12466, - "end_date": "2023-01-03", - "ev_net_r": -0.9327924837520424, - "ev_without_best": { - "1": -0.9822480784171455, - "10": -1.1591374963458072, - "5": -1.0827473970740031 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 156, - "time": 10, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9388910957423214, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.2, - "measurement_start_equity": 5285.16, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.22983796417810662, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.59, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 12219, - "skipped_min_initial_risk": 0, - "sortino": -4.959612761905922, - "start_date": "2022-01-03", - "total_return_pct": -92.1, - "trades": 247, - "transaction_cost": 149.24375634138056, - "turnover_multiple": 14.119133227885301, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.4002, - "avg_gross_exposure_pct": 81.5998, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9801733825654199, - "cagr_pct": -92.0, - "calmar": -1.0, - "capacity_opportunities": 12458, - "end_date": "2023-01-03", - "ev_net_r": -0.9157390158402573, - "ev_without_best": { - "1": -0.965246091050519, - "10": -1.1424584380698335, - "5": -1.0660383568535405 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9349998310342716, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 6676.01, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.23575815731729877, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.59, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 12211, - "skipped_min_initial_risk": 0, - "sortino": -4.95739282737928, - "start_date": "2022-01-03", - "total_return_pct": -91.9, - "trades": 247, - "transaction_cost": 93.84893771935704, - "turnover_multiple": 14.057638877017416, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.3299, - "avg_gross_exposure_pct": 81.6701, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9801733825654199, - "cagr_pct": -92.3, - "calmar": -1.0, - "capacity_opportunities": 12458, - "end_date": "2023-01-03", - "ev_net_r": -0.9304560653671031, - "ev_without_best": { - "1": -0.979902162396495, - "10": -1.156702494906651, - "5": -1.0803627055819371 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9365587615280783, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.4, - "measurement_start_equity": 6578.01, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.230890091748982, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 12211, - "skipped_min_initial_risk": 0, - "sortino": -5.008675788185158, - "start_date": "2022-01-03", - "total_return_pct": -92.3, - "trades": 247, - "transaction_cost": 182.40943929004226, - "turnover_multiple": 13.86509288447739, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.8089, - "avg_gross_exposure_pct": 82.1911, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9800112386609938, - "cagr_pct": -92.3, - "calmar": -1.0, - "capacity_opportunities": 12457, - "end_date": "2023-01-03", - "ev_net_r": -0.9156299085782655, - "ev_without_best": { - "1": -0.9647372932333559, - "10": -1.1404475319916114, - "5": -1.0646950519754157 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9368238037281269, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 5830.78, - "measurement_start_positions": 10, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.2343295906635817, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 12208, - "skipped_min_initial_risk": 0, - "sortino": -4.998108080248043, - "start_date": "2022-01-03", - "total_return_pct": -92.2, - "trades": 249, - "transaction_cost": 80.99052232156497, - "turnover_multiple": 13.890169466446164, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.7358, - "avg_gross_exposure_pct": 82.2642, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9800112386609938, - "cagr_pct": -92.6, - "calmar": -1.0, - "capacity_opportunities": 12457, - "end_date": "2023-01-03", - "ev_net_r": -0.9303627784398132, - "ev_without_best": { - "1": -0.979409740465229, - "10": -1.1547120291996458, - "5": -1.0790387640847041 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 157, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9383799878663678, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 5744.55, - "measurement_start_positions": 10, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 0.2294788254846181, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.7, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 12208, - "skipped_min_initial_risk": 0, - "sortino": -5.049478327766724, - "start_date": "2022-01-03", - "total_return_pct": -92.5, - "trades": 249, - "transaction_cost": 157.43781196144363, - "turnover_multiple": 13.703232799909792, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.4519, - "avg_gross_exposure_pct": 81.5481, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9801733825654199, - "cagr_pct": -91.9, - "calmar": -1.0, - "capacity_opportunities": 12458, - "end_date": "2023-01-03", - "ev_net_r": -0.9157390158402573, - "ev_without_best": { - "1": -0.965246091050519, - "10": -1.1424584380698335, - "5": -1.0660383568535405 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9348064668406233, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 6449.69, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.23575815731729877, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.58, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 12211, - "skipped_min_initial_risk": 0, - "sortino": -4.952822654054977, - "start_date": "2022-01-03", - "total_return_pct": -91.9, - "trades": 247, - "transaction_cost": 91.54655590268767, - "turnover_multiple": 14.193946670721798, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.3828, - "avg_gross_exposure_pct": 81.6172, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9801733825654199, - "cagr_pct": -92.2, - "calmar": -1.0, - "capacity_opportunities": 12458, - "end_date": "2023-01-03", - "ev_net_r": -0.930456065367103, - "ev_without_best": { - "1": -0.979902162396495, - "10": -1.156702494906651, - "5": -1.0803627055819371 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9363675409290619, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 6363.43, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.23089009174898206, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 12211, - "skipped_min_initial_risk": 0, - "sortino": -5.003848472960266, - "start_date": "2022-01-03", - "total_return_pct": -92.2, - "trades": 247, - "transaction_cost": 178.2332735169882, - "turnover_multiple": 14.004497065025323, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.4515, - "avg_gross_exposure_pct": 81.5485, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9801733825654199, - "cagr_pct": -91.9, - "calmar": -1.0, - "capacity_opportunities": 12458, - "end_date": "2023-01-03", - "ev_net_r": -0.9157390158402572, - "ev_without_best": { - "1": -0.965246091050519, - "10": -1.1424584380698335, - "5": -1.0660383568535405 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9348098332086124, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 5713.67, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.23575815731729882, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.58, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 12211, - "skipped_min_initial_risk": 0, - "sortino": -4.953013555937947, - "start_date": "2022-01-03", - "total_return_pct": -91.9, - "trades": 247, - "transaction_cost": 81.09311961785511, - "turnover_multiple": 14.192825210041025, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.3824, - "avg_gross_exposure_pct": 81.6176, - "avg_hold_days": 9.8, - "avg_positions": 9.9921, - "blocked_fraction": 0.9801733825654199, - "cagr_pct": -92.2, - "calmar": -1.0, - "capacity_opportunities": 12458, - "end_date": "2023-01-03", - "ev_net_r": -0.930456065367103, - "ev_without_best": { - "1": -0.979902162396495, - "10": -1.156702494906651, - "5": -1.0803627055819371 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 10, - "trailing_stop": 72 - }, - "gain_to_pain": -0.936369855918029, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 5639.06, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.23089009174898206, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 12211, - "skipped_min_initial_risk": 0, - "sortino": -5.004020495552901, - "start_date": "2022-01-03", - "total_return_pct": -92.2, - "trades": 247, - "transaction_cost": 157.93134615419999, - "turnover_multiple": 14.003339754693155, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.5551, - "avg_gross_exposure_pct": 81.4449, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9803228656332824, - "cagr_pct": -91.6, - "calmar": -1.0, - "capacity_opportunities": 12451, - "end_date": "2023-01-03", - "ev_net_r": -0.9010556139822696, - "ev_without_best": { - "1": -0.9509083070145088, - "10": -1.1371753617536133, - "5": -1.0523015452986222 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 151, - "time": 12, - "trailing_stop": 72 - }, - "gain_to_pain": -0.943966422047675, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.6, - "measurement_start_equity": 5787.74, - "measurement_start_positions": 10, - "opened_positions": 245, - "peak_positions": 10, - "profit_factor": 0.24257622876447002, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.58, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 12206, - "skipped_min_initial_risk": 0, - "sortino": -4.9441246265615915, - "start_date": "2022-01-03", - "total_return_pct": -91.6, - "trades": 245, - "transaction_cost": 80.61154977785704, - "turnover_multiple": 13.927983941548348, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.488, - "avg_gross_exposure_pct": 81.512, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9803228656332824, - "cagr_pct": -91.9, - "calmar": -1.0, - "capacity_opportunities": 12451, - "end_date": "2023-01-03", - "ev_net_r": -0.9155709537141163, - "ev_without_best": { - "1": -0.9653613420648435, - "10": -1.1511143692157992, - "5": -1.0664167094379702 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 151, - "time": 12, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9454532474712231, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.9, - "measurement_start_equity": 5708.84, - "measurement_start_positions": 10, - "opened_positions": 245, - "peak_positions": 10, - "profit_factor": 0.23766727054106007, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 12206, - "skipped_min_initial_risk": 0, - "sortino": -4.9958084928064554, - "start_date": "2022-01-03", - "total_return_pct": -91.9, - "trades": 245, - "transaction_cost": 156.91892762834004, - "turnover_multiple": 13.743503726531136, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.8906, - "avg_gross_exposure_pct": 82.1094, - "avg_hold_days": 9.9, - "avg_positions": 9.9881, - "blocked_fraction": 0.9801494816362614, - "cagr_pct": -91.7, - "calmar": -1.0, - "capacity_opportunities": 12443, - "end_date": "2023-01-03", - "ev_net_r": -0.9068699847603119, - "ev_without_best": { - "1": -0.9563410069987038, - "10": -1.1412424929208447, - "5": -1.0569860813297947 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 12, - "trailing_stop": 70 - }, - "gain_to_pain": -0.935206790322964, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.8, - "measurement_start_equity": 6437.01, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.24465176975924463, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.53, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 12196, - "skipped_min_initial_risk": 0, - "sortino": -4.891103507027368, - "start_date": "2022-01-03", - "total_return_pct": -91.7, - "trades": 247, - "transaction_cost": 89.22202920072458, - "turnover_multiple": 13.86078772609093, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.8119, - "avg_gross_exposure_pct": 82.1881, - "avg_hold_days": 9.9, - "avg_positions": 9.9881, - "blocked_fraction": 0.9801494816362614, - "cagr_pct": -92.0, - "calmar": -1.0, - "capacity_opportunities": 12443, - "end_date": "2023-01-03", - "ev_net_r": -0.9214388345827651, - "ev_without_best": { - "1": -0.9708482762024646, - "10": -1.155242131846824, - "5": -1.071159168376435 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 12, - "trailing_stop": 70 - }, - "gain_to_pain": -0.9367876445028912, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 6364.34, - "measurement_start_positions": 10, - "opened_positions": 247, - "peak_positions": 10, - "profit_factor": 0.23971822990522842, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.59, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 12196, - "skipped_min_initial_risk": 0, - "sortino": -4.942066564895835, - "start_date": "2022-01-03", - "total_return_pct": -92.0, - "trades": 247, - "transaction_cost": 174.12144494197324, - "turnover_multiple": 13.679458116786126, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-13|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.5926, - "avg_gross_exposure_pct": 81.4074, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9802409638554217, - "cagr_pct": -91.7, - "calmar": -1.0, - "capacity_opportunities": 12450, - "end_date": "2023-01-03", - "ev_net_r": -0.9018690403813315, - "ev_without_best": { - "1": -0.9515215731415987, - "10": -1.1370227479671637, - "5": -1.0525042712855637 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 153, - "time": 12, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9443326675617012, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.8, - "measurement_start_equity": 5877.56, - "measurement_start_positions": 10, - "opened_positions": 246, - "peak_positions": 10, - "profit_factor": 0.24166320596797622, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.6, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 12204, - "skipped_min_initial_risk": 0, - "sortino": -4.954213367822113, - "start_date": "2022-01-03", - "total_return_pct": -91.7, - "trades": 246, - "transaction_cost": 81.47684916960773, - "turnover_multiple": 13.862359409279994, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-13|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 18.5175, - "avg_gross_exposure_pct": 81.4825, - "avg_hold_days": 10.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9802409638554217, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 12450, - "end_date": "2023-01-03", - "ev_net_r": -0.9164497391221397, - "ev_without_best": { - "1": -0.9660404882771824, - "10": -1.1510323259737316, - "5": -1.0666878109095466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 153, - "time": 12, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9457922309188905, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 5804.48, - "measurement_start_positions": 10, - "opened_positions": 246, - "peak_positions": 10, - "profit_factor": 0.23675664466845656, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.65, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 12204, - "skipped_min_initial_risk": 0, - "sortino": -5.005526855037244, - "start_date": "2022-01-03", - "total_return_pct": -92.0, - "trades": 246, - "transaction_cost": 158.78508829548346, - "turnover_multiple": 13.677804755592533, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-14|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.3758, - "avg_gross_exposure_pct": 82.6242, - "avg_hold_days": 9.9, - "avg_positions": 10.0, - "blocked_fraction": 0.980423620025674, - "cagr_pct": -90.9, - "calmar": -1.0, - "capacity_opportunities": 12464, - "end_date": "2023-01-03", - "ev_net_r": -0.8948113983320034, - "ev_without_best": { - "1": -0.944843550118901, - "10": -1.1235431371923754, - "5": -1.046559525686285 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 153, - "time": 10, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9366806592234069, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 91.2, - "measurement_start_equity": 7258.84, - "measurement_start_positions": 10, - "opened_positions": 244, - "peak_positions": 10, - "profit_factor": 0.24156326135227835, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.42, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 12220, - "skipped_min_initial_risk": 0, - "sortino": -4.827736187654986, - "start_date": "2022-01-03", - "total_return_pct": -90.9, - "trades": 244, - "transaction_cost": 110.54503122398177, - "turnover_multiple": 15.229021610061906, - "underwater_pct": 98.81422924901186, - "win_rate": 17.6 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2022-seed-14|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 17.2968, - "avg_gross_exposure_pct": 82.7032, - "avg_hold_days": 9.9, - "avg_positions": 10.0, - "blocked_fraction": 0.980423620025674, - "cagr_pct": -91.3, - "calmar": -1.0, - "capacity_opportunities": 12464, - "end_date": "2023-01-03", - "ev_net_r": -0.9095194303380718, - "ev_without_best": { - "1": -0.9594898140179129, - "10": -1.137771727135433, - "5": -1.0608697389441164 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 153, - "time": 10, - "trailing_stop": 71 - }, - "gain_to_pain": -0.9381710317458158, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 91.5, - "measurement_start_equity": 7184.41, - "measurement_start_positions": 10, - "opened_positions": 244, - "peak_positions": 10, - "profit_factor": 0.2365406396584455, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.48, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 12220, - "skipped_min_initial_risk": 0, - "sortino": -4.879901246726125, - "start_date": "2022-01-03", - "total_return_pct": -91.3, - "trades": 244, - "transaction_cost": 215.9763259587897, - "turnover_multiple": 15.030902047543895, - "underwater_pct": 98.81422924901186, - "win_rate": 17.6 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.9446, - "avg_gross_exposure_pct": 51.0554, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886071460235837, - "cagr_pct": -85.7, - "calmar": -0.97, - "capacity_opportunities": 22558, - "end_date": "2024-01-03", - "ev_net_r": -0.6889421990725034, - "ev_without_best": { - "1": -0.7789302545376303, - "10": -1.038393076789624, - "5": -0.9599206478762261 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8814012383737909, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 2151.11, - "measurement_start_positions": 10, - "opened_positions": 257, - "peak_positions": 10, - "profit_factor": 0.380536929653841, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.38, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 22301, - "skipped_min_initial_risk": 0, - "sortino": -3.5606266962972044, - "start_date": "2023-01-03", - "total_return_pct": -85.6, - "trades": 257, - "transaction_cost": 27.009231919543343, - "turnover_multiple": 12.55595107620872, - "underwater_pct": 97.62845849802372, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.8996, - "avg_gross_exposure_pct": 51.1004, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886071460235837, - "cagr_pct": -86.0, - "calmar": -0.97, - "capacity_opportunities": 22558, - "end_date": "2024-01-03", - "ev_net_r": -0.6983592920017747, - "ev_without_best": { - "1": -0.7882441392992879, - "10": -1.0475494313150213, - "5": -0.9691054099851164 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8848173589731629, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 2111.08, - "measurement_start_positions": 10, - "opened_positions": 257, - "peak_positions": 10, - "profit_factor": 0.3762301018561562, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.41, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 22301, - "skipped_min_initial_risk": 0, - "sortino": -3.598470502432045, - "start_date": "2023-01-03", - "total_return_pct": -86.0, - "trades": 257, - "transaction_cost": 52.550821963943115, - "turnover_multiple": 12.446430728334102, - "underwater_pct": 97.62845849802372, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.9359, - "avg_gross_exposure_pct": 51.0641, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886071460235837, - "cagr_pct": -85.7, - "calmar": -0.97, - "capacity_opportunities": 22558, - "end_date": "2024-01-03", - "ev_net_r": -0.6889421990725035, - "ev_without_best": { - "1": -0.7789302545376304, - "10": -1.0383930767896241, - "5": -0.9599206478762262 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8816270207962502, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 2694.15, - "measurement_start_positions": 10, - "opened_positions": 257, - "peak_positions": 10, - "profit_factor": 0.3805369296538409, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.38, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 22301, - "skipped_min_initial_risk": 0, - "sortino": -3.5608331000667173, - "start_date": "2023-01-03", - "total_return_pct": -85.6, - "trades": 257, - "transaction_cost": 33.81547302421641, - "turnover_multiple": 12.551444063699648, - "underwater_pct": 97.62845849802372, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.8908, - "avg_gross_exposure_pct": 51.1092, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886071460235837, - "cagr_pct": -86.1, - "calmar": -0.97, - "capacity_opportunities": 22558, - "end_date": "2024-01-03", - "ev_net_r": -0.6983592920017747, - "ev_without_best": { - "1": -0.788244139299288, - "10": -1.0475494313150213, - "5": -0.9691054099851164 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8850327718595679, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 2648.82, - "measurement_start_positions": 10, - "opened_positions": 257, - "peak_positions": 10, - "profit_factor": 0.3762301018561562, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.41, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 22301, - "skipped_min_initial_risk": 0, - "sortino": -3.598578411460164, - "start_date": "2023-01-03", - "total_return_pct": -86.0, - "trades": 257, - "transaction_cost": 65.91280021934699, - "turnover_multiple": 12.441917574494866, - "underwater_pct": 97.62845849802372, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 15.8771, - "avg_gross_exposure_pct": 84.1229, - "avg_hold_days": 9.7, - "avg_positions": 9.5397, - "blocked_fraction": 0.9874613635038199, - "cagr_pct": -75.6, - "calmar": -0.98, - "capacity_opportunities": 17147, - "end_date": "2024-01-03", - "ev_net_r": -0.7366569424193739, - "ev_without_best": { - "1": -0.8445291711222682, - "10": -1.008373822416595, - "5": -0.9261763531031924 - }, - "exit_reasons": { - "open_at_end": 5, - "stop": 116, - "time": 14, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9049905367524778, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 77.0, - "measurement_start_equity": 2729.35, - "measurement_start_positions": 10, - "opened_positions": 215, - "peak_positions": 10, - "profit_factor": 0.2999807700143445, - "sessions_at_capacity": 199, - "sessions_measured": 252, - "sharpe": -2.32, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 16932, - "skipped_min_initial_risk": 0, - "sortino": -3.2955089140697678, - "start_date": "2023-01-03", - "total_return_pct": -75.6, - "trades": 215, - "transaction_cost": 25.982793207131596, - "turnover_multiple": 9.519773281965156, - "underwater_pct": 98.81422924901186, - "win_rate": 19.1 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 15.2757, - "avg_gross_exposure_pct": 84.7243, - "avg_hold_days": 9.7, - "avg_positions": 9.5397, - "blocked_fraction": 0.9874613635038199, - "cagr_pct": -75.4, - "calmar": -0.98, - "capacity_opportunities": 17147, - "end_date": "2024-01-03", - "ev_net_r": -0.746040559698797, - "ev_without_best": { - "1": -0.8537891679972102, - "10": -1.0175511694779422, - "5": -0.9353786269877905 - }, - "exit_reasons": { - "open_at_end": 5, - "stop": 116, - "time": 14, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9069530246846943, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 76.8, - "measurement_start_equity": 2686.51, - "measurement_start_positions": 10, - "opened_positions": 215, - "peak_positions": 10, - "profit_factor": 0.2960574040963081, - "sessions_at_capacity": 199, - "sessions_measured": 252, - "sharpe": -2.31, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 16932, - "skipped_min_initial_risk": 0, - "sortino": -3.2850464180821017, - "start_date": "2023-01-03", - "total_return_pct": -75.4, - "trades": 215, - "transaction_cost": 50.42449379271398, - "turnover_multiple": 9.384758253777946, - "underwater_pct": 98.81422924901186, - "win_rate": 19.1 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.4194, - "avg_gross_exposure_pct": 51.5806, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883370288248337, - "cagr_pct": -87.7, - "calmar": -0.97, - "capacity_opportunities": 22550, - "end_date": "2024-01-03", - "ev_net_r": -0.7068240596252163, - "ev_without_best": { - "1": -0.7948195713031753, - "10": -1.0598112109712432, - "5": -0.9793852832000859 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8956735990089696, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 2986.81, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.3770821457158167, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.55, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 22287, - "skipped_min_initial_risk": 0, - "sortino": -3.789824414023727, - "start_date": "2023-01-03", - "total_return_pct": -87.7, - "trades": 263, - "transaction_cost": 36.30956341135234, - "turnover_multiple": 12.156636482184117, - "underwater_pct": 97.62845849802372, - "win_rate": 19.8 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.3721, - "avg_gross_exposure_pct": 51.6279, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883370288248337, - "cagr_pct": -88.0, - "calmar": -0.97, - "capacity_opportunities": 22550, - "end_date": "2024-01-03", - "ev_net_r": -0.7162732408604635, - "ev_without_best": { - "1": -0.8041680303910822, - "10": -1.068984917891382, - "5": -0.988624440606663 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8994944059508848, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 90.3, - "measurement_start_equity": 2941.19, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.37286462607390325, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.58, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 22287, - "skipped_min_initial_risk": 0, - "sortino": -3.8272303551061273, - "start_date": "2023-01-03", - "total_return_pct": -88.0, - "trades": 263, - "transaction_cost": 70.88987214159968, - "turnover_multiple": 12.051222828446935, - "underwater_pct": 97.62845849802372, - "win_rate": 19.8 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.936, - "avg_gross_exposure_pct": 51.064, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886071460235837, - "cagr_pct": -85.7, - "calmar": -0.97, - "capacity_opportunities": 22558, - "end_date": "2024-01-03", - "ev_net_r": -0.6889421990725034, - "ev_without_best": { - "1": -0.7789302545376304, - "10": -1.0383930767896241, - "5": -0.9599206478762261 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8816257138588568, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 2174.64, - "measurement_start_positions": 10, - "opened_positions": 257, - "peak_positions": 10, - "profit_factor": 0.38053692965384095, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.38, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 22301, - "skipped_min_initial_risk": 0, - "sortino": -3.5608391831644646, - "start_date": "2023-01-03", - "total_return_pct": -85.6, - "trades": 257, - "transaction_cost": 27.29491416964389, - "turnover_multiple": 12.551463308705756, - "underwater_pct": 97.62845849802372, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.8908, - "avg_gross_exposure_pct": 51.1092, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886071460235837, - "cagr_pct": -86.1, - "calmar": -0.97, - "capacity_opportunities": 22558, - "end_date": "2024-01-03", - "ev_net_r": -0.6983592920017747, - "ev_without_best": { - "1": -0.788244139299288, - "10": -1.0475494313150213, - "5": -0.9691054099851165 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8850394439062153, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 2136.65, - "measurement_start_positions": 10, - "opened_positions": 257, - "peak_positions": 10, - "profit_factor": 0.3762301018561562, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.41, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 22301, - "skipped_min_initial_risk": 0, - "sortino": -3.59863642806858, - "start_date": "2023-01-03", - "total_return_pct": -86.0, - "trades": 257, - "transaction_cost": 53.16801146588586, - "turnover_multiple": 12.44190940628691, - "underwater_pct": 97.62845849802372, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.4607, - "avg_gross_exposure_pct": 50.5393, - "avg_hold_days": 9.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9882859298043217, - "cagr_pct": -89.8, - "calmar": -0.99, - "capacity_opportunities": 22537, - "end_date": "2024-01-03", - "ev_net_r": -0.7954855032129725, - "ev_without_best": { - "1": -0.883483546951425, - "10": -1.0742257943583846, - "5": -0.9973308248341816 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9260422202113686, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 3398.44, - "measurement_start_positions": 10, - "opened_positions": 264, - "peak_positions": 10, - "profit_factor": 0.30100536076220963, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.26, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 22273, - "skipped_min_initial_risk": 0, - "sortino": -4.298578309614828, - "start_date": "2023-01-03", - "total_return_pct": -89.8, - "trades": 264, - "transaction_cost": 34.76317291983563, - "turnover_multiple": 10.229156000940323, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.4152, - "avg_gross_exposure_pct": 50.5848, - "avg_hold_days": 9.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9882859298043217, - "cagr_pct": -90.1, - "calmar": -0.99, - "capacity_opportunities": 22537, - "end_date": "2024-01-03", - "ev_net_r": -0.8048694718131646, - "ev_without_best": { - "1": -0.8927669284214337, - "10": -1.0833475150011793, - "5": -1.006536802513505 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.928486019855412, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 3349.05, - "measurement_start_positions": 10, - "opened_positions": 264, - "peak_positions": 10, - "profit_factor": 0.2973741859930999, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.3, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 22273, - "skipped_min_initial_risk": 0, - "sortino": -4.334222499952467, - "start_date": "2023-01-03", - "total_return_pct": -90.1, - "trades": 264, - "transaction_cost": 67.93164006398685, - "turnover_multiple": 10.141926824619944, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.4192, - "avg_gross_exposure_pct": 51.5808, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883370288248337, - "cagr_pct": -87.7, - "calmar": -0.97, - "capacity_opportunities": 22550, - "end_date": "2024-01-03", - "ev_net_r": -0.7068240596252163, - "ev_without_best": { - "1": -0.7948195713031753, - "10": -1.0598112109712432, - "5": -0.979385283200086 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.895671899118223, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 2211.44, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.37708214571581666, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.55, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 22287, - "skipped_min_initial_risk": 0, - "sortino": -3.789914020084151, - "start_date": "2023-01-03", - "total_return_pct": -87.7, - "trades": 263, - "transaction_cost": 26.883678350062073, - "turnover_multiple": 12.156639271272144, - "underwater_pct": 97.62845849802372, - "win_rate": 19.8 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.3719, - "avg_gross_exposure_pct": 51.6281, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883370288248337, - "cagr_pct": -88.0, - "calmar": -0.97, - "capacity_opportunities": 22550, - "end_date": "2024-01-03", - "ev_net_r": -0.7162732408604635, - "ev_without_best": { - "1": -0.8041680303910822, - "10": -1.068984917891382, - "5": -0.988624440606663 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8994960430276904, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 90.3, - "measurement_start_equity": 2175.78, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.3728646260739033, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.58, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 22287, - "skipped_min_initial_risk": 0, - "sortino": -3.8272478335234004, - "start_date": "2023-01-03", - "total_return_pct": -88.0, - "trades": 263, - "transaction_cost": 52.44156446031941, - "turnover_multiple": 12.051210246513758, - "underwater_pct": 97.62845849802372, - "win_rate": 19.8 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.451, - "avg_gross_exposure_pct": 50.549, - "avg_hold_days": 9.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9882859298043217, - "cagr_pct": -89.9, - "calmar": -0.99, - "capacity_opportunities": 22537, - "end_date": "2024-01-03", - "ev_net_r": -0.7954855032129725, - "ev_without_best": { - "1": -0.8834835469514248, - "10": -1.0742257943583846, - "5": -0.9973308248341816 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9260485072898289, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 2773.57, - "measurement_start_positions": 10, - "opened_positions": 264, - "peak_positions": 10, - "profit_factor": 0.30100536076220963, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.26, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 22273, - "skipped_min_initial_risk": 0, - "sortino": -4.298473278196408, - "start_date": "2023-01-03", - "total_return_pct": -89.8, - "trades": 264, - "transaction_cost": 28.36496443062628, - "turnover_multiple": 10.226878871139462, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.4054, - "avg_gross_exposure_pct": 50.5946, - "avg_hold_days": 9.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9882859298043217, - "cagr_pct": -90.1, - "calmar": -0.99, - "capacity_opportunities": 22537, - "end_date": "2024-01-03", - "ev_net_r": -0.8048694718131646, - "ev_without_best": { - "1": -0.8927669284214337, - "10": -1.0833475150011793, - "5": -1.006536802513505 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9284928358121309, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 2732.04, - "measurement_start_positions": 10, - "opened_positions": 264, - "peak_positions": 10, - "profit_factor": 0.2973741859930999, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.3, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 22273, - "skipped_min_initial_risk": 0, - "sortino": -4.334105740833713, - "start_date": "2023-01-03", - "total_return_pct": -90.1, - "trades": 264, - "transaction_cost": 55.403827834812084, - "turnover_multiple": 10.139644338079252, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.1664, - "avg_gross_exposure_pct": 50.8336, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883334072661136, - "cagr_pct": -90.0, - "calmar": -0.99, - "capacity_opportunities": 22543, - "end_date": "2024-01-03", - "ev_net_r": -0.7904858734862148, - "ev_without_best": { - "1": -0.8788007050644066, - "10": -1.070130291089642, - "5": -0.9930166492662899 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 148, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9271238897567196, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 2908.18, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.3031346544676982, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.26, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 22280, - "skipped_min_initial_risk": 0, - "sortino": -4.31247887523295, - "start_date": "2023-01-03", - "total_return_pct": -89.9, - "trades": 263, - "transaction_cost": 29.315462618883473, - "turnover_multiple": 10.080346683796558, - "underwater_pct": 99.2094861660079, - "win_rate": 19.4 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.1198, - "avg_gross_exposure_pct": 50.8802, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883334072661136, - "cagr_pct": -90.2, - "calmar": -0.99, - "capacity_opportunities": 22543, - "end_date": "2024-01-03", - "ev_net_r": -0.79989395037545, - "ev_without_best": { - "1": -0.8881079029194846, - "10": -1.0792760363650888, - "5": -1.0022465125622704 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 148, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9295500367855467, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 91.1, - "measurement_start_equity": 2868.26, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.2994670060987147, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.29, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 22280, - "skipped_min_initial_risk": 0, - "sortino": -4.347928907854902, - "start_date": "2023-01-03", - "total_return_pct": -90.2, - "trades": 263, - "transaction_cost": 57.32643415181813, - "turnover_multiple": 9.99324227089213, - "underwater_pct": 99.2094861660079, - "win_rate": 19.4 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.4193, - "avg_gross_exposure_pct": 51.5807, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883370288248337, - "cagr_pct": -87.7, - "calmar": -0.97, - "capacity_opportunities": 22550, - "end_date": "2024-01-03", - "ev_net_r": -0.7068240596252163, - "ev_without_best": { - "1": -0.7948195713031753, - "10": -1.0598112109712432, - "5": -0.979385283200086 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.895670804820766, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 2605.49, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.3770821457158167, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.55, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 22287, - "skipped_min_initial_risk": 0, - "sortino": -3.7898728728238464, - "start_date": "2023-01-03", - "total_return_pct": -87.7, - "trades": 263, - "transaction_cost": 31.6740012669089, - "turnover_multiple": 12.156638968834615, - "underwater_pct": 97.62845849802372, - "win_rate": 19.8 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 48.3721, - "avg_gross_exposure_pct": 51.6279, - "avg_hold_days": 9.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9883370288248337, - "cagr_pct": -88.0, - "calmar": -0.97, - "capacity_opportunities": 22550, - "end_date": "2024-01-03", - "ev_net_r": -0.7162732408604635, - "ev_without_best": { - "1": -0.8041680303910822, - "10": -1.068984917891382, - "5": -0.988624440606663 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8994943204475117, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 90.3, - "measurement_start_equity": 2570.31, - "measurement_start_positions": 10, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.3728646260739032, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.58, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 22287, - "skipped_min_initial_risk": 0, - "sortino": -3.8272769014712837, - "start_date": "2023-01-03", - "total_return_pct": -88.0, - "trades": 263, - "transaction_cost": 61.95077653690358, - "turnover_multiple": 12.051226610195576, - "underwater_pct": 97.62845849802372, - "win_rate": 19.8 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.6112, - "avg_gross_exposure_pct": 50.3888, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886469466495188, - "cagr_pct": -85.3, - "calmar": -0.96, - "capacity_opportunities": 22549, - "end_date": "2024-01-03", - "ev_net_r": -0.6828741475545579, - "ev_without_best": { - "1": -0.7731913010743796, - "10": -1.0334988885340266, - "5": -0.9548113142515635 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 140, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.865467222761121, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 2656.39, - "measurement_start_positions": 10, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.38459632251696196, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.35, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 22293, - "skipped_min_initial_risk": 0, - "sortino": -3.5130086598211085, - "start_date": "2023-01-03", - "total_return_pct": -85.3, - "trades": 256, - "transaction_cost": 33.954141058453004, - "turnover_multiple": 12.782061767456211, - "underwater_pct": 97.23320158102767, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.5682, - "avg_gross_exposure_pct": 50.4318, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9886469466495188, - "cagr_pct": -85.7, - "calmar": -0.96, - "capacity_opportunities": 22549, - "end_date": "2024-01-03", - "ev_net_r": -0.6922918368842772, - "ev_without_best": { - "1": -0.7825053798373983, - "10": -1.042654803791582, - "5": -0.9639957590205903 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 140, - "time": 12, - "trailing_stop": 94 - }, - "gain_to_pain": -0.8689695021827806, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.8, - "measurement_start_equity": 2617.59, - "measurement_start_positions": 10, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.38024862440730534, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.38, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 22293, - "skipped_min_initial_risk": 0, - "sortino": -3.55088703986834, - "start_date": "2023-01-03", - "total_return_pct": -85.6, - "trades": 256, - "transaction_cost": 66.33859241145963, - "turnover_multiple": 12.671692742457685, - "underwater_pct": 97.23320158102767, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.3671, - "avg_gross_exposure_pct": 50.6329, - "avg_hold_days": 9.2, - "avg_positions": 10.0, - "blocked_fraction": 0.988286449551868, - "cagr_pct": -90.0, - "calmar": -0.99, - "capacity_opportunities": 22538, - "end_date": "2024-01-03", - "ev_net_r": -0.7954855032129725, - "ev_without_best": { - "1": -0.8834835469514248, - "10": -1.0742257943583846, - "5": -0.9973308248341816 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9262690138768499, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 3030.6, - "measurement_start_positions": 10, - "opened_positions": 264, - "peak_positions": 10, - "profit_factor": 0.30100536076220963, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.29, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 22274, - "skipped_min_initial_risk": 0, - "sortino": -4.328452473025213, - "start_date": "2023-01-03", - "total_return_pct": -90.0, - "trades": 264, - "transaction_cost": 30.490075989723056, - "turnover_multiple": 10.06073912417444, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.3212, - "avg_gross_exposure_pct": 50.6788, - "avg_hold_days": 9.2, - "avg_positions": 10.0, - "blocked_fraction": 0.988286449551868, - "cagr_pct": -90.3, - "calmar": -0.99, - "capacity_opportunities": 22538, - "end_date": "2024-01-03", - "ev_net_r": -0.8048694718131646, - "ev_without_best": { - "1": -0.8927669284214337, - "10": -1.0833475150011793, - "5": -1.006536802513505 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 12, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9286920574419373, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 2990.91, - "measurement_start_positions": 10, - "opened_positions": 264, - "peak_positions": 10, - "profit_factor": 0.2973741859930999, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.33, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 22274, - "skipped_min_initial_risk": 0, - "sortino": -4.363939920984923, - "start_date": "2023-01-03", - "total_return_pct": -90.3, - "trades": 264, - "transaction_cost": 59.66587423751192, - "turnover_multiple": 9.97453521461895, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-13|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.3086, - "avg_gross_exposure_pct": 50.6914, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9885205212303874, - "cagr_pct": -86.3, - "calmar": -0.97, - "capacity_opportunities": 22562, - "end_date": "2024-01-03", - "ev_net_r": -0.6853719995980251, - "ev_without_best": { - "1": -0.7746486352553817, - "10": -1.0318726614509728, - "5": -0.954146480311276 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 13, - "trailing_stop": 95 - }, - "gain_to_pain": -0.9075653517396306, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 3933.04, - "measurement_start_positions": 10, - "opened_positions": 259, - "peak_positions": 10, - "profit_factor": 0.3834292279306965, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.43, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 22303, - "skipped_min_initial_risk": 0, - "sortino": -3.643465941380209, - "start_date": "2023-01-03", - "total_return_pct": -86.3, - "trades": 259, - "transaction_cost": 48.16768992980015, - "turnover_multiple": 12.246936194343343, - "underwater_pct": 98.41897233201581, - "win_rate": 19.7 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-13|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.2647, - "avg_gross_exposure_pct": 50.7353, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9885205212303874, - "cagr_pct": -86.7, - "calmar": -0.98, - "capacity_opportunities": 22562, - "end_date": "2024-01-03", - "ev_net_r": -0.6947969782158888, - "ev_without_best": { - "1": -0.7839712363336312, - "10": -1.0410393126436523, - "5": -0.9633411127153875 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 13, - "trailing_stop": 95 - }, - "gain_to_pain": -0.910751381763611, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 3888.79, - "measurement_start_positions": 10, - "opened_positions": 259, - "peak_positions": 10, - "profit_factor": 0.3790920924224308, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.47, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 22303, - "skipped_min_initial_risk": 0, - "sortino": -3.681405518317878, - "start_date": "2023-01-03", - "total_return_pct": -86.7, - "trades": 259, - "transaction_cost": 94.41317070313919, - "turnover_multiple": 12.13914491437429, - "underwater_pct": 98.41897233201581, - "win_rate": 19.7 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-14|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.6122, - "avg_gross_exposure_pct": 50.3878, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.988431363857985, - "cagr_pct": -86.7, - "calmar": -0.98, - "capacity_opportunities": 22561, - "end_date": "2024-01-03", - "ev_net_r": -0.6889842564710021, - "ev_without_best": { - "1": -0.7775880420728136, - "10": -1.0328678714913755, - "5": -0.9557294884457311 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 143, - "time": 13, - "trailing_stop": 95 - }, - "gain_to_pain": -0.9258060144357128, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 5087.37, - "measurement_start_positions": 10, - "opened_positions": 261, - "peak_positions": 10, - "profit_factor": 0.38037259271351453, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.47, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 22300, - "skipped_min_initial_risk": 0, - "sortino": -3.686251107028346, - "start_date": "2023-01-03", - "total_return_pct": -86.7, - "trades": 261, - "transaction_cost": 60.82755013463428, - "turnover_multiple": 11.956580735160657, - "underwater_pct": 98.41897233201581, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2023-seed-14|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 49.5692, - "avg_gross_exposure_pct": 50.4308, - "avg_hold_days": 9.5, - "avg_positions": 10.0, - "blocked_fraction": 0.988431363857985, - "cagr_pct": -87.1, - "calmar": -0.98, - "capacity_opportunities": 22561, - "end_date": "2024-01-03", - "ev_net_r": -0.6983653791999814, - "ev_without_best": { - "1": -0.7868674061052184, - "10": -1.0419909779344596, - "5": -0.9648812079804234 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 143, - "time": 13, - "trailing_stop": 95 - }, - "gain_to_pain": -0.9288420636506634, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 5041.37, - "measurement_start_positions": 10, - "opened_positions": 261, - "peak_positions": 10, - "profit_factor": 0.3760803673870062, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.5, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 22300, - "skipped_min_initial_risk": 0, - "sortino": -3.724059240775363, - "start_date": "2023-01-03", - "total_return_pct": -87.1, - "trades": 261, - "transaction_cost": 119.48712176122562, - "turnover_multiple": 11.850659816798373, - "underwater_pct": 98.41897233201581, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.7235, - "avg_gross_exposure_pct": 54.2765, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.0, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.4726212690863284, - "ev_without_best": { - "1": -0.5385251399543697, - "10": -0.8573569480039438, - "5": -0.7257459140452535 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8056463357158359, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 2998.05, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5151725022983814, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.34, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.809568361360383, - "start_date": "2024-01-02", - "total_return_pct": -66.9, - "trades": 214, - "transaction_cost": 41.315813034337104, - "turnover_multiple": 13.780895260031386, - "underwater_pct": 97.62845849802372, - "win_rate": 22.4 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.6168, - "avg_gross_exposure_pct": 54.3832, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.6, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.4815059359881509, - "ev_without_best": { - "1": -0.5473271310028865, - "10": -0.8657171001185989, - "5": -0.7343664890687202 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.811582884029416, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.1, - "measurement_start_equity": 2953.82, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5092282814124196, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.36, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.8433858033802355, - "start_date": "2024-01-02", - "total_return_pct": -67.5, - "trades": 214, - "transaction_cost": 80.76317428399896, - "turnover_multiple": 13.670970858752218, - "underwater_pct": 97.62845849802372, - "win_rate": 22.0 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.7235, - "avg_gross_exposure_pct": 54.2765, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.0, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.4726212690863284, - "ev_without_best": { - "1": -0.5385251399543697, - "10": -0.8573569480039438, - "5": -0.7257459140452535 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8056556062753486, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 2350.29, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5151725022983814, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.34, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.8095884310429633, - "start_date": "2024-01-02", - "total_return_pct": -66.9, - "trades": 214, - "transaction_cost": 32.38903770322432, - "turnover_multiple": 13.7808686175852, - "underwater_pct": 97.62845849802372, - "win_rate": 22.4 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.6168, - "avg_gross_exposure_pct": 54.3832, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.6, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.4815059359881508, - "ev_without_best": { - "1": -0.5473271310028865, - "10": -0.8657171001185989, - "5": -0.7343664890687202 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8115930131675645, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.1, - "measurement_start_equity": 2312.98, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5092282814124196, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.36, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.8433896443351778, - "start_date": "2024-01-02", - "total_return_pct": -67.5, - "trades": 214, - "transaction_cost": 63.241327257331015, - "turnover_multiple": 13.670962839568656, - "underwater_pct": 97.62845849802372, - "win_rate": 22.0 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.3354, - "avg_gross_exposure_pct": 53.6646, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.2, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.44634762837905834, - "ev_without_best": { - "1": -0.5127516608633498, - "10": -0.8335918961618347, - "5": -0.7012832930789566 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7655264345394482, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 17235.54, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5319032359812884, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.21, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.6432974295460592, - "start_date": "2024-01-02", - "total_return_pct": -63.0, - "trades": 212, - "transaction_cost": 260.4401017043208, - "turnover_multiple": 15.110643571615439, - "underwater_pct": 94.86166007905138, - "win_rate": 23.1 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.2306, - "avg_gross_exposure_pct": 53.7694, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.9, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.45522328837138787, - "ev_without_best": { - "1": -0.5215438186582216, - "10": -0.841937402264674, - "5": -0.7098920920223791 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7732387921499074, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.0, - "measurement_start_equity": 16983.48, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5256946902250931, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.24, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.6778666974673409, - "start_date": "2024-01-02", - "total_return_pct": -63.8, - "trades": 212, - "transaction_cost": 509.2831550888613, - "turnover_multiple": 14.993486467109841, - "underwater_pct": 94.86166007905138, - "win_rate": 22.6 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.3354, - "avg_gross_exposure_pct": 53.6646, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.2, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.4463476283790583, - "ev_without_best": { - "1": -0.5127516608633498, - "10": -0.8335918961618347, - "5": -0.7012832930789566 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7655268765686313, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 17020.45, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5319032359812884, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.21, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.643297156090145, - "start_date": "2024-01-02", - "total_return_pct": -63.0, - "trades": 212, - "transaction_cost": 257.1900570119831, - "turnover_multiple": 15.110649660378137, - "underwater_pct": 94.86166007905138, - "win_rate": 23.1 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.2306, - "avg_gross_exposure_pct": 53.7694, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.9, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.4552232883713879, - "ev_without_best": { - "1": -0.5215438186582217, - "10": -0.841937402264674, - "5": -0.7098920920223791 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.773238692594058, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.0, - "measurement_start_equity": 16771.52, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5256946902250931, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.24, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.677865231679724, - "start_date": "2024-01-02", - "total_return_pct": -63.8, - "trades": 212, - "transaction_cost": 502.92707992687656, - "turnover_multiple": 14.993485382567489, - "underwater_pct": 94.86166007905138, - "win_rate": 22.6 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.3354, - "avg_gross_exposure_pct": 53.6646, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.2, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.44634762837905834, - "ev_without_best": { - "1": -0.5127516608633499, - "10": -0.8335918961618347, - "5": -0.7012832930789569 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7655261361257302, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 22595.17, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5319032359812884, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.21, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.6432978941991172, - "start_date": "2024-01-02", - "total_return_pct": -63.0, - "trades": 212, - "transaction_cost": 341.4275605712725, - "turnover_multiple": 15.110643583176074, - "underwater_pct": 94.86166007905138, - "win_rate": 23.1 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.2306, - "avg_gross_exposure_pct": 53.7694, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.9, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.45522328837138787, - "ev_without_best": { - "1": -0.5215438186582216, - "10": -0.841937402264674, - "5": -0.7098920920223791 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.773238413756634, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.0, - "measurement_start_equity": 22311.35, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5256946902250931, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.24, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.6778651378360963, - "start_date": "2024-01-02", - "total_return_pct": -63.8, - "trades": 212, - "transaction_cost": 669.0498144725223, - "turnover_multiple": 14.99348570284905, - "underwater_pct": 94.86166007905138, - "win_rate": 22.6 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.3354, - "avg_gross_exposure_pct": 53.6646, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.2, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.4463476283790584, - "ev_without_best": { - "1": -0.51275166086335, - "10": -0.8335918961618348, - "5": -0.7012832930789569 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7655279735745064, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 20107.09, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5319032359812884, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.21, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.643298039714661, - "start_date": "2024-01-02", - "total_return_pct": -63.0, - "trades": 212, - "transaction_cost": 303.83114707043, - "turnover_multiple": 15.110647392060713, - "underwater_pct": 94.86166007905138, - "win_rate": 23.1 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.2306, - "avg_gross_exposure_pct": 53.7694, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.9, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.45522328837138787, - "ev_without_best": { - "1": -0.5215438186582216, - "10": -0.841937402264674, - "5": -0.7098920920223791 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7732386318962238, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.0, - "measurement_start_equity": 19853.65, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5256946902250931, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.24, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.6778656198072133, - "start_date": "2024-01-02", - "total_return_pct": -63.8, - "trades": 212, - "transaction_cost": 595.3508422021725, - "turnover_multiple": 14.993485888040045, - "underwater_pct": 94.86166007905138, - "win_rate": 22.6 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.7235, - "avg_gross_exposure_pct": 54.2765, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.0, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.47262126908632845, - "ev_without_best": { - "1": -0.5385251399543697, - "10": -0.8573569480039439, - "5": -0.7257459140452535 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8056548453759997, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 3612.71, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5151725022983813, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.34, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.8095933213845794, - "start_date": "2024-01-02", - "total_return_pct": -66.9, - "trades": 214, - "transaction_cost": 49.78631075903146, - "turnover_multiple": 13.780876615900931, - "underwater_pct": 97.62845849802372, - "win_rate": 22.4 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.6168, - "avg_gross_exposure_pct": 54.3832, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.6, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.4815059359881509, - "ev_without_best": { - "1": -0.5473271310028865, - "10": -0.8657171001185991, - "5": -0.7343664890687202 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8115837965548773, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.1, - "measurement_start_equity": 3566.69, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5092282814124196, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.36, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.8433823734266137, - "start_date": "2024-01-02", - "total_return_pct": -67.5, - "trades": 214, - "transaction_cost": 97.52035502608277, - "turnover_multiple": 13.67098837102226, - "underwater_pct": 97.62845849802372, - "win_rate": 22.0 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.3354, - "avg_gross_exposure_pct": 53.6646, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.2, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.44634762837905834, - "ev_without_best": { - "1": -0.5127516608633499, - "10": -0.8335918961618347, - "5": -0.7012832930789566 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7655277936073147, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 20188.69, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5319032359812884, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.21, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.6432983388840328, - "start_date": "2024-01-02", - "total_return_pct": -63.0, - "trades": 212, - "transaction_cost": 305.06417370548144, - "turnover_multiple": 15.1106472834781, - "underwater_pct": 94.86166007905138, - "win_rate": 23.1 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.2306, - "avg_gross_exposure_pct": 53.7694, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9914020359330008, - "cagr_pct": -63.9, - "calmar": -0.84, - "capacity_opportunities": 24657, - "end_date": "2024-12-31", - "ev_net_r": -0.45522328837138787, - "ev_without_best": { - "1": -0.5215438186582216, - "10": -0.841937402264674, - "5": -0.7098920920223791 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 17, - "trailing_stop": 78 - }, - "gain_to_pain": -0.7732385875786897, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.0, - "measurement_start_equity": 19935.96, - "measurement_start_positions": 10, - "opened_positions": 212, - "peak_positions": 10, - "profit_factor": 0.5256946902250931, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.24, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 24445, - "skipped_min_initial_risk": 0, - "sortino": -1.6778667683681512, - "start_date": "2024-01-02", - "total_return_pct": -63.8, - "trades": 212, - "transaction_cost": 597.8191006039514, - "turnover_multiple": 14.993486659382127, - "underwater_pct": 94.86166007905138, - "win_rate": 22.6 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.7235, - "avg_gross_exposure_pct": 54.2765, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.0, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.47262126908632834, - "ev_without_best": { - "1": -0.5385251399543696, - "10": -0.8573569480039438, - "5": -0.7257459140452533 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8056524342588423, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 3198.4, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5151725022983814, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.34, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.8095611226308277, - "start_date": "2024-01-02", - "total_return_pct": -66.9, - "trades": 214, - "transaction_cost": 44.07684992351869, - "turnover_multiple": 13.780906054126651, - "underwater_pct": 97.62845849802372, - "win_rate": 22.4 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.6168, - "avg_gross_exposure_pct": 54.3832, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913156399642886, - "cagr_pct": -67.6, - "calmar": -0.89, - "capacity_opportunities": 24642, - "end_date": "2024-12-31", - "ev_net_r": -0.4815059359881509, - "ev_without_best": { - "1": -0.5473271310028865, - "10": -0.8657171001185991, - "5": -0.7343664890687204 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 17, - "trailing_stop": 77 - }, - "gain_to_pain": -0.811591387138404, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 76.1, - "measurement_start_equity": 3158.59, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.5092282814124196, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.36, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 24428, - "skipped_min_initial_risk": 0, - "sortino": -1.8433995342137048, - "start_date": "2024-01-02", - "total_return_pct": -67.5, - "trades": 214, - "transaction_cost": 86.36216266181297, - "turnover_multiple": 13.670999189798765, - "underwater_pct": 97.62845849802372, - "win_rate": 22.0 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.2752, - "avg_gross_exposure_pct": 53.7248, - "avg_hold_days": 10.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9914810758184253, - "cagr_pct": -63.8, - "calmar": -0.85, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.45076950997681925, - "ev_without_best": { - "1": -0.5178301450762608, - "10": -0.8421073145173115, - "5": -0.7083002026639791 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7770681919662356, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 74.8, - "measurement_start_equity": 4611.31, - "measurement_start_positions": 10, - "opened_positions": 210, - "peak_positions": 10, - "profit_factor": 0.5276121059337671, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.22, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 24441, - "skipped_min_initial_risk": 0, - "sortino": -1.6583756243341865, - "start_date": "2024-01-02", - "total_return_pct": -63.6, - "trades": 210, - "transaction_cost": 67.37584505356661, - "turnover_multiple": 14.610998838413943, - "underwater_pct": 95.65217391304348, - "win_rate": 22.9 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.1709, - "avg_gross_exposure_pct": 53.8291, - "avg_hold_days": 10.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9914810758184253, - "cagr_pct": -64.5, - "calmar": -0.86, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.4596398112348392, - "ev_without_best": { - "1": -0.5266161194328554, - "10": -0.8504418924102307, - "5": -0.7169009086498267 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7835396865212358, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 75.2, - "measurement_start_equity": 4570.57, - "measurement_start_positions": 10, - "opened_positions": 210, - "peak_positions": 10, - "profit_factor": 0.5214876251521618, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.25, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 24441, - "skipped_min_initial_risk": 0, - "sortino": -1.692133911146873, - "start_date": "2024-01-02", - "total_return_pct": -64.4, - "trades": 210, - "transaction_cost": 132.53944941388153, - "turnover_multiple": 14.499225415416625, - "underwater_pct": 95.65217391304348, - "win_rate": 22.4 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.3419, - "avg_gross_exposure_pct": 53.6581, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913202190225107, - "cagr_pct": -69.0, - "calmar": -0.88, - "capacity_opportunities": 24655, - "end_date": "2024-12-31", - "ev_net_r": -0.5059875279588507, - "ev_without_best": { - "1": -0.5720480479295799, - "10": -0.8813525141609451, - "5": -0.7599104087759699 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 16, - "trailing_stop": 81 - }, - "gain_to_pain": -0.7398587001635601, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 78.4, - "measurement_start_equity": 29056.78, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.4903068779014492, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.42, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 24441, - "skipped_min_initial_risk": 0, - "sortino": -1.9284043793410275, - "start_date": "2024-01-02", - "total_return_pct": -68.8, - "trades": 214, - "transaction_cost": 402.7516687081018, - "turnover_multiple": 13.860849987786047, - "underwater_pct": 95.65217391304348, - "win_rate": 21.5 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 46.236, - "avg_gross_exposure_pct": 53.764, - "avg_hold_days": 10.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9913202190225107, - "cagr_pct": -69.6, - "calmar": -0.88, - "capacity_opportunities": 24655, - "end_date": "2024-12-31", - "ev_net_r": -0.5147388867806918, - "ev_without_best": { - "1": -0.580716105038585, - "10": -0.8896149709607479, - "5": -0.7683944865309392 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 16, - "trailing_stop": 81 - }, - "gain_to_pain": -0.7453864003689129, - "longest_underwater_sessions": 213, - "max_drawdown_pct": 78.8, - "measurement_start_equity": 28784.25, - "measurement_start_positions": 10, - "opened_positions": 214, - "peak_positions": 10, - "profit_factor": 0.48477957268808336, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.45, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 24441, - "skipped_min_initial_risk": 0, - "sortino": -1.9612067481075726, - "start_date": "2024-01-02", - "total_return_pct": -69.5, - "trades": 214, - "transaction_cost": 791.9720710500015, - "turnover_multiple": 13.757038502827093, - "underwater_pct": 95.65217391304348, - "win_rate": 21.0 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.9602, - "avg_gross_exposure_pct": 54.0398, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9913593769015456, - "cagr_pct": -64.1, - "calmar": -0.86, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.4606188714057041, - "ev_without_best": { - "1": -0.5267769945057615, - "10": -0.8466585488558878, - "5": -0.7146719425980704 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7779877320150431, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 74.8, - "measurement_start_equity": 3808.05, - "measurement_start_positions": 10, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.5186816643804341, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.23, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 24438, - "skipped_min_initial_risk": 0, - "sortino": -1.6707880182059922, - "start_date": "2024-01-02", - "total_return_pct": -63.9, - "trades": 213, - "transaction_cost": 56.04737422694716, - "turnover_multiple": 14.718129811044276, - "underwater_pct": 95.65217391304348, - "win_rate": 22.5 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.8541, - "avg_gross_exposure_pct": 54.1459, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9913593769015456, - "cagr_pct": -64.8, - "calmar": -0.86, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.46947194576716444, - "ev_without_best": { - "1": -0.5355468540120594, - "10": -0.854982968330719, - "5": -0.7232588959726167 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7844550437409542, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 75.2, - "measurement_start_equity": 3769.04, - "measurement_start_positions": 10, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.5126606575333529, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.26, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 24438, - "skipped_min_initial_risk": 0, - "sortino": -1.7049659138507307, - "start_date": "2024-01-02", - "total_return_pct": -64.6, - "trades": 213, - "transaction_cost": 110.07758689110806, - "turnover_multiple": 14.602867957239516, - "underwater_pct": 95.65217391304348, - "win_rate": 22.1 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-13|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.9587, - "avg_gross_exposure_pct": 54.0413, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9913593769015456, - "cagr_pct": -64.1, - "calmar": -0.86, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.4606188714057041, - "ev_without_best": { - "1": -0.5267769945057615, - "10": -0.8466585488558878, - "5": -0.7146719425980705 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7779657640120539, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 74.8, - "measurement_start_equity": 3497.47, - "measurement_start_positions": 10, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.5186816643804341, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.23, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 24438, - "skipped_min_initial_risk": 0, - "sortino": -1.67065694837579, - "start_date": "2024-01-02", - "total_return_pct": -63.9, - "trades": 213, - "transaction_cost": 51.47967404110125, - "turnover_multiple": 14.71911811712502, - "underwater_pct": 95.65217391304348, - "win_rate": 22.5 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-13|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.8526, - "avg_gross_exposure_pct": 54.1474, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9913593769015456, - "cagr_pct": -64.8, - "calmar": -0.86, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.46947194576716444, - "ev_without_best": { - "1": -0.5355468540120593, - "10": -0.854982968330719, - "5": -0.7232588959726166 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7844392647347053, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 75.2, - "measurement_start_equity": 3461.12, - "measurement_start_positions": 10, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.5126606575333529, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.26, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 24438, - "skipped_min_initial_risk": 0, - "sortino": -1.7048416956443742, - "start_date": "2024-01-02", - "total_return_pct": -64.6, - "trades": 213, - "transaction_cost": 101.09129827993172, - "turnover_multiple": 14.603841860428375, - "underwater_pct": 95.65217391304348, - "win_rate": 22.1 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-14|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.9587, - "avg_gross_exposure_pct": 54.0413, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9913593769015456, - "cagr_pct": -64.1, - "calmar": -0.86, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.4606188714057041, - "ev_without_best": { - "1": -0.5267769945057615, - "10": -0.8466585488558878, - "5": -0.7146719425980705 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7779744924804405, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 74.8, - "measurement_start_equity": 4085.31, - "measurement_start_positions": 10, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.5186816643804341, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.23, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 24438, - "skipped_min_initial_risk": 0, - "sortino": -1.6706283835395097, - "start_date": "2024-01-02", - "total_return_pct": -63.9, - "trades": 213, - "transaction_cost": 60.1321989064512, - "turnover_multiple": 14.719127534128672, - "underwater_pct": 95.65217391304348, - "win_rate": 22.5 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2024-seed-14|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 45.8526, - "avg_gross_exposure_pct": 54.1474, - "avg_hold_days": 10.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9913593769015456, - "cagr_pct": -64.8, - "calmar": -0.86, - "capacity_opportunities": 24651, - "end_date": "2024-12-31", - "ev_net_r": -0.46947194576716444, - "ev_without_best": { - "1": -0.5355468540120593, - "10": -0.854982968330719, - "5": -0.7232588959726166 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 18, - "trailing_stop": 77 - }, - "gain_to_pain": -0.7844412149884171, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 75.2, - "measurement_start_equity": 4046.47, - "measurement_start_positions": 10, - "opened_positions": 213, - "peak_positions": 10, - "profit_factor": 0.5126606575333529, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -1.26, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 24438, - "skipped_min_initial_risk": 0, - "sortino": -1.7048424760035048, - "start_date": "2024-01-02", - "total_return_pct": -64.6, - "trades": 213, - "transaction_cost": 118.18804207412788, - "turnover_multiple": 14.603845088945164, - "underwater_pct": 95.65217391304348, - "win_rate": 22.1 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8988, - "avg_gross_exposure_pct": 40.1012, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.4, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7001872874132656, - "ev_without_best": { - "1": -0.7391605258476159, - "10": -0.9162781095939941, - "5": -0.8453868046076896 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9576949931926563, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.0, - "measurement_start_equity": 4379.94, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.25126236825052417, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.71, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.15812147915353, - "start_date": "2025-01-02", - "total_return_pct": -77.7, - "trades": 199, - "transaction_cost": 35.52376732825296, - "turnover_multiple": 8.110560265266868, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8711, - "avg_gross_exposure_pct": 40.1289, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.8, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7082063987662383, - "ev_without_best": { - "1": -0.7471360665482302, - "10": -0.9240184557959181, - "5": -0.8532293063197965 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9585769601940085, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.4, - "measurement_start_equity": 4327.06, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.24769701302458225, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.75, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.194518860600417, - "start_date": "2025-01-02", - "total_return_pct": -78.1, - "trades": 199, - "transaction_cost": 69.73440067329848, - "turnover_multiple": 8.057942422025404, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 41.8876, - "avg_gross_exposure_pct": 58.1124, - "avg_hold_days": 12.4, - "avg_positions": 10.0, - "blocked_fraction": 0.993440779610195, - "cagr_pct": -74.9, - "calmar": -0.98, - "capacity_opportunities": 26680, - "end_date": "2026-01-05", - "ev_net_r": -0.7247602865959124, - "ev_without_best": { - "1": -0.7692503682578895, - "10": -0.9376117485435314, - "5": -0.8619667621490127 - }, - "exit_reasons": { - "open_at_end": 9, - "stop": 95, - "time": 21, - "trailing_stop": 50 - }, - "gain_to_pain": -0.9449791000908031, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 76.5, - "measurement_start_equity": 3893.5, - "measurement_start_positions": 10, - "opened_positions": 175, - "peak_positions": 10, - "profit_factor": 0.23223905204070325, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.48, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 26505, - "skipped_min_initial_risk": 0, - "sortino": -3.8732240541512666, - "start_date": "2025-01-02", - "total_return_pct": -75.1, - "trades": 175, - "transaction_cost": 29.632280016720035, - "turnover_multiple": 7.610705025483507, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 41.493, - "avg_gross_exposure_pct": 58.507, - "avg_hold_days": 12.4, - "avg_positions": 10.0, - "blocked_fraction": 0.993440779610195, - "cagr_pct": -75.3, - "calmar": -0.98, - "capacity_opportunities": 26680, - "end_date": "2026-01-05", - "ev_net_r": -0.7329132391922318, - "ev_without_best": { - "1": -0.7773545096592455, - "10": -0.9454284127589367, - "5": -0.869974360076835 - }, - "exit_reasons": { - "open_at_end": 9, - "stop": 95, - "time": 21, - "trailing_stop": 50 - }, - "gain_to_pain": -0.9468116775658716, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 76.9, - "measurement_start_equity": 3855.9, - "measurement_start_positions": 10, - "opened_positions": 175, - "peak_positions": 10, - "profit_factor": 0.22880833772632372, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.51, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 26505, - "skipped_min_initial_risk": 0, - "sortino": -3.9090196888514805, - "start_date": "2025-01-02", - "total_return_pct": -75.5, - "trades": 175, - "transaction_cost": 58.30055908138711, - "turnover_multiple": 7.5599158538067766, - "underwater_pct": 99.2094861660079, - "win_rate": 16.6 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8988, - "avg_gross_exposure_pct": 40.1012, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.4, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7001872874132656, - "ev_without_best": { - "1": -0.7391605258476159, - "10": -0.9162781095939941, - "5": -0.8453868046076898 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9577006389431665, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.0, - "measurement_start_equity": 3791.76, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.2512623682505241, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.71, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.158126602826778, - "start_date": "2025-01-02", - "total_return_pct": -77.7, - "trades": 199, - "transaction_cost": 30.75328176185173, - "turnover_multiple": 8.110555985044341, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8711, - "avg_gross_exposure_pct": 40.1289, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.8, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7082063987662381, - "ev_without_best": { - "1": -0.7471360665482302, - "10": -0.9240184557959181, - "5": -0.8532293063197963 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.958570830842362, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.4, - "measurement_start_equity": 3754.18, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.2476970130245823, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.75, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.194543606978487, - "start_date": "2025-01-02", - "total_return_pct": -78.1, - "trades": 199, - "transaction_cost": 60.50195970541197, - "turnover_multiple": 8.057946036872496, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.3551, - "avg_gross_exposure_pct": 40.6449, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924820508965154, - "cagr_pct": -80.2, - "calmar": -0.98, - "capacity_opportunities": 26603, - "end_date": "2026-01-05", - "ev_net_r": -0.760284959566532, - "ev_without_best": { - "1": -0.7993643509341433, - "10": -0.9735528096150933, - "5": -0.9062808298049145 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 23, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9608211545310494, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.5, - "measurement_start_equity": 4302.8, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.21702402425533568, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.04, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 26403, - "skipped_min_initial_risk": 0, - "sortino": -4.487092055077478, - "start_date": "2025-01-02", - "total_return_pct": -80.4, - "trades": 200, - "transaction_cost": 32.026095271675516, - "turnover_multiple": 7.443082474592246, - "underwater_pct": 99.60474308300395, - "win_rate": 16.0 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.327, - "avg_gross_exposure_pct": 40.673, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924820508965154, - "cagr_pct": -80.5, - "calmar": -0.98, - "capacity_opportunities": 26603, - "end_date": "2026-01-05", - "ev_net_r": -0.768299484332442, - "ev_without_best": { - "1": -0.8073355009475205, - "10": -0.9812809810498946, - "5": -0.9141195330156282 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 23, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9615973980035443, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.8, - "measurement_start_equity": 4260.31, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.21396355883014131, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.08, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 26403, - "skipped_min_initial_risk": 0, - "sortino": -4.522216586123716, - "start_date": "2025-01-02", - "total_return_pct": -80.7, - "trades": 200, - "transaction_cost": 63.0166400917573, - "turnover_multiple": 7.395781068954759, - "underwater_pct": 99.60474308300395, - "win_rate": 15.5 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.3551, - "avg_gross_exposure_pct": 40.6449, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924820508965154, - "cagr_pct": -80.2, - "calmar": -0.98, - "capacity_opportunities": 26603, - "end_date": "2026-01-05", - "ev_net_r": -0.760284959566532, - "ev_without_best": { - "1": -0.7993643509341432, - "10": -0.9735528096150932, - "5": -0.9062808298049145 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 23, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9608171990473974, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.5, - "measurement_start_equity": 3926.7, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.21702402425533568, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.04, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 26403, - "skipped_min_initial_risk": 0, - "sortino": -4.487047000192853, - "start_date": "2025-01-02", - "total_return_pct": -80.4, - "trades": 200, - "transaction_cost": 29.226798730323754, - "turnover_multiple": 7.443094387226871, - "underwater_pct": 99.60474308300395, - "win_rate": 16.0 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.327, - "avg_gross_exposure_pct": 40.673, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924820508965154, - "cagr_pct": -80.5, - "calmar": -0.98, - "capacity_opportunities": 26603, - "end_date": "2026-01-05", - "ev_net_r": -0.768299484332442, - "ev_without_best": { - "1": -0.8073355009475205, - "10": -0.9812809810498946, - "5": -0.9141195330156282 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 23, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9616024841143038, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.8, - "measurement_start_equity": 3884.91, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.21396355883014131, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.08, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 26403, - "skipped_min_initial_risk": 0, - "sortino": -4.522209984051436, - "start_date": "2025-01-02", - "total_return_pct": -80.7, - "trades": 200, - "transaction_cost": 57.463873348369184, - "turnover_multiple": 7.395779226335898, - "underwater_pct": 99.60474308300395, - "win_rate": 15.5 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8988, - "avg_gross_exposure_pct": 40.1012, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.4, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7001872874132656, - "ev_without_best": { - "1": -0.7391605258476159, - "10": -0.9162781095939941, - "5": -0.8453868046076896 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9577035003602117, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.0, - "measurement_start_equity": 2937.6, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.25126236825052417, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.71, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.158181783597363, - "start_date": "2025-01-02", - "total_return_pct": -77.7, - "trades": 199, - "transaction_cost": 23.825557530266227, - "turnover_multiple": 8.110551991512196, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8711, - "avg_gross_exposure_pct": 40.1289, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.8, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7082063987662383, - "ev_without_best": { - "1": -0.7471360665482302, - "10": -0.9240184557959181, - "5": -0.8532293063197965 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9585756362975723, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.4, - "measurement_start_equity": 2906.0, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.2476970130245823, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.75, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.194509071882929, - "start_date": "2025-01-02", - "total_return_pct": -78.1, - "trades": 199, - "transaction_cost": 46.83273169591638, - "turnover_multiple": 8.057937318636679, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8988, - "avg_gross_exposure_pct": 40.1012, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.4, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7001872874132656, - "ev_without_best": { - "1": -0.7391605258476159, - "10": -0.916278109593994, - "5": -0.8453868046076896 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9576947081431548, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.0, - "measurement_start_equity": 3853.62, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.25126236825052417, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.71, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.158177738643746, - "start_date": "2025-01-02", - "total_return_pct": -77.7, - "trades": 199, - "transaction_cost": 31.254979327080175, - "turnover_multiple": 8.110550424556696, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8711, - "avg_gross_exposure_pct": 40.1289, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.8, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7082063987662381, - "ev_without_best": { - "1": -0.7471360665482302, - "10": -0.9240184557959181, - "5": -0.8532293063197963 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9585675286974444, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.4, - "measurement_start_equity": 3815.54, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.2476970130245823, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.75, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.194620123995014, - "start_date": "2025-01-02", - "total_return_pct": -78.1, - "trades": 199, - "transaction_cost": 61.49074686806657, - "turnover_multiple": 8.057935032533608, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-08|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.375, - "avg_gross_exposure_pct": 40.625, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.992480072191307, - "cagr_pct": -79.9, - "calmar": -0.98, - "capacity_opportunities": 26596, - "end_date": "2026-01-05", - "ev_net_r": -0.7429192910547904, - "ev_without_best": { - "1": -0.7819114177565135, - "10": -0.9578411671374468, - "5": -0.8884698877415897 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 25, - "trailing_stop": 56 - }, - "gain_to_pain": -0.9605632695642887, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.3, - "measurement_start_equity": 4104.5, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.2272208118923309, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.93, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 26396, - "skipped_min_initial_risk": 0, - "sortino": -4.379912724875878, - "start_date": "2025-01-02", - "total_return_pct": -80.2, - "trades": 200, - "transaction_cost": 30.44748755654558, - "turnover_multiple": 7.418074687914625, - "underwater_pct": 99.60474308300395, - "win_rate": 16.5 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-08|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.3471, - "avg_gross_exposure_pct": 40.6529, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.992480072191307, - "cagr_pct": -80.3, - "calmar": -0.98, - "capacity_opportunities": 26596, - "end_date": "2026-01-05", - "ev_net_r": -0.7508953899077191, - "ev_without_best": { - "1": -0.7898439487618693, - "10": -0.9655239572685161, - "5": -0.8962691797595022 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 109, - "time": 25, - "trailing_stop": 56 - }, - "gain_to_pain": -0.9613463220558505, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.6, - "measurement_start_equity": 4070.18, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.22403191268723024, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.97, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 26396, - "skipped_min_initial_risk": 0, - "sortino": -4.414566580050815, - "start_date": "2025-01-02", - "total_return_pct": -80.5, - "trades": 200, - "transaction_cost": 60.00014690095224, - "turnover_multiple": 7.3706994409279485, - "underwater_pct": 99.60474308300395, - "win_rate": 16.0 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-09|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.355, - "avg_gross_exposure_pct": 40.645, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924820508965154, - "cagr_pct": -80.2, - "calmar": -0.98, - "capacity_opportunities": 26603, - "end_date": "2026-01-05", - "ev_net_r": -0.760284959566532, - "ev_without_best": { - "1": -0.7993643509341433, - "10": -0.9735528096150933, - "5": -0.9062808298049145 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 23, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9608292121613345, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.5, - "measurement_start_equity": 5733.03, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.21702402425533565, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.04, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 26403, - "skipped_min_initial_risk": 0, - "sortino": -4.487024869276616, - "start_date": "2025-01-02", - "total_return_pct": -80.4, - "trades": 200, - "transaction_cost": 42.67199939514143, - "turnover_multiple": 7.443184388559179, - "underwater_pct": 99.60474308300395, - "win_rate": 16.0 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-09|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.327, - "avg_gross_exposure_pct": 40.673, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924820508965154, - "cagr_pct": -80.5, - "calmar": -0.98, - "capacity_opportunities": 26603, - "end_date": "2026-01-05", - "ev_net_r": -0.768299484332442, - "ev_without_best": { - "1": -0.8073355009475205, - "10": -0.9812809810498946, - "5": -0.9141195330156282 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 23, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9615981841696888, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 81.8, - "measurement_start_equity": 5687.37, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.21396355883014131, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.08, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 26403, - "skipped_min_initial_risk": 0, - "sortino": -4.522156222074763, - "start_date": "2025-01-02", - "total_return_pct": -80.7, - "trades": 200, - "transaction_cost": 84.12613525697013, - "turnover_multiple": 7.395873246946315, - "underwater_pct": 99.60474308300395, - "win_rate": 15.5 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-10|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8988, - "avg_gross_exposure_pct": 40.1012, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.4, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7001872874132656, - "ev_without_best": { - "1": -0.7391605258476159, - "10": -0.9162781095939941, - "5": -0.8453868046076896 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.957695175948446, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.0, - "measurement_start_equity": 4725.5, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.25126236825052417, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.71, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.158172752819207, - "start_date": "2025-01-02", - "total_return_pct": -77.7, - "trades": 199, - "transaction_cost": 38.32633233372593, - "turnover_multiple": 8.110534828848996, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-10|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.8711, - "avg_gross_exposure_pct": 40.1289, - "avg_hold_days": 12.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9925185157336742, - "cagr_pct": -77.8, - "calmar": -0.98, - "capacity_opportunities": 26599, - "end_date": "2026-01-05", - "ev_net_r": -0.7082063987662381, - "ev_without_best": { - "1": -0.7471360665482302, - "10": -0.9240184557959181, - "5": -0.8532293063197963 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 107, - "time": 25, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9585699802827673, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 79.4, - "measurement_start_equity": 4693.03, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.2476970130245823, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.75, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 26400, - "skipped_min_initial_risk": 0, - "sortino": -4.194541954783756, - "start_date": "2025-01-02", - "total_return_pct": -78.1, - "trades": 199, - "transaction_cost": 75.63219542836835, - "turnover_multiple": 8.057927972798847, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-11|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.6609, - "avg_gross_exposure_pct": 40.3391, - "avg_hold_days": 12.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9925204841013305, - "cagr_pct": -78.9, - "calmar": -0.98, - "capacity_opportunities": 26606, - "end_date": "2026-01-05", - "ev_net_r": -0.7362329690281417, - "ev_without_best": { - "1": -0.7753882563595369, - "10": -0.9632454512187001, - "5": -0.8889590092690827 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 22, - "trailing_stop": 57 - }, - "gain_to_pain": -0.959443425840788, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 80.4, - "measurement_start_equity": 5361.72, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.23646823397150027, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.85, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 26407, - "skipped_min_initial_risk": 0, - "sortino": -4.302848270395932, - "start_date": "2025-01-02", - "total_return_pct": -79.2, - "trades": 199, - "transaction_cost": 39.864473566461754, - "turnover_multiple": 7.435015921469557, - "underwater_pct": 99.60474308300395, - "win_rate": 15.6 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-11|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.6333, - "avg_gross_exposure_pct": 40.3667, - "avg_hold_days": 12.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9925204841013305, - "cagr_pct": -79.3, - "calmar": -0.98, - "capacity_opportunities": 26606, - "end_date": "2026-01-05", - "ev_net_r": -0.7441312038885611, - "ev_without_best": { - "1": -0.7832423100802617, - "10": -0.9707746780132449, - "5": -0.8966554554889372 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 22, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9602514216504247, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 80.7, - "measurement_start_equity": 5326.95, - "measurement_start_positions": 10, - "opened_positions": 199, - "peak_positions": 10, - "profit_factor": 0.23331773306689077, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.88, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 26407, - "skipped_min_initial_risk": 0, - "sortino": -4.337653509534376, - "start_date": "2025-01-02", - "total_return_pct": -79.5, - "trades": 199, - "transaction_cost": 78.70482695797756, - "turnover_multiple": 7.38741934483875, - "underwater_pct": 99.60474308300395, - "win_rate": 15.1 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-12|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 58.907, - "avg_gross_exposure_pct": 41.093, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924826160496147, - "cagr_pct": -78.1, - "calmar": -0.98, - "capacity_opportunities": 26605, - "end_date": "2026-01-05", - "ev_net_r": -0.7129837604010457, - "ev_without_best": { - "1": -0.7518254573004887, - "10": -0.945620951281369, - "5": -0.8689628461175366 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 22, - "trailing_stop": 58 - }, - "gain_to_pain": -0.9547434224241088, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 79.6, - "measurement_start_equity": 7241.57, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.2554989360113353, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.77, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 26405, - "skipped_min_initial_risk": 0, - "sortino": -4.27895083156181, - "start_date": "2025-01-02", - "total_return_pct": -78.4, - "trades": 200, - "transaction_cost": 56.5859584710737, - "turnover_multiple": 7.81404563804171, - "underwater_pct": 99.60474308300395, - "win_rate": 16.5 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-12|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 58.8793, - "avg_gross_exposure_pct": 41.1207, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924826160496147, - "cagr_pct": -78.5, - "calmar": -0.98, - "capacity_opportunities": 26605, - "end_date": "2026-01-05", - "ev_net_r": -0.720972979297375, - "ev_without_best": { - "1": -0.7597711742791116, - "10": -0.9532039663902132, - "5": -0.8767309298883472 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 22, - "trailing_stop": 58 - }, - "gain_to_pain": -0.9563289034588424, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 79.9, - "measurement_start_equity": 7197.62, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.25208337367882927, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.81, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 26405, - "skipped_min_initial_risk": 0, - "sortino": -4.315290477153305, - "start_date": "2025-01-02", - "total_return_pct": -78.7, - "trades": 200, - "transaction_cost": 111.7558628199743, - "turnover_multiple": 7.76339003864988, - "underwater_pct": 99.60474308300395, - "win_rate": 16.0 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-13|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 58.9068, - "avg_gross_exposure_pct": 41.0932, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924826160496147, - "cagr_pct": -78.1, - "calmar": -0.98, - "capacity_opportunities": 26605, - "end_date": "2026-01-05", - "ev_net_r": -0.7129837604010457, - "ev_without_best": { - "1": -0.7518254573004887, - "10": -0.945620951281369, - "5": -0.8689628461175366 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 22, - "trailing_stop": 58 - }, - "gain_to_pain": -0.9547453427204711, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 79.6, - "measurement_start_equity": 7410.77, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.2554989360113353, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.77, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 26405, - "skipped_min_initial_risk": 0, - "sortino": -4.278914485296792, - "start_date": "2025-01-02", - "total_return_pct": -78.4, - "trades": 200, - "transaction_cost": 57.908261843736945, - "turnover_multiple": 7.814068152666584, - "underwater_pct": 99.60474308300395, - "win_rate": 16.5 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-13|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 58.8791, - "avg_gross_exposure_pct": 41.1209, - "avg_hold_days": 11.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9924826160496147, - "cagr_pct": -78.5, - "calmar": -0.98, - "capacity_opportunities": 26605, - "end_date": "2026-01-05", - "ev_net_r": -0.7209729792973752, - "ev_without_best": { - "1": -0.7597711742791116, - "10": -0.9532039663902132, - "5": -0.8767309298883472 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 110, - "time": 22, - "trailing_stop": 58 - }, - "gain_to_pain": -0.95633055708353, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 79.9, - "measurement_start_equity": 7371.18, - "measurement_start_positions": 10, - "opened_positions": 200, - "peak_positions": 10, - "profit_factor": 0.25208337367882927, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.81, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 26405, - "skipped_min_initial_risk": 0, - "sortino": -4.3153454406814395, - "start_date": "2025-01-02", - "total_return_pct": -78.7, - "trades": 200, - "transaction_cost": 114.45127588209763, - "turnover_multiple": 7.763429727811397, - "underwater_pct": 99.60474308300395, - "win_rate": 16.0 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-14|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 58.9339, - "avg_gross_exposure_pct": 41.0661, - "avg_hold_days": 12.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9925942633735574, - "cagr_pct": -76.3, - "calmar": -0.98, - "capacity_opportunities": 26601, - "end_date": "2026-01-05", - "ev_net_r": -0.6813579706388745, - "ev_without_best": { - "1": -0.7206328272369713, - "10": -0.9163156446818389, - "5": -0.838950641294629 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 106, - "time": 24, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9523587332214956, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 77.9, - "measurement_start_equity": 6580.54, - "measurement_start_positions": 10, - "opened_positions": 197, - "peak_positions": 10, - "profit_factor": 0.27803326372185055, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.49, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 26404, - "skipped_min_initial_risk": 0, - "sortino": -3.9997385618854486, - "start_date": "2025-01-02", - "total_return_pct": -76.5, - "trades": 197, - "transaction_cost": 54.19032764530805, - "turnover_multiple": 8.234936288710053, - "underwater_pct": 99.2094861660079, - "win_rate": 17.8 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - }, - { - "arm_id": "cap10_incumbent", - "cell_id": "cap10_incumbent|warm_book|warm-2025-seed-14|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 58.9064, - "avg_gross_exposure_pct": 41.0936, - "avg_hold_days": 12.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9925942633735574, - "cagr_pct": -76.7, - "calmar": -0.98, - "capacity_opportunities": 26601, - "end_date": "2026-01-05", - "ev_net_r": -0.6893786366559214, - "ev_without_best": { - "1": -0.728609485935126, - "10": -0.9240051130228972, - "5": -0.8467475358852562 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 106, - "time": 24, - "trailing_stop": 57 - }, - "gain_to_pain": -0.9540459979502072, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 78.3, - "measurement_start_equity": 6549.18, - "measurement_start_positions": 10, - "opened_positions": 197, - "peak_positions": 10, - "profit_factor": 0.27429097143342573, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.53, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 26404, - "skipped_min_initial_risk": 0, - "sortino": -4.036023195376169, - "start_date": "2025-01-02", - "total_return_pct": -76.9, - "trades": 197, - "transaction_cost": 107.16339739218633, - "turnover_multiple": 8.181436255545451, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 17.9137, - "avg_gross_exposure_pct": 82.0863, - "avg_hold_days": 9.6, - "avg_positions": 9.9841, - "blocked_fraction": 0.9538761752705339, - "cagr_pct": -67.7, - "calmar": -0.68, - "capacity_opportunities": 5637, - "end_date": "2020-01-31", - "ev_net_r": -0.37660761496559825, - "ev_without_best": { - "1": -0.4445238387603769, - "10": -0.6253604212998026, - "5": -0.5510746001331404 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 116, - "time": 14, - "trailing_stop": 42, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.7712848273548809, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 260, - "peak_positions": 10, - "profit_factor": 0.5428510190199295, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 5377, - "skipped_min_initial_risk": 0, - "sortino": 279.53152695064085, - "start_date": "2019-02-01", - "total_return_pct": -67.6, - "trades": 260, - "transaction_cost": 242.1365954368632, - "turnover_multiple": 24.213659543686315, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 27.81132075471698, - "entrant_pool_mean": 27.81132075471698, - "entrant_pool_median": 26, - "entrant_pool_p90": 43.0, - "events": 53, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 11, - "replacements": 78, - "weekly_rank_rejected_entries": 1357, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.9 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 17.8285, - "avg_gross_exposure_pct": 82.1715, - "avg_hold_days": 9.6, - "avg_positions": 9.9841, - "blocked_fraction": 0.9538761752705339, - "cagr_pct": -69.1, - "calmar": -0.69, - "capacity_opportunities": 5637, - "end_date": "2020-01-31", - "ev_net_r": -0.3935092865432428, - "ev_without_best": { - "1": -0.4613231265189152, - "10": -0.6419192393781961, - "5": -0.5677272684575324 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 116, - "time": 14, - "trailing_stop": 42, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.7823057746107528, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 260, - "peak_positions": 10, - "profit_factor": 0.5288740857990443, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 5377, - "skipped_min_initial_risk": 0, - "sortino": 279.72448465286305, - "start_date": "2019-02-01", - "total_return_pct": -69.0, - "trades": 260, - "transaction_cost": 476.42962863530005, - "turnover_multiple": 23.821481431765005, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 27.81132075471698, - "entrant_pool_mean": 27.81132075471698, - "entrant_pool_median": 26, - "entrant_pool_p90": 43.0, - "events": 53, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 11, - "replacements": 78, - "weekly_rank_rejected_entries": 1357, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.9 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 19.9853, - "avg_gross_exposure_pct": 80.0147, - "avg_hold_days": 9.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9481654047757717, - "cagr_pct": -69.9, - "calmar": -0.7, - "capacity_opportunities": 5151, - "end_date": "2020-02-28", - "ev_net_r": -0.38724076268372787, - "ev_without_best": { - "1": -0.4534096916708173, - "10": -0.6317352392047011, - "5": -0.5613923450174897 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 117, - "time": 14, - "trailing_stop": 44, - "weekly_rebalance": 82 - }, - "gain_to_pain": -0.7812645417921485, - "longest_underwater_sessions": 203, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.5241181509032832, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 4884, - "skipped_min_initial_risk": 0, - "sortino": 275.8176422616096, - "start_date": "2019-03-01", - "total_return_pct": -69.8, - "trades": 267, - "transaction_cost": 249.65670248060792, - "turnover_multiple": 24.965670248060793, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 25.69811320754717, - "entrant_pool_mean": 25.69811320754717, - "entrant_pool_median": 25, - "entrant_pool_p90": 41.0, - "events": 53, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 13, - "replacements": 82, - "weekly_rank_rejected_entries": 1245, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.5 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 19.9126, - "avg_gross_exposure_pct": 80.0874, - "avg_hold_days": 9.4, - "avg_positions": 9.9643, - "blocked_fraction": 0.9481654047757717, - "cagr_pct": -71.3, - "calmar": -0.71, - "capacity_opportunities": 5151, - "end_date": "2020-02-28", - "ev_net_r": -0.40400895392671465, - "ev_without_best": { - "1": -0.4700776915999576, - "10": -0.6481403445370006, - "5": -0.5778986445188764 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 117, - "time": 14, - "trailing_stop": 44, - "weekly_rebalance": 82 - }, - "gain_to_pain": -0.7917065035544104, - "longest_underwater_sessions": 203, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.5106546443272422, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 4884, - "skipped_min_initial_risk": 0, - "sortino": 275.9486142711089, - "start_date": "2019-03-01", - "total_return_pct": -71.2, - "trades": 267, - "transaction_cost": 490.881355745358, - "turnover_multiple": 24.5440677872679, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 25.69811320754717, - "entrant_pool_mean": 25.69811320754717, - "entrant_pool_median": 25, - "entrant_pool_p90": 41.0, - "events": 53, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 13, - "replacements": 82, - "weekly_rank_rejected_entries": 1245, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.5 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 22.3821, - "avg_gross_exposure_pct": 77.6179, - "avg_hold_days": 9.2, - "avg_positions": 9.8532, - "blocked_fraction": 0.9439601494396015, - "cagr_pct": -73.4, - "calmar": -0.73, - "capacity_opportunities": 4818, - "end_date": "2020-03-30", - "ev_net_r": -0.41049431568089406, - "ev_without_best": { - "1": -0.4760117456569645, - "10": -0.6380063400229383, - "5": -0.571038388275077 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 14, - "trailing_stop": 40, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.798925908021139, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 270, - "peak_positions": 10, - "profit_factor": 0.49662078615026983, - "sessions_at_capacity": 236, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 4548, - "skipped_min_initial_risk": 0, - "sortino": 303.5213671591195, - "start_date": "2019-04-01", - "total_return_pct": -73.3, - "trades": 270, - "transaction_cost": 223.95690051405043, - "turnover_multiple": 22.39569005140504, - "underwater_pct": 96.04743083003953, - "weekly_rebalance": { - "eligible_pool_mean": 23.96153846153846, - "entrant_pool_mean": 23.96153846153846, - "entrant_pool_median": 24.0, - "entrant_pool_p90": 41.0, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 12, - "replacements": 80, - "weekly_rank_rejected_entries": 1133, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 26.7 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 22.3073, - "avg_gross_exposure_pct": 77.6927, - "avg_hold_days": 9.2, - "avg_positions": 9.8532, - "blocked_fraction": 0.9439601494396015, - "cagr_pct": -74.6, - "calmar": -0.75, - "capacity_opportunities": 4818, - "end_date": "2020-03-30", - "ev_net_r": -0.42649292883118195, - "ev_without_best": { - "1": -0.4919084239835504, - "10": -0.6535366019571153, - "5": -0.5867679312955314 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 14, - "trailing_stop": 40, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.8079542945547104, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 270, - "peak_positions": 10, - "profit_factor": 0.4838237738353253, - "sessions_at_capacity": 236, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 4548, - "skipped_min_initial_risk": 0, - "sortino": 303.5921232884467, - "start_date": "2019-04-01", - "total_return_pct": -74.4, - "trades": 270, - "transaction_cost": 440.5368446762097, - "turnover_multiple": 22.026842233810484, - "underwater_pct": 96.04743083003953, - "weekly_rebalance": { - "eligible_pool_mean": 23.96153846153846, - "entrant_pool_mean": 23.96153846153846, - "entrant_pool_median": 24.0, - "entrant_pool_p90": 41.0, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 12, - "replacements": 80, - "weekly_rank_rejected_entries": 1133, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 26.7 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 21.1282, - "avg_gross_exposure_pct": 78.8718, - "avg_hold_days": 8.8, - "avg_positions": 9.9325, - "blocked_fraction": 0.9461305007587253, - "cagr_pct": -76.1, - "calmar": -0.98, - "capacity_opportunities": 5272, - "end_date": "2020-04-29", - "ev_net_r": -0.45823532590590055, - "ev_without_best": { - "1": -0.5206803070853634, - "10": -0.6749224854207815, - "5": -0.6115789971911461 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 136, - "time": 14, - "trailing_stop": 38, - "weekly_rebalance": 86 - }, - "gain_to_pain": -0.810239823723537, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 77.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 10, - "profit_factor": 0.4696771145486189, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -2.62, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 4988, - "skipped_min_initial_risk": 0, - "sortino": -3.421713110809369, - "start_date": "2019-05-01", - "total_return_pct": -76.0, - "trades": 284, - "transaction_cost": 208.4308416602692, - "turnover_multiple": 20.843084166026923, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 25.346153846153847, - "entrant_pool_mean": 25.346153846153847, - "entrant_pool_median": 24.0, - "entrant_pool_p90": 43.0, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 11, - "replacements": 86, - "weekly_rank_rejected_entries": 1206, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 27.8 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 21.0413, - "avg_gross_exposure_pct": 78.9587, - "avg_hold_days": 8.8, - "avg_positions": 9.9325, - "blocked_fraction": 0.9461305007587253, - "cagr_pct": -77.2, - "calmar": -0.98, - "capacity_opportunities": 5272, - "end_date": "2020-04-29", - "ev_net_r": -0.47429469920877904, - "ev_without_best": { - "1": -0.5366430029768522, - "10": -0.6906439136830546, - "5": -0.6273838909827596 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 136, - "time": 14, - "trailing_stop": 38, - "weekly_rebalance": 86 - }, - "gain_to_pain": -0.8187679267435063, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 78.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 10, - "profit_factor": 0.45784614178373745, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -2.71, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 4988, - "skipped_min_initial_risk": 0, - "sortino": -3.5189722759124127, - "start_date": "2019-05-01", - "total_return_pct": -77.1, - "trades": 284, - "transaction_cost": 409.6185948107269, - "turnover_multiple": 20.480929740536343, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 25.346153846153847, - "entrant_pool_mean": 25.346153846153847, - "entrant_pool_median": 24.0, - "entrant_pool_p90": 43.0, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 11, - "replacements": 86, - "weekly_rank_rejected_entries": 1206, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 27.8 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 24.363, - "avg_gross_exposure_pct": 75.637, - "avg_hold_days": 9.1, - "avg_positions": 9.9325, - "blocked_fraction": 0.9530075187969925, - "cagr_pct": -68.7, - "calmar": -0.99, - "capacity_opportunities": 5852, - "end_date": "2020-06-01", - "ev_net_r": -0.3830393573252063, - "ev_without_best": { - "1": -0.447261013183627, - "10": -0.6215221850756429, - "5": -0.5492124981964202 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 127, - "time": 15, - "trailing_stop": 37, - "weekly_rebalance": 86 - }, - "gain_to_pain": -0.7748011181451979, - "longest_underwater_sessions": 237, - "max_drawdown_pct": 69.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 275, - "peak_positions": 10, - "profit_factor": 0.5364315083401099, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -2.15, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 5577, - "skipped_min_initial_risk": 0, - "sortino": -2.9435810083794136, - "start_date": "2019-06-03", - "total_return_pct": -68.6, - "trades": 275, - "transaction_cost": 235.46046370002534, - "turnover_multiple": 23.546046370002532, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 28.884615384615383, - "entrant_pool_mean": 28.884615384615383, - "entrant_pool_median": 25.5, - "entrant_pool_p90": 48.9, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 8, - "replacements": 86, - "weekly_rank_rejected_entries": 1393, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 28.4 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 24.285, - "avg_gross_exposure_pct": 75.715, - "avg_hold_days": 9.1, - "avg_positions": 9.9325, - "blocked_fraction": 0.9530075187969925, - "cagr_pct": -70.0, - "calmar": -0.99, - "capacity_opportunities": 5852, - "end_date": "2020-06-01", - "ev_net_r": -0.3987550569703804, - "ev_without_best": { - "1": -0.46287560559857854, - "10": -0.6368963112948117, - "5": -0.564676505371335 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 127, - "time": 15, - "trailing_stop": 37, - "weekly_rebalance": 86 - }, - "gain_to_pain": -0.7858323153347551, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 70.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 275, - "peak_positions": 10, - "profit_factor": 0.5234958228786547, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -2.23, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 5577, - "skipped_min_initial_risk": 0, - "sortino": -3.0450596796810263, - "start_date": "2019-06-03", - "total_return_pct": -69.9, - "trades": 275, - "transaction_cost": 462.8804194221601, - "turnover_multiple": 23.144020971108006, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 28.884615384615383, - "entrant_pool_mean": 28.884615384615383, - "entrant_pool_median": 25.5, - "entrant_pool_p90": 48.9, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 8, - "replacements": 86, - "weekly_rank_rejected_entries": 1393, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 28.0 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 25.6225, - "avg_gross_exposure_pct": 74.3775, - "avg_hold_days": 9.3, - "avg_positions": 9.9325, - "blocked_fraction": 0.9573489773267798, - "cagr_pct": -56.4, - "calmar": -0.83, - "capacity_opportunities": 6307, - "end_date": "2020-06-29", - "ev_net_r": -0.26300192389270205, - "ev_without_best": { - "1": -0.32821347714559296, - "10": -0.5380855479678289, - "5": -0.44488603675647537 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 120, - "time": 15, - "trailing_stop": 41, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.5785334306357591, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 68.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 269, - "peak_positions": 10, - "profit_factor": 0.6647034889665383, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -1.34, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 6038, - "skipped_min_initial_risk": 0, - "sortino": -1.8971594683732464, - "start_date": "2019-07-01", - "total_return_pct": -56.3, - "trades": 269, - "transaction_cost": 237.228831394142, - "turnover_multiple": 23.7228831394142, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 31.03846153846154, - "entrant_pool_mean": 31.03846153846154, - "entrant_pool_median": 27.0, - "entrant_pool_p90": 58.09999999999999, - "events": 52, - "reentries_within_10_sessions": 15, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 9, - "replacements": 83, - "weekly_rank_rejected_entries": 1506, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 29.4 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 25.5583, - "avg_gross_exposure_pct": 74.4417, - "avg_hold_days": 9.3, - "avg_positions": 9.9325, - "blocked_fraction": 0.9573489773267798, - "cagr_pct": -58.2, - "calmar": -0.84, - "capacity_opportunities": 6307, - "end_date": "2020-06-29", - "ev_net_r": -0.2784332536320386, - "ev_without_best": { - "1": -0.3435403749782623, - "10": -0.5531868996044876, - "5": -0.4600920798067845 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 120, - "time": 15, - "trailing_stop": 41, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.5961409173371204, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 69.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 269, - "peak_positions": 10, - "profit_factor": 0.6496127364159939, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -1.41, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 6038, - "skipped_min_initial_risk": 0, - "sortino": -1.994292749764634, - "start_date": "2019-07-01", - "total_return_pct": -58.0, - "trades": 269, - "transaction_cost": 466.63700025587417, - "turnover_multiple": 23.33185001279371, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 31.03846153846154, - "entrant_pool_mean": 31.03846153846154, - "entrant_pool_median": 27.0, - "entrant_pool_p90": 58.09999999999999, - "events": 52, - "reentries_within_10_sessions": 15, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 9, - "replacements": 83, - "weekly_rank_rejected_entries": 1506, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 29.4 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 29.0766, - "avg_gross_exposure_pct": 70.9234, - "avg_hold_days": 9.6, - "avg_positions": 9.9325, - "blocked_fraction": 0.9610953164746371, - "cagr_pct": -42.3, - "calmar": -0.74, - "capacity_opportunities": 6683, - "end_date": "2020-07-30", - "ev_net_r": -0.16188344551352946, - "ev_without_best": { - "1": -0.2289706184610028, - "10": -0.487108886064057, - "5": -0.3767412761582899 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 117, - "time": 17, - "trailing_stop": 42, - "weekly_rebalance": 74 - }, - "gain_to_pain": -0.42061995905317107, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 56.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 260, - "peak_positions": 10, - "profit_factor": 0.778865409499916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.85, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 6423, - "skipped_min_initial_risk": 0, - "sortino": -1.2937122705074955, - "start_date": "2019-08-01", - "total_return_pct": -42.2, - "trades": 260, - "transaction_cost": 247.25951397877793, - "turnover_multiple": 24.725951397877793, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 33.28846153846154, - "entrant_pool_mean": 33.28846153846154, - "entrant_pool_median": 31.5, - "entrant_pool_p90": 59.9, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 17, - "reentries_within_5_sessions": 7, - "replacements": 74, - "weekly_rank_rejected_entries": 1627, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 30.0 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 29.0112, - "avg_gross_exposure_pct": 70.9888, - "avg_hold_days": 9.6, - "avg_positions": 9.9325, - "blocked_fraction": 0.9610953164746371, - "cagr_pct": -44.4, - "calmar": -0.76, - "capacity_opportunities": 6683, - "end_date": "2020-07-30", - "ev_net_r": -0.17678355433331772, - "ev_without_best": { - "1": -0.24376061542014876, - "10": -0.5016015608596722, - "5": -0.39138237118558405 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 117, - "time": 17, - "trailing_stop": 42, - "weekly_rebalance": 74 - }, - "gain_to_pain": -0.4450777325607619, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 58.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 260, - "peak_positions": 10, - "profit_factor": 0.7616552799443636, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.92, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 6423, - "skipped_min_initial_risk": 0, - "sortino": -1.3981749749217631, - "start_date": "2019-08-01", - "total_return_pct": -44.3, - "trades": 260, - "transaction_cost": 486.37484872506747, - "turnover_multiple": 24.318742436253373, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 33.28846153846154, - "entrant_pool_mean": 33.28846153846154, - "entrant_pool_median": 31.5, - "entrant_pool_p90": 59.9, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 17, - "reentries_within_5_sessions": 7, - "replacements": 74, - "weekly_rank_rejected_entries": 1627, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 30.0 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 29.8701, - "avg_gross_exposure_pct": 70.1299, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9636875439831105, - "cagr_pct": -34.1, - "calmar": -0.69, - "capacity_opportunities": 7105, - "end_date": "2020-08-31", - "ev_net_r": -0.1175141385683209, - "ev_without_best": { - "1": -0.18495074746501503, - "10": -0.44106471408387515, - "5": -0.33042352114853624 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 17, - "trailing_stop": 49, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.3540204022296804, - "longest_underwater_sessions": 172, - "max_drawdown_pct": 49.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 258, - "peak_positions": 10, - "profit_factor": 0.8253886443911704, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.6, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 6847, - "skipped_min_initial_risk": 0, - "sortino": -0.9192603637418629, - "start_date": "2019-09-03", - "total_return_pct": -33.9, - "trades": 258, - "transaction_cost": 286.958848201331, - "turnover_multiple": 28.695884820133106, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 35.78846153846154, - "entrant_pool_mean": 35.78846153846154, - "entrant_pool_median": 38.0, - "entrant_pool_p90": 59.9, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 18, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1755, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 30.6 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 29.8043, - "avg_gross_exposure_pct": 70.1957, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9636875439831105, - "cagr_pct": -36.6, - "calmar": -0.73, - "capacity_opportunities": 7105, - "end_date": "2020-08-31", - "ev_net_r": -0.13238443774009612, - "ev_without_best": { - "1": -0.1997099618836604, - "10": -0.4555352787053978, - "5": -0.3450397837807692 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 99, - "time": 17, - "trailing_stop": 49, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.38401921092782515, - "longest_underwater_sessions": 172, - "max_drawdown_pct": 50.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 258, - "peak_positions": 10, - "profit_factor": 0.806044578270755, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.67, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 6847, - "skipped_min_initial_risk": 0, - "sortino": -1.027782010995114, - "start_date": "2019-09-03", - "total_return_pct": -36.4, - "trades": 258, - "transaction_cost": 564.2671173607959, - "turnover_multiple": 28.21335586803979, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 35.78846153846154, - "entrant_pool_mean": 35.78846153846154, - "entrant_pool_median": 38.0, - "entrant_pool_p90": 59.9, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 18, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1755, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 30.6 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 31.4461, - "avg_gross_exposure_pct": 68.5539, - "avg_hold_days": 9.3, - "avg_positions": 9.9325, - "blocked_fraction": 0.9617807042656742, - "cagr_pct": -38.1, - "calmar": -0.73, - "capacity_opportunities": 6986, - "end_date": "2020-09-29", - "ev_net_r": -0.14526599316508057, - "ev_without_best": { - "1": -0.21052524256751348, - "10": -0.44786449817184243, - "5": -0.3513913102100359 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 15, - "trailing_stop": 52, - "weekly_rebalance": 82 - }, - "gain_to_pain": -0.43410776145988283, - "longest_underwater_sessions": 192, - "max_drawdown_pct": 52.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.7856523867528424, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 6719, - "skipped_min_initial_risk": 0, - "sortino": -1.0796146168938128, - "start_date": "2019-10-01", - "total_return_pct": -38.0, - "trades": 267, - "transaction_cost": 296.0868789276356, - "turnover_multiple": 29.608687892763555, - "underwater_pct": 98.02371541501977, - "weekly_rebalance": { - "eligible_pool_mean": 35.69230769230769, - "entrant_pool_mean": 35.69230769230769, - "entrant_pool_median": 38.0, - "entrant_pool_p90": 59.9, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 19, - "reentries_within_5_sessions": 8, - "replacements": 82, - "weekly_rank_rejected_entries": 1751, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.0 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 31.3784, - "avg_gross_exposure_pct": 68.6216, - "avg_hold_days": 9.3, - "avg_positions": 9.9325, - "blocked_fraction": 0.9617807042656742, - "cagr_pct": -40.4, - "calmar": -0.77, - "capacity_opportunities": 6986, - "end_date": "2020-09-29", - "ev_net_r": -0.15980961509220945, - "ev_without_best": { - "1": -0.22496031013825504, - "10": -0.4620674160491899, - "5": -0.36568338774507536 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 15, - "trailing_stop": 52, - "weekly_rebalance": 82 - }, - "gain_to_pain": -0.4593246686060053, - "longest_underwater_sessions": 192, - "max_drawdown_pct": 52.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 10, - "profit_factor": 0.7672697244171719, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.77, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 6719, - "skipped_min_initial_risk": 0, - "sortino": -1.1844625126654096, - "start_date": "2019-10-01", - "total_return_pct": -40.3, - "trades": 267, - "transaction_cost": 582.2164882714143, - "turnover_multiple": 29.110824413570715, - "underwater_pct": 98.02371541501977, - "weekly_rebalance": { - "eligible_pool_mean": 35.69230769230769, - "entrant_pool_mean": 35.69230769230769, - "entrant_pool_median": 38.0, - "entrant_pool_p90": 59.9, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 19, - "reentries_within_5_sessions": 8, - "replacements": 82, - "weekly_rank_rejected_entries": 1751, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.0 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 32.011, - "avg_gross_exposure_pct": 67.989, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9648771367521367, - "cagr_pct": -38.3, - "calmar": -0.71, - "capacity_opportunities": 7488, - "end_date": "2020-10-30", - "ev_net_r": -0.14687521464778855, - "ev_without_best": { - "1": -0.21313693053530708, - "10": -0.4688837574775156, - "5": -0.35622745950512125 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 14, - "trailing_stop": 57, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.43293406167198695, - "longest_underwater_sessions": 215, - "max_drawdown_pct": 54.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.7856986212588316, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.49, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 7225, - "skipped_min_initial_risk": 0, - "sortino": -0.7000650048032563, - "start_date": "2019-11-01", - "total_return_pct": -38.2, - "trades": 263, - "transaction_cost": 314.2821516812077, - "turnover_multiple": 31.42821516812077, - "underwater_pct": 96.04743083003953, - "weekly_rebalance": { - "eligible_pool_mean": 37.64150943396226, - "entrant_pool_mean": 37.64150943396226, - "entrant_pool_median": 39, - "entrant_pool_p90": 60.800000000000004, - "events": 53, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 21, - "reentries_within_5_sessions": 6, - "replacements": 77, - "weekly_rank_rejected_entries": 1880, - "zero_entrant_fraction": 0.018867924528301886 - }, - "win_rate": 30.4 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 31.9413, - "avg_gross_exposure_pct": 68.0587, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9648771367521367, - "cagr_pct": -40.5, - "calmar": -0.73, - "capacity_opportunities": 7488, - "end_date": "2020-10-30", - "ev_net_r": -0.16139619882835113, - "ev_without_best": { - "1": -0.22754761663745138, - "10": -0.48299489563683484, - "5": -0.37049256066451997 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 14, - "trailing_stop": 57, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.4603102967751082, - "longest_underwater_sessions": 215, - "max_drawdown_pct": 55.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 263, - "peak_positions": 10, - "profit_factor": 0.7677709023237399, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 7225, - "skipped_min_initial_risk": 0, - "sortino": -0.7818758457993116, - "start_date": "2019-11-01", - "total_return_pct": -40.4, - "trades": 263, - "transaction_cost": 618.6555722560062, - "turnover_multiple": 30.93277861280031, - "underwater_pct": 96.04743083003953, - "weekly_rebalance": { - "eligible_pool_mean": 37.64150943396226, - "entrant_pool_mean": 37.64150943396226, - "entrant_pool_median": 39, - "entrant_pool_p90": 60.800000000000004, - "events": 53, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 21, - "reentries_within_5_sessions": 6, - "replacements": 77, - "weekly_rank_rejected_entries": 1880, - "zero_entrant_fraction": 0.018867924528301886 - }, - "win_rate": 30.4 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 36.5111, - "avg_gross_exposure_pct": 63.4889, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9667575639527334, - "cagr_pct": -29.1, - "calmar": -0.54, - "capacity_opportunities": 7701, - "end_date": "2020-11-30", - "ev_net_r": -0.0826988985492395, - "ev_without_best": { - "1": -0.14855474668928773, - "10": -0.46094315959843374, - "5": -0.3358378479370838 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 98, - "time": 16, - "trailing_stop": 54, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.28358314019585207, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 53.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.8819248819336526, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.22, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 7445, - "skipped_min_initial_risk": 0, - "sortino": -0.30649692685207897, - "start_date": "2019-12-02", - "total_return_pct": -29.0, - "trades": 256, - "transaction_cost": 282.69180535711894, - "turnover_multiple": 28.269180535711897, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 38.80769230769231, - "entrant_pool_mean": 38.80769230769231, - "entrant_pool_median": 40.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 21, - "reentries_within_5_sessions": 7, - "replacements": 78, - "weekly_rank_rejected_entries": 1912, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.2 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2019-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 36.4454, - "avg_gross_exposure_pct": 63.5546, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9667575639527334, - "cagr_pct": -31.5, - "calmar": -0.58, - "capacity_opportunities": 7701, - "end_date": "2020-11-30", - "ev_net_r": -0.095929203112247, - "ev_without_best": { - "1": -0.16166919647527053, - "10": -0.4737591569049855, - "5": -0.3487802685517992 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 98, - "time": 16, - "trailing_stop": 54, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.31457886598260965, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 54.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 256, - "peak_positions": 10, - "profit_factor": 0.8646014951501111, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.27, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 7445, - "skipped_min_initial_risk": 0, - "sortino": -0.3799713717759908, - "start_date": "2019-12-02", - "total_return_pct": -31.4, - "trades": 256, - "transaction_cost": 556.9411280906087, - "turnover_multiple": 27.847056404530438, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 38.80769230769231, - "entrant_pool_mean": 38.80769230769231, - "entrant_pool_median": 40.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 21, - "reentries_within_5_sessions": 7, - "replacements": 78, - "weekly_rank_rejected_entries": 1912, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.2 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 37.0363, - "avg_gross_exposure_pct": 62.9637, - "avg_hold_days": 9.4, - "avg_positions": 9.9325, - "blocked_fraction": 0.966658310353472, - "cagr_pct": -40.2, - "calmar": -0.77, - "capacity_opportunities": 7978, - "end_date": "2020-12-30", - "ev_net_r": -0.15303227476931233, - "ev_without_best": { - "1": -0.21092009648177543, - "10": -0.46804133653048186, - "5": -0.3637090201827811 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 102, - "time": 14, - "trailing_stop": 52, - "weekly_rebalance": 88 - }, - "gain_to_pain": -0.46685860345146923, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 52.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 266, - "peak_positions": 10, - "profit_factor": 0.7811681968376655, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.53, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 7712, - "skipped_min_initial_risk": 0, - "sortino": -0.7304854642519192, - "start_date": "2020-01-02", - "total_return_pct": -40.0, - "trades": 266, - "transaction_cost": 236.99219928049052, - "turnover_multiple": 23.69921992804905, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 40.05769230769231, - "entrant_pool_mean": 40.05769230769231, - "entrant_pool_median": 41.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 13, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 8, - "replacements": 88, - "weekly_rank_rejected_entries": 1967, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.7 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 36.9668, - "avg_gross_exposure_pct": 63.0332, - "avg_hold_days": 9.4, - "avg_positions": 9.9325, - "blocked_fraction": 0.966658310353472, - "cagr_pct": -42.3, - "calmar": -0.79, - "capacity_opportunities": 7978, - "end_date": "2020-12-30", - "ev_net_r": -0.16618429856732728, - "ev_without_best": { - "1": -0.2239996081867818, - "10": -0.4808952588461829, - "5": -0.3766776995221579 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 102, - "time": 14, - "trailing_stop": 52, - "weekly_rebalance": 88 - }, - "gain_to_pain": -0.49100552113167073, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 53.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 266, - "peak_positions": 10, - "profit_factor": 0.7651189905871605, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.59, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 7712, - "skipped_min_initial_risk": 0, - "sortino": -0.8063560772582687, - "start_date": "2020-01-02", - "total_return_pct": -42.1, - "trades": 266, - "transaction_cost": 466.6571898687195, - "turnover_multiple": 23.332859493435976, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 40.05769230769231, - "entrant_pool_mean": 40.05769230769231, - "entrant_pool_median": 41.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 13, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 8, - "replacements": 88, - "weekly_rank_rejected_entries": 1967, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.7 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 37.12, - "avg_gross_exposure_pct": 62.88, - "avg_hold_days": 10.0, - "avg_positions": 9.9524, - "blocked_fraction": 0.9702712306052351, - "cagr_pct": -21.9, - "calmar": -0.54, - "capacity_opportunities": 8443, - "end_date": "2021-02-01", - "ev_net_r": -0.0643669135372405, - "ev_without_best": { - "1": -0.12537334310752304, - "10": -0.4238313100390184, - "5": -0.30446415001229354 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 15, - "trailing_stop": 53, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.2358250758570194, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 40.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.9054129206509276, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.1, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 8192, - "skipped_min_initial_risk": 0, - "sortino": -0.1367293533248043, - "start_date": "2020-02-03", - "total_return_pct": -21.9, - "trades": 251, - "transaction_cost": 250.22652656328776, - "turnover_multiple": 25.022652656328777, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 42.26923076923077, - "entrant_pool_mean": 42.26923076923077, - "entrant_pool_median": 45.5, - "entrant_pool_p90": 63.0, - "events": 52, - "reentries_within_10_sessions": 13, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 8, - "replacements": 80, - "weekly_rank_rejected_entries": 2088, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.9 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 37.0577, - "avg_gross_exposure_pct": 62.9423, - "avg_hold_days": 10.0, - "avg_positions": 9.9524, - "blocked_fraction": 0.9702712306052351, - "cagr_pct": -24.5, - "calmar": -0.59, - "capacity_opportunities": 8443, - "end_date": "2021-02-01", - "ev_net_r": -0.07729524984293407, - "ev_without_best": { - "1": -0.1382239218446583, - "10": -0.43640515261073093, - "5": -0.31717502094102035 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 15, - "trailing_stop": 53, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.27319472565838593, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 41.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.887749537130662, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -0.15, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 8192, - "skipped_min_initial_risk": 0, - "sortino": -0.20940917092790806, - "start_date": "2020-02-03", - "total_return_pct": -24.4, - "trades": 251, - "transaction_cost": 492.8642989496728, - "turnover_multiple": 24.64321494748364, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 42.26923076923077, - "entrant_pool_mean": 42.26923076923077, - "entrant_pool_median": 45.5, - "entrant_pool_p90": 63.0, - "events": 52, - "reentries_within_10_sessions": 13, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 8, - "replacements": 80, - "weekly_rank_rejected_entries": 2088, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.5 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 37.2366, - "avg_gross_exposure_pct": 62.7634, - "avg_hold_days": 9.9, - "avg_positions": 9.9286, - "blocked_fraction": 0.9720806558830046, - "cagr_pct": -18.5, - "calmar": -0.56, - "capacity_opportunities": 9026, - "end_date": "2021-03-01", - "ev_net_r": -0.04278903724911544, - "ev_without_best": { - "1": -0.10346644568051987, - "10": -0.39891207884900404, - "5": -0.2814774210200564 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 17, - "trailing_stop": 55, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.16229025341108919, - "longest_underwater_sessions": 94, - "max_drawdown_pct": 32.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.9354336655820471, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.0, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 8774, - "skipped_min_initial_risk": 0, - "sortino": -0.0039678964332766345, - "start_date": "2020-03-02", - "total_return_pct": -18.4, - "trades": 252, - "transaction_cost": 264.79392986797217, - "turnover_multiple": 26.479392986797215, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 45.15384615384615, - "entrant_pool_mean": 45.15384615384615, - "entrant_pool_median": 48.5, - "entrant_pool_p90": 70.9, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 7, - "replacements": 83, - "weekly_rank_rejected_entries": 2234, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 35.7 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 37.1742, - "avg_gross_exposure_pct": 62.8258, - "avg_hold_days": 9.9, - "avg_positions": 9.9286, - "blocked_fraction": 0.9720806558830046, - "cagr_pct": -21.1, - "calmar": -0.64, - "capacity_opportunities": 9026, - "end_date": "2021-03-01", - "ev_net_r": -0.055447313193405186, - "ev_without_best": { - "1": -0.11604619790966625, - "10": -0.41117779714264313, - "5": -0.29391364520507146 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 17, - "trailing_stop": 55, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.19979253746974257, - "longest_underwater_sessions": 154, - "max_drawdown_pct": 33.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.9172822367112821, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.05, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 8774, - "skipped_min_initial_risk": 0, - "sortino": -0.07269808667956122, - "start_date": "2020-03-02", - "total_return_pct": -21.0, - "trades": 252, - "transaction_cost": 521.4704626711201, - "turnover_multiple": 26.073523133556005, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 45.15384615384615, - "entrant_pool_mean": 45.15384615384615, - "entrant_pool_median": 48.5, - "entrant_pool_p90": 70.9, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 7, - "replacements": 83, - "weekly_rank_rejected_entries": 2234, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 35.7 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 37.8445, - "avg_gross_exposure_pct": 62.1555, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.973323334047568, - "cagr_pct": -3.0, - "calmar": -0.08, - "capacity_opportunities": 9334, - "end_date": "2021-03-31", - "ev_net_r": 0.02602593420320811, - "ev_without_best": { - "1": -0.035107995413042645, - "10": -0.34236143544424125, - "5": -0.21418699995318863 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 73, - "time": 16, - "trailing_stop": 57, - "weekly_rebalance": 93 - }, - "gain_to_pain": 0.055820685956270676, - "longest_underwater_sessions": 95, - "max_drawdown_pct": 36.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 1.0416260185079989, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.37, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 9085, - "skipped_min_initial_risk": 0, - "sortino": 0.5677952953963395, - "start_date": "2020-04-01", - "total_return_pct": -3.0, - "trades": 249, - "transaction_cost": 334.067488957959, - "turnover_multiple": 33.4067488957959, - "underwater_pct": 94.46640316205533, - "weekly_rebalance": { - "eligible_pool_mean": 46.61538461538461, - "entrant_pool_mean": 46.61538461538461, - "entrant_pool_median": 49.0, - "entrant_pool_p90": 70.9, - "events": 52, - "reentries_within_10_sessions": 13, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 7, - "replacements": 93, - "weekly_rank_rejected_entries": 2302, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 37.8 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 37.7843, - "avg_gross_exposure_pct": 62.2157, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.973323334047568, - "cagr_pct": -6.1, - "calmar": -0.17, - "capacity_opportunities": 9334, - "end_date": "2021-03-31", - "ev_net_r": 0.013443241093846899, - "ev_without_best": { - "1": -0.0476109101541139, - "10": -0.35459216167170166, - "5": -0.2265433623301093 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 73, - "time": 16, - "trailing_stop": 57, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.007435812231425873, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 36.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 1.0212481939801321, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.33, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 9085, - "skipped_min_initial_risk": 0, - "sortino": 0.5092314835646407, - "start_date": "2020-04-01", - "total_return_pct": -6.0, - "trades": 249, - "transaction_cost": 658.1182487689354, - "turnover_multiple": 32.90591243844677, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 46.61538461538461, - "entrant_pool_mean": 46.61538461538461, - "entrant_pool_median": 49.0, - "entrant_pool_p90": 70.9, - "events": 52, - "reentries_within_10_sessions": 13, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 7, - "replacements": 93, - "weekly_rank_rejected_entries": 2302, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 37.3 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 35.9572, - "avg_gross_exposure_pct": 64.0428, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9723579040852576, - "cagr_pct": 8.7, - "calmar": 0.18, - "capacity_opportunities": 9008, - "end_date": "2021-04-30", - "ev_net_r": 0.09139237145164189, - "ev_without_best": { - "1": 0.008390323000740104, - "10": -0.37444784096864236, - "5": -0.2000194075818362 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 76, - "time": 16, - "trailing_stop": 56, - "weekly_rebalance": 91 - }, - "gain_to_pain": 0.3217407333974634, - "longest_underwater_sessions": 95, - "max_drawdown_pct": 48.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 1.1423788936525732, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.5, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 8759, - "skipped_min_initial_risk": 0, - "sortino": 0.7813962151074262, - "start_date": "2020-05-01", - "total_return_pct": 8.7, - "trades": 249, - "transaction_cost": 362.97196069251453, - "turnover_multiple": 36.29719606925145, - "underwater_pct": 93.2806324110672, - "weekly_rebalance": { - "eligible_pool_mean": 45.39622641509434, - "entrant_pool_mean": 45.39622641509434, - "entrant_pool_median": 47, - "entrant_pool_p90": 69.4, - "events": 53, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 8, - "replacements": 91, - "weekly_rank_rejected_entries": 2280, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 36.5 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 35.8924, - "avg_gross_exposure_pct": 64.1076, - "avg_hold_days": 10.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9723579040852576, - "cagr_pct": 5.3, - "calmar": 0.11, - "capacity_opportunities": 9008, - "end_date": "2021-04-30", - "ev_net_r": 0.07863827815301945, - "ev_without_best": { - "1": -0.004300041245813248, - "10": -0.38676552482072246, - "5": -0.21248905464232518 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 76, - "time": 16, - "trailing_stop": 56, - "weekly_rebalance": 91 - }, - "gain_to_pain": 0.24556614406892316, - "longest_underwater_sessions": 95, - "max_drawdown_pct": 48.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 249, - "peak_positions": 10, - "profit_factor": 1.1211103820408153, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.46, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 8759, - "skipped_min_initial_risk": 0, - "sortino": 0.719110911949145, - "start_date": "2020-05-01", - "total_return_pct": 5.3, - "trades": 249, - "transaction_cost": 715.2246476449403, - "turnover_multiple": 35.761232382247016, - "underwater_pct": 93.67588932806325, - "weekly_rebalance": { - "eligible_pool_mean": 45.39622641509434, - "entrant_pool_mean": 45.39622641509434, - "entrant_pool_median": 47, - "entrant_pool_p90": 69.4, - "events": 53, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 8, - "replacements": 91, - "weekly_rank_rejected_entries": 2280, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 36.1 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 35.9394, - "avg_gross_exposure_pct": 64.0606, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9705547976352887, - "cagr_pct": -10.5, - "calmar": -0.22, - "capacity_opportunities": 8796, - "end_date": "2021-05-28", - "ev_net_r": 0.0071296227055291875, - "ev_without_best": { - "1": -0.07434167235807272, - "10": -0.4168184250760599, - "5": -0.2756444333889826 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 84, - "time": 14, - "trailing_stop": 55, - "weekly_rebalance": 96 - }, - "gain_to_pain": -0.10846780684374432, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 48.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 259, - "peak_positions": 10, - "profit_factor": 1.0107245487507688, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.26, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 8537, - "skipped_min_initial_risk": 0, - "sortino": 0.40554598107767525, - "start_date": "2020-06-01", - "total_return_pct": -10.4, - "trades": 259, - "transaction_cost": 329.3172439999653, - "turnover_multiple": 32.93172439999653, - "underwater_pct": 94.46640316205533, - "weekly_rebalance": { - "eligible_pool_mean": 43.90384615384615, - "entrant_pool_mean": 43.90384615384615, - "entrant_pool_median": 45.5, - "entrant_pool_p90": 69.69999999999999, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 8, - "replacements": 96, - "weekly_rank_rejected_entries": 2161, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 34.0 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 35.8722, - "avg_gross_exposure_pct": 64.1278, - "avg_hold_days": 9.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9705547976352887, - "cagr_pct": -13.5, - "calmar": -0.28, - "capacity_opportunities": 8796, - "end_date": "2021-05-28", - "ev_net_r": -0.005648937010631406, - "ev_without_best": { - "1": -0.08705770682992331, - "10": -0.42920196270011435, - "5": -0.28815856373557897 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 84, - "time": 14, - "trailing_stop": 55, - "weekly_rebalance": 96 - }, - "gain_to_pain": -0.1670140468131394, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 48.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 259, - "peak_positions": 10, - "profit_factor": 0.9915997463917408, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.22, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 8537, - "skipped_min_initial_risk": 0, - "sortino": 0.3427725906524471, - "start_date": "2020-06-01", - "total_return_pct": -13.3, - "trades": 259, - "transaction_cost": 648.5012664230844, - "turnover_multiple": 32.42506332115422, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 43.90384615384615, - "entrant_pool_mean": 43.90384615384615, - "entrant_pool_median": 45.5, - "entrant_pool_p90": 69.69999999999999, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 8, - "replacements": 96, - "weekly_rank_rejected_entries": 2161, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 33.6 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 34.682, - "avg_gross_exposure_pct": 65.318, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9716603569497025, - "cagr_pct": -13.3, - "calmar": -0.28, - "capacity_opportunities": 9245, - "end_date": "2021-06-30", - "ev_net_r": -0.01060408124885672, - "ev_without_best": { - "1": -0.09120686987093976, - "10": -0.37420480550331947, - "5": -0.2602684596510737 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 14, - "trailing_stop": 53, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.18346733621843545, - "longest_underwater_sessions": 95, - "max_drawdown_pct": 48.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.9832364137418736, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.32, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 8983, - "skipped_min_initial_risk": 0, - "sortino": 0.5076033936701495, - "start_date": "2020-07-01", - "total_return_pct": -13.3, - "trades": 262, - "transaction_cost": 317.73205806632313, - "turnover_multiple": 31.773205806632312, - "underwater_pct": 94.46640316205533, - "weekly_rebalance": { - "eligible_pool_mean": 45.36538461538461, - "entrant_pool_mean": 45.36538461538461, - "entrant_pool_median": 47.0, - "entrant_pool_p90": 74.69999999999999, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 9, - "replacements": 98, - "weekly_rank_rejected_entries": 2241, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 35.9 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 34.613, - "avg_gross_exposure_pct": 65.387, - "avg_hold_days": 9.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9716603569497025, - "cagr_pct": -16.2, - "calmar": -0.33, - "capacity_opportunities": 9245, - "end_date": "2021-06-30", - "ev_net_r": -0.02327329431717278, - "ev_without_best": { - "1": -0.10381385742324122, - "10": -0.38655264434774866, - "5": -0.2726992281197519 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 87, - "time": 14, - "trailing_stop": 53, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.24146137691408895, - "longest_underwater_sessions": 95, - "max_drawdown_pct": 48.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 10, - "profit_factor": 0.9636333351577292, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.28, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 8983, - "skipped_min_initial_risk": 0, - "sortino": 0.45273430086539723, - "start_date": "2020-07-01", - "total_return_pct": -16.2, - "trades": 262, - "transaction_cost": 625.6140306127342, - "turnover_multiple": 31.28070153063671, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 45.36538461538461, - "entrant_pool_mean": 45.36538461538461, - "entrant_pool_median": 47.0, - "entrant_pool_p90": 74.69999999999999, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 9, - "replacements": 98, - "weekly_rank_rejected_entries": 2241, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 35.5 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 32.0857, - "avg_gross_exposure_pct": 67.9143, - "avg_hold_days": 9.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9683134582623509, - "cagr_pct": -39.3, - "calmar": -0.78, - "capacity_opportunities": 8805, - "end_date": "2021-08-02", - "ev_net_r": -0.14043691048524226, - "ev_without_best": { - "1": -0.21657777616725685, - "10": -0.467773311698633, - "5": -0.3769803754325112 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 16, - "trailing_stop": 47, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.6250926903001516, - "longest_underwater_sessions": 95, - "max_drawdown_pct": 50.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 279, - "peak_positions": 10, - "profit_factor": 0.7914712803686735, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.05, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 8526, - "skipped_min_initial_risk": 0, - "sortino": -0.08174175334731792, - "start_date": "2020-08-03", - "total_return_pct": -39.2, - "trades": 279, - "transaction_cost": 298.19114027738004, - "turnover_multiple": 29.819114027738, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 42.23076923076923, - "entrant_pool_mean": 42.23076923076923, - "entrant_pool_median": 39.0, - "entrant_pool_p90": 74.69999999999999, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 10, - "replacements": 98, - "weekly_rank_rejected_entries": 2075, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.5 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 32.0121, - "avg_gross_exposure_pct": 67.9879, - "avg_hold_days": 9.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9683134582623509, - "cagr_pct": -41.5, - "calmar": -0.81, - "capacity_opportunities": 8805, - "end_date": "2021-08-02", - "ev_net_r": -0.15376048737765766, - "ev_without_best": { - "1": -0.2298452865278172, - "10": -0.48084988177118965, - "5": -0.39009224267899073 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 108, - "time": 16, - "trailing_stop": 47, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.6551316287609239, - "longest_underwater_sessions": 95, - "max_drawdown_pct": 51.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 279, - "peak_positions": 10, - "profit_factor": 0.7746304744603297, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.09, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 8526, - "skipped_min_initial_risk": 0, - "sortino": -0.1405093314809421, - "start_date": "2020-08-03", - "total_return_pct": -41.4, - "trades": 279, - "transaction_cost": 586.1685768443605, - "turnover_multiple": 29.30842884221802, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 42.23076923076923, - "entrant_pool_mean": 42.23076923076923, - "entrant_pool_median": 39.0, - "entrant_pool_p90": 74.69999999999999, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 10, - "replacements": 98, - "weekly_rank_rejected_entries": 2075, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.1 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 31.5914, - "avg_gross_exposure_pct": 68.4086, - "avg_hold_days": 8.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9680935619393665, - "cagr_pct": -36.5, - "calmar": -0.62, - "capacity_opportunities": 8807, - "end_date": "2021-08-31", - "ev_net_r": -0.12848167102982186, - "ev_without_best": { - "1": -0.20403597610176702, - "10": -0.43878169890284763, - "5": -0.36309447247284576 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 19, - "trailing_stop": 47, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.5735325268175064, - "longest_underwater_sessions": 114, - "max_drawdown_pct": 59.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 10, - "profit_factor": 0.8092089673634304, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.01, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 8526, - "skipped_min_initial_risk": 0, - "sortino": -0.01347603186246054, - "start_date": "2020-09-01", - "total_return_pct": -36.4, - "trades": 281, - "transaction_cost": 327.92782370417257, - "turnover_multiple": 32.79278237041726, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 42.03846153846154, - "entrant_pool_mean": 42.03846153846154, - "entrant_pool_median": 39.0, - "entrant_pool_p90": 73.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 9, - "replacements": 100, - "weekly_rank_rejected_entries": 2063, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 32.7 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 31.5164, - "avg_gross_exposure_pct": 68.4836, - "avg_hold_days": 8.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9680935619393665, - "cagr_pct": -38.9, - "calmar": -0.65, - "capacity_opportunities": 8807, - "end_date": "2021-08-31", - "ev_net_r": -0.1422662087698655, - "ev_without_best": { - "1": -0.21776649407392462, - "10": -0.4523003646661647, - "5": -0.3766771854348158 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 105, - "time": 19, - "trailing_stop": 47, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.6065679740723661, - "longest_underwater_sessions": 116, - "max_drawdown_pct": 59.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 10, - "profit_factor": 0.7914383246929554, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -0.05, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 8526, - "skipped_min_initial_risk": 0, - "sortino": -0.07519900525272324, - "start_date": "2020-09-01", - "total_return_pct": -38.8, - "trades": 281, - "transaction_cost": 644.361805625195, - "turnover_multiple": 32.218090281259755, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 42.03846153846154, - "entrant_pool_mean": 42.03846153846154, - "entrant_pool_median": 39.0, - "entrant_pool_p90": 73.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 9, - "replacements": 100, - "weekly_rank_rejected_entries": 2063, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 32.0 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 28.475, - "avg_gross_exposure_pct": 71.525, - "avg_hold_days": 9.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9698158439577204, - "cagr_pct": -28.4, - "calmar": -0.48, - "capacity_opportunities": 9177, - "end_date": "2021-09-30", - "ev_net_r": -0.09079538974922284, - "ev_without_best": { - "1": -0.16730814025235344, - "10": -0.40433263596938757, - "5": -0.32816561692522134 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 18, - "trailing_stop": 48, - "weekly_rebalance": 104 - }, - "gain_to_pain": -0.513477129243876, - "longest_underwater_sessions": 135, - "max_drawdown_pct": 59.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 277, - "peak_positions": 10, - "profit_factor": 0.8602180277517377, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.11, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 8900, - "skipped_min_initial_risk": 0, - "sortino": 0.18074553829592854, - "start_date": "2020-10-01", - "total_return_pct": -28.3, - "trades": 277, - "transaction_cost": 385.30460105837983, - "turnover_multiple": 38.53046010583798, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 44.23076923076923, - "entrant_pool_mean": 44.23076923076923, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 73.8, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 10, - "replacements": 104, - "weekly_rank_rejected_entries": 2176, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 33.6 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 28.4009, - "avg_gross_exposure_pct": 71.5991, - "avg_hold_days": 9.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9698158439577204, - "cagr_pct": -31.2, - "calmar": -0.52, - "capacity_opportunities": 9177, - "end_date": "2021-09-30", - "ev_net_r": -0.10521236774211035, - "ev_without_best": { - "1": -0.1816726070323596, - "10": -0.4185034457856292, - "5": -0.342389427868535 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 18, - "trailing_stop": 48, - "weekly_rebalance": 104 - }, - "gain_to_pain": -0.5574995664354203, - "longest_underwater_sessions": 137, - "max_drawdown_pct": 59.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 277, - "peak_positions": 10, - "profit_factor": 0.8402767963332883, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.07, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 8900, - "skipped_min_initial_risk": 0, - "sortino": 0.11642658289533216, - "start_date": "2020-10-01", - "total_return_pct": -31.1, - "trades": 277, - "transaction_cost": 756.9754672852603, - "turnover_multiple": 37.84877336426302, - "underwater_pct": 96.04743083003953, - "weekly_rebalance": { - "eligible_pool_mean": 44.23076923076923, - "entrant_pool_mean": 44.23076923076923, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 73.8, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 10, - "replacements": 104, - "weekly_rank_rejected_entries": 2176, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 32.9 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 24.8031, - "avg_gross_exposure_pct": 75.1969, - "avg_hold_days": 8.7, - "avg_positions": 9.9921, - "blocked_fraction": 0.968031968031968, - "cagr_pct": -37.8, - "calmar": -0.59, - "capacity_opportunities": 9009, - "end_date": "2021-11-01", - "ev_net_r": -0.13426673420816987, - "ev_without_best": { - "1": -0.20799840836608968, - "10": -0.44192045025498583, - "5": -0.3693905947414169 - }, - "exit_reasons": { - "open_at_end": 9, - "stop": 105, - "time": 14, - "trailing_stop": 48, - "weekly_rebalance": 112 - }, - "gain_to_pain": -0.6727045750527708, - "longest_underwater_sessions": 157, - "max_drawdown_pct": 63.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 288, - "peak_positions": 10, - "profit_factor": 0.7999970257187013, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -0.09, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 8721, - "skipped_min_initial_risk": 0, - "sortino": -0.15387904603410338, - "start_date": "2020-11-02", - "total_return_pct": -37.7, - "trades": 288, - "transaction_cost": 372.56413158536736, - "turnover_multiple": 37.25641315853674, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 44.19230769230769, - "entrant_pool_mean": 44.19230769230769, - "entrant_pool_median": 47.0, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 9, - "replacements": 112, - "weekly_rank_rejected_entries": 2166, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 33.0 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 24.734, - "avg_gross_exposure_pct": 75.266, - "avg_hold_days": 8.7, - "avg_positions": 9.9921, - "blocked_fraction": 0.968031968031968, - "cagr_pct": -40.4, - "calmar": -0.63, - "capacity_opportunities": 9009, - "end_date": "2021-11-01", - "ev_net_r": -0.14920630351593514, - "ev_without_best": { - "1": -0.22288929996151924, - "10": -0.45653767707914267, - "5": -0.3840557510644262 - }, - "exit_reasons": { - "open_at_end": 9, - "stop": 105, - "time": 14, - "trailing_stop": 48, - "weekly_rebalance": 112 - }, - "gain_to_pain": -0.708847403676453, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 64.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 288, - "peak_positions": 10, - "profit_factor": 0.7807719137654956, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -0.14, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 8721, - "skipped_min_initial_risk": 0, - "sortino": -0.22737513158873596, - "start_date": "2020-11-02", - "total_return_pct": -40.3, - "trades": 288, - "transaction_cost": 731.5110502347108, - "turnover_multiple": 36.57555251173554, - "underwater_pct": 96.04743083003953, - "weekly_rebalance": { - "eligible_pool_mean": 44.19230769230769, - "entrant_pool_mean": 44.19230769230769, - "entrant_pool_median": 47.0, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 9, - "replacements": 112, - "weekly_rank_rejected_entries": 2166, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 32.3 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 25.1087, - "avg_gross_exposure_pct": 74.8913, - "avg_hold_days": 8.5, - "avg_positions": 9.9722, - "blocked_fraction": 0.9662340645457678, - "cagr_pct": -52.6, - "calmar": -0.76, - "capacity_opportunities": 8707, - "end_date": "2021-11-30", - "ev_net_r": -0.21976863644676353, - "ev_without_best": { - "1": -0.2922822623360522, - "10": -0.47296292923152533, - "5": -0.4067008189181191 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 115, - "time": 14, - "trailing_stop": 48, - "weekly_rebalance": 107 - }, - "gain_to_pain": -0.794624815308711, - "longest_underwater_sessions": 177, - "max_drawdown_pct": 69.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 294, - "peak_positions": 10, - "profit_factor": 0.6697513880543287, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.41, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 8413, - "skipped_min_initial_risk": 0, - "sortino": -0.6735523267074782, - "start_date": "2020-12-01", - "total_return_pct": -52.5, - "trades": 294, - "transaction_cost": 361.188571198801, - "turnover_multiple": 36.1188571198801, - "underwater_pct": 94.46640316205533, - "weekly_rebalance": { - "eligible_pool_mean": 44.07692307692308, - "entrant_pool_mean": 44.07692307692308, - "entrant_pool_median": 47.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 31, - "reentries_within_5_sessions": 7, - "replacements": 107, - "weekly_rank_rejected_entries": 2163, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.6 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2020-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 25.0463, - "avg_gross_exposure_pct": 74.9537, - "avg_hold_days": 8.5, - "avg_positions": 9.9722, - "blocked_fraction": 0.9662340645457678, - "cagr_pct": -54.7, - "calmar": -0.77, - "capacity_opportunities": 8707, - "end_date": "2021-11-30", - "ev_net_r": -0.23473094123315816, - "ev_without_best": { - "1": -0.30719696381882317, - "10": -0.48765652309475627, - "5": -0.42145428430354404 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 115, - "time": 14, - "trailing_stop": 48, - "weekly_rebalance": 107 - }, - "gain_to_pain": -0.8139182351047966, - "longest_underwater_sessions": 179, - "max_drawdown_pct": 70.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 294, - "peak_positions": 10, - "profit_factor": 0.6524786701881835, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.46, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 8413, - "skipped_min_initial_risk": 0, - "sortino": -0.7486133597040217, - "start_date": "2020-12-01", - "total_return_pct": -54.5, - "trades": 294, - "transaction_cost": 709.0490216143281, - "turnover_multiple": 35.45245108071641, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 44.07692307692308, - "entrant_pool_mean": 44.07692307692308, - "entrant_pool_median": 47.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 31, - "reentries_within_5_sessions": 7, - "replacements": 107, - "weekly_rank_rejected_entries": 2163, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.8781, - "avg_gross_exposure_pct": 79.1219, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9627176845719893, - "cagr_pct": -62.6, - "calmar": -0.87, - "capacity_opportunities": 8154, - "end_date": "2021-12-31", - "ev_net_r": -0.3061141175868533, - "ev_without_best": { - "1": -0.3765195230875189, - "10": -0.5268607467389095, - "5": -0.4610893385145389 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 51, - "weekly_rebalance": 106 - }, - "gain_to_pain": -0.960136611679788, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 72.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 304, - "peak_positions": 10, - "profit_factor": 0.583538373630885, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.66, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 7850, - "skipped_min_initial_risk": 0, - "sortino": -1.081106232140739, - "start_date": "2021-01-04", - "total_return_pct": -62.2, - "trades": 304, - "transaction_cost": 328.1781161187456, - "turnover_multiple": 32.81781161187456, - "underwater_pct": 94.46640316205533, - "weekly_rebalance": { - "eligible_pool_mean": 41.09615384615385, - "entrant_pool_mean": 41.09615384615385, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.69999999999999, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2000, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 29.3 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 20.8097, - "avg_gross_exposure_pct": 79.1903, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9627176845719893, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8154, - "end_date": "2021-12-31", - "ev_net_r": -0.32174564335701206, - "ev_without_best": { - "1": -0.3921072252702916, - "10": -0.5422496267416733, - "5": -0.47654621440845796 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 51, - "weekly_rebalance": 106 - }, - "gain_to_pain": -0.9739716488824758, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 304, - "peak_positions": 10, - "profit_factor": 0.5684666497587152, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.71, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 7850, - "skipped_min_initial_risk": 0, - "sortino": -1.1588682885065407, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 304, - "transaction_cost": 643.6838507496735, - "turnover_multiple": 32.184192537483675, - "underwater_pct": 94.46640316205533, - "weekly_rebalance": { - "eligible_pool_mean": 41.09615384615385, - "entrant_pool_mean": 41.09615384615385, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.69999999999999, - "events": 52, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2000, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.9 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 21.6824, - "avg_gross_exposure_pct": 78.3176, - "avg_hold_days": 8.1, - "avg_positions": 9.9524, - "blocked_fraction": 0.9592133051742344, - "cagr_pct": -70.0, - "calmar": -0.91, - "capacity_opportunities": 7576, - "end_date": "2022-01-28", - "ev_net_r": -0.36176246118556876, - "ev_without_best": { - "1": -0.43120559823199855, - "10": -0.5698018251145711, - "5": -0.5134458974297672 - }, - "exit_reasons": { - "open_at_end": 9, - "stop": 133, - "time": 10, - "trailing_stop": 58, - "weekly_rebalance": 99 - }, - "gain_to_pain": -0.9602518325538182, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 77.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 309, - "peak_positions": 10, - "profit_factor": 0.5040769825831967, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -0.91, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 7267, - "skipped_min_initial_risk": 0, - "sortino": -1.4889417298795085, - "start_date": "2021-02-01", - "total_return_pct": -69.6, - "trades": 309, - "transaction_cost": 304.7682306342102, - "turnover_multiple": 30.476823063421016, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 37.88461538461539, - "entrant_pool_mean": 37.88461538461539, - "entrant_pool_median": 33.0, - "entrant_pool_p90": 68.8, - "events": 52, - "reentries_within_10_sessions": 15, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 5, - "replacements": 99, - "weekly_rank_rejected_entries": 1834, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.2 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 21.6177, - "avg_gross_exposure_pct": 78.3823, - "avg_hold_days": 8.1, - "avg_positions": 9.9524, - "blocked_fraction": 0.9592133051742344, - "cagr_pct": -71.4, - "calmar": -0.91, - "capacity_opportunities": 7576, - "end_date": "2022-01-28", - "ev_net_r": -0.37752290506946673, - "ev_without_best": { - "1": -0.44692334851568805, - "10": -0.5852100767718842, - "5": -0.5290164557690775 - }, - "exit_reasons": { - "open_at_end": 9, - "stop": 133, - "time": 10, - "trailing_stop": 58, - "weekly_rebalance": 99 - }, - "gain_to_pain": -0.9689123618817412, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 78.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 309, - "peak_positions": 10, - "profit_factor": 0.490123398402742, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -0.96, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 7267, - "skipped_min_initial_risk": 0, - "sortino": -1.5673757979537575, - "start_date": "2021-02-01", - "total_return_pct": -71.0, - "trades": 309, - "transaction_cost": 597.7400864610864, - "turnover_multiple": 29.88700432305432, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 37.88461538461539, - "entrant_pool_mean": 37.88461538461539, - "entrant_pool_median": 33.0, - "entrant_pool_p90": 68.8, - "events": 52, - "reentries_within_10_sessions": 15, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 5, - "replacements": 99, - "weekly_rank_rejected_entries": 1834, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.9 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 20.3093, - "avg_gross_exposure_pct": 79.6907, - "avg_hold_days": 7.9, - "avg_positions": 9.9524, - "blocked_fraction": 0.9553960883635852, - "cagr_pct": -76.7, - "calmar": -0.93, - "capacity_opportunities": 7107, - "end_date": "2022-02-25", - "ev_net_r": -0.4254163278140979, - "ev_without_best": { - "1": -0.4933028470448857, - "10": -0.6301078863843161, - "5": -0.5742305391967228 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 10, - "trailing_stop": 48, - "weekly_rebalance": 104 - }, - "gain_to_pain": -0.9736042012313324, - "longest_underwater_sessions": 239, - "max_drawdown_pct": 82.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 10, - "profit_factor": 0.4445872954504208, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -1.18, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 6790, - "skipped_min_initial_risk": 0, - "sortino": -1.8696819305876664, - "start_date": "2021-03-01", - "total_return_pct": -76.3, - "trades": 317, - "transaction_cost": 300.9351348586057, - "turnover_multiple": 30.09351348586057, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 36.36538461538461, - "entrant_pool_mean": 36.36538461538461, - "entrant_pool_median": 32.0, - "entrant_pool_p90": 65.8, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 6, - "replacements": 104, - "weekly_rank_rejected_entries": 1747, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.2 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 20.2415, - "avg_gross_exposure_pct": 79.7585, - "avg_hold_days": 7.9, - "avg_positions": 9.9524, - "blocked_fraction": 0.9553960883635852, - "cagr_pct": -77.9, - "calmar": -0.93, - "capacity_opportunities": 7107, - "end_date": "2022-02-25", - "ev_net_r": -0.4415415868173271, - "ev_without_best": { - "1": -0.5093876477767701, - "10": -0.6459020140372015, - "5": -0.5901766279116252 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 10, - "trailing_stop": 48, - "weekly_rebalance": 104 - }, - "gain_to_pain": -0.978662080548467, - "longest_underwater_sessions": 239, - "max_drawdown_pct": 83.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 10, - "profit_factor": 0.4319910412289007, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -1.24, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 6790, - "skipped_min_initial_risk": 0, - "sortino": -1.9483338222507143, - "start_date": "2021-03-01", - "total_return_pct": -77.5, - "trades": 317, - "transaction_cost": 590.0301753678532, - "turnover_multiple": 29.501508768392664, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 36.36538461538461, - "entrant_pool_mean": 36.36538461538461, - "entrant_pool_median": 32.0, - "entrant_pool_p90": 65.8, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 6, - "replacements": 104, - "weekly_rank_rejected_entries": 1747, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.6 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 17.3289, - "avg_gross_exposure_pct": 82.6711, - "avg_hold_days": 8.1, - "avg_positions": 9.9524, - "blocked_fraction": 0.9591349343240015, - "cagr_pct": -72.7, - "calmar": -0.89, - "capacity_opportunities": 7537, - "end_date": "2022-03-30", - "ev_net_r": -0.39638813025545694, - "ev_without_best": { - "1": -0.4661702536410278, - "10": -0.5983761813874809, - "5": -0.5361942090315946 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 10, - "trailing_stop": 47, - "weekly_rebalance": 95 - }, - "gain_to_pain": -0.9594588902323478, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 81.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 308, - "peak_positions": 10, - "profit_factor": 0.49057954553595984, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -1.58, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 7229, - "skipped_min_initial_risk": 0, - "sortino": -2.2675406341308575, - "start_date": "2021-04-01", - "total_return_pct": -72.5, - "trades": 308, - "transaction_cost": 316.76704345738597, - "turnover_multiple": 31.676704345738596, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 38.15384615384615, - "entrant_pool_mean": 38.15384615384615, - "entrant_pool_median": 33.0, - "entrant_pool_p90": 67.8, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 7, - "replacements": 95, - "weekly_rank_rejected_entries": 1837, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.3 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 17.2552, - "avg_gross_exposure_pct": 82.7448, - "avg_hold_days": 8.1, - "avg_positions": 9.9524, - "blocked_fraction": 0.9591349343240015, - "cagr_pct": -74.0, - "calmar": -0.9, - "capacity_opportunities": 7537, - "end_date": "2022-03-30", - "ev_net_r": -0.41279232530991805, - "ev_without_best": { - "1": -0.48253371293752917, - "10": -0.614582236040146, - "5": -0.5524310596298921 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 10, - "trailing_stop": 47, - "weekly_rebalance": 95 - }, - "gain_to_pain": -0.965245086155518, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 82.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 308, - "peak_positions": 10, - "profit_factor": 0.47717391109308144, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -1.65, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 7229, - "skipped_min_initial_risk": 0, - "sortino": -2.358467034221833, - "start_date": "2021-04-01", - "total_return_pct": -73.8, - "trades": 308, - "transaction_cost": 621.4911986377002, - "turnover_multiple": 31.074559931885016, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 38.15384615384615, - "entrant_pool_mean": 38.15384615384615, - "entrant_pool_median": 33.0, - "entrant_pool_p90": 67.8, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 7, - "replacements": 95, - "weekly_rank_rejected_entries": 1837, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.0 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 16.945, - "avg_gross_exposure_pct": 83.055, - "avg_hold_days": 7.9, - "avg_positions": 9.9524, - "blocked_fraction": 0.9575547250400427, - "cagr_pct": -80.1, - "calmar": -0.95, - "capacity_opportunities": 7492, - "end_date": "2022-04-29", - "ev_net_r": -0.48553892361307294, - "ev_without_best": { - "1": -0.5104003451825153, - "10": -0.6298006343578386, - "5": -0.5691208944628494 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 9, - "trailing_stop": 53, - "weekly_rebalance": 91 - }, - "gain_to_pain": -0.9478603379494003, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 318, - "peak_positions": 10, - "profit_factor": 0.38201154352130245, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -2.16, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 7174, - "skipped_min_initial_risk": 0, - "sortino": -3.0403111152327154, - "start_date": "2021-05-03", - "total_return_pct": -79.7, - "trades": 318, - "transaction_cost": 295.83984342531403, - "turnover_multiple": 29.583984342531405, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 37.92307692307692, - "entrant_pool_mean": 37.92307692307692, - "entrant_pool_median": 33.5, - "entrant_pool_p90": 66.0, - "events": 52, - "reentries_within_10_sessions": 15, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 5, - "replacements": 91, - "weekly_rank_rejected_entries": 1833, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.5 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 16.8692, - "avg_gross_exposure_pct": 83.1308, - "avg_hold_days": 7.9, - "avg_positions": 9.9524, - "blocked_fraction": 0.9575547250400427, - "cagr_pct": -81.1, - "calmar": -0.95, - "capacity_opportunities": 7492, - "end_date": "2022-04-29", - "ev_net_r": -0.5020179738369951, - "ev_without_best": { - "1": -0.5267997859444855, - "10": -0.6460753049144334, - "5": -0.5854068997111052 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 9, - "trailing_stop": 53, - "weekly_rebalance": 91 - }, - "gain_to_pain": -0.9532724860293496, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 85.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 318, - "peak_positions": 10, - "profit_factor": 0.3705397699368346, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -2.23, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 7174, - "skipped_min_initial_risk": 0, - "sortino": -3.13305514829563, - "start_date": "2021-05-03", - "total_return_pct": -80.7, - "trades": 318, - "transaction_cost": 580.4450663318858, - "turnover_multiple": 29.022253316594288, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 37.92307692307692, - "entrant_pool_mean": 37.92307692307692, - "entrant_pool_median": 33.5, - "entrant_pool_p90": 66.0, - "events": 52, - "reentries_within_10_sessions": 15, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 5, - "replacements": 91, - "weekly_rank_rejected_entries": 1833, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.8 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 16.6231, - "avg_gross_exposure_pct": 83.3769, - "avg_hold_days": 7.7, - "avg_positions": 9.9524, - "blocked_fraction": 0.9553755320609639, - "cagr_pct": -85.1, - "calmar": -0.96, - "capacity_opportunities": 7283, - "end_date": "2022-05-27", - "ev_net_r": -0.5626394065999659, - "ev_without_best": { - "1": -0.5872016631447192, - "10": -0.6990292913216214, - "5": -0.6452726485997192 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 160, - "time": 8, - "trailing_stop": 50, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.9922765953134434, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 88.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 325, - "peak_positions": 10, - "profit_factor": 0.3404359445212351, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -3.04, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 6958, - "skipped_min_initial_risk": 0, - "sortino": -3.8462557968797135, - "start_date": "2021-06-01", - "total_return_pct": -84.7, - "trades": 325, - "transaction_cost": 263.0756706977131, - "turnover_multiple": 26.30756706977131, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 37.75, - "entrant_pool_mean": 37.75, - "entrant_pool_median": 33.0, - "entrant_pool_p90": 67.8, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 7, - "replacements": 97, - "weekly_rank_rejected_entries": 1819, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.5 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 16.5524, - "avg_gross_exposure_pct": 83.4476, - "avg_hold_days": 7.7, - "avg_positions": 9.9524, - "blocked_fraction": 0.9553755320609639, - "cagr_pct": -85.9, - "calmar": -0.97, - "capacity_opportunities": 7283, - "end_date": "2022-05-27", - "ev_net_r": -0.5794702260146342, - "ev_without_best": { - "1": -0.6039556787623259, - "10": -0.7157057887475758, - "5": -0.6619950971571307 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 160, - "time": 8, - "trailing_stop": 50, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.9946306346947805, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 325, - "peak_positions": 10, - "profit_factor": 0.33010884780933797, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -3.12, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 6958, - "skipped_min_initial_risk": 0, - "sortino": -3.941302833113582, - "start_date": "2021-06-01", - "total_return_pct": -85.5, - "trades": 325, - "transaction_cost": 515.9143882436023, - "turnover_multiple": 25.795719412180112, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 37.75, - "entrant_pool_mean": 37.75, - "entrant_pool_median": 33.0, - "entrant_pool_p90": 67.8, - "events": 52, - "reentries_within_10_sessions": 17, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 7, - "replacements": 97, - "weekly_rank_rejected_entries": 1819, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.5 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 16.578, - "avg_gross_exposure_pct": 83.422, - "avg_hold_days": 7.3, - "avg_positions": 9.9524, - "blocked_fraction": 0.9493369095514826, - "cagr_pct": -86.5, - "calmar": -1.0, - "capacity_opportunities": 6711, - "end_date": "2022-06-30", - "ev_net_r": -0.5678112439893775, - "ev_without_best": { - "1": -0.6097816915162906, - "10": -0.7318394711597436, - "5": -0.6773824845059859 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 182, - "time": 7, - "trailing_stop": 47, - "weekly_rebalance": 94 - }, - "gain_to_pain": -0.9832302296420635, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 86.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.34953238756138727, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -4.28, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 6371, - "skipped_min_initial_risk": 0, - "sortino": -4.744173969282752, - "start_date": "2021-07-01", - "total_return_pct": -86.4, - "trades": 340, - "transaction_cost": 282.55574352685073, - "turnover_multiple": 28.25557435268507, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 35.53846153846154, - "entrant_pool_mean": 35.53846153846154, - "entrant_pool_median": 32.5, - "entrant_pool_p90": 64.9, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 9, - "replacements": 94, - "weekly_rank_rejected_entries": 1702, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.8 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 16.4941, - "avg_gross_exposure_pct": 83.5059, - "avg_hold_days": 7.3, - "avg_positions": 9.9524, - "blocked_fraction": 0.9493369095514826, - "cagr_pct": -87.2, - "calmar": -1.0, - "capacity_opportunities": 6711, - "end_date": "2022-06-30", - "ev_net_r": -0.5845893106947191, - "ev_without_best": { - "1": -0.6264045757212146, - "10": -0.7483150866941415, - "5": -0.6938890758490849 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 182, - "time": 7, - "trailing_stop": 47, - "weekly_rebalance": 94 - }, - "gain_to_pain": -0.987699678910565, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 87.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.33957520010058456, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -4.39, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 6371, - "skipped_min_initial_risk": 0, - "sortino": -4.84436080313709, - "start_date": "2021-07-01", - "total_return_pct": -87.1, - "trades": 340, - "transaction_cost": 554.161932418537, - "turnover_multiple": 27.70809662092685, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 35.53846153846154, - "entrant_pool_mean": 35.53846153846154, - "entrant_pool_median": 32.5, - "entrant_pool_p90": 64.9, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 9, - "replacements": 94, - "weekly_rank_rejected_entries": 1702, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 18.6763, - "avg_gross_exposure_pct": 81.3237, - "avg_hold_days": 7.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9580718051719809, - "cagr_pct": -86.4, - "calmar": -1.0, - "capacity_opportunities": 7966, - "end_date": "2022-08-01", - "ev_net_r": -0.5727058150724693, - "ev_without_best": { - "1": -0.5966344563006153, - "10": -0.7156120493354147, - "5": -0.6604085434998914 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 175, - "time": 4, - "trailing_stop": 48, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.9922111071033609, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 86.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 334, - "peak_positions": 10, - "profit_factor": 0.33304059528228686, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.04, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 7632, - "skipped_min_initial_risk": 0, - "sortino": -4.443118752975515, - "start_date": "2021-08-02", - "total_return_pct": -86.3, - "trades": 334, - "transaction_cost": 264.40809134488853, - "turnover_multiple": 26.440809134488855, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.09615384615385, - "entrant_pool_mean": 40.09615384615385, - "entrant_pool_median": 33.5, - "entrant_pool_p90": 66.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 10, - "replacements": 97, - "weekly_rank_rejected_entries": 1937, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.3 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 18.5843, - "avg_gross_exposure_pct": 81.4157, - "avg_hold_days": 7.5, - "avg_positions": 9.9802, - "blocked_fraction": 0.9580718051719809, - "cagr_pct": -87.1, - "calmar": -1.0, - "capacity_opportunities": 7966, - "end_date": "2022-08-01", - "ev_net_r": -0.5888817090966885, - "ev_without_best": { - "1": -0.6127336555631576, - "10": -0.7316016294477916, - "5": -0.6764370508859004 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 175, - "time": 4, - "trailing_stop": 48, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.9948263903137932, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 87.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 334, - "peak_positions": 10, - "profit_factor": 0.3232314554913132, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.14, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 7632, - "skipped_min_initial_risk": 0, - "sortino": -4.535095974777974, - "start_date": "2021-08-02", - "total_return_pct": -87.0, - "trades": 334, - "transaction_cost": 519.2170854692955, - "turnover_multiple": 25.96085427346478, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.09615384615385, - "entrant_pool_mean": 40.09615384615385, - "entrant_pool_median": 33.5, - "entrant_pool_p90": 66.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 10, - "replacements": 97, - "weekly_rank_rejected_entries": 1937, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.4 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 18.4171, - "avg_gross_exposure_pct": 81.5829, - "avg_hold_days": 7.9, - "avg_positions": 9.9484, - "blocked_fraction": 0.9619402089086325, - "cagr_pct": -84.7, - "calmar": -0.99, - "capacity_opportunities": 8329, - "end_date": "2022-08-31", - "ev_net_r": -0.5629380848568885, - "ev_without_best": { - "1": -0.5881231158656133, - "10": -0.7106528637198474, - "5": -0.6543516091643394 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 164, - "time": 4, - "trailing_stop": 52, - "weekly_rebalance": 87 - }, - "gain_to_pain": -0.9814746983632352, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 85.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 10, - "profit_factor": 0.3382096399901376, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -3.89, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 8012, - "skipped_min_initial_risk": 0, - "sortino": -4.306357606585674, - "start_date": "2021-09-01", - "total_return_pct": -84.6, - "trades": 317, - "transaction_cost": 232.4902870481643, - "turnover_multiple": 23.24902870481643, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 44.13461538461539, - "entrant_pool_mean": 44.13461538461539, - "entrant_pool_median": 37.0, - "entrant_pool_p90": 85.59999999999997, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 9, - "replacements": 87, - "weekly_rank_rejected_entries": 2156, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.6 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 18.3319, - "avg_gross_exposure_pct": 81.6681, - "avg_hold_days": 7.9, - "avg_positions": 9.9484, - "blocked_fraction": 0.9619402089086325, - "cagr_pct": -85.5, - "calmar": -0.99, - "capacity_opportunities": 8329, - "end_date": "2022-08-31", - "ev_net_r": -0.5790448791607491, - "ev_without_best": { - "1": -0.6041488707537817, - "10": -0.7265942077875547, - "5": -0.6703354660606832 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 164, - "time": 4, - "trailing_stop": 52, - "weekly_rebalance": 87 - }, - "gain_to_pain": -0.986160255457036, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 86.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 10, - "profit_factor": 0.3283223381741965, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -3.99, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 8012, - "skipped_min_initial_risk": 0, - "sortino": -4.398364265208277, - "start_date": "2021-09-01", - "total_return_pct": -85.4, - "trades": 317, - "transaction_cost": 456.8839076083221, - "turnover_multiple": 22.844195380416107, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 44.13461538461539, - "entrant_pool_mean": 44.13461538461539, - "entrant_pool_median": 37.0, - "entrant_pool_p90": 85.59999999999997, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 9, - "replacements": 87, - "weekly_rank_rejected_entries": 2156, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.0 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 19.6018, - "avg_gross_exposure_pct": 80.3982, - "avg_hold_days": 7.6, - "avg_positions": 9.9802, - "blocked_fraction": 0.9614485981308412, - "cagr_pct": -84.9, - "calmar": -0.98, - "capacity_opportunities": 8560, - "end_date": "2022-09-30", - "ev_net_r": -0.5344445423039985, - "ev_without_best": { - "1": -0.5699869025592458, - "10": -0.708119508271001, - "5": -0.6468068540021812 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 5, - "trailing_stop": 49, - "weekly_rebalance": 88 - }, - "gain_to_pain": -0.9810126852406618, - "longest_underwater_sessions": 227, - "max_drawdown_pct": 86.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 330, - "peak_positions": 10, - "profit_factor": 0.3777781427056297, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -3.83, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 8230, - "skipped_min_initial_risk": 0, - "sortino": -4.365257481928339, - "start_date": "2021-10-01", - "total_return_pct": -84.8, - "trades": 330, - "transaction_cost": 247.40508350291415, - "turnover_multiple": 24.740508350291414, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 42.339622641509436, - "entrant_pool_mean": 42.339622641509436, - "entrant_pool_median": 34, - "entrant_pool_p90": 84.20000000000005, - "events": 53, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 9, - "replacements": 88, - "weekly_rank_rejected_entries": 2094, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.1 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 19.5041, - "avg_gross_exposure_pct": 80.4959, - "avg_hold_days": 7.6, - "avg_positions": 9.9802, - "blocked_fraction": 0.9614485981308412, - "cagr_pct": -85.7, - "calmar": -0.98, - "capacity_opportunities": 8560, - "end_date": "2022-09-30", - "ev_net_r": -0.5501273434647755, - "ev_without_best": { - "1": -0.5855147375634702, - "10": -0.7234781844490883, - "5": -0.6621679485210917 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 5, - "trailing_stop": 49, - "weekly_rebalance": 88 - }, - "gain_to_pain": -0.9851921124008011, - "longest_underwater_sessions": 227, - "max_drawdown_pct": 87.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 330, - "peak_positions": 10, - "profit_factor": 0.36749585295019893, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -3.93, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 8230, - "skipped_min_initial_risk": 0, - "sortino": -4.460592851553946, - "start_date": "2021-10-01", - "total_return_pct": -85.6, - "trades": 330, - "transaction_cost": 486.40136785632933, - "turnover_multiple": 24.320068392816466, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 42.339622641509436, - "entrant_pool_mean": 42.339622641509436, - "entrant_pool_median": 34, - "entrant_pool_p90": 84.20000000000005, - "events": 53, - "reentries_within_10_sessions": 18, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 9, - "replacements": 88, - "weekly_rank_rejected_entries": 2094, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.8 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 19.6138, - "avg_gross_exposure_pct": 80.3862, - "avg_hold_days": 7.4, - "avg_positions": 9.9802, - "blocked_fraction": 0.9620608373554832, - "cagr_pct": -90.9, - "calmar": -1.0, - "capacity_opportunities": 8909, - "end_date": "2022-10-31", - "ev_net_r": -0.6681688364651538, - "ev_without_best": { - "1": -0.6873133424836758, - "10": -0.7992603412598083, - "5": -0.7442413199008987 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 187, - "time": 4, - "trailing_stop": 50, - "weekly_rebalance": 87 - }, - "gain_to_pain": -0.9845278214790462, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 338, - "peak_positions": 10, - "profit_factor": 0.2780375945313755, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.46, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 8571, - "skipped_min_initial_risk": 0, - "sortino": -4.833794953899301, - "start_date": "2021-11-01", - "total_return_pct": -90.8, - "trades": 338, - "transaction_cost": 202.1456384379359, - "turnover_multiple": 20.214563843793588, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 43.73076923076923, - "entrant_pool_mean": 43.73076923076923, - "entrant_pool_median": 35.0, - "entrant_pool_p90": 86.89999999999999, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 9, - "replacements": 87, - "weekly_rank_rejected_entries": 2135, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.4 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 19.5206, - "avg_gross_exposure_pct": 80.4794, - "avg_hold_days": 7.4, - "avg_positions": 9.9802, - "blocked_fraction": 0.9620608373554832, - "cagr_pct": -91.3, - "calmar": -1.0, - "capacity_opportunities": 8909, - "end_date": "2022-10-31", - "ev_net_r": -0.6833519171182294, - "ev_without_best": { - "1": -0.7024704974753028, - "10": -0.8142865080437496, - "5": -0.7593164885049136 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 187, - "time": 4, - "trailing_stop": 50, - "weekly_rebalance": 87 - }, - "gain_to_pain": -0.9878740322670501, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 338, - "peak_positions": 10, - "profit_factor": 0.2703734300098, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.56, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 8571, - "skipped_min_initial_risk": 0, - "sortino": -4.9178182780831605, - "start_date": "2021-11-01", - "total_return_pct": -91.3, - "trades": 338, - "transaction_cost": 397.48767463835424, - "turnover_multiple": 19.87438373191771, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 43.73076923076923, - "entrant_pool_mean": 43.73076923076923, - "entrant_pool_median": 35.0, - "entrant_pool_p90": 86.89999999999999, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 9, - "replacements": 87, - "weekly_rank_rejected_entries": 2135, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.2 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 21.5837, - "avg_gross_exposure_pct": 78.4163, - "avg_hold_days": 7.4, - "avg_positions": 9.996, - "blocked_fraction": 0.9638234670061532, - "cagr_pct": -92.3, - "calmar": -1.0, - "capacity_opportunities": 9426, - "end_date": "2022-11-30", - "ev_net_r": -0.6949751212055174, - "ev_without_best": { - "1": -0.7140295471260535, - "10": -0.8210345628247552, - "5": -0.7692885872066733 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 92 - }, - "gain_to_pain": -0.9852710676477419, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 341, - "peak_positions": 10, - "profit_factor": 0.249876472824411, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -4.83, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 9085, - "skipped_min_initial_risk": 0, - "sortino": -5.071186176755275, - "start_date": "2021-12-01", - "total_return_pct": -92.2, - "trades": 341, - "transaction_cost": 211.21792831850502, - "turnover_multiple": 21.121792831850502, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 46.48076923076923, - "entrant_pool_mean": 46.48076923076923, - "entrant_pool_median": 37.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 11, - "replacements": 92, - "weekly_rank_rejected_entries": 2280, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.8 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2021-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 21.498, - "avg_gross_exposure_pct": 78.502, - "avg_hold_days": 7.4, - "avg_positions": 9.996, - "blocked_fraction": 0.9638234670061532, - "cagr_pct": -92.7, - "calmar": -1.0, - "capacity_opportunities": 9426, - "end_date": "2022-11-30", - "ev_net_r": -0.7095513951683788, - "ev_without_best": { - "1": -0.7285783394577432, - "10": -0.835475411682154, - "5": -0.7837907341884142 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 92 - }, - "gain_to_pain": -0.9884437008685355, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 341, - "peak_positions": 10, - "profit_factor": 0.24276776225193836, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 9085, - "skipped_min_initial_risk": 0, - "sortino": -5.1462325549922046, - "start_date": "2021-12-01", - "total_return_pct": -92.6, - "trades": 341, - "transaction_cost": 415.528563267217, - "turnover_multiple": 20.77642816336085, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 46.48076923076923, - "entrant_pool_mean": 46.48076923076923, - "entrant_pool_median": 37.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 20, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 11, - "replacements": 92, - "weekly_rank_rejected_entries": 2280, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.3 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 22.5894, - "avg_gross_exposure_pct": 77.4106, - "avg_hold_days": 7.0, - "avg_positions": 9.9881, - "blocked_fraction": 0.9640706543556804, - "cagr_pct": -94.2, - "calmar": -1.0, - "capacity_opportunities": 9964, - "end_date": "2023-01-03", - "ev_net_r": -0.7305681384137593, - "ev_without_best": { - "1": -0.7488149110473461, - "10": -0.8537747291962069, - "5": -0.8040570276677854 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 190, - "time": 5, - "trailing_stop": 57, - "weekly_rebalance": 96 - }, - "gain_to_pain": -0.986647963303672, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 358, - "peak_positions": 10, - "profit_factor": 0.23038623982074707, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.96, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 9606, - "skipped_min_initial_risk": 0, - "sortino": -5.171437995690554, - "start_date": "2022-01-03", - "total_return_pct": -94.1, - "trades": 358, - "transaction_cost": 198.37748482274972, - "turnover_multiple": 19.83774848227497, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 23, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 12, - "replacements": 96, - "weekly_rank_rejected_entries": 2456, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 22.5027, - "avg_gross_exposure_pct": 77.4973, - "avg_hold_days": 7.0, - "avg_positions": 9.9881, - "blocked_fraction": 0.9640706543556804, - "cagr_pct": -94.5, - "calmar": -1.0, - "capacity_opportunities": 9964, - "end_date": "2023-01-03", - "ev_net_r": -0.7449629090760623, - "ev_without_best": { - "1": -0.7631830003149744, - "10": -0.8680502556917861, - "5": -0.8183932419299029 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 190, - "time": 5, - "trailing_stop": 57, - "weekly_rebalance": 96 - }, - "gain_to_pain": -0.989512241660288, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 94.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 358, - "peak_positions": 10, - "profit_factor": 0.22384600710438424, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -5.04, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 9606, - "skipped_min_initial_risk": 0, - "sortino": -5.243306652619428, - "start_date": "2022-01-03", - "total_return_pct": -94.5, - "trades": 358, - "transaction_cost": 390.16959377827436, - "turnover_multiple": 19.50847968891372, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 23, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 12, - "replacements": 96, - "weekly_rank_rejected_entries": 2456, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.9 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 26.5131, - "avg_gross_exposure_pct": 73.4869, - "avg_hold_days": 7.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9686114559319028, - "cagr_pct": -90.8, - "calmar": -0.97, - "capacity_opportunities": 11278, - "end_date": "2023-02-01", - "ev_net_r": -0.612918229389564, - "ev_without_best": { - "1": -0.6974884725957032, - "10": -0.8340542485689383, - "5": -0.7697769373050867 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 179, - "time": 5, - "trailing_stop": 58, - "weekly_rebalance": 102 - }, - "gain_to_pain": -0.871782489381389, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 354, - "peak_positions": 10, - "profit_factor": 0.3577190662449232, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.28, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 10924, - "skipped_min_initial_risk": 0, - "sortino": -4.2000587025501765, - "start_date": "2022-02-01", - "total_return_pct": -90.8, - "trades": 354, - "transaction_cost": 192.50184249172068, - "turnover_multiple": 19.250184249172065, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 56.57692307692308, - "entrant_pool_mean": 56.57692307692308, - "entrant_pool_median": 54.5, - "entrant_pool_p90": 108.1, - "events": 52, - "reentries_within_10_sessions": 26, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 14, - "replacements": 102, - "weekly_rank_rejected_entries": 2802, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.7 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 26.4284, - "avg_gross_exposure_pct": 73.5716, - "avg_hold_days": 7.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9686114559319028, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 11278, - "end_date": "2023-02-01", - "ev_net_r": -0.6266362875086293, - "ev_without_best": { - "1": -0.7111537500002344, - "10": -0.847593679726093, - "5": -0.7833597350211666 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 179, - "time": 5, - "trailing_stop": 58, - "weekly_rebalance": 102 - }, - "gain_to_pain": -0.8762218947590834, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 354, - "peak_positions": 10, - "profit_factor": 0.35008353391179553, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.35, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 10924, - "skipped_min_initial_risk": 0, - "sortino": -4.273708785442834, - "start_date": "2022-02-01", - "total_return_pct": -91.3, - "trades": 354, - "transaction_cost": 379.03976899279877, - "turnover_multiple": 18.951988449639938, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 56.57692307692308, - "entrant_pool_mean": 56.57692307692308, - "entrant_pool_median": 54.5, - "entrant_pool_p90": 108.1, - "events": 52, - "reentries_within_10_sessions": 26, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 14, - "replacements": 102, - "weekly_rank_rejected_entries": 2802, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.0 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 28.4743, - "avg_gross_exposure_pct": 71.5257, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9714426796148465, - "cagr_pct": -88.2, - "calmar": -0.96, - "capacity_opportunities": 12151, - "end_date": "2023-03-01", - "ev_net_r": -0.5581362826746856, - "ev_without_best": { - "1": -0.6236107054165604, - "10": -0.7680379423677945, - "5": -0.6992002500590763 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 61, - "weekly_rebalance": 95 - }, - "gain_to_pain": -0.8484030477729939, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 91.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 347, - "peak_positions": 10, - "profit_factor": 0.3899899643055247, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.98, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 11804, - "skipped_min_initial_risk": 0, - "sortino": -3.892944180747886, - "start_date": "2022-03-01", - "total_return_pct": -88.2, - "trades": 347, - "transaction_cost": 213.1310459851848, - "turnover_multiple": 21.313104598518482, - "underwater_pct": 98.02371541501977, - "weekly_rebalance": { - "eligible_pool_mean": 61.07692307692308, - "entrant_pool_mean": 61.07692307692308, - "entrant_pool_median": 59.5, - "entrant_pool_p90": 109.9, - "events": 52, - "reentries_within_10_sessions": 26, - "reentries_within_20_sessions": 34, - "reentries_within_5_sessions": 15, - "replacements": 95, - "weekly_rank_rejected_entries": 3035, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.6 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 28.3968, - "avg_gross_exposure_pct": 71.6032, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9714426796148465, - "cagr_pct": -88.7, - "calmar": -0.97, - "capacity_opportunities": 12151, - "end_date": "2023-03-01", - "ev_net_r": -0.5713946299537183, - "ev_without_best": { - "1": -0.6368345446380234, - "10": -0.7811884995912503, - "5": -0.7123654344971138 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 61, - "weekly_rebalance": 95 - }, - "gain_to_pain": -0.8551786379204317, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 91.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 347, - "peak_positions": 10, - "profit_factor": 0.38183924916523326, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.04, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 11804, - "skipped_min_initial_risk": 0, - "sortino": -3.9646512755850623, - "start_date": "2022-03-01", - "total_return_pct": -88.7, - "trades": 347, - "transaction_cost": 420.0671352740215, - "turnover_multiple": 21.003356763701074, - "underwater_pct": 98.02371541501977, - "weekly_rebalance": { - "eligible_pool_mean": 61.07692307692308, - "entrant_pool_mean": 61.07692307692308, - "entrant_pool_median": 59.5, - "entrant_pool_p90": 109.9, - "events": 52, - "reentries_within_10_sessions": 26, - "reentries_within_20_sessions": 34, - "reentries_within_5_sessions": 15, - "replacements": 95, - "weekly_rank_rejected_entries": 3035, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.2 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 31.5968, - "avg_gross_exposure_pct": 68.4032, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9719275338664926, - "cagr_pct": -90.2, - "calmar": -0.99, - "capacity_opportunities": 12254, - "end_date": "2023-04-03", - "ev_net_r": -0.6188876953014806, - "ev_without_best": { - "1": -0.6851118984540038, - "10": -0.834846309409283, - "5": -0.7622939307664149 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 172, - "time": 5, - "trailing_stop": 63, - "weekly_rebalance": 94 - }, - "gain_to_pain": -0.87669622032341, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 90.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 344, - "peak_positions": 10, - "profit_factor": 0.34875623463879457, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.26, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 11910, - "skipped_min_initial_risk": 0, - "sortino": -4.207563420645348, - "start_date": "2022-04-01", - "total_return_pct": -90.3, - "trades": 344, - "transaction_cost": 177.6941194273496, - "turnover_multiple": 17.76941194273496, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 62.283018867924525, - "entrant_pool_mean": 62.283018867924525, - "entrant_pool_median": 62, - "entrant_pool_p90": 109.80000000000001, - "events": 53, - "reentries_within_10_sessions": 28, - "reentries_within_20_sessions": 36, - "reentries_within_5_sessions": 16, - "replacements": 94, - "weekly_rank_rejected_entries": 3150, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.8 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 31.524, - "avg_gross_exposure_pct": 68.476, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9719275338664926, - "cagr_pct": -90.6, - "calmar": -0.99, - "capacity_opportunities": 12254, - "end_date": "2023-04-03", - "ev_net_r": -0.6316668111117683, - "ev_without_best": { - "1": -0.6978548072106826, - "10": -0.8474708500758024, - "5": -0.7749992276938562 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 172, - "time": 5, - "trailing_stop": 63, - "weekly_rebalance": 94 - }, - "gain_to_pain": -0.8806656626996221, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 91.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 344, - "peak_positions": 10, - "profit_factor": 0.3418028980074093, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.32, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 11910, - "skipped_min_initial_risk": 0, - "sortino": -4.27403343817752, - "start_date": "2022-04-01", - "total_return_pct": -90.7, - "trades": 344, - "transaction_cost": 350.26935568359465, - "turnover_multiple": 17.51346778417973, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 62.283018867924525, - "entrant_pool_mean": 62.283018867924525, - "entrant_pool_median": 62, - "entrant_pool_p90": 109.80000000000001, - "events": 53, - "reentries_within_10_sessions": 28, - "reentries_within_20_sessions": 36, - "reentries_within_5_sessions": 16, - "replacements": 94, - "weekly_rank_rejected_entries": 3150, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.4 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 34.4097, - "avg_gross_exposure_pct": 65.5903, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9724243584833397, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 13055, - "end_date": "2023-05-02", - "ev_net_r": -0.6469400346788388, - "ev_without_best": { - "1": -0.7102908815331362, - "10": -0.8495478116390331, - "5": -0.7842779938886966 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 5, - "trailing_stop": 63, - "weekly_rebalance": 104 - }, - "gain_to_pain": -0.8789626551765338, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 360, - "peak_positions": 10, - "profit_factor": 0.32784375281850575, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.5, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 12695, - "skipped_min_initial_risk": 0, - "sortino": -4.435231707885385, - "start_date": "2022-05-02", - "total_return_pct": -92.1, - "trades": 360, - "transaction_cost": 181.36383240407415, - "turnover_multiple": 18.136383240407415, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 67.0576923076923, - "entrant_pool_mean": 67.0576923076923, - "entrant_pool_median": 66.5, - "entrant_pool_p90": 109.9, - "events": 52, - "reentries_within_10_sessions": 35, - "reentries_within_20_sessions": 42, - "reentries_within_5_sessions": 20, - "replacements": 104, - "weekly_rank_rejected_entries": 3342, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.5 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 34.3436, - "avg_gross_exposure_pct": 65.6564, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9724243584833397, - "cagr_pct": -92.5, - "calmar": -1.0, - "capacity_opportunities": 13055, - "end_date": "2023-05-02", - "ev_net_r": -0.659044717740168, - "ev_without_best": { - "1": -0.7223590925829425, - "10": -0.8615477345820999, - "5": -0.7963026860626183 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 5, - "trailing_stop": 63, - "weekly_rebalance": 104 - }, - "gain_to_pain": -0.882722802905919, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 360, - "peak_positions": 10, - "profit_factor": 0.32159443991786296, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.56, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 12695, - "skipped_min_initial_risk": 0, - "sortino": -4.498536825608991, - "start_date": "2022-05-02", - "total_return_pct": -92.5, - "trades": 360, - "transaction_cost": 357.4877399298794, - "turnover_multiple": 17.87438699649397, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 67.0576923076923, - "entrant_pool_mean": 67.0576923076923, - "entrant_pool_median": 66.5, - "entrant_pool_p90": 109.9, - "events": 52, - "reentries_within_10_sessions": 35, - "reentries_within_20_sessions": 42, - "reentries_within_5_sessions": 20, - "replacements": 104, - "weekly_rank_rejected_entries": 3342, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 36.0687, - "avg_gross_exposure_pct": 63.9313, - "avg_hold_days": 7.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9752478728640742, - "cagr_pct": -91.5, - "calmar": -1.0, - "capacity_opportunities": 14221, - "end_date": "2023-06-01", - "ev_net_r": -0.6275639190620187, - "ev_without_best": { - "1": -0.6923034572531184, - "10": -0.8343445061377492, - "5": -0.7677889765300746 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 170, - "time": 7, - "trailing_stop": 70, - "weekly_rebalance": 95 - }, - "gain_to_pain": -0.8818486846688042, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 91.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 10, - "profit_factor": 0.33346698089575205, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.37, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 13869, - "skipped_min_initial_risk": 0, - "sortino": -4.336478378244733, - "start_date": "2022-06-01", - "total_return_pct": -91.5, - "trades": 352, - "transaction_cost": 178.079439463124, - "turnover_multiple": 17.8079439463124, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 71.67307692307692, - "entrant_pool_mean": 71.67307692307692, - "entrant_pool_median": 73.0, - "entrant_pool_p90": 110.89999999999999, - "events": 52, - "reentries_within_10_sessions": 32, - "reentries_within_20_sessions": 39, - "reentries_within_5_sessions": 17, - "replacements": 95, - "weekly_rank_rejected_entries": 3590, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.4 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 36.0056, - "avg_gross_exposure_pct": 63.9944, - "avg_hold_days": 7.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9752478728640742, - "cagr_pct": -91.9, - "calmar": -1.0, - "capacity_opportunities": 14221, - "end_date": "2023-06-01", - "ev_net_r": -0.6390177492195334, - "ev_without_best": { - "1": -0.7037181298464147, - "10": -0.8456720948612579, - "5": -0.7791515933459503 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 170, - "time": 7, - "trailing_stop": 70, - "weekly_rebalance": 95 - }, - "gain_to_pain": -0.8854456596645346, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 10, - "profit_factor": 0.32744355399624975, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.42, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 13869, - "skipped_min_initial_risk": 0, - "sortino": -4.395257733388627, - "start_date": "2022-06-01", - "total_return_pct": -91.9, - "trades": 352, - "transaction_cost": 351.3417064639029, - "turnover_multiple": 17.56708532319514, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 71.67307692307692, - "entrant_pool_mean": 71.67307692307692, - "entrant_pool_median": 73.0, - "entrant_pool_p90": 110.89999999999999, - "events": 52, - "reentries_within_10_sessions": 32, - "reentries_within_20_sessions": 39, - "reentries_within_5_sessions": 17, - "replacements": 95, - "weekly_rank_rejected_entries": 3590, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.3 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 38.7028, - "avg_gross_exposure_pct": 61.2972, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9776605444835222, - "cagr_pct": -91.8, - "calmar": -0.99, - "capacity_opportunities": 15354, - "end_date": "2023-07-03", - "ev_net_r": -0.653921100669958, - "ev_without_best": { - "1": -0.7204413787011976, - "10": -0.8697383365557254, - "5": -0.7982698605795885 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 158, - "time": 7, - "trailing_stop": 71, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.8828583478245741, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 343, - "peak_positions": 10, - "profit_factor": 0.33115291040600703, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.37, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 15011, - "skipped_min_initial_risk": 0, - "sortino": -4.3250106133847765, - "start_date": "2022-07-01", - "total_return_pct": -91.9, - "trades": 343, - "transaction_cost": 186.2266055465722, - "turnover_multiple": 18.62266055465722, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 78.20754716981132, - "entrant_pool_mean": 78.20754716981132, - "entrant_pool_median": 81, - "entrant_pool_p90": 113.80000000000001, - "events": 53, - "reentries_within_10_sessions": 31, - "reentries_within_20_sessions": 39, - "reentries_within_5_sessions": 17, - "replacements": 97, - "weekly_rank_rejected_entries": 4001, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.3 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 38.6439, - "avg_gross_exposure_pct": 61.3561, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9776605444835222, - "cagr_pct": -92.2, - "calmar": -0.99, - "capacity_opportunities": 15354, - "end_date": "2023-07-03", - "ev_net_r": -0.6650544773107383, - "ev_without_best": { - "1": -0.7315336303169564, - "10": -0.880725007154297, - "5": -0.8093048546844742 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 158, - "time": 7, - "trailing_stop": 71, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.8863179904176701, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 343, - "peak_positions": 10, - "profit_factor": 0.32543150222403144, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.42, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 15011, - "skipped_min_initial_risk": 0, - "sortino": -4.3808803359374435, - "start_date": "2022-07-01", - "total_return_pct": -92.2, - "trades": 343, - "transaction_cost": 367.79084539120026, - "turnover_multiple": 18.389542269560014, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 78.20754716981132, - "entrant_pool_mean": 78.20754716981132, - "entrant_pool_median": 81, - "entrant_pool_p90": 113.80000000000001, - "events": 53, - "reentries_within_10_sessions": 31, - "reentries_within_20_sessions": 39, - "reentries_within_5_sessions": 17, - "replacements": 97, - "weekly_rank_rejected_entries": 4001, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.4 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 41.3054, - "avg_gross_exposure_pct": 58.6946, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9780723799949737, - "cagr_pct": -91.5, - "calmar": -1.0, - "capacity_opportunities": 15916, - "end_date": "2023-08-01", - "ev_net_r": -0.6416022885385192, - "ev_without_best": { - "1": -0.7069402663389575, - "10": -0.8472453809141546, - "5": -0.7803442894835523 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 163, - "time": 11, - "trailing_stop": 67, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.8768156351004144, - "longest_underwater_sessions": 234, - "max_drawdown_pct": 91.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 349, - "peak_positions": 10, - "profit_factor": 0.3393631371894651, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.44, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 15567, - "skipped_min_initial_risk": 0, - "sortino": -4.4209634399255355, - "start_date": "2022-08-01", - "total_return_pct": -91.5, - "trades": 349, - "transaction_cost": 169.542138691656, - "turnover_multiple": 16.9542138691656, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 80.88461538461539, - "entrant_pool_mean": 80.88461538461539, - "entrant_pool_median": 82.0, - "entrant_pool_p90": 113.9, - "events": 52, - "reentries_within_10_sessions": 35, - "reentries_within_20_sessions": 45, - "reentries_within_5_sessions": 18, - "replacements": 98, - "weekly_rank_rejected_entries": 4074, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.6 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 41.2398, - "avg_gross_exposure_pct": 58.7602, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9780723799949737, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 15916, - "end_date": "2023-08-01", - "ev_net_r": -0.6527462261619013, - "ev_without_best": { - "1": -0.7180438183371246, - "10": -0.8582693442804327, - "5": -0.7913919915689642 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 163, - "time": 11, - "trailing_stop": 67, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.879452813293158, - "longest_underwater_sessions": 234, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 349, - "peak_positions": 10, - "profit_factor": 0.33369270026398967, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.49, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 15567, - "skipped_min_initial_risk": 0, - "sortino": -4.478997583027252, - "start_date": "2022-08-01", - "total_return_pct": -91.8, - "trades": 349, - "transaction_cost": 334.761833967326, - "turnover_multiple": 16.7380916983663, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 80.88461538461539, - "entrant_pool_mean": 80.88461538461539, - "entrant_pool_median": 82.0, - "entrant_pool_p90": 113.9, - "events": 52, - "reentries_within_10_sessions": 35, - "reentries_within_20_sessions": 45, - "reentries_within_5_sessions": 18, - "replacements": 98, - "weekly_rank_rejected_entries": 4074, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.8 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 45.2426, - "avg_gross_exposure_pct": 54.7574, - "avg_hold_days": 6.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9765469382509799, - "cagr_pct": -92.8, - "calmar": -1.0, - "capacity_opportunities": 15563, - "end_date": "2023-09-01", - "ev_net_r": -0.6555194064015589, - "ev_without_best": { - "1": -0.7180236190180851, - "10": -0.8474550763780246, - "5": -0.7882883894971328 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 173, - "time": 11, - "trailing_stop": 73, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.8924414881388637, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 365, - "peak_positions": 10, - "profit_factor": 0.3229938474204581, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.59, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 15198, - "skipped_min_initial_risk": 0, - "sortino": -4.615641239102596, - "start_date": "2022-09-01", - "total_return_pct": -92.8, - "trades": 365, - "transaction_cost": 151.4233273429969, - "turnover_multiple": 15.142332734299693, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 79.30188679245283, - "entrant_pool_mean": 79.30188679245283, - "entrant_pool_median": 81, - "entrant_pool_p90": 113.80000000000001, - "events": 53, - "reentries_within_10_sessions": 36, - "reentries_within_20_sessions": 47, - "reentries_within_5_sessions": 17, - "replacements": 98, - "weekly_rank_rejected_entries": 4068, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.9 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 45.1781, - "avg_gross_exposure_pct": 54.8219, - "avg_hold_days": 6.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9765469382509799, - "cagr_pct": -93.1, - "calmar": -1.0, - "capacity_opportunities": 15563, - "end_date": "2023-09-01", - "ev_net_r": -0.6663327642776266, - "ev_without_best": { - "1": -0.7287974582751361, - "10": -0.8581734395450012, - "5": -0.7990051975848718 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 173, - "time": 11, - "trailing_stop": 73, - "weekly_rebalance": 98 - }, - "gain_to_pain": -0.8948412971502524, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 365, - "peak_positions": 10, - "profit_factor": 0.3178107386466323, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.64, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 15198, - "skipped_min_initial_risk": 0, - "sortino": -4.672500130353084, - "start_date": "2022-09-01", - "total_return_pct": -93.1, - "trades": 365, - "transaction_cost": 299.0991009086895, - "turnover_multiple": 14.954955045434474, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 79.30188679245283, - "entrant_pool_mean": 79.30188679245283, - "entrant_pool_median": 81, - "entrant_pool_p90": 113.80000000000001, - "events": 53, - "reentries_within_10_sessions": 36, - "reentries_within_20_sessions": 47, - "reentries_within_5_sessions": 17, - "replacements": 98, - "weekly_rank_rejected_entries": 4068, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.1 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 47.8194, - "avg_gross_exposure_pct": 52.1806, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9782419495213229, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 16086, - "end_date": "2023-10-03", - "ev_net_r": -0.6569051679841661, - "ev_without_best": { - "1": -0.7220997787406079, - "10": -0.8634849200837326, - "5": -0.7961541440444495 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 168, - "time": 11, - "trailing_stop": 71, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8930251973867858, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 91.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 350, - "peak_positions": 10, - "profit_factor": 0.3376208978975417, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.59, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 15736, - "skipped_min_initial_risk": 0, - "sortino": -4.698731409235287, - "start_date": "2022-10-03", - "total_return_pct": -91.8, - "trades": 350, - "transaction_cost": 140.4319499012554, - "turnover_multiple": 14.04319499012554, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 82.65384615384616, - "entrant_pool_mean": 82.65384615384616, - "entrant_pool_median": 82.0, - "entrant_pool_p90": 113.9, - "events": 52, - "reentries_within_10_sessions": 37, - "reentries_within_20_sessions": 48, - "reentries_within_5_sessions": 19, - "replacements": 90, - "weekly_rank_rejected_entries": 4172, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.7 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 47.7776, - "avg_gross_exposure_pct": 52.2224, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9782419495213229, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 16086, - "end_date": "2023-10-03", - "ev_net_r": -0.6674326380732333, - "ev_without_best": { - "1": -0.7325852125399641, - "10": -0.8739235077179228, - "5": -0.8066169087607689 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 168, - "time": 11, - "trailing_stop": 71, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8951719949786536, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 350, - "peak_positions": 10, - "profit_factor": 0.3325727808969665, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.64, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 15736, - "skipped_min_initial_risk": 0, - "sortino": -4.754045888445723, - "start_date": "2022-10-03", - "total_return_pct": -92.1, - "trades": 350, - "transaction_cost": 277.392586810223, - "turnover_multiple": 13.86962934051115, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 82.65384615384616, - "entrant_pool_mean": 82.65384615384616, - "entrant_pool_median": 82.0, - "entrant_pool_p90": 113.9, - "events": 52, - "reentries_within_10_sessions": 37, - "reentries_within_20_sessions": 48, - "reentries_within_5_sessions": 19, - "replacements": 90, - "weekly_rank_rejected_entries": 4172, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.9 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 49.4003, - "avg_gross_exposure_pct": 50.5997, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9774436090225563, - "cagr_pct": -92.5, - "calmar": -1.0, - "capacity_opportunities": 15960, - "end_date": "2023-11-01", - "ev_net_r": -0.6633805743235198, - "ev_without_best": { - "1": -0.7267772165528722, - "10": -0.8626948768147218, - "5": -0.7981302637714531 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 173, - "time": 11, - "trailing_stop": 73, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.8955772829239681, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 360, - "peak_positions": 10, - "profit_factor": 0.33668666406629494, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.63, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 15600, - "skipped_min_initial_risk": 0, - "sortino": -4.679440898732924, - "start_date": "2022-11-01", - "total_return_pct": -92.5, - "trades": 360, - "transaction_cost": 152.17663786540322, - "turnover_multiple": 15.217663786540323, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 82.0, - "entrant_pool_mean": 82.0, - "entrant_pool_median": 81.0, - "entrant_pool_p90": 113.9, - "events": 52, - "reentries_within_10_sessions": 37, - "reentries_within_20_sessions": 48, - "reentries_within_5_sessions": 21, - "replacements": 93, - "weekly_rank_rejected_entries": 4132, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.7 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 49.3534, - "avg_gross_exposure_pct": 50.6466, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9774436090225563, - "cagr_pct": -92.8, - "calmar": -1.0, - "capacity_opportunities": 15960, - "end_date": "2023-11-01", - "ev_net_r": -0.67379217306117, - "ev_without_best": { - "1": -0.7371476271666769, - "10": -0.8730183717184843, - "5": -0.808438294285187 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 173, - "time": 11, - "trailing_stop": 73, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.8976319747396482, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 360, - "peak_positions": 10, - "profit_factor": 0.33168078048213995, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.68, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 15600, - "skipped_min_initial_risk": 0, - "sortino": -4.733855476906971, - "start_date": "2022-11-01", - "total_return_pct": -92.8, - "trades": 360, - "transaction_cost": 300.73864919583264, - "turnover_multiple": 15.03693245979163, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 82.0, - "entrant_pool_mean": 82.0, - "entrant_pool_median": 81.0, - "entrant_pool_p90": 113.9, - "events": 52, - "reentries_within_10_sessions": 37, - "reentries_within_20_sessions": 48, - "reentries_within_5_sessions": 21, - "replacements": 93, - "weekly_rank_rejected_entries": 4132, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.1 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 51.6739, - "avg_gross_exposure_pct": 48.3261, - "avg_hold_days": 6.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9775280898876404, - "cagr_pct": -91.2, - "calmar": -0.98, - "capacity_opportunities": 16465, - "end_date": "2023-12-01", - "ev_net_r": -0.6109977605649386, - "ev_without_best": { - "1": -0.6725343777643394, - "10": -0.8106023861642241, - "5": -0.7414596880804093 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 181, - "time": 10, - "trailing_stop": 75, - "weekly_rebalance": 94 - }, - "gain_to_pain": -0.8682490491904333, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 370, - "peak_positions": 10, - "profit_factor": 0.3558357072509113, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.33, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 16095, - "skipped_min_initial_risk": 0, - "sortino": -4.67897519540525, - "start_date": "2022-12-01", - "total_return_pct": -91.2, - "trades": 370, - "transaction_cost": 176.1496183282367, - "turnover_multiple": 17.614961832823667, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 85.86792452830188, - "entrant_pool_mean": 85.86792452830188, - "entrant_pool_median": 88, - "entrant_pool_p90": 117.60000000000001, - "events": 53, - "reentries_within_10_sessions": 42, - "reentries_within_20_sessions": 51, - "reentries_within_5_sessions": 24, - "replacements": 94, - "weekly_rank_rejected_entries": 4417, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.6 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2022-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 51.6309, - "avg_gross_exposure_pct": 48.3691, - "avg_hold_days": 6.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9775280898876404, - "cagr_pct": -91.6, - "calmar": -0.98, - "capacity_opportunities": 16465, - "end_date": "2023-12-01", - "ev_net_r": -0.6205894204083864, - "ev_without_best": { - "1": -0.6820837436366364, - "10": -0.820029137141892, - "5": -0.750934386617405 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 181, - "time": 10, - "trailing_stop": 75, - "weekly_rebalance": 94 - }, - "gain_to_pain": -0.8709763639878634, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 370, - "peak_positions": 10, - "profit_factor": 0.35068655831416334, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.38, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 16095, - "skipped_min_initial_risk": 0, - "sortino": -4.733925367029746, - "start_date": "2022-12-01", - "total_return_pct": -91.6, - "trades": 370, - "transaction_cost": 348.3619854255026, - "turnover_multiple": 17.41809927127513, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 85.86792452830188, - "entrant_pool_mean": 85.86792452830188, - "entrant_pool_median": 88, - "entrant_pool_p90": 117.60000000000001, - "events": 53, - "reentries_within_10_sessions": 42, - "reentries_within_20_sessions": 51, - "reentries_within_5_sessions": 24, - "replacements": 94, - "weekly_rank_rejected_entries": 4417, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.1237, - "avg_gross_exposure_pct": 47.8763, - "avg_hold_days": 6.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9786768419280624, - "cagr_pct": -91.8, - "calmar": -0.97, - "capacity_opportunities": 17821, - "end_date": "2024-01-03", - "ev_net_r": -0.6115319963418351, - "ev_without_best": { - "1": -0.6714463656884204, - "10": -0.8103367586875004, - "5": -0.7490127207585541 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 191, - "time": 10, - "trailing_stop": 72, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.9028744774375261, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 380, - "peak_positions": 10, - "profit_factor": 0.35834518261946946, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.58, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 17441, - "skipped_min_initial_risk": 0, - "sortino": -4.899598553242381, - "start_date": "2023-01-03", - "total_return_pct": -91.8, - "trades": 380, - "transaction_cost": 165.25674018172293, - "turnover_multiple": 16.525674018172293, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 92.59615384615384, - "entrant_pool_mean": 92.59615384615384, - "entrant_pool_median": 94.0, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 45, - "reentries_within_20_sessions": 56, - "reentries_within_5_sessions": 26, - "replacements": 97, - "weekly_rank_rejected_entries": 4675, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.8 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.08, - "avg_gross_exposure_pct": 47.92, - "avg_hold_days": 6.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9786768419280624, - "cagr_pct": -92.1, - "calmar": -0.97, - "capacity_opportunities": 17821, - "end_date": "2024-01-03", - "ev_net_r": -0.6209183263769633, - "ev_without_best": { - "1": -0.6807909759210078, - "10": -0.8196008856197504, - "5": -0.758312776492613 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 191, - "time": 10, - "trailing_stop": 72, - "weekly_rebalance": 97 - }, - "gain_to_pain": -0.9055246824282518, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 380, - "peak_positions": 10, - "profit_factor": 0.35337602610188495, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.63, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 17441, - "skipped_min_initial_risk": 0, - "sortino": -4.953785339484913, - "start_date": "2023-01-03", - "total_return_pct": -92.1, - "trades": 380, - "transaction_cost": 327.0506675627647, - "turnover_multiple": 16.352533378138236, - "underwater_pct": 97.62845849802372, - "weekly_rebalance": { - "eligible_pool_mean": 92.59615384615384, - "entrant_pool_mean": 92.59615384615384, - "entrant_pool_median": 94.0, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 45, - "reentries_within_20_sessions": 56, - "reentries_within_5_sessions": 26, - "replacements": 97, - "weekly_rank_rejected_entries": 4675, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.6 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 52.1361, - "avg_gross_exposure_pct": 47.8639, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9792119489494511, - "cagr_pct": -94.6, - "calmar": -1.0, - "capacity_opportunities": 17943, - "end_date": "2024-02-01", - "ev_net_r": -0.7402569559624352, - "ev_without_best": { - "1": -0.7672261512417516, - "10": -0.8667295284639089, - "5": -0.8187627407595357 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 191, - "time": 10, - "trailing_stop": 72, - "weekly_rebalance": 90 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 373, - "peak_positions": 10, - "profit_factor": 0.23454270860120588, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -5.4, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 17570, - "skipped_min_initial_risk": 0, - "sortino": -5.8620840073349925, - "start_date": "2023-02-01", - "total_return_pct": -94.6, - "trades": 373, - "transaction_cost": 109.22028598592988, - "turnover_multiple": 10.922028598592988, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 92.1923076923077, - "entrant_pool_mean": 92.1923076923077, - "entrant_pool_median": 94.0, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 39, - "reentries_within_20_sessions": 48, - "reentries_within_5_sessions": 24, - "replacements": 90, - "weekly_rank_rejected_entries": 4661, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 52.0919, - "avg_gross_exposure_pct": 47.9081, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9792119489494511, - "cagr_pct": -94.8, - "calmar": -1.0, - "capacity_opportunities": 17943, - "end_date": "2024-02-01", - "ev_net_r": -0.7496292743204541, - "ev_without_best": { - "1": -0.7765895756946473, - "10": -0.8760536809252821, - "5": -0.8281262372432063 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 191, - "time": 10, - "trailing_stop": 72, - "weekly_rebalance": 90 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 95.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 373, - "peak_positions": 10, - "profit_factor": 0.2306651119969986, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -5.46, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 17570, - "skipped_min_initial_risk": 0, - "sortino": -5.910937971092124, - "start_date": "2023-02-01", - "total_return_pct": -94.8, - "trades": 373, - "transaction_cost": 216.27966711708706, - "turnover_multiple": 10.813983355854353, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 92.1923076923077, - "entrant_pool_mean": 92.1923076923077, - "entrant_pool_median": 94.0, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 39, - "reentries_within_20_sessions": 48, - "reentries_within_5_sessions": 24, - "replacements": 90, - "weekly_rank_rejected_entries": 4661, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.9 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 51.0529, - "avg_gross_exposure_pct": 48.9471, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795093164307961, - "cagr_pct": -93.3, - "calmar": -0.99, - "capacity_opportunities": 18301, - "end_date": "2024-02-29", - "ev_net_r": -0.6685823634495616, - "ev_without_best": { - "1": -0.6952156951377777, - "10": -0.8109556268562182, - "5": -0.7541070971360476 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 195, - "time": 11, - "trailing_stop": 66, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9697505519716474, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 375, - "peak_positions": 10, - "profit_factor": 0.29098984619362844, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.76, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 17926, - "skipped_min_initial_risk": 0, - "sortino": -5.340662005805742, - "start_date": "2023-03-01", - "total_return_pct": -93.2, - "trades": 375, - "transaction_cost": 122.04001863237639, - "turnover_multiple": 12.204001863237638, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 93.71153846153847, - "entrant_pool_mean": 93.71153846153847, - "entrant_pool_median": 96.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 43, - "reentries_within_20_sessions": 51, - "reentries_within_5_sessions": 25, - "replacements": 93, - "weekly_rank_rejected_entries": 4740, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.3 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 51.0036, - "avg_gross_exposure_pct": 48.9964, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795093164307961, - "cagr_pct": -93.5, - "calmar": -0.99, - "capacity_opportunities": 18301, - "end_date": "2024-02-29", - "ev_net_r": -0.678155823183412, - "ev_without_best": { - "1": -0.7047808463386602, - "10": -0.8204793191329676, - "5": -0.7636245540228501 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 195, - "time": 11, - "trailing_stop": 66, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9709722510043609, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 375, - "peak_positions": 10, - "profit_factor": 0.2865096783803242, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.82, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 17926, - "skipped_min_initial_risk": 0, - "sortino": -5.392965126395733, - "start_date": "2023-03-01", - "total_return_pct": -93.5, - "trades": 375, - "transaction_cost": 241.62831279369104, - "turnover_multiple": 12.081415639684552, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 93.71153846153847, - "entrant_pool_mean": 93.71153846153847, - "entrant_pool_median": 96.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 43, - "reentries_within_20_sessions": 51, - "reentries_within_5_sessions": 25, - "replacements": 93, - "weekly_rank_rejected_entries": 4740, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.1 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 51.44, - "avg_gross_exposure_pct": 48.56, - "avg_hold_days": 6.9, - "avg_positions": 10.0, - "blocked_fraction": 0.980857740585774, - "cagr_pct": -91.9, - "calmar": -0.98, - "capacity_opportunities": 19120, - "end_date": "2024-04-03", - "ev_net_r": -0.6355091991954864, - "ev_without_best": { - "1": -0.6627086317629898, - "10": -0.780049708027403, - "5": -0.7246871106442329 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 189, - "time": 13, - "trailing_stop": 69, - "weekly_rebalance": 85 - }, - "gain_to_pain": -0.9224076990164053, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 366, - "peak_positions": 10, - "profit_factor": 0.3132183062120345, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.42, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 18754, - "skipped_min_initial_risk": 0, - "sortino": -5.087058814076185, - "start_date": "2023-04-03", - "total_return_pct": -92.0, - "trades": 366, - "transaction_cost": 102.08464713118545, - "turnover_multiple": 10.208464713118545, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 98.38461538461539, - "entrant_pool_mean": 98.38461538461539, - "entrant_pool_median": 100.5, - "entrant_pool_p90": 133.8, - "events": 52, - "reentries_within_10_sessions": 34, - "reentries_within_20_sessions": 43, - "reentries_within_5_sessions": 21, - "replacements": 85, - "weekly_rank_rejected_entries": 4991, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.4 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 51.3943, - "avg_gross_exposure_pct": 48.6057, - "avg_hold_days": 6.9, - "avg_positions": 10.0, - "blocked_fraction": 0.980857740585774, - "cagr_pct": -92.2, - "calmar": -0.99, - "capacity_opportunities": 19120, - "end_date": "2024-04-03", - "ev_net_r": -0.6448780803238483, - "ev_without_best": { - "1": -0.6720684390011176, - "10": -0.7893478806531862, - "5": -0.7340319650059628 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 189, - "time": 13, - "trailing_stop": 69, - "weekly_rebalance": 85 - }, - "gain_to_pain": -0.9243508507962545, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 366, - "peak_positions": 10, - "profit_factor": 0.3084477460104947, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.48, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 18754, - "skipped_min_initial_risk": 0, - "sortino": -5.13895735575655, - "start_date": "2023-04-03", - "total_return_pct": -92.2, - "trades": 366, - "transaction_cost": 202.09061919670032, - "turnover_multiple": 10.104530959835015, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 98.38461538461539, - "entrant_pool_mean": 98.38461538461539, - "entrant_pool_median": 100.5, - "entrant_pool_p90": 133.8, - "events": 52, - "reentries_within_10_sessions": 34, - "reentries_within_20_sessions": 43, - "reentries_within_5_sessions": 21, - "replacements": 85, - "weekly_rank_rejected_entries": 4991, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.1 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 51.7411, - "avg_gross_exposure_pct": 48.2589, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.981622873992944, - "cagr_pct": -88.7, - "calmar": -0.99, - "capacity_opportunities": 18991, - "end_date": "2024-04-30", - "ev_net_r": -0.5870652868465208, - "ev_without_best": { - "1": -0.6154542206821236, - "10": -0.7233702088334228, - "5": -0.6718507209343367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 14, - "trailing_stop": 68, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9630291803201392, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 89.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 349, - "peak_positions": 10, - "profit_factor": 0.31969415233048665, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.87, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 18642, - "skipped_min_initial_risk": 0, - "sortino": -4.571837425207481, - "start_date": "2023-05-01", - "total_return_pct": -88.7, - "trades": 349, - "transaction_cost": 116.89716727300565, - "turnover_multiple": 11.689716727300565, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.03846153846153, - "entrant_pool_mean": 97.03846153846153, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 133.8, - "events": 52, - "reentries_within_10_sessions": 31, - "reentries_within_20_sessions": 39, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 4924, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.5 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 51.6974, - "avg_gross_exposure_pct": 48.3026, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.981622873992944, - "cagr_pct": -89.1, - "calmar": -0.99, - "capacity_opportunities": 18991, - "end_date": "2024-04-30", - "ev_net_r": -0.5962546360345423, - "ev_without_best": { - "1": -0.624633536818778, - "10": -0.7324841318181259, - "5": -0.6810327976012683 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 14, - "trailing_stop": 68, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9642888619182244, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 89.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 349, - "peak_positions": 10, - "profit_factor": 0.3144691859019071, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.92, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 18642, - "skipped_min_initial_risk": 0, - "sortino": -4.623342819437164, - "start_date": "2023-05-01", - "total_return_pct": -89.1, - "trades": 349, - "transaction_cost": 231.3790007371542, - "turnover_multiple": 11.56895003685771, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.03846153846153, - "entrant_pool_mean": 97.03846153846153, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 133.8, - "events": 52, - "reentries_within_10_sessions": 31, - "reentries_within_20_sessions": 39, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 4924, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.2 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 50.9341, - "avg_gross_exposure_pct": 49.0659, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9810216669302546, - "cagr_pct": -88.8, - "calmar": -1.0, - "capacity_opportunities": 18969, - "end_date": "2024-05-31", - "ev_net_r": -0.5658752686884669, - "ev_without_best": { - "1": -0.629702219297627, - "10": -0.7549910522245433, - "5": -0.6999924900811225 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 188, - "time": 15, - "trailing_stop": 68, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9221578828551463, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 89.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 360, - "peak_positions": 10, - "profit_factor": 0.371060475634361, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.29, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 18609, - "skipped_min_initial_risk": 0, - "sortino": -4.349887763517923, - "start_date": "2023-06-01", - "total_return_pct": -88.8, - "trades": 360, - "transaction_cost": 140.59357056418588, - "turnover_multiple": 14.059357056418587, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 96.75471698113208, - "entrant_pool_mean": 96.75471698113208, - "entrant_pool_median": 97, - "entrant_pool_p90": 131.8, - "events": 53, - "reentries_within_10_sessions": 29, - "reentries_within_20_sessions": 35, - "reentries_within_5_sessions": 21, - "replacements": 79, - "weekly_rank_rejected_entries": 5002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.3 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 50.8894, - "avg_gross_exposure_pct": 49.1106, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9810216669302546, - "cagr_pct": -89.2, - "calmar": -1.0, - "capacity_opportunities": 18969, - "end_date": "2024-05-31", - "ev_net_r": -0.5755521300336959, - "ev_without_best": { - "1": -0.6393062073211481, - "10": -0.7645319252853392, - "5": -0.709592168310282 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 188, - "time": 15, - "trailing_stop": 68, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9252601229330076, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 89.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 360, - "peak_positions": 10, - "profit_factor": 0.3654145736529468, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.34, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 18609, - "skipped_min_initial_risk": 0, - "sortino": -4.403664922234221, - "start_date": "2023-06-01", - "total_return_pct": -89.2, - "trades": 360, - "transaction_cost": 277.9608432027938, - "turnover_multiple": 13.89804216013969, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 96.75471698113208, - "entrant_pool_mean": 96.75471698113208, - "entrant_pool_median": 97, - "entrant_pool_p90": 131.8, - "events": 53, - "reentries_within_10_sessions": 29, - "reentries_within_20_sessions": 35, - "reentries_within_5_sessions": 21, - "replacements": 79, - "weekly_rank_rejected_entries": 5002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.1 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 49.8902, - "avg_gross_exposure_pct": 50.1098, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9807588660127197, - "cagr_pct": -85.5, - "calmar": -0.97, - "capacity_opportunities": 18554, - "end_date": "2024-07-02", - "ev_net_r": -0.5141981600335416, - "ev_without_best": { - "1": -0.5784178177864449, - "10": -0.7374354479314507, - "5": -0.6732092618463427 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 186, - "time": 12, - "trailing_stop": 70, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9361323980573303, - "longest_underwater_sessions": 236, - "max_drawdown_pct": 87.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 357, - "peak_positions": 10, - "profit_factor": 0.4191877260773265, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.85, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 18197, - "skipped_min_initial_risk": 0, - "sortino": -3.934804223522229, - "start_date": "2023-07-03", - "total_return_pct": -85.4, - "trades": 357, - "transaction_cost": 167.05306256213626, - "turnover_multiple": 16.70530625621363, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 92.88461538461539, - "entrant_pool_mean": 92.88461538461539, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 20, - "replacements": 79, - "weekly_rank_rejected_entries": 4701, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.0 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 49.8407, - "avg_gross_exposure_pct": 50.1593, - "avg_hold_days": 7.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9807588660127197, - "cagr_pct": -86.0, - "calmar": -0.97, - "capacity_opportunities": 18554, - "end_date": "2024-07-02", - "ev_net_r": -0.5238563314995539, - "ev_without_best": { - "1": -0.5880024493300628, - "10": -0.7468768917964127, - "5": -0.6827349222670112 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 186, - "time": 12, - "trailing_stop": 70, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9397349755214782, - "longest_underwater_sessions": 236, - "max_drawdown_pct": 88.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 357, - "peak_positions": 10, - "profit_factor": 0.41295154837783743, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.9, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 18197, - "skipped_min_initial_risk": 0, - "sortino": -3.99077998510655, - "start_date": "2023-07-03", - "total_return_pct": -86.0, - "trades": 357, - "transaction_cost": 330.363457164507, - "turnover_multiple": 16.51817285822535, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 92.88461538461539, - "entrant_pool_mean": 92.88461538461539, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 20, - "replacements": 79, - "weekly_rank_rejected_entries": 4701, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.0 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 50.3961, - "avg_gross_exposure_pct": 49.6039, - "avg_hold_days": 7.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9810215053763441, - "cagr_pct": -86.0, - "calmar": -0.98, - "capacity_opportunities": 18600, - "end_date": "2024-07-31", - "ev_net_r": -0.5412904583039396, - "ev_without_best": { - "1": -0.578698619362149, - "10": -0.7212217999326755, - "5": -0.6552977409723966 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 179, - "time": 13, - "trailing_stop": 68, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.9589325300977074, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 87.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 353, - "peak_positions": 10, - "profit_factor": 0.38454667094603595, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.48, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 18247, - "skipped_min_initial_risk": 0, - "sortino": -4.209420189914001, - "start_date": "2023-08-01", - "total_return_pct": -86.0, - "trades": 353, - "transaction_cost": 143.016186653192, - "turnover_multiple": 14.3016186653192, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 93.1923076923077, - "entrant_pool_mean": 93.1923076923077, - "entrant_pool_median": 94.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 34, - "reentries_within_5_sessions": 22, - "replacements": 83, - "weekly_rank_rejected_entries": 4714, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 50.3462, - "avg_gross_exposure_pct": 49.6538, - "avg_hold_days": 7.1, - "avg_positions": 10.0, - "blocked_fraction": 0.9810215053763441, - "cagr_pct": -86.5, - "calmar": -0.99, - "capacity_opportunities": 18600, - "end_date": "2024-07-31", - "ev_net_r": -0.5508923719521313, - "ev_without_best": { - "1": -0.5882643476356334, - "10": -0.7306612639939153, - "5": -0.664796483086023 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 179, - "time": 13, - "trailing_stop": 68, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.960410754569727, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 87.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 353, - "peak_positions": 10, - "profit_factor": 0.3785894158185635, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.53, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 18247, - "skipped_min_initial_risk": 0, - "sortino": -4.264375197404073, - "start_date": "2023-08-01", - "total_return_pct": -86.5, - "trades": 353, - "transaction_cost": 282.83658622961, - "turnover_multiple": 14.141829311480501, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 93.1923076923077, - "entrant_pool_mean": 93.1923076923077, - "entrant_pool_median": 94.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 34, - "reentries_within_5_sessions": 22, - "replacements": 83, - "weekly_rank_rejected_entries": 4714, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 50.6113, - "avg_gross_exposure_pct": 49.3887, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9814745005116053, - "cagr_pct": -88.3, - "calmar": -1.0, - "capacity_opportunities": 18569, - "end_date": "2024-09-03", - "ev_net_r": -0.6074162687494925, - "ev_without_best": { - "1": -0.6459987716735018, - "10": -0.7851666839771642, - "5": -0.7207739728288645 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 175, - "time": 12, - "trailing_stop": 70, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.9629940378010006, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 344, - "peak_positions": 10, - "profit_factor": 0.34177725744793874, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.61, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 18225, - "skipped_min_initial_risk": 0, - "sortino": -4.316704527312242, - "start_date": "2023-09-01", - "total_return_pct": -88.4, - "trades": 344, - "transaction_cost": 130.31309888504717, - "turnover_multiple": 13.031309888504715, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 94.43396226415095, - "entrant_pool_mean": 94.43396226415095, - "entrant_pool_median": 96, - "entrant_pool_p90": 131.8, - "events": 53, - "reentries_within_10_sessions": 29, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 19, - "replacements": 77, - "weekly_rank_rejected_entries": 4867, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.8 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 50.5605, - "avg_gross_exposure_pct": 49.4395, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9814745005116053, - "cagr_pct": -88.7, - "calmar": -1.0, - "capacity_opportunities": 18569, - "end_date": "2024-09-03", - "ev_net_r": -0.6172059480208868, - "ev_without_best": { - "1": -0.6557518635213577, - "10": -0.7948228389047052, - "5": -0.7304611938271265 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 175, - "time": 12, - "trailing_stop": 70, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.9642723979118182, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 344, - "peak_positions": 10, - "profit_factor": 0.336410462533995, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.66, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 18225, - "skipped_min_initial_risk": 0, - "sortino": -4.367914984950491, - "start_date": "2023-09-01", - "total_return_pct": -88.9, - "trades": 344, - "transaction_cost": 257.66368114776276, - "turnover_multiple": 12.883184057388135, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 94.43396226415095, - "entrant_pool_mean": 94.43396226415095, - "entrant_pool_median": 96, - "entrant_pool_p90": 131.8, - "events": 53, - "reentries_within_10_sessions": 29, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 19, - "replacements": 77, - "weekly_rank_rejected_entries": 4867, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.8 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 50.7155, - "avg_gross_exposure_pct": 49.2845, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9816143732648892, - "cagr_pct": -90.3, - "calmar": -1.0, - "capacity_opportunities": 19091, - "end_date": "2024-10-01", - "ev_net_r": -0.6254341602471752, - "ev_without_best": { - "1": -0.6632964928026978, - "10": -0.8041617296548786, - "5": -0.736758874525775 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 180, - "time": 12, - "trailing_stop": 69, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.9626600064786934, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 351, - "peak_positions": 10, - "profit_factor": 0.33611771662704487, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.2, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 18740, - "skipped_min_initial_risk": 0, - "sortino": -3.781108164362575, - "start_date": "2023-10-02", - "total_return_pct": -90.3, - "trades": 351, - "transaction_cost": 123.81101953780524, - "turnover_multiple": 12.381101953780522, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 97.09615384615384, - "entrant_pool_mean": 97.09615384615384, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 23, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 17, - "replacements": 80, - "weekly_rank_rejected_entries": 4917, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.2 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 50.6655, - "avg_gross_exposure_pct": 49.3345, - "avg_hold_days": 7.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9816143732648892, - "cagr_pct": -90.6, - "calmar": -1.0, - "capacity_opportunities": 19091, - "end_date": "2024-10-01", - "ev_net_r": -0.6350589840347118, - "ev_without_best": { - "1": -0.6728849898994985, - "10": -0.8136605928935852, - "5": -0.746280930590736 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 180, - "time": 12, - "trailing_stop": 69, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.9639846635492576, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 351, - "peak_positions": 10, - "profit_factor": 0.3310073903331295, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.25, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 18740, - "skipped_min_initial_risk": 0, - "sortino": -3.8274892034045114, - "start_date": "2023-10-02", - "total_return_pct": -90.6, - "trades": 351, - "transaction_cost": 244.71065302974196, - "turnover_multiple": 12.235532651487098, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 97.09615384615384, - "entrant_pool_mean": 97.09615384615384, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 23, - "reentries_within_20_sessions": 28, - "reentries_within_5_sessions": 17, - "replacements": 80, - "weekly_rank_rejected_entries": 4917, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.2 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 54.993, - "avg_gross_exposure_pct": 45.007, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9829123328380386, - "cagr_pct": -13.2, - "calmar": -0.15, - "capacity_opportunities": 20190, - "end_date": "2024-10-31", - "ev_net_r": 1.0881462041590526, - "ev_without_best": { - "1": -0.6160049249520967, - "10": -0.7908351629977348, - "5": -0.7189318473183223 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 172, - "time": 14, - "trailing_stop": 71, - "weekly_rebalance": 78 - }, - "gain_to_pain": 1.404697717634685, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 345, - "peak_positions": 10, - "profit_factor": 2.1783800962550397, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.75, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 19845, - "skipped_min_initial_risk": 0, - "sortino": 11.029414034683722, - "start_date": "2023-11-01", - "total_return_pct": -13.2, - "trades": 345, - "transaction_cost": 945.9316356007237, - "turnover_multiple": 94.59316356007236, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 101.3076923076923, - "entrant_pool_mean": 101.3076923076923, - "entrant_pool_median": 99.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 35, - "reentries_within_5_sessions": 23, - "replacements": 78, - "weekly_rank_rejected_entries": 5141, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.9 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 54.9506, - "avg_gross_exposure_pct": 45.0494, - "avg_hold_days": 7.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9829123328380386, - "cagr_pct": -16.0, - "calmar": -0.18, - "capacity_opportunities": 20190, - "end_date": "2024-10-31", - "ev_net_r": 1.0773310196818913, - "ev_without_best": { - "1": -0.6251393460962933, - "10": -0.7998112882933783, - "5": -0.7279928346287026 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 172, - "time": 14, - "trailing_stop": 71, - "weekly_rebalance": 78 - }, - "gain_to_pain": 1.3547168431029963, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 345, - "peak_positions": 10, - "profit_factor": 2.1579721585972336, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": 0.74, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 19845, - "skipped_min_initial_risk": 0, - "sortino": 10.938629782539179, - "start_date": "2023-11-01", - "total_return_pct": -16.0, - "trades": 345, - "transaction_cost": 1867.694872710043, - "turnover_multiple": 93.38474363550215, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 101.3076923076923, - "entrant_pool_mean": 101.3076923076923, - "entrant_pool_median": 99.5, - "entrant_pool_p90": 131.9, - "events": 52, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 35, - "reentries_within_5_sessions": 23, - "replacements": 78, - "weekly_rank_rejected_entries": 5141, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.6 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 55.2622, - "avg_gross_exposure_pct": 44.7378, - "avg_hold_days": 7.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9835639706249688, - "cagr_pct": -83.9, - "calmar": -0.99, - "capacity_opportunities": 20017, - "end_date": "2024-12-02", - "ev_net_r": -0.5361975547694058, - "ev_without_best": { - "1": -0.576327371199147, - "10": -0.7305453979083454, - "5": -0.6560216988171315 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 160, - "time": 13, - "trailing_stop": 72, - "weekly_rebalance": 74 - }, - "gain_to_pain": -0.9578313075601531, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 85.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 329, - "peak_positions": 10, - "profit_factor": 0.3937986774662072, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.47, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 19688, - "skipped_min_initial_risk": 0, - "sortino": -3.010054308508038, - "start_date": "2023-12-01", - "total_return_pct": -84.0, - "trades": 329, - "transaction_cost": 171.2218818591985, - "turnover_multiple": 17.122188185919846, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 100.64150943396227, - "entrant_pool_mean": 100.64150943396227, - "entrant_pool_median": 99, - "entrant_pool_p90": 130.20000000000002, - "events": 53, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 17, - "replacements": 74, - "weekly_rank_rejected_entries": 5204, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.1 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2023-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 55.2196, - "avg_gross_exposure_pct": 44.7804, - "avg_hold_days": 7.6, - "avg_positions": 10.0, - "blocked_fraction": 0.9835639706249688, - "cagr_pct": -84.4, - "calmar": -0.99, - "capacity_opportunities": 20017, - "end_date": "2024-12-02", - "ev_net_r": -0.5452432313295651, - "ev_without_best": { - "1": -0.5853325188294742, - "10": -0.7394306164572425, - "5": -0.6649973729794368 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 160, - "time": 13, - "trailing_stop": 72, - "weekly_rebalance": 74 - }, - "gain_to_pain": -0.9593032379177417, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 85.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 329, - "peak_positions": 10, - "profit_factor": 0.3881926072109473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.51, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 19688, - "skipped_min_initial_risk": 0, - "sortino": -3.053925113359934, - "start_date": "2023-12-01", - "total_return_pct": -84.5, - "trades": 329, - "transaction_cost": 338.6759777954241, - "turnover_multiple": 16.933798889771204, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 100.64150943396227, - "entrant_pool_mean": 100.64150943396227, - "entrant_pool_median": 99, - "entrant_pool_p90": 130.20000000000002, - "events": 53, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 17, - "replacements": 74, - "weekly_rank_rejected_entries": 5204, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.1 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2794, - "avg_gross_exposure_pct": 43.7206, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.983791474010467, - "cagr_pct": -82.6, - "calmar": -0.97, - "capacity_opportunities": 19681, - "end_date": "2024-12-31", - "ev_net_r": -0.5219319093058998, - "ev_without_best": { - "1": -0.5632788091282005, - "10": -0.7154882808832859, - "5": -0.6398439577021252 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 14, - "trailing_stop": 77, - "weekly_rebalance": 69 - }, - "gain_to_pain": -0.9589520663561276, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 84.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 10, - "profit_factor": 0.412211827092571, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.32, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 19362, - "skipped_min_initial_risk": 0, - "sortino": -2.8674364733017628, - "start_date": "2024-01-02", - "total_return_pct": -82.5, - "trades": 319, - "transaction_cost": 155.6925508785206, - "turnover_multiple": 15.569255087852058, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 97.13461538461539, - "entrant_pool_mean": 97.13461538461539, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 16, - "replacements": 69, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.8 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2378, - "avg_gross_exposure_pct": 43.7622, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.983791474010467, - "cagr_pct": -83.1, - "calmar": -0.97, - "capacity_opportunities": 19681, - "end_date": "2024-12-31", - "ev_net_r": -0.5307858362953064, - "ev_without_best": { - "1": -0.5720903297070546, - "10": -0.7241800386036686, - "5": -0.6485784935487611 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 149, - "time": 14, - "trailing_stop": 77, - "weekly_rebalance": 69 - }, - "gain_to_pain": -0.9617750275695632, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 85.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 10, - "profit_factor": 0.4065040074597308, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.36, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 19362, - "skipped_min_initial_risk": 0, - "sortino": -2.909705221350592, - "start_date": "2024-01-02", - "total_return_pct": -83.0, - "trades": 319, - "transaction_cost": 308.26470971535775, - "turnover_multiple": 15.413235485767887, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 97.13461538461539, - "entrant_pool_mean": 97.13461538461539, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 16, - "replacements": 69, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.1 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 58.2664, - "avg_gross_exposure_pct": 41.7336, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9843127235564639, - "cagr_pct": -78.9, - "calmar": -0.93, - "capacity_opportunities": 19570, - "end_date": "2025-02-03", - "ev_net_r": -0.4850664948831666, - "ev_without_best": { - "1": -0.5279143665467905, - "10": -0.6979362298128046, - "5": -0.6153163863263211 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 12, - "trailing_stop": 79, - "weekly_rebalance": 71 - }, - "gain_to_pain": -0.8811275236645966, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 84.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 307, - "peak_positions": 10, - "profit_factor": 0.4383472577329537, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.06, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 19263, - "skipped_min_initial_risk": 0, - "sortino": -2.590904350326003, - "start_date": "2024-02-01", - "total_return_pct": -79.2, - "trades": 307, - "transaction_cost": 181.77817963253156, - "turnover_multiple": 18.17781796325316, - "underwater_pct": 94.0711462450593, - "weekly_rebalance": { - "eligible_pool_mean": 97.9622641509434, - "entrant_pool_mean": 97.9622641509434, - "entrant_pool_median": 99, - "entrant_pool_p90": 123.4, - "events": 53, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 17, - "replacements": 71, - "weekly_rank_rejected_entries": 5077, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 26.1 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 58.2281, - "avg_gross_exposure_pct": 41.7719, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9843127235564639, - "cagr_pct": -79.5, - "calmar": -0.94, - "capacity_opportunities": 19570, - "end_date": "2025-02-03", - "ev_net_r": -0.49383768650113086, - "ev_without_best": { - "1": -0.5366412183806791, - "10": -0.7064872509841786, - "5": -0.6238842396007512 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 135, - "time": 12, - "trailing_stop": 79, - "weekly_rebalance": 71 - }, - "gain_to_pain": -0.8852866899684472, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 84.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 307, - "peak_positions": 10, - "profit_factor": 0.43225092965720663, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.1, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 19263, - "skipped_min_initial_risk": 0, - "sortino": -2.632986557837661, - "start_date": "2024-02-01", - "total_return_pct": -79.8, - "trades": 307, - "transaction_cost": 360.1940630534499, - "turnover_multiple": 18.009703152672497, - "underwater_pct": 94.0711462450593, - "weekly_rebalance": { - "eligible_pool_mean": 97.9622641509434, - "entrant_pool_mean": 97.9622641509434, - "entrant_pool_median": 99, - "entrant_pool_p90": 123.4, - "events": 53, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 17, - "replacements": 71, - "weekly_rank_rejected_entries": 5077, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.7 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 57.7478, - "avg_gross_exposure_pct": 42.2522, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9836640661814755, - "cagr_pct": -84.4, - "calmar": -0.98, - "capacity_opportunities": 19099, - "end_date": "2025-03-04", - "ev_net_r": -0.5768485337128426, - "ev_without_best": { - "1": -0.6193026519375969, - "10": -0.7602922821719713, - "5": -0.6904281673602525 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 136, - "time": 12, - "trailing_stop": 81, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.9974910224000534, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 85.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 312, - "peak_positions": 10, - "profit_factor": 0.32670257857774654, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.57, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 18787, - "skipped_min_initial_risk": 0, - "sortino": -3.1896852443382033, - "start_date": "2024-03-01", - "total_return_pct": -84.6, - "trades": 312, - "transaction_cost": 147.5594448162822, - "turnover_multiple": 14.75594448162822, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 96.54716981132076, - "entrant_pool_mean": 96.54716981132076, - "entrant_pool_median": 98, - "entrant_pool_p90": 121.80000000000001, - "events": 53, - "reentries_within_10_sessions": 24, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 22, - "replacements": 73, - "weekly_rank_rejected_entries": 4992, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.0 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 57.7091, - "avg_gross_exposure_pct": 42.2909, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9836640661814755, - "cagr_pct": -84.8, - "calmar": -0.98, - "capacity_opportunities": 19099, - "end_date": "2025-03-04", - "ev_net_r": -0.5855001607268076, - "ev_without_best": { - "1": -0.6279102675736482, - "10": -0.7687168424092726, - "5": -0.6988990933952636 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 136, - "time": 12, - "trailing_stop": 81, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.9986661975321682, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 86.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 312, - "peak_positions": 10, - "profit_factor": 0.32157224466708806, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.61, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 18787, - "skipped_min_initial_risk": 0, - "sortino": -3.2307912366731757, - "start_date": "2024-03-01", - "total_return_pct": -85.0, - "trades": 312, - "transaction_cost": 292.3957641800247, - "turnover_multiple": 14.619788209001234, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 96.54716981132076, - "entrant_pool_mean": 96.54716981132076, - "entrant_pool_median": 98, - "entrant_pool_p90": 121.80000000000001, - "events": 53, - "reentries_within_10_sessions": 24, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 22, - "replacements": 73, - "weekly_rank_rejected_entries": 4992, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.4 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 60.3258, - "avg_gross_exposure_pct": 39.6742, - "avg_hold_days": 7.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9826208981001727, - "cagr_pct": -87.8, - "calmar": -1.0, - "capacity_opportunities": 18528, - "end_date": "2025-04-01", - "ev_net_r": -0.6315724988386768, - "ev_without_best": { - "1": -0.6728745385054196, - "10": -0.8084957132559207, - "5": -0.740075207253973 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 13, - "trailing_stop": 74, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9977701944722964, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 87.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 322, - "peak_positions": 10, - "profit_factor": 0.29603522632463397, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.07, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 18206, - "skipped_min_initial_risk": 0, - "sortino": -3.6978749011085714, - "start_date": "2024-04-01", - "total_return_pct": -87.8, - "trades": 322, - "transaction_cost": 121.4172118646888, - "turnover_multiple": 12.14172118646888, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 92.0576923076923, - "entrant_pool_mean": 92.0576923076923, - "entrant_pool_median": 96.0, - "entrant_pool_p90": 120.7, - "events": 52, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 21, - "replacements": 78, - "weekly_rank_rejected_entries": 4670, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.4 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 60.2892, - "avg_gross_exposure_pct": 39.7108, - "avg_hold_days": 7.8, - "avg_positions": 10.0, - "blocked_fraction": 0.9826208981001727, - "cagr_pct": -88.2, - "calmar": -1.0, - "capacity_opportunities": 18528, - "end_date": "2025-04-01", - "ev_net_r": -0.6398014945660087, - "ev_without_best": { - "1": -0.6810595773174312, - "10": -0.8164956344465285, - "5": -0.7481267293755914 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 147, - "time": 13, - "trailing_stop": 74, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9988152856928437, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 322, - "peak_positions": 10, - "profit_factor": 0.29170798241318974, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.11, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 18206, - "skipped_min_initial_risk": 0, - "sortino": -3.7369835733384047, - "start_date": "2024-04-01", - "total_return_pct": -88.2, - "trades": 322, - "transaction_cost": 240.70926556403805, - "turnover_multiple": 12.035463278201904, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 92.0576923076923, - "entrant_pool_mean": 92.0576923076923, - "entrant_pool_median": 96.0, - "entrant_pool_p90": 120.7, - "events": 52, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 21, - "replacements": 78, - "weekly_rank_rejected_entries": 4670, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.0 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 62.0033, - "avg_gross_exposure_pct": 37.9967, - "avg_hold_days": 7.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9823774258068003, - "cagr_pct": -88.2, - "calmar": -1.0, - "capacity_opportunities": 18499, - "end_date": "2025-05-02", - "ev_net_r": -0.6281719645236798, - "ev_without_best": { - "1": -0.6689552082120166, - "10": -0.7960935496678676, - "5": -0.7318549598868579 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 11, - "trailing_stop": 77, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.9977931510687086, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 88.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 326, - "peak_positions": 10, - "profit_factor": 0.29452896277094487, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.03, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 18173, - "skipped_min_initial_risk": 0, - "sortino": -3.6436044115462316, - "start_date": "2024-05-01", - "total_return_pct": -88.2, - "trades": 326, - "transaction_cost": 136.0770733350057, - "turnover_multiple": 13.607707333500569, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 93.0377358490566, - "entrant_pool_mean": 93.0377358490566, - "entrant_pool_median": 96, - "entrant_pool_p90": 123.60000000000001, - "events": 53, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 23, - "replacements": 83, - "weekly_rank_rejected_entries": 4804, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.0 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 61.968, - "avg_gross_exposure_pct": 38.032, - "avg_hold_days": 7.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9823774258068003, - "cagr_pct": -88.5, - "calmar": -1.0, - "capacity_opportunities": 18499, - "end_date": "2025-05-02", - "ev_net_r": -0.6367462109398206, - "ev_without_best": { - "1": -0.6774871010308375, - "10": -0.8044885925659915, - "5": -0.7403122279365472 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 145, - "time": 11, - "trailing_stop": 77, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.9988285793185551, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 88.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 326, - "peak_positions": 10, - "profit_factor": 0.2900917842162361, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.07, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 18173, - "skipped_min_initial_risk": 0, - "sortino": -3.6839354533683517, - "start_date": "2024-05-01", - "total_return_pct": -88.6, - "trades": 326, - "transaction_cost": 269.67156963869184, - "turnover_multiple": 13.483578481934591, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 93.0377358490566, - "entrant_pool_mean": 93.0377358490566, - "entrant_pool_median": 96, - "entrant_pool_p90": 123.60000000000001, - "events": 53, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 23, - "replacements": 83, - "weekly_rank_rejected_entries": 4804, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.7 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 62.0608, - "avg_gross_exposure_pct": 37.9392, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9837198587006604, - "cagr_pct": -86.8, - "calmar": -1.0, - "capacity_opportunities": 19533, - "end_date": "2025-06-04", - "ev_net_r": -0.6007158906780743, - "ev_without_best": { - "1": -0.6438694831669357, - "10": -0.7680232675817615, - "5": -0.7070400964126233 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 140, - "time": 14, - "trailing_stop": 77, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.9976878024105815, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 87.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 318, - "peak_positions": 10, - "profit_factor": 0.2982067143382821, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.89, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 19215, - "skipped_min_initial_risk": 0, - "sortino": -3.527507822290697, - "start_date": "2024-06-03", - "total_return_pct": -86.8, - "trades": 318, - "transaction_cost": 123.18371298886744, - "turnover_multiple": 12.318371298886744, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 96.1923076923077, - "entrant_pool_mean": 96.1923076923077, - "entrant_pool_median": 100.0, - "entrant_pool_p90": 126.79999999999998, - "events": 52, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 20, - "replacements": 77, - "weekly_rank_rejected_entries": 4882, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.6 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 62.0289, - "avg_gross_exposure_pct": 37.9711, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9837198587006604, - "cagr_pct": -87.1, - "calmar": -1.0, - "capacity_opportunities": 19533, - "end_date": "2025-06-04", - "ev_net_r": -0.6086260456563171, - "ev_without_best": { - "1": -0.6516997322021665, - "10": -0.7756958755636939, - "5": -0.7148386568383259 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 140, - "time": 14, - "trailing_stop": 77, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.998770746237576, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 87.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 318, - "peak_positions": 10, - "profit_factor": 0.2938371841042855, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.92, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 19215, - "skipped_min_initial_risk": 0, - "sortino": -3.5658136030546883, - "start_date": "2024-06-03", - "total_return_pct": -87.2, - "trades": 318, - "transaction_cost": 244.3505859797201, - "turnover_multiple": 12.217529298986006, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 96.1923076923077, - "entrant_pool_mean": 96.1923076923077, - "entrant_pool_median": 100.0, - "entrant_pool_p90": 126.79999999999998, - "events": 52, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 20, - "replacements": 77, - "weekly_rank_rejected_entries": 4882, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.0 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 63.2597, - "avg_gross_exposure_pct": 36.7403, - "avg_hold_days": 8.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9850797715186134, - "cagr_pct": -86.3, - "calmar": -0.99, - "capacity_opportunities": 20308, - "end_date": "2025-07-02", - "ev_net_r": -0.6213736667115101, - "ev_without_best": { - "1": -0.6410446060052568, - "10": -0.7522066808998535, - "5": -0.7033760761828716 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 121, - "time": 13, - "trailing_stop": 79, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.997682641267626, - "longest_underwater_sessions": 240, - "max_drawdown_pct": 86.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.22554096029078793, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.19, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 20005, - "skipped_min_initial_risk": 0, - "sortino": -3.820305200914128, - "start_date": "2024-07-01", - "total_return_pct": -86.4, - "trades": 303, - "transaction_cost": 105.65473371670144, - "turnover_multiple": 10.565473371670143, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 100.09615384615384, - "entrant_pool_mean": 100.09615384615384, - "entrant_pool_median": 103.0, - "entrant_pool_p90": 126.89999999999999, - "events": 52, - "reentries_within_10_sessions": 28, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 22, - "replacements": 80, - "weekly_rank_rejected_entries": 5089, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.8 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 63.2316, - "avg_gross_exposure_pct": 36.7684, - "avg_hold_days": 8.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9850797715186134, - "cagr_pct": -86.7, - "calmar": -0.99, - "capacity_opportunities": 20308, - "end_date": "2025-07-02", - "ev_net_r": -0.6291026336634411, - "ev_without_best": { - "1": -0.648752532008905, - "10": -0.7597712550356672, - "5": -0.7110385358507822 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 121, - "time": 13, - "trailing_stop": 79, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.9987672837976422, - "longest_underwater_sessions": 240, - "max_drawdown_pct": 87.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.22154306727168946, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.23, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 20005, - "skipped_min_initial_risk": 0, - "sortino": -3.8590953645277186, - "start_date": "2024-07-01", - "total_return_pct": -86.7, - "trades": 303, - "transaction_cost": 209.5990575044757, - "turnover_multiple": 10.479952875223786, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 100.09615384615384, - "entrant_pool_mean": 100.09615384615384, - "entrant_pool_median": 103.0, - "entrant_pool_p90": 126.89999999999999, - "events": 52, - "reentries_within_10_sessions": 28, - "reentries_within_20_sessions": 33, - "reentries_within_5_sessions": 22, - "replacements": 80, - "weekly_rank_rejected_entries": 5089, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.8 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 62.0766, - "avg_gross_exposure_pct": 37.9234, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9846005310161718, - "cagr_pct": -88.6, - "calmar": -0.99, - "capacity_opportunities": 20715, - "end_date": "2025-08-04", - "ev_net_r": -0.648165886953235, - "ev_without_best": { - "1": -0.6637671459774861, - "10": -0.7592067916639776, - "5": -0.718373336853241 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 137, - "time": 15, - "trailing_stop": 78, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9978744853984205, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 10, - "profit_factor": 0.2068795700248616, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.29, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 20396, - "skipped_min_initial_risk": 0, - "sortino": -3.822030335843179, - "start_date": "2024-08-01", - "total_return_pct": -88.8, - "trades": 319, - "transaction_cost": 101.08785242418357, - "turnover_multiple": 10.108785242418355, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 102.54716981132076, - "entrant_pool_mean": 102.54716981132076, - "entrant_pool_median": 104, - "entrant_pool_p90": 139.40000000000003, - "events": 53, - "reentries_within_10_sessions": 29, - "reentries_within_20_sessions": 36, - "reentries_within_5_sessions": 20, - "replacements": 79, - "weekly_rank_rejected_entries": 5318, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.3 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 62.0449, - "avg_gross_exposure_pct": 37.9551, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9846005310161718, - "cagr_pct": -88.9, - "calmar": -0.99, - "capacity_opportunities": 20715, - "end_date": "2025-08-04", - "ev_net_r": -0.6559901575250767, - "ev_without_best": { - "1": -0.671580301437549, - "10": -0.7669209392929265, - "5": -0.7261239024022286 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 137, - "time": 15, - "trailing_stop": 78, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9988694750943707, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 89.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 10, - "profit_factor": 0.2031726485127591, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.33, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 20396, - "skipped_min_initial_risk": 0, - "sortino": -3.8592276218110433, - "start_date": "2024-08-01", - "total_return_pct": -89.1, - "trades": 319, - "transaction_cost": 200.4879956414849, - "turnover_multiple": 10.024399782074244, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 102.54716981132076, - "entrant_pool_mean": 102.54716981132076, - "entrant_pool_median": 104, - "entrant_pool_p90": 139.40000000000003, - "events": 53, - "reentries_within_10_sessions": 29, - "reentries_within_20_sessions": 36, - "reentries_within_5_sessions": 20, - "replacements": 79, - "weekly_rank_rejected_entries": 5318, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.9 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 63.0008, - "avg_gross_exposure_pct": 36.9992, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9850957456843694, - "cagr_pct": -88.9, - "calmar": -0.99, - "capacity_opportunities": 21202, - "end_date": "2025-09-04", - "ev_net_r": -0.6647483239382015, - "ev_without_best": { - "1": -0.6805508090388264, - "10": -0.7777592776584774, - "5": -0.7358996147855543 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 16, - "trailing_stop": 72, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.9978941944658036, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 89.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 316, - "peak_positions": 10, - "profit_factor": 0.19627306951568899, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.68, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 20886, - "skipped_min_initial_risk": 0, - "sortino": -4.265584901227819, - "start_date": "2024-09-03", - "total_return_pct": -89.0, - "trades": 316, - "transaction_cost": 92.7904600127034, - "turnover_multiple": 9.279046001270341, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 105.1923076923077, - "entrant_pool_mean": 105.1923076923077, - "entrant_pool_median": 108.0, - "entrant_pool_p90": 140.2, - "events": 52, - "reentries_within_10_sessions": 32, - "reentries_within_20_sessions": 37, - "reentries_within_5_sessions": 21, - "replacements": 77, - "weekly_rank_rejected_entries": 5353, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.6 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 62.9713, - "avg_gross_exposure_pct": 37.0287, - "avg_hold_days": 7.9, - "avg_positions": 10.0, - "blocked_fraction": 0.9850957456843694, - "cagr_pct": -89.2, - "calmar": -1.0, - "capacity_opportunities": 21202, - "end_date": "2025-09-04", - "ev_net_r": -0.6721977882223402, - "ev_without_best": { - "1": -0.687987862491748, - "10": -0.7850698029442676, - "5": -0.7432686372413498 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 141, - "time": 16, - "trailing_stop": 72, - "weekly_rebalance": 77 - }, - "gain_to_pain": -0.9988857213097584, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 89.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 316, - "peak_positions": 10, - "profit_factor": 0.19299717323739743, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.71, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 20886, - "skipped_min_initial_risk": 0, - "sortino": -4.303499072783009, - "start_date": "2024-09-03", - "total_return_pct": -89.2, - "trades": 316, - "transaction_cost": 184.07366942282377, - "turnover_multiple": 9.203683471141188, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 105.1923076923077, - "entrant_pool_mean": 105.1923076923077, - "entrant_pool_median": 108.0, - "entrant_pool_p90": 140.2, - "events": 52, - "reentries_within_10_sessions": 32, - "reentries_within_20_sessions": 37, - "reentries_within_5_sessions": 21, - "replacements": 77, - "weekly_rank_rejected_entries": 5353, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.3 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 61.6338, - "avg_gross_exposure_pct": 38.3662, - "avg_hold_days": 7.7, - "avg_positions": 10.0, - "blocked_fraction": 0.985251274581209, - "cagr_pct": -89.9, - "calmar": -1.0, - "capacity_opportunities": 21968, - "end_date": "2025-10-02", - "ev_net_r": -0.6678616508973313, - "ev_without_best": { - "1": -0.6808849583820495, - "10": -0.7528491623921422, - "5": -0.7207528316491609 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 19, - "trailing_stop": 70, - "weekly_rebalance": 79 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 324, - "peak_positions": 10, - "profit_factor": 0.169834411608892, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -5.22, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 21644, - "skipped_min_initial_risk": 0, - "sortino": -5.6615690699226535, - "start_date": "2024-10-01", - "total_return_pct": -90.0, - "trades": 324, - "transaction_cost": 89.31612836736116, - "turnover_multiple": 8.931612836736116, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 107.78846153846153, - "entrant_pool_mean": 107.78846153846153, - "entrant_pool_median": 112.0, - "entrant_pool_p90": 147.7, - "events": 52, - "reentries_within_10_sessions": 33, - "reentries_within_20_sessions": 42, - "reentries_within_5_sessions": 22, - "replacements": 79, - "weekly_rank_rejected_entries": 5487, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.0 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 61.6035, - "avg_gross_exposure_pct": 38.3965, - "avg_hold_days": 7.7, - "avg_positions": 10.0, - "blocked_fraction": 0.985251274581209, - "cagr_pct": -90.2, - "calmar": -1.0, - "capacity_opportunities": 21968, - "end_date": "2025-10-02", - "ev_net_r": -0.675504579591547, - "ev_without_best": { - "1": -0.6884992618125046, - "10": -0.7603969273808096, - "5": -0.7282978597679705 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 146, - "time": 19, - "trailing_stop": 70, - "weekly_rebalance": 79 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 324, - "peak_positions": 10, - "profit_factor": 0.16656618079963945, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -5.28, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 21644, - "skipped_min_initial_risk": 0, - "sortino": -5.705187625689229, - "start_date": "2024-10-01", - "total_return_pct": -90.2, - "trades": 324, - "transaction_cost": 177.16176442066273, - "turnover_multiple": 8.858088221033137, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 107.78846153846153, - "entrant_pool_mean": 107.78846153846153, - "entrant_pool_median": 112.0, - "entrant_pool_p90": 147.7, - "events": 52, - "reentries_within_10_sessions": 33, - "reentries_within_20_sessions": 42, - "reentries_within_5_sessions": 22, - "replacements": 79, - "weekly_rank_rejected_entries": 5487, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.7 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 60.8576, - "avg_gross_exposure_pct": 39.1424, - "avg_hold_days": 8.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9866047020229634, - "cagr_pct": -82.5, - "calmar": -0.99, - "capacity_opportunities": 21948, - "end_date": "2025-11-04", - "ev_net_r": -0.5697042736010293, - "ev_without_best": { - "1": -0.5837260174244685, - "10": -0.6647740615955928, - "5": -0.6282912775728282 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 118, - "time": 22, - "trailing_stop": 66, - "weekly_rebalance": 78 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 83.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 294, - "peak_positions": 10, - "profit_factor": 0.21962763762881102, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.41, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 21654, - "skipped_min_initial_risk": 0, - "sortino": -4.958819189754677, - "start_date": "2024-11-01", - "total_return_pct": -82.7, - "trades": 294, - "transaction_cost": 105.68364978261953, - "turnover_multiple": 10.568364978261952, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 108.54716981132076, - "entrant_pool_mean": 108.54716981132076, - "entrant_pool_median": 113, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 35, - "reentries_within_5_sessions": 18, - "replacements": 78, - "weekly_rank_rejected_entries": 5626, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.5 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 60.8267, - "avg_gross_exposure_pct": 39.1733, - "avg_hold_days": 8.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9866047020229634, - "cagr_pct": -82.9, - "calmar": -0.99, - "capacity_opportunities": 21948, - "end_date": "2025-11-04", - "ev_net_r": -0.5773218504503881, - "ev_without_best": { - "1": -0.5913119515706207, - "10": -0.6722492654823428, - "5": -0.6357858841468081 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 118, - "time": 22, - "trailing_stop": 66, - "weekly_rebalance": 78 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 83.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 294, - "peak_positions": 10, - "profit_factor": 0.21539537253416594, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.47, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 21654, - "skipped_min_initial_risk": 0, - "sortino": -5.007419233219395, - "start_date": "2024-11-01", - "total_return_pct": -83.1, - "trades": 294, - "transaction_cost": 209.65593761473377, - "turnover_multiple": 10.482796880736688, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 108.54716981132076, - "entrant_pool_mean": 108.54716981132076, - "entrant_pool_median": 113, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 35, - "reentries_within_5_sessions": 18, - "replacements": 78, - "weekly_rank_rejected_entries": 5626, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 23.1 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 60.9165, - "avg_gross_exposure_pct": 39.0835, - "avg_hold_days": 8.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9861636984060207, - "cagr_pct": -80.8, - "calmar": -0.99, - "capacity_opportunities": 21393, - "end_date": "2025-12-03", - "ev_net_r": -0.5347384686945992, - "ev_without_best": { - "1": -0.5545281659519443, - "10": -0.650537620717841, - "5": -0.6046968373335492 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 122, - "time": 23, - "trailing_stop": 59, - "weekly_rebalance": 82 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 232, - "max_drawdown_pct": 81.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 296, - "peak_positions": 10, - "profit_factor": 0.2599084463389491, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.98, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 21097, - "skipped_min_initial_risk": 0, - "sortino": -4.706784089321126, - "start_date": "2024-12-02", - "total_return_pct": -80.8, - "trades": 296, - "transaction_cost": 112.9881132877445, - "turnover_multiple": 11.29881132877445, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 105.46153846153847, - "entrant_pool_mean": 105.46153846153847, - "entrant_pool_median": 111.5, - "entrant_pool_p90": 148.0, - "events": 52, - "reentries_within_10_sessions": 31, - "reentries_within_20_sessions": 40, - "reentries_within_5_sessions": 18, - "replacements": 82, - "weekly_rank_rejected_entries": 5365, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.6 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2024-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 60.8856, - "avg_gross_exposure_pct": 39.1144, - "avg_hold_days": 8.5, - "avg_positions": 10.0, - "blocked_fraction": 0.9861636984060207, - "cagr_pct": -81.2, - "calmar": -0.99, - "capacity_opportunities": 21393, - "end_date": "2025-12-03", - "ev_net_r": -0.5424484371250357, - "ev_without_best": { - "1": -0.562224972944543, - "10": -0.6580927739076119, - "5": -0.6122988787391169 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 122, - "time": 23, - "trailing_stop": 59, - "weekly_rebalance": 82 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 232, - "max_drawdown_pct": 82.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 296, - "peak_positions": 10, - "profit_factor": 0.2553162920987961, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.03, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 21097, - "skipped_min_initial_risk": 0, - "sortino": -4.758951454960037, - "start_date": "2024-12-02", - "total_return_pct": -81.3, - "trades": 296, - "transaction_cost": 224.1247535542333, - "turnover_multiple": 11.206237677711666, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 105.46153846153847, - "entrant_pool_mean": 105.46153846153847, - "entrant_pool_median": 111.5, - "entrant_pool_p90": 148.0, - "events": 52, - "reentries_within_10_sessions": 31, - "reentries_within_20_sessions": 40, - "reentries_within_5_sessions": 18, - "replacements": 82, - "weekly_rank_rejected_entries": 5365, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.0 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 60.097, - "avg_gross_exposure_pct": 39.903, - "avg_hold_days": 8.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9856094674556213, - "cagr_pct": -86.8, - "calmar": -0.99, - "capacity_opportunities": 21125, - "end_date": "2026-01-05", - "ev_net_r": -0.6346861712869394, - "ev_without_best": { - "1": -0.65428322869126, - "10": -0.733717415694094, - "5": -0.6965339311999749 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 133, - "time": 22, - "trailing_stop": 56, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.9830257816939045, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 87.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 304, - "peak_positions": 10, - "profit_factor": 0.19868793365913895, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.63, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 20821, - "skipped_min_initial_risk": 0, - "sortino": -5.008239525467606, - "start_date": "2025-01-02", - "total_return_pct": -87.0, - "trades": 304, - "transaction_cost": 105.80027511763163, - "turnover_multiple": 10.580027511763163, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 104.81132075471699, - "entrant_pool_mean": 104.81132075471699, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 28, - "reentries_within_20_sessions": 37, - "reentries_within_5_sessions": 17, - "replacements": 83, - "weekly_rank_rejected_entries": 5433, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.4 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 60.065, - "avg_gross_exposure_pct": 39.935, - "avg_hold_days": 8.3, - "avg_positions": 10.0, - "blocked_fraction": 0.9856094674556213, - "cagr_pct": -87.1, - "calmar": -0.99, - "capacity_opportunities": 21125, - "end_date": "2026-01-05", - "ev_net_r": -0.6425213339733414, - "ev_without_best": { - "1": -0.6621059906188959, - "10": -0.7413790383352059, - "5": -0.7042648105123447 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 133, - "time": 22, - "trailing_stop": 56, - "weekly_rebalance": 83 - }, - "gain_to_pain": -0.9835979518382659, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 87.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 304, - "peak_positions": 10, - "profit_factor": 0.19501573126819294, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.69, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 20821, - "skipped_min_initial_risk": 0, - "sortino": -5.053860058597011, - "start_date": "2025-01-02", - "total_return_pct": -87.3, - "trades": 304, - "transaction_cost": 209.84640599389422, - "turnover_multiple": 10.492320299694711, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 104.81132075471699, - "entrant_pool_mean": 104.81132075471699, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 28, - "reentries_within_20_sessions": 37, - "reentries_within_5_sessions": 17, - "replacements": 83, - "weekly_rank_rejected_entries": 5433, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.7 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 56.5068, - "avg_gross_exposure_pct": 43.4932, - "avg_hold_days": 7.9, - "avg_positions": 9.9921, - "blocked_fraction": 0.985052105436884, - "cagr_pct": -90.8, - "calmar": -1.0, - "capacity_opportunities": 21207, - "end_date": "2026-02-03", - "ev_net_r": -0.6637537536826887, - "ev_without_best": { - "1": -0.6960264055083547, - "10": -0.78081028900719, - "5": -0.7443966163520124 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 150, - "time": 20, - "trailing_stop": 57, - "weekly_rebalance": 80 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 10, - "profit_factor": 0.20502698176404838, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.46, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 20890, - "skipped_min_initial_risk": 0, - "sortino": 2.377271492675672, - "start_date": "2025-02-03", - "total_return_pct": -90.8, - "trades": 317, - "transaction_cost": 100.12550080584089, - "turnover_multiple": 10.012550080584088, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 104.46153846153847, - "entrant_pool_mean": 104.46153846153847, - "entrant_pool_median": 107.0, - "entrant_pool_p90": 148.0, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 12, - "replacements": 80, - "weekly_rank_rejected_entries": 5308, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 18.0 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 56.4762, - "avg_gross_exposure_pct": 43.5238, - "avg_hold_days": 7.9, - "avg_positions": 9.9921, - "blocked_fraction": 0.985052105436884, - "cagr_pct": -91.1, - "calmar": -1.0, - "capacity_opportunities": 21207, - "end_date": "2026-02-03", - "ev_net_r": -0.6718731584526934, - "ev_without_best": { - "1": -0.7041300264675383, - "10": -0.788804170116429, - "5": -0.7524353060297837 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 150, - "time": 20, - "trailing_stop": 57, - "weekly_rebalance": 80 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 10, - "profit_factor": 0.20149754665415076, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.45, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 20890, - "skipped_min_initial_risk": 0, - "sortino": 2.349152264621316, - "start_date": "2025-02-03", - "total_return_pct": -91.1, - "trades": 317, - "transaction_cost": 198.4670420884103, - "turnover_multiple": 9.923352104420514, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 104.46153846153847, - "entrant_pool_mean": 104.46153846153847, - "entrant_pool_median": 107.0, - "entrant_pool_p90": 148.0, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 12, - "replacements": 80, - "weekly_rank_rejected_entries": 5308, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 17.7 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 54.4278, - "avg_gross_exposure_pct": 45.5722, - "avg_hold_days": 7.9, - "avg_positions": 9.9921, - "blocked_fraction": 0.9848751486325803, - "cagr_pct": -90.8, - "calmar": -1.0, - "capacity_opportunities": 21025, - "end_date": "2026-03-03", - "ev_net_r": -0.6606087493789973, - "ev_without_best": { - "1": -0.6927696735828041, - "10": -0.7805720768520605, - "5": -0.7418258104823814 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 18, - "trailing_stop": 54, - "weekly_rebalance": 81 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 318, - "peak_positions": 10, - "profit_factor": 0.20774985223061262, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.46, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 20707, - "skipped_min_initial_risk": 0, - "sortino": 2.377521004469154, - "start_date": "2025-03-03", - "total_return_pct": -90.8, - "trades": 318, - "transaction_cost": 102.52037061764781, - "turnover_multiple": 10.25203706176478, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 103.13461538461539, - "entrant_pool_mean": 103.13461538461539, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 148.0, - "events": 52, - "reentries_within_10_sessions": 23, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 13, - "replacements": 81, - "weekly_rank_rejected_entries": 5232, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 17.6 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 54.3955, - "avg_gross_exposure_pct": 45.6045, - "avg_hold_days": 7.9, - "avg_positions": 9.9921, - "blocked_fraction": 0.9848751486325803, - "cagr_pct": -91.1, - "calmar": -1.0, - "capacity_opportunities": 21025, - "end_date": "2026-03-03", - "ev_net_r": -0.6690548950135676, - "ev_without_best": { - "1": -0.7012011159260342, - "10": -0.7888870271963414, - "5": -0.7502046343205505 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 18, - "trailing_stop": 54, - "weekly_rebalance": 81 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 318, - "peak_positions": 10, - "profit_factor": 0.20408638298700554, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.45, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 20707, - "skipped_min_initial_risk": 0, - "sortino": 2.348166886009065, - "start_date": "2025-03-03", - "total_return_pct": -91.0, - "trades": 318, - "transaction_cost": 203.13265273328065, - "turnover_multiple": 10.156632636664032, - "underwater_pct": 99.60474308300395, - "weekly_rebalance": { - "eligible_pool_mean": 103.13461538461539, - "entrant_pool_mean": 103.13461538461539, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 148.0, - "events": 52, - "reentries_within_10_sessions": 23, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 13, - "replacements": 81, - "weekly_rank_rejected_entries": 5232, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 17.3 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 52.452, - "avg_gross_exposure_pct": 47.548, - "avg_hold_days": 7.9, - "avg_positions": 9.9921, - "blocked_fraction": 0.9850836996165716, - "cagr_pct": -90.0, - "calmar": -0.97, - "capacity_opportunities": 21386, - "end_date": "2026-04-01", - "ev_net_r": -0.6388559666048844, - "ev_without_best": { - "1": -0.6708473508496412, - "10": -0.7754182025431909, - "5": -0.7335354204784669 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 21, - "trailing_stop": 54, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.998255865259375, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 10, - "profit_factor": 0.2507835366978887, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.47, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 21067, - "skipped_min_initial_risk": 0, - "sortino": 2.460139266300736, - "start_date": "2025-04-01", - "total_return_pct": -90.0, - "trades": 319, - "transaction_cost": 122.01741837667812, - "turnover_multiple": 12.201741837667813, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 105.13461538461539, - "entrant_pool_mean": 105.13461538461539, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 148.9, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 13, - "replacements": 79, - "weekly_rank_rejected_entries": 5342, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.4 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 52.4147, - "avg_gross_exposure_pct": 47.5853, - "avg_hold_days": 7.9, - "avg_positions": 9.9921, - "blocked_fraction": 0.9850836996165716, - "cagr_pct": -90.3, - "calmar": -0.97, - "capacity_opportunities": 21386, - "end_date": "2026-04-01", - "ev_net_r": -0.6478758172128406, - "ev_without_best": { - "1": -0.6798543485067122, - "10": -0.7842922507361512, - "5": -0.7424742669854492 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 155, - "time": 21, - "trailing_stop": 54, - "weekly_rebalance": 79 - }, - "gain_to_pain": -0.9985200760076592, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 10, - "profit_factor": 0.24646239429304392, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.47, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 21067, - "skipped_min_initial_risk": 0, - "sortino": 2.4288012841546007, - "start_date": "2025-04-01", - "total_return_pct": -90.3, - "trades": 319, - "transaction_cost": 241.6401445203924, - "turnover_multiple": 12.08200722601962, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 105.13461538461539, - "entrant_pool_mean": 105.13461538461539, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 148.9, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 13, - "replacements": 79, - "weekly_rank_rejected_entries": 5342, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.1 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 50.4384, - "avg_gross_exposure_pct": 49.5616, - "avg_hold_days": 7.5, - "avg_positions": 9.9921, - "blocked_fraction": 0.9848916632740761, - "cagr_pct": -92.1, - "calmar": -0.97, - "capacity_opportunities": 22107, - "end_date": "2026-05-01", - "ev_net_r": -0.6689358775262245, - "ev_without_best": { - "1": -0.6995765384894497, - "10": -0.8219893714871219, - "5": -0.7770562272788968 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 165, - "time": 20, - "trailing_stop": 61, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9991588313041176, - "longest_underwater_sessions": 174, - "max_drawdown_pct": 94.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 334, - "peak_positions": 10, - "profit_factor": 0.25266456211823596, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.43, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 21773, - "skipped_min_initial_risk": 0, - "sortino": 2.209953029102527, - "start_date": "2025-05-01", - "total_return_pct": -92.1, - "trades": 334, - "transaction_cost": 131.5239586699536, - "turnover_multiple": 13.15239586699536, - "underwater_pct": 98.02371541501977, - "weekly_rebalance": { - "eligible_pool_mean": 108.62264150943396, - "entrant_pool_mean": 108.62264150943396, - "entrant_pool_median": 107, - "entrant_pool_p90": 148.8, - "events": 53, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 11, - "replacements": 78, - "weekly_rank_rejected_entries": 5631, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 50.3995, - "avg_gross_exposure_pct": 49.6005, - "avg_hold_days": 7.5, - "avg_positions": 9.9921, - "blocked_fraction": 0.9848916632740761, - "cagr_pct": -92.3, - "calmar": -0.97, - "capacity_opportunities": 22107, - "end_date": "2026-05-01", - "ev_net_r": -0.6781396340084364, - "ev_without_best": { - "1": -0.7087685732524206, - "10": -0.8310007037979785, - "5": -0.786132772361625 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 165, - "time": 20, - "trailing_stop": 61, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9994267718887035, - "longest_underwater_sessions": 174, - "max_drawdown_pct": 94.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 334, - "peak_positions": 10, - "profit_factor": 0.2484320017651765, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.42, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 21773, - "skipped_min_initial_risk": 0, - "sortino": 2.1768325256750547, - "start_date": "2025-05-01", - "total_return_pct": -92.3, - "trades": 334, - "transaction_cost": 260.44042917893506, - "turnover_multiple": 13.022021458946753, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 108.62264150943396, - "entrant_pool_mean": 108.62264150943396, - "entrant_pool_median": 107, - "entrant_pool_p90": 148.8, - "events": 53, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 11, - "replacements": 78, - "weekly_rank_rejected_entries": 5631, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.5 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 51.1401, - "avg_gross_exposure_pct": 48.8599, - "avg_hold_days": 7.5, - "avg_positions": 9.9921, - "blocked_fraction": 0.9845508208817562, - "cagr_pct": -92.3, - "calmar": -0.96, - "capacity_opportunities": 21684, - "end_date": "2026-06-02", - "ev_net_r": -0.6789640527626859, - "ev_without_best": { - "1": -0.709542999696789, - "10": -0.8241437777281091, - "5": -0.7848740780334014 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 166, - "time": 18, - "trailing_stop": 60, - "weekly_rebalance": 81 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 153, - "max_drawdown_pct": 95.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 335, - "peak_positions": 10, - "profit_factor": 0.2468676185202027, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.42, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 21349, - "skipped_min_initial_risk": 0, - "sortino": 2.1781285660140193, - "start_date": "2025-06-02", - "total_return_pct": -92.3, - "trades": 335, - "transaction_cost": 133.16513858393003, - "turnover_multiple": 13.316513858393003, - "underwater_pct": 98.02371541501977, - "weekly_rebalance": { - "eligible_pool_mean": 105.96153846153847, - "entrant_pool_mean": 105.96153846153847, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 147.9, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 13, - "replacements": 81, - "weekly_rank_rejected_entries": 5379, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.5 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 51.1021, - "avg_gross_exposure_pct": 48.8979, - "avg_hold_days": 7.5, - "avg_positions": 9.9921, - "blocked_fraction": 0.9845508208817562, - "cagr_pct": -92.6, - "calmar": -0.97, - "capacity_opportunities": 21684, - "end_date": "2026-06-02", - "ev_net_r": -0.6883412380242403, - "ev_without_best": { - "1": -0.7189090175819126, - "10": -0.8333773181686577, - "5": -0.7941580558800199 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 166, - "time": 18, - "trailing_stop": 60, - "weekly_rebalance": 81 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 153, - "max_drawdown_pct": 95.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 335, - "peak_positions": 10, - "profit_factor": 0.24255965444320388, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.42, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 21349, - "skipped_min_initial_risk": 0, - "sortino": 2.144350065117963, - "start_date": "2025-06-02", - "total_return_pct": -92.6, - "trades": 335, - "transaction_cost": 263.68015808759264, - "turnover_multiple": 13.184007904379632, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 105.96153846153847, - "entrant_pool_mean": 105.96153846153847, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 147.9, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 27, - "reentries_within_5_sessions": 13, - "replacements": 81, - "weekly_rank_rejected_entries": 5379, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 50.6058, - "avg_gross_exposure_pct": 49.3942, - "avg_hold_days": 7.6, - "avg_positions": 9.9921, - "blocked_fraction": 0.9843410998962362, - "cagr_pct": -92.7, - "calmar": -0.96, - "capacity_opportunities": 21202, - "end_date": "2026-07-01", - "ev_net_r": -0.6973178751975785, - "ev_without_best": { - "1": -0.7282294223227306, - "10": -0.8639736913263127, - "5": -0.8143053815608673 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 166, - "time": 18, - "trailing_stop": 58, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.9799552287868345, - "longest_underwater_sessions": 117, - "max_drawdown_pct": 96.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 332, - "peak_positions": 10, - "profit_factor": 0.25036733667061944, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.42, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 20870, - "skipped_min_initial_risk": 0, - "sortino": 2.1231076822860335, - "start_date": "2025-07-01", - "total_return_pct": -92.7, - "trades": 332, - "transaction_cost": 117.79352142516825, - "turnover_multiple": 11.779352142516824, - "underwater_pct": 98.02371541501977, - "weekly_rebalance": { - "eligible_pool_mean": 104.76923076923077, - "entrant_pool_mean": 104.76923076923077, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 147.1, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 13, - "replacements": 80, - "weekly_rank_rejected_entries": 5319, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.3 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|empty_book|empty-2025-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 50.5668, - "avg_gross_exposure_pct": 49.4332, - "avg_hold_days": 7.6, - "avg_positions": 9.9921, - "blocked_fraction": 0.9843410998962362, - "cagr_pct": -93.0, - "calmar": -0.96, - "capacity_opportunities": 21202, - "end_date": "2026-07-01", - "ev_net_r": -0.7066163687938423, - "ev_without_best": { - "1": -0.7375164095885014, - "10": -0.8730624258251584, - "5": -0.8234567268721205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 166, - "time": 18, - "trailing_stop": 58, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.980437707343128, - "longest_underwater_sessions": 117, - "max_drawdown_pct": 96.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 332, - "peak_positions": 10, - "profit_factor": 0.2462775380589733, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.41, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 20870, - "skipped_min_initial_risk": 0, - "sortino": 2.09002356148651, - "start_date": "2025-07-01", - "total_return_pct": -93.0, - "trades": 332, - "transaction_cost": 233.29951570037355, - "turnover_multiple": 11.664975785018678, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 104.76923076923077, - "entrant_pool_mean": 104.76923076923077, - "entrant_pool_median": 105.5, - "entrant_pool_p90": 147.1, - "events": 52, - "reentries_within_10_sessions": 21, - "reentries_within_20_sessions": 26, - "reentries_within_5_sessions": 13, - "replacements": 80, - "weekly_rank_rejected_entries": 5319, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.0 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-01|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2798779953327035, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664916416183126, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4464.28, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.1407741725576, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 116.71465359872383, - "turnover_multiple": 26.144115870582453, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-01|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2967094226473944, - "ev_without_best": { - "1": -0.3694885255215749, - "10": -0.5743765444364058, - "5": -0.48748315687938504 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844852772588503, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4340.8, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.33999900895583, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 223.35751936644854, - "turnover_multiple": 25.72769067527282, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2798779953327035, - "ev_without_best": { - "1": -0.3527678800960984, - "10": -0.5578987879129021, - "5": -0.4709411340390191 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664949582795816, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4077.13, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.14036609384556, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 106.59295396449201, - "turnover_multiple": 26.144114601322993, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.29670942264739447, - "ev_without_best": { - "1": -0.36948852552157496, - "10": -0.574376544436406, - "5": -0.4874831568793851 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844880889359477, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 3967.27, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443223, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34009267159337, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 204.13746583581508, - "turnover_multiple": 25.72770013583838, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.27987799533270347, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664882884407439, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4393.29, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868413, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.14087350446897, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 114.85867974445249, - "turnover_multiple": 26.144115172103934, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.29670942264739447, - "ev_without_best": { - "1": -0.36948852552157496, - "10": -0.574376544436406, - "5": -0.4874831568793851 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844831119889144, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4281.87, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443223, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34000558310896, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 220.3254138496424, - "turnover_multiple": 25.727709371097486, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2798779953327035, - "ev_without_best": { - "1": -0.3527678800960984, - "10": -0.5578987879129021, - "5": -0.4709411340390191 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664897316093258, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4177.66, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.14034369396495, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 109.22126187498293, - "turnover_multiple": 26.144124192725815, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2967094226473944, - "ev_without_best": { - "1": -0.3694885255215749, - "10": -0.5743765444364058, - "5": -0.48748315687938504 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844922617838066, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4077.22, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34036196062266, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 209.79477441001214, - "turnover_multiple": 25.727674053645885, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.27987799533270347, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664885332978819, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4413.91, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.1407185026995, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 115.39773877051044, - "turnover_multiple": 26.144107779839292, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.29670942264739447, - "ev_without_best": { - "1": -0.369488525521575, - "10": -0.574376544436406, - "5": -0.4874831568793851 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844905978767629, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4301.96, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.3401218377153, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 221.35923494842106, - "turnover_multiple": 25.727718870982187, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2798779953327035, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664925843328973, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4746.99, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.14031624547107, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 124.1057569568984, - "turnover_multiple": 26.144094880523955, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2967094226473944, - "ev_without_best": { - "1": -0.3694885255215749, - "10": -0.5743765444364058, - "5": -0.4874831568793851 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844911123170073, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4637.87, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34054625705545, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 238.64337258908722, - "turnover_multiple": 25.72769100784274, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2798779953327035, - "ev_without_best": { - "1": -0.3527678800960984, - "10": -0.557898787912902, - "5": -0.4709411340390191 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664978460950122, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4750.18, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.14077542488036, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 124.18924446705363, - "turnover_multiple": 26.1441133740308, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.29670942264739447, - "ev_without_best": { - "1": -0.36948852552157496, - "10": -0.574376544436406, - "5": -0.48748315687938515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.684492550518107, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4645.45, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443223, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.340508718903, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 239.03357338354692, - "turnover_multiple": 25.72770919755319, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.27987799533270347, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664972151528192, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4904.06, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.1409568948767, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 128.21220883895347, - "turnover_multiple": 26.144094656051, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2967094226473944, - "ev_without_best": { - "1": -0.3694885255215749, - "10": -0.5743765444364058, - "5": -0.48748315687938504 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844892032522013, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4793.26, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34016491198724, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 246.6390084472515, - "turnover_multiple": 25.72768934370882, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.27987799533270347, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664912831718492, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4936.54, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868413, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.1406566647428, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 129.06144011334294, - "turnover_multiple": 26.14410905479201, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.29670942264739447, - "ev_without_best": { - "1": -0.36948852552157496, - "10": -0.574376544436406, - "5": -0.4874831568793851 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844890227572886, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4836.92, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.3404847734111, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 248.88568754330137, - "turnover_multiple": 25.727703532754454, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2798779953327034, - "ev_without_best": { - "1": -0.3527678800960983, - "10": -0.557898787912902, - "5": -0.470941134039019 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664927865788238, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4599.57, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868413, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.14081453529764, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 120.25155186385975, - "turnover_multiple": 26.144085613189873, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.29670942264739447, - "ev_without_best": { - "1": -0.369488525521575, - "10": -0.574376544436406, - "5": -0.48748315687938515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844890977640858, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4505.02, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.3401892653993, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 231.8075413890853, - "turnover_multiple": 25.727692817022483, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2798779953327035, - "ev_without_best": { - "1": -0.3527678800960984, - "10": -0.5578987879129021, - "5": -0.4709411340390191 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664883398251369, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4654.28, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868412, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.14071744528155, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 121.68197224590018, - "turnover_multiple": 26.14410225553688, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2967094226473944, - "ev_without_best": { - "1": -0.3694885255215749, - "10": -0.5743765444364058, - "5": -0.48748315687938504 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844899990844195, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4566.73, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.3406072393641, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 234.9830066884213, - "turnover_multiple": 25.727709618087925, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.27987799533270347, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664935700907686, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5185.5, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868413, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.1406941969199, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 135.57016679145465, - "turnover_multiple": 26.14408770445563, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2967094226473944, - "ev_without_best": { - "1": -0.3694885255215749, - "10": -0.5743765444364058, - "5": -0.48748315687938504 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.684491511651789, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5096.02, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34030011715384, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 262.21782819238655, - "turnover_multiple": 25.727707916411877, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-13|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.27987799533270347, - "ev_without_best": { - "1": -0.3527678800960983, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664926956709023, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5336.82, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868413, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.1406068635961, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 139.52636364483243, - "turnover_multiple": 26.14410147706545, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-13|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.29670942264739447, - "ev_without_best": { - "1": -0.36948852552157496, - "10": -0.574376544436406, - "5": -0.4874831568793851 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6844912180448653, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5250.34, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443223, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34044712784043, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 270.1581991805026, - "turnover_multiple": 25.727686128946182, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-14|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8961, - "avg_gross_exposure_pct": 81.1039, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -57.3, - "calmar": -0.57, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.27987799533270347, - "ev_without_best": { - "1": -0.35276788009609833, - "10": -0.557898787912902, - "5": -0.47094113403901905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.6664908944255081, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5728.57, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6477111198868413, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.1404904537416, - "start_date": "2019-01-02", - "total_return_pct": -57.1, - "trades": 241, - "transaction_cost": 149.76836382852974, - "turnover_multiple": 26.144109931192208, - "underwater_pct": 94.86166007905138, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2019-seed-14|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 18.8159, - "avg_gross_exposure_pct": 81.1841, - "avg_hold_days": 10.0, - "avg_positions": 9.9643, - "blocked_fraction": 0.9591871295512278, - "cagr_pct": -59.0, - "calmar": -0.59, - "capacity_opportunities": 5905, - "end_date": "2019-12-31", - "ev_net_r": -0.2967094226473944, - "ev_without_best": { - "1": -0.3694885255215749, - "10": -0.5743765444364058, - "5": -0.48748315687938504 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 103, - "time": 14, - "trailing_stop": 41, - "weekly_rebalance": 73 - }, - "gain_to_pain": -0.684491756164681, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5640.35, - "measurement_start_positions": 10, - "opened_positions": 241, - "peak_positions": 10, - "profit_factor": 0.6316088774443224, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 5664, - "skipped_min_initial_risk": 0, - "sortino": 276.34056183479913, - "start_date": "2019-01-02", - "total_return_pct": -58.8, - "trades": 241, - "transaction_cost": 290.22654068738836, - "turnover_multiple": 25.72770667488616, - "underwater_pct": 95.25691699604744, - "weekly_rebalance": { - "eligible_pool_mean": 28.903846153846153, - "entrant_pool_mean": 28.903846153846153, - "entrant_pool_median": 26.0, - "entrant_pool_p90": 44.8, - "events": 52, - "reentries_within_10_sessions": 16, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 12, - "replacements": 79, - "weekly_rank_rejected_entries": 1395, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 30.3 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.1342076790924517, - "ev_without_best": { - "1": -0.19549347172495507, - "10": -0.46804201043722665, - "5": -0.3573479537856673 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.44774362275428836, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 6484.59, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853112, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678214125400531, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 139.1378144789687, - "turnover_multiple": 21.456686464212645, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.14692587508399943, - "ev_without_best": { - "1": -0.2081330695866879, - "10": -0.48042554975849633, - "5": -0.3698628081400732 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4722419455183009, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 6344.37, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402211587474752, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 268.0956338848747, - "turnover_multiple": 21.1286253705943, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.13420767909245163, - "ev_without_best": { - "1": -0.19549347172495501, - "10": -0.4680420104372266, - "5": -0.3573479537856672 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.44774384274404216, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 6432.24, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853115, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678202710478638, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 138.0145321384586, - "turnover_multiple": 21.456682607996374, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.1469258750839994, - "ev_without_best": { - "1": -0.20813306958668787, - "10": -0.48042554975849633, - "5": -0.3698628081400732 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.47223932930887885, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 6296.25, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402196097179333, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 266.0622019835542, - "turnover_multiple": 21.128624338578856, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.13420767909245168, - "ev_without_best": { - "1": -0.19549347172495507, - "10": -0.46804201043722665, - "5": -0.35734795378566725 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4477424958995108, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 6771.32, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853114, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.667817825284964, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 145.29002814324696, - "turnover_multiple": 21.456677301212608, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.1469258750839994, - "ev_without_best": { - "1": -0.20813306958668787, - "10": -0.48042554975849633, - "5": -0.3698628081400732 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.47223892385217714, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 6619.4, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402182378227227, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 279.7173948891837, - "turnover_multiple": 21.128606436322304, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.13420767909245163, - "ev_without_best": { - "1": -0.19549347172495501, - "10": -0.4680420104372266, - "5": -0.3573479537856672 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4477424748984534, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 6817.88, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853115, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678164283368934, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 146.28905189822487, - "turnover_multiple": 21.456677427327097, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.14692587508399943, - "ev_without_best": { - "1": -0.2081330695866879, - "10": -0.4804255497584963, - "5": -0.3698628081400732 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.47224078045424556, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 6678.01, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402204326924682, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 282.1940408576493, - "turnover_multiple": 21.1286027467501, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.1342076790924517, - "ev_without_best": { - "1": -0.19549347172495513, - "10": -0.4680420104372267, - "5": -0.3573479537856673 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4477415268263681, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 7544.19, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853114, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678157758703436, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 161.87339643525556, - "turnover_multiple": 21.45669666793328, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.14692587508399937, - "ev_without_best": { - "1": -0.20813306958668784, - "10": -0.4804255497584963, - "5": -0.36986280814007316 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4722400111031307, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 7396.96, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402182081949519, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 312.5749065528144, - "turnover_multiple": 21.128605978186606, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.13420767909245163, - "ev_without_best": { - "1": -0.19549347172495501, - "10": -0.4680420104372266, - "5": -0.3573479537856672 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.44774221400231123, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 8549.11, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853115, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678124103336769, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 183.43561297641557, - "turnover_multiple": 21.45669116158472, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.1469258750839994, - "ev_without_best": { - "1": -0.20813306958668787, - "10": -0.48042554975849633, - "5": -0.36986280814007316 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.47224089727300733, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 8396.37, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.74021925474428, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 354.807185341047, - "turnover_multiple": 21.128605894037957, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.1342076790924517, - "ev_without_best": { - "1": -0.1954934717249551, - "10": -0.46804201043722665, - "5": -0.3573479537856673 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4477435830503334, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 9431.25, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853112, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678171260522955, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 202.36339868422968, - "turnover_multiple": 21.4566890586327, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.14692587508399937, - "ev_without_best": { - "1": -0.20813306958668787, - "10": -0.4804255497584963, - "5": -0.3698628081400732 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.47223986335861695, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 9271.97, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141918, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402224333099274, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 391.8076796434281, - "turnover_multiple": 21.12861018982094, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7981, - "avg_gross_exposure_pct": 61.2019, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.13420767909245168, - "ev_without_best": { - "1": -0.19549347172495507, - "10": -0.46804201043722665, - "5": -0.3573479537856673 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4477378336326297, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 9042.6, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853114, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678010759585363, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 194.02537113066867, - "turnover_multiple": 21.45681232506897, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7346, - "avg_gross_exposure_pct": 61.2654, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.14692587508399937, - "ev_without_best": { - "1": -0.20813306958668787, - "10": -0.4804255497584963, - "5": -0.36986280814007316 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4722387407668508, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 8897.86, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402060290015972, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 376.0014050772397, - "turnover_multiple": 21.128754839772693, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 37.4163, - "avg_gross_exposure_pct": 62.5837, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9691613388491914, - "cagr_pct": -35.7, - "calmar": -0.74, - "capacity_opportunities": 7977, - "end_date": "2020-12-30", - "ev_net_r": -0.12695290110528773, - "ev_without_best": { - "1": -0.18945981286095584, - "10": -0.4675525878604536, - "5": -0.35457212801232185 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 14, - "trailing_stop": 49, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.4268598247121441, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 47.9, - "measurement_start_equity": 9320.37, - "measurement_start_positions": 10, - "opened_positions": 246, - "peak_positions": 10, - "profit_factor": 0.8168101873944474, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.42, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.5866169068229468, - "start_date": "2020-01-02", - "total_return_pct": -35.5, - "trades": 246, - "transaction_cost": 202.55629921945814, - "turnover_multiple": 21.73264572323396, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 9, - "replacements": 81, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.9 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 37.3501, - "avg_gross_exposure_pct": 62.6499, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9691613388491914, - "cagr_pct": -37.8, - "calmar": -0.77, - "capacity_opportunities": 7977, - "end_date": "2020-12-30", - "ev_net_r": -0.13974831841500568, - "ev_without_best": { - "1": -0.20217534318644703, - "10": -0.48000953040595407, - "5": -0.36716158708076996 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 14, - "trailing_stop": 49, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.4525591827852888, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.3, - "measurement_start_equity": 9170.06, - "measurement_start_positions": 10, - "opened_positions": 246, - "peak_positions": 10, - "profit_factor": 0.800674153593521, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.658014868898856, - "start_date": "2020-01-02", - "total_return_pct": -37.6, - "trades": 246, - "transaction_cost": 392.5785407739711, - "turnover_multiple": 21.40545104252159, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 9, - "replacements": 81, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.9 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 37.4208, - "avg_gross_exposure_pct": 62.5792, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9691613388491914, - "cagr_pct": -35.7, - "calmar": -0.74, - "capacity_opportunities": 7977, - "end_date": "2020-12-30", - "ev_net_r": -0.12695290110528779, - "ev_without_best": { - "1": -0.18945981286095587, - "10": -0.4675525878604536, - "5": -0.35457212801232185 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 14, - "trailing_stop": 49, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.42680028251483193, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 47.9, - "measurement_start_equity": 9787.11, - "measurement_start_positions": 10, - "opened_positions": 246, - "peak_positions": 10, - "profit_factor": 0.8168101873944474, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.42, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.5864042302697883, - "start_date": "2020-01-02", - "total_return_pct": -35.5, - "trades": 246, - "transaction_cost": 212.71889744696915, - "turnover_multiple": 21.73459759285112, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 9, - "replacements": 81, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.9 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 37.3546, - "avg_gross_exposure_pct": 62.6454, - "avg_hold_days": 9.7, - "avg_positions": 9.9325, - "blocked_fraction": 0.9691613388491914, - "cagr_pct": -37.8, - "calmar": -0.77, - "capacity_opportunities": 7977, - "end_date": "2020-12-30", - "ev_net_r": -0.13974831841500562, - "ev_without_best": { - "1": -0.20217534318644695, - "10": -0.480009530405954, - "5": -0.3671615870807699 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 93, - "time": 14, - "trailing_stop": 49, - "weekly_rebalance": 80 - }, - "gain_to_pain": -0.4524990105885092, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.3, - "measurement_start_equity": 9640.42, - "measurement_start_positions": 10, - "opened_positions": 246, - "peak_positions": 10, - "profit_factor": 0.800674153593521, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6577832714077112, - "start_date": "2020-01-02", - "total_return_pct": -37.6, - "trades": 246, - "transaction_cost": 412.7554754131157, - "turnover_multiple": 21.407546321276232, - "underwater_pct": 98.81422924901186, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 23, - "reentries_within_5_sessions": 9, - "replacements": 81, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.9 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.3672, - "avg_gross_exposure_pct": 61.6328, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.968413136124342, - "cagr_pct": -38.2, - "calmar": -0.76, - "capacity_opportunities": 7978, - "end_date": "2020-12-30", - "ev_net_r": -0.15081963660280748, - "ev_without_best": { - "1": -0.21192744582844972, - "10": -0.48396093176476757, - "5": -0.3733927838177177 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 100, - "time": 13, - "trailing_stop": 51, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.4498646640933014, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.5, - "measurement_start_equity": 9729.78, - "measurement_start_positions": 10, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.7864196191374321, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.49, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 7726, - "skipped_min_initial_risk": 0, - "sortino": -0.6723128056548792, - "start_date": "2020-01-02", - "total_return_pct": -38.0, - "trades": 252, - "transaction_cost": 208.69413313989023, - "turnover_multiple": 21.44900841950077, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 8, - "replacements": 80, - "weekly_rank_rejected_entries": 1975, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.1 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.303, - "avg_gross_exposure_pct": 61.697, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.968413136124342, - "cagr_pct": -40.3, - "calmar": -0.78, - "capacity_opportunities": 7978, - "end_date": "2020-12-30", - "ev_net_r": -0.1635107388237087, - "ev_without_best": { - "1": -0.22454015511618614, - "10": -0.49631764061689404, - "5": -0.38588081919007594 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 100, - "time": 13, - "trailing_stop": 51, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.474237980886738, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 51.9, - "measurement_start_equity": 9590.49, - "measurement_start_positions": 10, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.7710775193635293, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 7726, - "skipped_min_initial_risk": 0, - "sortino": -0.7444404281133832, - "start_date": "2020-01-02", - "total_return_pct": -40.1, - "trades": 252, - "transaction_cost": 405.1247357028878, - "turnover_multiple": 21.12116981003514, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 8, - "replacements": 80, - "weekly_rank_rejected_entries": 1975, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.1 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7977, - "avg_gross_exposure_pct": 61.2023, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.13420767909245165, - "ev_without_best": { - "1": -0.19549347172495504, - "10": -0.46804201043722665, - "5": -0.35734795378566725 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.44774416632719183, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 10202.34, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853114, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678240294433613, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 218.9080640936888, - "turnover_multiple": 21.45665250263065, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7341, - "avg_gross_exposure_pct": 61.2659, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.14692587508399937, - "ev_without_best": { - "1": -0.20813306958668787, - "10": -0.4804255497584963, - "5": -0.36986280814007316 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4722418223239692, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 10075.99, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.7402242919206034, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 425.78246868694686, - "turnover_multiple": 21.128567450292568, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-13|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7978, - "avg_gross_exposure_pct": 61.2022, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -38.0, - "calmar": -0.77, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.13420767909245165, - "ev_without_best": { - "1": -0.19549347172495504, - "10": -0.46804201043722665, - "5": -0.35734795378566725 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.4477419590534124, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 49.2, - "measurement_start_equity": 9713.59, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.8073217538853115, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.48, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.6678204309177472, - "start_date": "2020-01-02", - "total_return_pct": -37.8, - "trades": 251, - "transaction_cost": 208.42145942981085, - "turnover_multiple": 21.45668691285208, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-13|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.7343, - "avg_gross_exposure_pct": 61.2657, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.9685542470558757, - "cagr_pct": -40.0, - "calmar": -0.79, - "capacity_opportunities": 7982, - "end_date": "2020-12-30", - "ev_net_r": -0.1469258750839994, - "ev_without_best": { - "1": -0.20813306958668787, - "10": -0.48042554975849633, - "5": -0.3698628081400732 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 97, - "time": 13, - "trailing_stop": 50, - "weekly_rebalance": 81 - }, - "gain_to_pain": -0.47224094096604313, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 9588.46, - "measurement_start_positions": 10, - "opened_positions": 251, - "peak_positions": 10, - "profit_factor": 0.7914468066141916, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 7731, - "skipped_min_initial_risk": 0, - "sortino": -0.740223105259521, - "start_date": "2020-01-02", - "total_return_pct": -39.8, - "trades": 251, - "transaction_cost": 405.18175033598004, - "turnover_multiple": 21.128614518701653, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.13461538461539, - "entrant_pool_mean": 40.13461538461539, - "entrant_pool_median": 42.5, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 14, - "reentries_within_20_sessions": 25, - "reentries_within_5_sessions": 8, - "replacements": 83, - "weekly_rank_rejected_entries": 1976, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 33.1 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-14|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.3667, - "avg_gross_exposure_pct": 61.6333, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.968413136124342, - "cagr_pct": -38.2, - "calmar": -0.76, - "capacity_opportunities": 7978, - "end_date": "2020-12-30", - "ev_net_r": -0.15081963660280728, - "ev_without_best": { - "1": -0.21192744582844955, - "10": -0.48396093176476734, - "5": -0.3733927838177175 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 100, - "time": 13, - "trailing_stop": 51, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.44985884635825896, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 50.5, - "measurement_start_equity": 9546.47, - "measurement_start_positions": 10, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.7864196191374323, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.49, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 7726, - "skipped_min_initial_risk": 0, - "sortino": -0.6722866454498041, - "start_date": "2020-01-02", - "total_return_pct": -38.0, - "trades": 252, - "transaction_cost": 204.76507148474022, - "turnover_multiple": 21.449297120793364, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 8, - "replacements": 80, - "weekly_rank_rejected_entries": 1975, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.1 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2020-seed-14|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 38.3024, - "avg_gross_exposure_pct": 61.6976, - "avg_hold_days": 9.5, - "avg_positions": 9.9325, - "blocked_fraction": 0.968413136124342, - "cagr_pct": -40.3, - "calmar": -0.78, - "capacity_opportunities": 7978, - "end_date": "2020-12-30", - "ev_net_r": -0.16351073882370867, - "ev_without_best": { - "1": -0.2245401551161861, - "10": -0.49631764061689404, - "5": -0.38588081919007594 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 100, - "time": 13, - "trailing_stop": 51, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.47423060425145463, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 51.9, - "measurement_start_equity": 9425.86, - "measurement_start_positions": 10, - "opened_positions": 252, - "peak_positions": 10, - "profit_factor": 0.7710775193635293, - "sessions_at_capacity": 246, - "sessions_measured": 252, - "sharpe": -0.54, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 7726, - "skipped_min_initial_risk": 0, - "sortino": -0.7444088381601565, - "start_date": "2020-01-02", - "total_return_pct": -40.1, - "trades": 252, - "transaction_cost": 398.1764775149215, - "turnover_multiple": 21.12149329158939, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 40.07692307692308, - "entrant_pool_mean": 40.07692307692308, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 61.0, - "events": 52, - "reentries_within_10_sessions": 12, - "reentries_within_20_sessions": 22, - "reentries_within_5_sessions": 8, - "replacements": 80, - "weekly_rank_rejected_entries": 1975, - "zero_entrant_fraction": 0.019230769230769232 - }, - "win_rate": 32.1 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.341210685349571, - "ev_without_best": { - "1": -0.4138907344463886, - "10": -0.5595002636668975, - "5": -0.4998624292773514 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673397463384686, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 8935.61, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419006, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244819777191202, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 272.92486194934827, - "turnover_multiple": 30.54350648129767, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.3569238462388188, - "ev_without_best": { - "1": -0.42955900788033413, - "10": -0.5749155081436506, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.97657095009558, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 8798.55, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1993148015624404, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 527.0078700352162, - "turnover_multiple": 29.94856368579006, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.4138907344463887, - "10": -0.5595002636668978, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673394131013453, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 9271.54, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244771509649865, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 283.1853414359641, - "turnover_multiple": 30.543506411660207, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.35692384623881884, - "ev_without_best": { - "1": -0.4295590078803342, - "10": -0.5749155081436507, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9765685522270493, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 9125.93, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1993095816362558, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 546.6170084472724, - "turnover_multiple": 29.948564609156126, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.4138907344463887, - "10": -0.5595002636668976, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673409820649261, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 8682.08, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244760732422547, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 265.18107016616227, - "turnover_multiple": 30.54349535666133, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.35692384623881884, - "ev_without_best": { - "1": -0.4295590078803342, - "10": -0.5749155081436507, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9765692545888285, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 8548.32, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1993123229439098, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 512.0201298596777, - "turnover_multiple": 29.94858228632513, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.4138907344463887, - "10": -0.5595002636668976, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673396103216325, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 8399.07, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244769290572105, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 256.5372354959753, - "turnover_multiple": 30.543528687816067, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.35692384623881884, - "ev_without_best": { - "1": -0.4295590078803342, - "10": -0.5749155081436507, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9765687744542195, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 8279.58, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.199308594574322, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 495.9229392259988, - "turnover_multiple": 29.948556522553, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.4138907344463887, - "10": -0.5595002636668976, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673389873669576, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 9097.52, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244794396814597, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 277.8701748065424, - "turnover_multiple": 30.543507989709546, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.35692384623881884, - "ev_without_best": { - "1": -0.4295590078803342, - "10": -0.5749155081436507, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.976569775597013, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 8972.79, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1993165655355937, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 537.444402006621, - "turnover_multiple": 29.948566834096248, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.4138907344463887, - "10": -0.5595002636668976, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673405637832492, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 9387.71, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244790795127944, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 286.73358160518336, - "turnover_multiple": 30.543506521311734, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.35692384623881884, - "ev_without_best": { - "1": -0.4295590078803342, - "10": -0.5749155081436507, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9765678979679845, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 9268.07, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.199311620735449, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 555.1308931439755, - "turnover_multiple": 29.948570368155156, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.41389073444638874, - "10": -0.5595002636668976, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673384612095349, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 10171.71, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244804389066687, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 310.6797469213405, - "turnover_multiple": 30.54351204677881, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.35692384623881884, - "ev_without_best": { - "1": -0.4295590078803342, - "10": -0.5749155081436507, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9765691190857233, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 10046.54, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1993097062622655, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 601.75920787309, - "turnover_multiple": 29.948579703713413, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5823, - "avg_gross_exposure_pct": 78.4177, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -61.2, - "calmar": -0.83, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.3003180545560949, - "ev_without_best": { - "1": -0.37212627611727644, - "10": -0.5252112160840872, - "5": -0.458367920570512 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.8920186180752675, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 9465.95, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.589629889174014, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -0.9954926548860935, - "start_date": "2021-01-04", - "total_return_pct": -60.8, - "trades": 298, - "transaction_cost": 319.0007579853657, - "turnover_multiple": 33.69981438581079, - "underwater_pct": 93.67588932806325, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.5 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5117, - "avg_gross_exposure_pct": 78.4883, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -63.0, - "calmar": -0.85, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.31606847730347004, - "ev_without_best": { - "1": -0.38783239027879046, - "10": -0.5407530094704079, - "5": -0.4739421459523255 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.9045039826143071, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 9350.82, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.5743490483484992, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.67, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -1.0726889533904844, - "start_date": "2021-01-04", - "total_return_pct": -62.6, - "trades": 298, - "transaction_cost": 617.812254675992, - "turnover_multiple": 33.03519128140591, - "underwater_pct": 94.0711462450593, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.2 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5842, - "avg_gross_exposure_pct": 78.4158, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -61.2, - "calmar": -0.83, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.3003180545560949, - "ev_without_best": { - "1": -0.3721262761172764, - "10": -0.5252112160840872, - "5": -0.4583679205705119 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.8920446973358127, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 9911.15, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.589629889174014, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -0.9955345376778203, - "start_date": "2021-01-04", - "total_return_pct": -60.8, - "trades": 298, - "transaction_cost": 333.9959723334978, - "turnover_multiple": 33.69901296353075, - "underwater_pct": 93.67588932806325, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.5 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5137, - "avg_gross_exposure_pct": 78.4863, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -63.0, - "calmar": -0.85, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.3160684773034701, - "ev_without_best": { - "1": -0.3878323902787905, - "10": -0.5407530094704079, - "5": -0.4739421459523254 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.9045272242028405, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 9806.14, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.5743490483484992, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.67, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -1.0727336426230447, - "start_date": "2021-01-04", - "total_return_pct": -62.6, - "trades": 298, - "transaction_cost": 647.8815131119339, - "turnover_multiple": 33.03448212609314, - "underwater_pct": 94.0711462450593, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.2 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8788, - "avg_gross_exposure_pct": 78.1212, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.4138907344463887, - "10": -0.5595002636668976, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673395917873042, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 10895.01, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244787442145145, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 332.7719098330599, - "turnover_multiple": 30.543515777687205, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8091, - "avg_gross_exposure_pct": 78.1909, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.3569238462388188, - "ev_without_best": { - "1": -0.42955900788033413, - "10": -0.5749155081436506, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9765704930019765, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 10770.94, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1993156844669557, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 645.1481258448358, - "turnover_multiple": 29.94855257966509, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5825, - "avg_gross_exposure_pct": 78.4175, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -61.2, - "calmar": -0.83, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.3003180545560949, - "ev_without_best": { - "1": -0.3721262761172764, - "10": -0.5252112160840872, - "5": -0.4583679205705119 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.8920181817679199, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 10676.19, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.589629889174014, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -0.9954960011149608, - "start_date": "2021-01-04", - "total_return_pct": -60.8, - "trades": 298, - "transaction_cost": 359.78531212090945, - "turnover_multiple": 33.69978542166348, - "underwater_pct": 93.67588932806325, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.5 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5119, - "avg_gross_exposure_pct": 78.4881, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -63.0, - "calmar": -0.85, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.31606847730347, - "ev_without_best": { - "1": -0.38783239027879035, - "10": -0.5407530094704078, - "5": -0.4739421459523254 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.9045047211305748, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 10577.65, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.5743490483484992, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.67, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -1.072694224616432, - "start_date": "2021-01-04", - "total_return_pct": -62.6, - "trades": 298, - "transaction_cost": 698.8689180212782, - "turnover_multiple": 33.03516934391279, - "underwater_pct": 94.0711462450593, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.2 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5825, - "avg_gross_exposure_pct": 78.4175, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -61.2, - "calmar": -0.83, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.3003180545560949, - "ev_without_best": { - "1": -0.37212627611727644, - "10": -0.5252112160840872, - "5": -0.458367920570512 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.8920186242567214, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 10268.85, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.589629889174014, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -0.9954965765243096, - "start_date": "2021-01-04", - "total_return_pct": -60.8, - "trades": 298, - "transaction_cost": 346.05802101354163, - "turnover_multiple": 33.699783423999925, - "underwater_pct": 93.67588932806325, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.5 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.5119, - "avg_gross_exposure_pct": 78.4881, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9635206267597013, - "cagr_pct": -63.0, - "calmar": -0.85, - "capacity_opportunities": 8169, - "end_date": "2021-12-31", - "ev_net_r": -0.31606847730347004, - "ev_without_best": { - "1": -0.38783239027879046, - "10": -0.5407530094704079, - "5": -0.4739421459523254 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 126, - "time": 12, - "trailing_stop": 49, - "weekly_rebalance": 101 - }, - "gain_to_pain": -0.9045052647903622, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 10176.45, - "measurement_start_positions": 10, - "opened_positions": 298, - "peak_positions": 10, - "profit_factor": 0.5743490483484992, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.67, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 7871, - "skipped_min_initial_risk": 0, - "sortino": -1.0726905944616851, - "start_date": "2021-01-04", - "total_return_pct": -62.6, - "trades": 298, - "transaction_cost": 672.3615865217047, - "turnover_multiple": 33.0351736863889, - "underwater_pct": 94.0711462450593, - "weekly_rebalance": { - "eligible_pool_mean": 41.17307692307692, - "entrant_pool_mean": 41.17307692307692, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.8, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 29, - "reentries_within_5_sessions": 8, - "replacements": 106, - "weekly_rank_rejected_entries": 2002, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.2 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-13|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.8787, - "avg_gross_exposure_pct": 78.1213, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -64.3, - "calmar": -0.88, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.34121068534957105, - "ev_without_best": { - "1": -0.4138907344463887, - "10": -0.5595002636668976, - "5": -0.4998624292773515 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.9673390155493842, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 73.3, - "measurement_start_equity": 11580.48, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5365352030419005, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.7, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1244771998690237, - "start_date": "2021-01-04", - "total_return_pct": -63.9, - "trades": 295, - "transaction_cost": 353.7087184951616, - "turnover_multiple": 30.543528290292077, - "underwater_pct": 96.44268774703558, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 28.1 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2021-seed-13|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 21.809, - "avg_gross_exposure_pct": 78.191, - "avg_hold_days": 8.2, - "avg_positions": 9.9722, - "blocked_fraction": 0.9639408385282973, - "cagr_pct": -66.0, - "calmar": -0.89, - "capacity_opportunities": 8181, - "end_date": "2021-12-31", - "ev_net_r": -0.3569238462388188, - "ev_without_best": { - "1": -0.42955900788033413, - "10": -0.5749155081436507, - "5": -0.5153757225096066 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 125, - "time": 12, - "trailing_stop": 48, - "weekly_rebalance": 100 - }, - "gain_to_pain": -0.976567776970707, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 74.4, - "measurement_start_equity": 11490.25, - "measurement_start_positions": 10, - "opened_positions": 295, - "peak_positions": 10, - "profit_factor": 0.5222155934997786, - "sessions_at_capacity": 245, - "sessions_measured": 252, - "sharpe": -0.75, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 7886, - "skipped_min_initial_risk": 0, - "sortino": -1.1993113685137504, - "start_date": "2021-01-04", - "total_return_pct": -65.5, - "trades": 295, - "transaction_cost": 688.2336279560436, - "turnover_multiple": 29.94859241339586, - "underwater_pct": 96.83794466403161, - "weekly_rebalance": { - "eligible_pool_mean": 41.30769230769231, - "entrant_pool_mean": 41.30769230769231, - "entrant_pool_median": 38.5, - "entrant_pool_p90": 71.9, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 30, - "reentries_within_5_sessions": 7, - "replacements": 105, - "weekly_rank_rejected_entries": 2011, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 27.8 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856237, - "ev_without_best": { - "1": -0.7473203390291705, - "10": -0.8579644771129278, - "5": -0.8055128431454164 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.986244912257995, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5641.57, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122288988349923, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 101.96960533858186, - "turnover_multiple": 18.074685830111452, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5079, - "avg_gross_exposure_pct": 76.4921, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891896777273977, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 5499.79, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.1912416392966385, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 195.50687362791575, - "turnover_multiple": 17.774030792804428, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856236, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862426564730703, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5072.26, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.1222263128922245, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 91.67948864272785, - "turnover_multiple": 18.074682418237202, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5079, - "avg_gross_exposure_pct": 76.4921, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891922714713947, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 4938.24, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.2288192217942667, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191298668757262, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 175.54506577120185, - "turnover_multiple": 17.774051663264835, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856236, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862448893837031, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5714.14, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.1222213669157055, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 103.28132747007287, - "turnover_multiple": 18.074693211939653, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5079, - "avg_gross_exposure_pct": 76.4921, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829032, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891907968737997, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 5570.03, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.2288192217942667, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191275906146102, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 198.0040033500464, - "turnover_multiple": 17.774051786978383, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5933, - "avg_gross_exposure_pct": 76.4067, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856236, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862432564527225, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5076.65, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122237766551906, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 91.75905949660317, - "turnover_multiple": 18.07472634446006, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5081, - "avg_gross_exposure_pct": 76.4919, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891892558170167, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 4947.89, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191185020199294, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 175.88823089160022, - "turnover_multiple": 17.774064388213986, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5933, - "avg_gross_exposure_pct": 76.4067, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856237, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.986243827686545, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5111.75, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122406942039482, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 92.39341032112712, - "turnover_multiple": 18.074712245537658, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5081, - "avg_gross_exposure_pct": 76.4919, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891881424247189, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 4989.05, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191252725659058, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 177.35142547726997, - "turnover_multiple": 17.77406775611288, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856237, - "ev_without_best": { - "1": -0.7473203390291705, - "10": -0.8579644771129279, - "5": -0.8055128431454164 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862420895420225, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5256.75, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122210288113808, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 95.01398493281106, - "turnover_multiple": 18.074663039484673, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.508, - "avg_gross_exposure_pct": 76.492, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891925587514043, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 5140.09, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191359900246643, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 182.71966874782524, - "turnover_multiple": 17.773975625701613, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856236, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862427180643955, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 6201.35, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122217539143674, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 112.08716360630906, - "turnover_multiple": 18.07463916829546, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.508, - "avg_gross_exposure_pct": 76.492, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891931025896983, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 6074.49, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191403865385762, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 215.93598918404888, - "turnover_multiple": 17.774001536264684, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856237, - "ev_without_best": { - "1": -0.7473203390291705, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.986242546723069, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 6008.64, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911763, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122210996699172, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 108.6037234855511, - "turnover_multiple": 18.074593166765037, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.508, - "avg_gross_exposure_pct": 76.492, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026137, - "ev_without_best": { - "1": -0.7613439320829032, - "10": -0.871881063164848, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891916937572437, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 5890.54, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.2288192217942667, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191184892359071, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 209.3960910449991, - "turnover_multiple": 17.77392998307448, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5934, - "avg_gross_exposure_pct": 76.4066, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856237, - "ev_without_best": { - "1": -0.7473203390291705, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862426084395148, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 6008.16, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122243961233099, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 108.59586578791182, - "turnover_multiple": 18.074729332759418, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5081, - "avg_gross_exposure_pct": 76.4919, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891936004158857, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 5898.96, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191212740964274, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 209.6972425336454, - "turnover_multiple": 17.77408581628333, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5934, - "avg_gross_exposure_pct": 76.4066, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856236, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862423356881466, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5912.67, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911763, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122234046483354, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 106.86985305214574, - "turnover_multiple": 18.074719720895253, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5081, - "avg_gross_exposure_pct": 76.4919, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026137, - "ev_without_best": { - "1": -0.7613439320829032, - "10": -0.871881063164848, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891921213090331, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 5809.37, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.2288192217942667, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.1911477548215235, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 206.5124607458883, - "turnover_multiple": 17.774084001009427, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5931, - "avg_gross_exposure_pct": 76.4069, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856236, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862427626288998, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 6118.75, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911763, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.12228884139298, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 110.59359517873577, - "turnover_multiple": 18.074540580794405, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5078, - "avg_gross_exposure_pct": 76.4922, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891897935633641, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 6007.13, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.2288192217942667, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191262755097735, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 213.53998878227202, - "turnover_multiple": 17.773877773768174, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856237, - "ev_without_best": { - "1": -0.7473203390291705, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862430212184766, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 6274.54, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122116980174004, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 113.41048648399808, - "turnover_multiple": 18.074709298848692, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.508, - "avg_gross_exposure_pct": 76.492, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026137, - "ev_without_best": { - "1": -0.7613439320829032, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891890327541751, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 6159.81, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191207302703443, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 218.96985274086796, - "turnover_multiple": 17.77407523453385, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-13|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5932, - "avg_gross_exposure_pct": 76.4068, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856236, - "ev_without_best": { - "1": -0.7473203390291704, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.986242721060758, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5723.89, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911758, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.1222352809718785, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 103.4576517186643, - "turnover_multiple": 18.074709981964062, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-13|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.508, - "avg_gross_exposure_pct": 76.492, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829032, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891937019047373, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 5620.73, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.2288192217942667, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.191289497111969, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 199.80642224265017, - "turnover_multiple": 17.77406335499572, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-14|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5933, - "avg_gross_exposure_pct": 76.4067, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7281119565856237, - "ev_without_best": { - "1": -0.7473203390291705, - "10": -0.8579644771129278, - "5": -0.8055128431454162 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9862441028276022, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 6592.13, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.23524132642911763, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.122189847414155, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 340, - "transaction_cost": 119.15090512359372, - "turnover_multiple": 18.07472017748341, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 22.9 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2022-seed-14|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 23.5081, - "avg_gross_exposure_pct": 76.4919, - "avg_hold_days": 7.1, - "avg_positions": 9.9802, - "blocked_fraction": 0.9658257111267464, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9949, - "end_date": "2023-01-03", - "ev_net_r": -0.7421646568026138, - "ev_without_best": { - "1": -0.7613439320829033, - "10": -0.8718810631648481, - "5": -0.8194987351191466 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 176, - "time": 5, - "trailing_stop": 56, - "weekly_rebalance": 93 - }, - "gain_to_pain": -0.9891923070364625, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 6487.07, - "measurement_start_positions": 10, - "opened_positions": 340, - "peak_positions": 10, - "profit_factor": 0.22881922179426664, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -5.0, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 9609, - "skipped_min_initial_risk": 0, - "sortino": -5.19125290129163, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 340, - "transaction_cost": 230.60287883915285, - "turnover_multiple": 17.774039654200806, - "underwater_pct": 98.41897233201581, - "weekly_rebalance": { - "eligible_pool_mean": 49.90384615384615, - "entrant_pool_mean": 49.90384615384615, - "entrant_pool_median": 42.0, - "entrant_pool_p90": 94.19999999999999, - "events": 52, - "reentries_within_10_sessions": 22, - "reentries_within_20_sessions": 32, - "reentries_within_5_sessions": 12, - "replacements": 93, - "weekly_rank_rejected_entries": 2459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845126747485667, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2173.96, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808328894473079, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 34.78317941570552, - "turnover_multiple": 15.999916933018785, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869084713720323, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2116.38, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.861262546883623, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 67.02366488894471, - "turnover_multiple": 15.834506300604028, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593838, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845259469473983, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2127.55, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136474, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808306988507217, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 34.040590786395974, - "turnover_multiple": 15.999901664541829, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869345430215382, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2074.04, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.33038995173463487, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.8613694414628, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 65.68301279614855, - "turnover_multiple": 15.834557866807907, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845238088663007, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2329.7, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808172097898281, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 37.27494667705916, - "turnover_multiple": 15.999891263707415, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8868994404469462, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2273.51, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.330389951734635, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.86121016381768, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 72.00000412936645, - "turnover_multiple": 15.834547490304958, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845299904020291, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2958.22, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808395116000707, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 47.331324744831115, - "turnover_multiple": 15.999933995724158, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869151444538669, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2888.04, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.86121963880209, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 91.4616502124515, - "turnover_multiple": 15.834553921076493, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845230885725784, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2519.48, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808183292378002, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 40.311517605581265, - "turnover_multiple": 15.999935544469995, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869140765414232, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2459.86, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.330389951734635, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.861383957582469, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 77.9016597339353, - "turnover_multiple": 15.834571832123636, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845150612642929, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2797.61, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136474, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808211067310794, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 44.76157464210697, - "turnover_multiple": 15.99993374419843, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869083678319769, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2734.34, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.861329995950672, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 86.59411179234255, - "turnover_multiple": 15.834554552898057, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.8486267421984338, - "5": -0.7893684029972178 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845158961316507, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2406.81, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.33506459501364744, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808066286099237, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 38.508799760006994, - "turnover_multiple": 15.999933422250612, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869145386037882, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2356.02, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.330389951734635, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.861363808771666, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 74.61304439943427, - "turnover_multiple": 15.834552423034244, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.8486267421984338, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845144648315081, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2512.94, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136474, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808351809803466, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 40.206814009230555, - "turnover_multiple": 15.999910069174176, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869106321881779, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2456.66, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.330389951734635, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.8613645759965305, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 77.80017260285814, - "turnover_multiple": 15.834542143165548, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845080338214352, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2454.64, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808178977329623, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 39.27408039595935, - "turnover_multiple": 15.999934978636116, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869166401784903, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2402.95, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.861215289766386, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 76.09929462304822, - "turnover_multiple": 15.834556404221525, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5139, - "avg_gross_exposure_pct": 47.4861, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593838, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845185421891957, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2623.5, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808165587240567, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 41.97577600698623, - "turnover_multiple": 15.999914620539824, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4696, - "avg_gross_exposure_pct": 47.5304, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.886906161505589, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2571.6, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.86105883486245, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 81.44029825907758, - "turnover_multiple": 15.834557913181984, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845093922410714, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2563.24, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136474, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.80820621991835, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 41.01164149890647, - "turnover_multiple": 15.999922558522213, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869052099813579, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2512.52, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.86127760334117, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 79.56933108861028, - "turnover_multiple": 15.834566707650145, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5138, - "avg_gross_exposure_pct": 47.4862, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593838, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.848626742198434, - "5": -0.7893684029972179 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845153145788703, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 2797.97, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136473, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808224642377532, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 44.767343028593594, - "turnover_multiple": 15.999936750070084, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869214475097442, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 2745.48, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.861239918628534, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 86.9469079000335, - "turnover_multiple": 15.834554959430319, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-13|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5139, - "avg_gross_exposure_pct": 47.4861, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.8486267421984338, - "5": -0.7893684029972178 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845235052510054, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 3400.33, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3350645950136474, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808178319411706, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 54.40510125356361, - "turnover_multiple": 15.999947432620836, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-13|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4695, - "avg_gross_exposure_pct": 47.5305, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.7160476705184392, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.886911796891873, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 3341.24, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.8613680878413, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 105.8140223250965, - "turnover_multiple": 15.834543810845153, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-14|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.5139, - "avg_gross_exposure_pct": 47.4861, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6440327469593837, - "ev_without_best": { - "1": -0.7066775037995308, - "10": -0.8486267421984338, - "5": -0.7893684029972178 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8845233997365881, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.3, - "measurement_start_equity": 3480.13, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.33506459501364744, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.808254194788308, - "start_date": "2023-01-03", - "total_return_pct": -91.2, - "trades": 364, - "transaction_cost": 55.68183872880554, - "turnover_multiple": 15.99993067178684, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.4 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2023-seed-14|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 52.4696, - "avg_gross_exposure_pct": 47.5304, - "avg_hold_days": 6.7, - "avg_positions": 10.0, - "blocked_fraction": 0.9795769511305616, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 17823, - "end_date": "2024-01-03", - "ev_net_r": -0.6534463971081801, - "ev_without_best": { - "1": -0.716047670518439, - "10": -0.8579356194453613, - "5": -0.7986951419738205 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 185, - "time": 10, - "trailing_stop": 69, - "weekly_rebalance": 90 - }, - "gain_to_pain": -0.8869224652904194, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 94.5, - "measurement_start_equity": 3426.71, - "measurement_start_positions": 10, - "opened_positions": 364, - "peak_positions": 10, - "profit_factor": 0.3303899517346349, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 17459, - "skipped_min_initial_risk": 0, - "sortino": -4.861339886225694, - "start_date": "2023-01-03", - "total_return_pct": -91.6, - "trades": 364, - "transaction_cost": 108.52105668264637, - "turnover_multiple": 15.834584292608126, - "underwater_pct": 97.23320158102767, - "weekly_rebalance": { - "eligible_pool_mean": 92.5576923076923, - "entrant_pool_mean": 92.5576923076923, - "entrant_pool_median": 93.5, - "entrant_pool_p90": 131.7, - "events": 52, - "reentries_within_10_sessions": 44, - "reentries_within_20_sessions": 54, - "reentries_within_5_sessions": 26, - "replacements": 94, - "weekly_rank_rejected_entries": 4679, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974378, - "ev_without_best": { - "1": -0.5509351172066537, - "10": -0.7110772112169862, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.951615627318723, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2778.86, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801550723412314, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 41.85552889158295, - "turnover_multiple": 15.062122198161456, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214102, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672975, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546426437604628, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2719.49, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.41679317471037963, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.8212676413815787, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 81.11217605252682, - "turnover_multiple": 14.913122690748416, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010366 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516142187224773, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2608.22, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.780160290164004, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 39.285316200992874, - "turnover_multiple": 15.062117536478086, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214102, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672975, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546365707720782, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2552.27, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.821274614920996, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 76.12462306144238, - "turnover_multiple": 14.913121076814438, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516115800953542, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2517.0, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.42266631784791475, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801404490299206, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 37.91134353294286, - "turnover_multiple": 15.062115030966572, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546422780416862, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2463.54, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.821303854430142, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 73.47829371422272, - "turnover_multiple": 14.913152153856386, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974378, - "ev_without_best": { - "1": -0.5509351172066537, - "10": -0.7110772112169862, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516118627785853, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2194.51, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.42266631784791475, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801073753671584, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 33.05392063925767, - "turnover_multiple": 15.06209615780182, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546328019462821, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2149.97, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.821272827521759, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 64.12551407413686, - "turnover_multiple": 14.913118339822619, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974378, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.951615875041603, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2466.52, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801740039089817, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 37.15108603353111, - "turnover_multiple": 15.06214668177477, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546397255365456, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2419.1, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.8212816697214826, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 72.15272000348642, - "turnover_multiple": 14.913132984061516, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516158619645987, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2311.36, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801134949074515, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 34.81401763684746, - "turnover_multiple": 15.062135555191515, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546545383719596, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2267.53, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.8212978560898176, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 67.63181684920063, - "turnover_multiple": 14.913102990743367, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010366 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516188321507224, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2712.37, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.780141732274341, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 40.854043098953525, - "turnover_multiple": 15.062120248695246, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546346982161031, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2660.86, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.821271216006617, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 79.36356661635858, - "turnover_multiple": 14.91314210750633, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974378, - "ev_without_best": { - "1": -0.5509351172066537, - "10": -0.7110772112169862, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516115506399905, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2417.41, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.42266631784791475, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801582545696926, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 36.411319932593976, - "turnover_multiple": 15.062120175143635, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546364716382759, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2372.21, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.821270105761004, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 70.75416709293378, - "turnover_multiple": 14.913133131749252, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010366 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516168486095434, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2623.15, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.780146048838628, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 39.510241069787, - "turnover_multiple": 15.06213562693212, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.222, - "avg_gross_exposure_pct": 43.778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214102, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672975, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546305227474536, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2575.43, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.41679317471037963, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.8212244311857853, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 76.81541647211101, - "turnover_multiple": 14.913124501949387, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516153572240019, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 3712.24, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.780159400644231, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 55.914230101418546, - "turnover_multiple": 15.062126937218107, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2221, - "avg_gross_exposure_pct": 43.7779, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214102, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672975, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546427783083097, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 3657.66, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.41679317471037963, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.8212850233656916, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 109.09433144176292, - "turnover_multiple": 14.913131816757561, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516155580956738, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 3516.57, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4226663178479148, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.78016622825756, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 52.966981933710066, - "turnover_multiple": 15.062115053506703, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2221, - "avg_gross_exposure_pct": 43.7779, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546384233528705, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 3465.49, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.821269534590718, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 103.36251279553302, - "turnover_multiple": 14.913116586043104, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2642, - "avg_gross_exposure_pct": 43.7358, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974377, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169861, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516127044758956, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 2733.78, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.42266631784791475, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801706299734468, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 41.17653861464068, - "turnover_multiple": 15.06212592624157, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2221, - "avg_gross_exposure_pct": 43.7779, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214102, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672975, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546338118816042, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 2691.24, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.8212771415980202, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 80.26969001913331, - "turnover_multiple": 14.913142272545986, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-13|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2643, - "avg_gross_exposure_pct": 43.7357, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974378, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169862, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516143442399391, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 3044.67, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.42266631784791475, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.780175182168688, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 45.85932280023473, - "turnover_multiple": 15.062165292210562, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-13|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2222, - "avg_gross_exposure_pct": 43.7778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546400112957798, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 3001.15, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.4167931747103796, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.821236970761898, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 89.51354521431865, - "turnover_multiple": 14.913207472855179, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-14|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2643, - "avg_gross_exposure_pct": 43.7357, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -81.6, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5074456209974378, - "ev_without_best": { - "1": -0.5509351172066536, - "10": -0.7110772112169862, - "5": -0.6314454591010367 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9516161030282055, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 3475.19, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.42266631784791475, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.24, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.7801080009870165, - "start_date": "2024-01-02", - "total_return_pct": -81.5, - "trades": 303, - "transaction_cost": 52.34390355610687, - "turnover_multiple": 15.062170285971954, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 25.1 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2024-seed-14|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 56.2222, - "avg_gross_exposure_pct": 43.7778, - "avg_hold_days": 8.0, - "avg_positions": 10.0, - "blocked_fraction": 0.9846052230464384, - "cagr_pct": -82.1, - "calmar": -0.97, - "capacity_opportunities": 19682, - "end_date": "2024-12-31", - "ev_net_r": -0.5163250523214103, - "ev_without_best": { - "1": -0.5597699798742648, - "10": -0.7197864880672976, - "5": -0.640199516944616 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 139, - "time": 14, - "trailing_stop": 76, - "weekly_rebalance": 64 - }, - "gain_to_pain": -0.9546398582568498, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 84.6, - "measurement_start_equity": 3427.91, - "measurement_start_positions": 10, - "opened_positions": 303, - "peak_positions": 10, - "profit_factor": 0.41679317471037963, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 19379, - "skipped_min_initial_risk": 0, - "sortino": -2.8212418768575884, - "start_date": "2024-01-02", - "total_return_pct": -82.0, - "trades": 303, - "transaction_cost": 102.24206848145118, - "turnover_multiple": 14.913178654260347, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 97.15384615384616, - "entrant_pool_mean": 97.15384615384616, - "entrant_pool_median": 97.0, - "entrant_pool_p90": 118.0, - "events": 52, - "reentries_within_10_sessions": 19, - "reentries_within_20_sessions": 24, - "reentries_within_5_sessions": 15, - "replacements": 66, - "weekly_rank_rejected_entries": 4939, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 24.4 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7004, - "avg_gross_exposure_pct": 40.2996, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861295209240674, - "cagr_pct": -87.7, - "calmar": -0.99, - "capacity_opportunities": 21124, - "end_date": "2026-01-05", - "ev_net_r": -0.6439118619017469, - "ev_without_best": { - "1": -0.6642787594501166, - "10": -0.7458761773167135, - "5": -0.7082820308846345 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836173514745857, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.4, - "measurement_start_equity": 2820.45, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.1956084314299764, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.74, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 20831, - "skipped_min_initial_risk": 0, - "sortino": -5.1012420560840495, - "start_date": "2025-01-02", - "total_return_pct": -87.9, - "trades": 293, - "transaction_cost": 26.057618795101625, - "turnover_multiple": 9.238816073712218, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.6682, - "avg_gross_exposure_pct": 40.3318, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861295209240674, - "cagr_pct": -88.0, - "calmar": -0.99, - "capacity_opportunities": 21124, - "end_date": "2026-01-05", - "ev_net_r": -0.6518384355489845, - "ev_without_best": { - "1": -0.6721927782379523, - "10": -0.753607707675466, - "5": -0.7161019251081516 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.984162934425458, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 2775.76, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19196073442506556, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.79, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 20831, - "skipped_min_initial_risk": 0, - "sortino": -5.1450867512432765, - "start_date": "2025-01-02", - "total_return_pct": -88.2, - "trades": 293, - "transaction_cost": 50.85164183091294, - "turnover_multiple": 9.159949316748014, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 29.5883, - "avg_gross_exposure_pct": 70.4117, - "avg_hold_days": 8.3, - "avg_positions": 9.881, - "blocked_fraction": 0.9870780326555144, - "cagr_pct": -82.5, - "calmar": -0.99, - "capacity_opportunities": 19966, - "end_date": "2026-01-05", - "ev_net_r": -0.6503472390417423, - "ev_without_best": { - "1": -0.6735128789688394, - "10": -0.7664195772587277, - "5": -0.7237495534795747 - }, - "exit_reasons": { - "open_at_end": 6, - "stop": 117, - "time": 19, - "trailing_stop": 46, - "weekly_rebalance": 70 - }, - "gain_to_pain": -0.9937499493348693, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 83.1, - "measurement_start_equity": 3192.47, - "measurement_start_positions": 10, - "opened_positions": 258, - "peak_positions": 10, - "profit_factor": 0.20924348879175753, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -4.38, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 19708, - "skipped_min_initial_risk": 0, - "sortino": -4.780436055753703, - "start_date": "2025-01-02", - "total_return_pct": -82.7, - "trades": 258, - "transaction_cost": 27.752337825151443, - "turnover_multiple": 8.693061430538561, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 105.16981132075472, - "entrant_pool_mean": 105.16981132075472, - "entrant_pool_median": 110, - "entrant_pool_p90": 148.8, - "events": 53, - "reentries_within_10_sessions": 28, - "reentries_within_20_sessions": 35, - "reentries_within_5_sessions": 17, - "replacements": 71, - "weekly_rank_rejected_entries": 5459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 21.3 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 28.8457, - "avg_gross_exposure_pct": 71.1543, - "avg_hold_days": 8.3, - "avg_positions": 9.8413, - "blocked_fraction": 0.9871274730778863, - "cagr_pct": -82.6, - "calmar": -0.99, - "capacity_opportunities": 19965, - "end_date": "2026-01-05", - "ev_net_r": -0.6611486077497899, - "ev_without_best": { - "1": -0.6844016477395533, - "10": -0.7775638426397968, - "5": -0.7347773214563145 - }, - "exit_reasons": { - "open_at_end": 5, - "stop": 117, - "time": 19, - "trailing_stop": 46, - "weekly_rebalance": 70 - }, - "gain_to_pain": -0.9950092930638288, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 83.2, - "measurement_start_equity": 3151.09, - "measurement_start_positions": 10, - "opened_positions": 257, - "peak_positions": 10, - "profit_factor": 0.20504574404313658, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -4.4, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 19708, - "skipped_min_initial_risk": 0, - "sortino": -4.798367308586805, - "start_date": "2025-01-02", - "total_return_pct": -82.8, - "trades": 257, - "transaction_cost": 54.20545667610812, - "turnover_multiple": 8.601064500872415, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 105.20754716981132, - "entrant_pool_mean": 105.20754716981132, - "entrant_pool_median": 110, - "entrant_pool_p90": 148.8, - "events": 53, - "reentries_within_10_sessions": 27, - "reentries_within_20_sessions": 34, - "reentries_within_5_sessions": 16, - "replacements": 71, - "weekly_rank_rejected_entries": 5459, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 20.2 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836413958797895, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 3295.52, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103594, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108869502821963, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 30.386919366242637, - "turnover_multiple": 9.220675148760328, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451794, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841885446589561, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 3248.01, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19024443926891507, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.1526408813298525, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 59.38815056205277, - "turnover_multiple": 9.142236409686664, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892113, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.983646338182587, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 3123.47, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108928886068162, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 28.80053763234706, - "turnover_multiple": 9.220686490456787, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451794, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841951784789703, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 3079.28, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19024443926891507, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.15260772914414, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 56.303030261793914, - "turnover_multiple": 9.142239462113531, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836371068276212, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 2882.83, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108764784788628, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 26.58159043583665, - "turnover_multiple": 9.220658323881967, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.6682, - "avg_gross_exposure_pct": 40.3318, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861295209240674, - "cagr_pct": -88.0, - "calmar": -0.99, - "capacity_opportunities": 21124, - "end_date": "2026-01-05", - "ev_net_r": -0.6518384355489845, - "ev_without_best": { - "1": -0.6721927782379523, - "10": -0.753607707675466, - "5": -0.7161019251081516 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841595562685945, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 2841.17, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.1919607344250656, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.79, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 20831, - "skipped_min_initial_risk": 0, - "sortino": -5.145205861881153, - "start_date": "2025-01-02", - "total_return_pct": -88.2, - "trades": 293, - "transaction_cost": 52.0500220004984, - "turnover_multiple": 9.159962621120595, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.983641958229044, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 3001.8, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108764837731256, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 27.67862245984491, - "turnover_multiple": 9.22067508156603, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451794, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841871188906387, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 2959.57, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.1902444392689151, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152696152384488, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 54.114133427111604, - "turnover_multiple": 9.142229010821099, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.6656913949196951, - "10": -0.7473337375892114, - "5": -0.7097142862912905 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836413736999884, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 3995.82, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108912555309354, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 36.844114587075005, - "turnover_multiple": 9.220664240900492, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451795, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.984193868157439, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 3943.89, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19024443926891507, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152665454916683, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 72.11191380407926, - "turnover_multiple": 9.14223188325223, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-08|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892113, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836441884985585, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 4045.96, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.193849753061036, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.1088433898785315, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 37.306480738416546, - "turnover_multiple": 9.22067463307016, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-08|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216129, - "10": -0.7550411514451795, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841933276054841, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 3998.52, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19024443926891507, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.15259598694868, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 73.11068323389759, - "turnover_multiple": 9.142218024906413, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-09|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836461366147069, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 3867.87, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108818541209605, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 35.66433859087589, - "turnover_multiple": 9.220666307522201, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-09|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451794, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841997635058277, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 3821.34, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.1902444392689151, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152684942634672, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 69.87101392626725, - "turnover_multiple": 9.142213716427646, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-10|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836462063201935, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 4192.02, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.193849753061036, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108846025902562, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 38.65327754465297, - "turnover_multiple": 9.220680613320777, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-10|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451794, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841934596104116, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 4148.47, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19024443926891513, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152724242789115, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 75.85257551652646, - "turnover_multiple": 9.142235030809726, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-11|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836476509115547, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 5011.11, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108829002019661, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 46.2058189446942, - "turnover_multiple": 9.220675448093177, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-11|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231444, - "ev_without_best": { - "1": -0.6735820405216129, - "10": -0.7550411514451795, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841888784828318, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 4962.94, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19024443926891507, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152636294386895, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 90.74471918537705, - "turnover_multiple": 9.142234158117674, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-12|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892113, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836458902231652, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 5755.02, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108804085632169, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 53.06516027345721, - "turnover_multiple": 9.2206734769744, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-12|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451794, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841937549616895, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 5708.24, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.1902444392689151, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152719713938284, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 104.37212615834994, - "turnover_multiple": 9.142233521921813, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-13|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7485, - "avg_gross_exposure_pct": 40.2515, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.8, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9836412997237914, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 5978.59, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108772822599324, - "start_date": "2025-01-02", - "total_return_pct": -88.0, - "trades": 293, - "transaction_cost": 55.126616870674816, - "turnover_multiple": 9.220671909375758, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-13|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7163, - "avg_gross_exposure_pct": 40.2837, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.1, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216127, - "10": -0.7550411514451794, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841891424302887, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 5934.25, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.1902444392689151, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152663683164508, - "start_date": "2025-01-02", - "total_return_pct": -88.3, - "trades": 293, - "transaction_cost": 108.50447498775763, - "turnover_multiple": 9.142223110566427, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-14|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7849, - "avg_gross_exposure_pct": 40.2151, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -87.7, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6453196760898592, - "ev_without_best": { - "1": -0.665691394919695, - "10": -0.7473337375892114, - "5": -0.7097142862912904 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9835896884910978, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.4, - "measurement_start_equity": 4895.83, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19384975306103597, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.108288831673323, - "start_date": "2025-01-02", - "total_return_pct": -87.9, - "trades": 293, - "transaction_cost": 45.4972869898291, - "turnover_multiple": 9.293069201714337, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.8 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - }, - { - "arm_id": "cap10_weekly_top10", - "cell_id": "cap10_weekly_top10|warm_book|warm-2025-seed-14|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 59.7527, - "avg_gross_exposure_pct": 40.2473, - "avg_hold_days": 8.2, - "avg_positions": 10.0, - "blocked_fraction": 0.9861308340433589, - "cagr_pct": -88.0, - "calmar": -0.99, - "capacity_opportunities": 21126, - "end_date": "2026-01-05", - "ev_net_r": -0.6532229563231443, - "ev_without_best": { - "1": -0.6735820405216129, - "10": -0.7550411514451795, - "5": -0.7175104827013075 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 130, - "time": 20, - "trailing_stop": 55, - "weekly_rebalance": 78 - }, - "gain_to_pain": -0.9841343660042395, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 4858.8, - "measurement_start_positions": 10, - "opened_positions": 293, - "peak_positions": 10, - "profit_factor": 0.19024443926891507, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 20833, - "skipped_min_initial_risk": 0, - "sortino": -5.152215118163817, - "start_date": "2025-01-02", - "total_return_pct": -88.2, - "trades": 293, - "transaction_cost": 89.53834865030284, - "turnover_multiple": 9.214039335875404, - "underwater_pct": 99.2094861660079, - "weekly_rebalance": { - "eligible_pool_mean": 104.84905660377359, - "entrant_pool_mean": 104.84905660377359, - "entrant_pool_median": 109, - "entrant_pool_p90": 148.0, - "events": 53, - "reentries_within_10_sessions": 30, - "reentries_within_20_sessions": 38, - "reentries_within_5_sessions": 19, - "replacements": 79, - "weekly_rank_rejected_entries": 5435, - "zero_entrant_fraction": 0.0 - }, - "win_rate": 19.1 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 1.4807, - "avg_gross_exposure_pct": 98.5193, - "avg_hold_days": 13.0, - "avg_positions": 14.246, - "blocked_fraction": 0.9295594262295082, - "cagr_pct": -54.3, - "calmar": -0.54, - "capacity_opportunities": 3904, - "end_date": "2020-01-31", - "ev_net_r": -0.22981242816515773, - "ev_without_best": { - "1": -0.2934748616543812, - "10": -0.5497359830651539, - "5": -0.42590927120908323 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 146, - "time": 42, - "trailing_stop": 72 - }, - "gain_to_pain": -0.7551237916707205, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 275, - "peak_positions": 15, - "profit_factor": 0.7370271078491021, - "sessions_at_capacity": 129, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 3629, - "skipped_min_initial_risk": 0, - "sortino": 277.8150784448657, - "start_date": "2019-02-01", - "total_return_pct": -54.1, - "trades": 275, - "transaction_cost": 255.16098439005378, - "turnover_multiple": 25.51609843900538, - "underwater_pct": 96.83794466403161, - "win_rate": 23.3 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 1.4757, - "avg_gross_exposure_pct": 98.5243, - "avg_hold_days": 13.0, - "avg_positions": 14.246, - "blocked_fraction": 0.9295594262295082, - "cagr_pct": -55.8, - "calmar": -0.56, - "capacity_opportunities": 3904, - "end_date": "2020-01-31", - "ev_net_r": -0.24801000427198702, - "ev_without_best": { - "1": -0.3115803884742787, - "10": -0.567389912609588, - "5": -0.44368886462492363 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 146, - "time": 42, - "trailing_stop": 72 - }, - "gain_to_pain": -0.7710179743037632, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 275, - "peak_positions": 15, - "profit_factor": 0.72042821602709, - "sessions_at_capacity": 129, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 3629, - "skipped_min_initial_risk": 0, - "sortino": 278.20762480074853, - "start_date": "2019-02-01", - "total_return_pct": -55.7, - "trades": 275, - "transaction_cost": 502.6589811341095, - "turnover_multiple": 25.132949056705474, - "underwater_pct": 96.83794466403161, - "win_rate": 23.3 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 1.4454, - "avg_gross_exposure_pct": 98.5546, - "avg_hold_days": 12.4, - "avg_positions": 14.0794, - "blocked_fraction": 0.9207536713771127, - "cagr_pct": -72.2, - "calmar": -0.72, - "capacity_opportunities": 3609, - "end_date": "2020-02-28", - "ev_net_r": -0.4542016983875076, - "ev_without_best": { - "1": -0.5002660882923479, - "10": -0.7021491368619532, - "5": -0.6056887094451441 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 155, - "time": 36, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9264672652648243, - "longest_underwater_sessions": 203, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 286, - "peak_positions": 15, - "profit_factor": 0.4743807804627127, - "sessions_at_capacity": 130, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 3323, - "skipped_min_initial_risk": 0, - "sortino": 290.2018162521113, - "start_date": "2019-03-01", - "total_return_pct": -72.1, - "trades": 286, - "transaction_cost": 206.8833186555213, - "turnover_multiple": 20.68833186555213, - "underwater_pct": 97.23320158102767, - "win_rate": 21.0 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 1.4463, - "avg_gross_exposure_pct": 98.5537, - "avg_hold_days": 12.4, - "avg_positions": 14.0794, - "blocked_fraction": 0.9207536713771127, - "cagr_pct": -73.2, - "calmar": -0.73, - "capacity_opportunities": 3609, - "end_date": "2020-02-28", - "ev_net_r": -0.47164715820872255, - "ev_without_best": { - "1": -0.5176321277225443, - "10": -0.71917605701765, - "5": -0.6229091477673442 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 155, - "time": 36, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9344139961432982, - "longest_underwater_sessions": 203, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 286, - "peak_positions": 15, - "profit_factor": 0.4625209191884115, - "sessions_at_capacity": 130, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 3323, - "skipped_min_initial_risk": 0, - "sortino": 290.37617100389036, - "start_date": "2019-03-01", - "total_return_pct": -73.1, - "trades": 286, - "transaction_cost": 407.699405825812, - "turnover_multiple": 20.3849702912906, - "underwater_pct": 97.23320158102767, - "win_rate": 20.6 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 4.4416, - "avg_gross_exposure_pct": 95.5584, - "avg_hold_days": 12.2, - "avg_positions": 14.1984, - "blocked_fraction": 0.9211560044893379, - "cagr_pct": -69.3, - "calmar": -0.97, - "capacity_opportunities": 3564, - "end_date": "2020-03-30", - "ev_net_r": -0.4064929357946167, - "ev_without_best": { - "1": -0.46942217609346204, - "10": -0.6818209673702224, - "5": -0.5861624029344741 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 151, - "time": 35, - "trailing_stop": 80 - }, - "gain_to_pain": -0.827449920893305, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 71.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 15, - "profit_factor": 0.5455377507733615, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -2.9, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 3283, - "skipped_min_initial_risk": 0, - "sortino": -3.390122303613285, - "start_date": "2019-04-01", - "total_return_pct": -69.1, - "trades": 281, - "transaction_cost": 205.3297254994176, - "turnover_multiple": 20.53297254994176, - "underwater_pct": 96.04743083003953, - "win_rate": 23.1 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 4.4224, - "avg_gross_exposure_pct": 95.5776, - "avg_hold_days": 12.2, - "avg_positions": 14.1984, - "blocked_fraction": 0.9211560044893379, - "cagr_pct": -70.4, - "calmar": -0.97, - "capacity_opportunities": 3564, - "end_date": "2020-03-30", - "ev_net_r": -0.4237262402880079, - "ev_without_best": { - "1": -0.4865619599574505, - "10": -0.6986342422435894, - "5": -0.6031679714058595 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 151, - "time": 35, - "trailing_stop": 80 - }, - "gain_to_pain": -0.8366596989792302, - "longest_underwater_sessions": 235, - "max_drawdown_pct": 72.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 15, - "profit_factor": 0.5328820766904419, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -2.98, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 3283, - "skipped_min_initial_risk": 0, - "sortino": -3.477925282661657, - "start_date": "2019-04-01", - "total_return_pct": -70.2, - "trades": 281, - "transaction_cost": 404.56556430987763, - "turnover_multiple": 20.22827821549388, - "underwater_pct": 96.04743083003953, - "win_rate": 22.8 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 4.8453, - "avg_gross_exposure_pct": 95.1547, - "avg_hold_days": 12.0, - "avg_positions": 14.1151, - "blocked_fraction": 0.9327107279693486, - "cagr_pct": -73.5, - "calmar": -0.97, - "capacity_opportunities": 4176, - "end_date": "2020-04-29", - "ev_net_r": -0.46876669551837563, - "ev_without_best": { - "1": -0.5025439038266095, - "10": -0.7177434106933912, - "5": -0.6160761989002156 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 162, - "time": 31, - "trailing_stop": 73 - }, - "gain_to_pain": -0.8149523049821888, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 76.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 15, - "profit_factor": 0.5037101103505555, - "sessions_at_capacity": 142, - "sessions_measured": 252, - "sharpe": -2.57, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 3895, - "skipped_min_initial_risk": 0, - "sortino": -3.246422454903987, - "start_date": "2019-05-01", - "total_return_pct": -73.3, - "trades": 281, - "transaction_cost": 168.76188877905537, - "turnover_multiple": 16.876188877905534, - "underwater_pct": 98.81422924901186, - "win_rate": 21.7 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 4.8266, - "avg_gross_exposure_pct": 95.1734, - "avg_hold_days": 12.0, - "avg_positions": 14.1151, - "blocked_fraction": 0.9327107279693486, - "cagr_pct": -74.4, - "calmar": -0.97, - "capacity_opportunities": 4176, - "end_date": "2020-04-29", - "ev_net_r": -0.4851738502221734, - "ev_without_best": { - "1": -0.5188817777223241, - "10": -0.7337617077667815, - "5": -0.6323147123317031 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 162, - "time": 31, - "trailing_stop": 73 - }, - "gain_to_pain": -0.8229128465499223, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 76.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 281, - "peak_positions": 15, - "profit_factor": 0.49297690773633823, - "sessions_at_capacity": 142, - "sessions_measured": 252, - "sharpe": -2.64, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 3895, - "skipped_min_initial_risk": 0, - "sortino": -3.3279010568894325, - "start_date": "2019-05-01", - "total_return_pct": -74.3, - "trades": 281, - "transaction_cost": 332.62743042678966, - "turnover_multiple": 16.63137152133948, - "underwater_pct": 98.81422924901186, - "win_rate": 21.4 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 4.8829, - "avg_gross_exposure_pct": 95.1171, - "avg_hold_days": 12.5, - "avg_positions": 14.3016, - "blocked_fraction": 0.9439435515484124, - "cagr_pct": -63.5, - "calmar": -0.95, - "capacity_opportunities": 5102, - "end_date": "2020-06-01", - "ev_net_r": -0.31294782994628845, - "ev_without_best": { - "1": -0.3744448200439318, - "10": -0.6107677665239389, - "5": -0.49829070115832563 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 158, - "time": 38, - "trailing_stop": 75 - }, - "gain_to_pain": -0.7966702384330099, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 67.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 286, - "peak_positions": 15, - "profit_factor": 0.6445674530835929, - "sessions_at_capacity": 159, - "sessions_measured": 252, - "sharpe": -1.99, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 4816, - "skipped_min_initial_risk": 0, - "sortino": -2.6453437119633807, - "start_date": "2019-06-03", - "total_return_pct": -63.4, - "trades": 286, - "transaction_cost": 220.6471239738213, - "turnover_multiple": 22.064712397382127, - "underwater_pct": 99.60474308300395, - "win_rate": 24.8 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 4.8737, - "avg_gross_exposure_pct": 95.1263, - "avg_hold_days": 12.5, - "avg_positions": 14.3016, - "blocked_fraction": 0.9439435515484124, - "cagr_pct": -64.8, - "calmar": -0.95, - "capacity_opportunities": 5102, - "end_date": "2020-06-01", - "ev_net_r": -0.32936320985612505, - "ev_without_best": { - "1": -0.39076545012634273, - "10": -0.6266516509056016, - "5": -0.5144214027403254 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 158, - "time": 38, - "trailing_stop": 75 - }, - "gain_to_pain": -0.8096159835586609, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 68.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 286, - "peak_positions": 15, - "profit_factor": 0.6307929912888836, - "sessions_at_capacity": 159, - "sessions_measured": 252, - "sharpe": -2.06, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 4816, - "skipped_min_initial_risk": 0, - "sortino": -2.7343998468917534, - "start_date": "2019-06-03", - "total_return_pct": -64.7, - "trades": 286, - "transaction_cost": 434.6439983861441, - "turnover_multiple": 21.732199919307206, - "underwater_pct": 99.60474308300395, - "win_rate": 24.5 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 5.3515, - "avg_gross_exposure_pct": 94.6485, - "avg_hold_days": 11.9, - "avg_positions": 13.9444, - "blocked_fraction": 0.9418881396271321, - "cagr_pct": -50.2, - "calmar": -0.75, - "capacity_opportunities": 5042, - "end_date": "2020-06-29", - "ev_net_r": -0.2724726616521696, - "ev_without_best": { - "1": -0.33235679524646494, - "10": -0.567636196408861, - "5": -0.4560241138954713 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 164, - "time": 39, - "trailing_stop": 75 - }, - "gain_to_pain": -0.505303335015383, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 67.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 293, - "peak_positions": 15, - "profit_factor": 0.6973395366093914, - "sessions_at_capacity": 140, - "sessions_measured": 252, - "sharpe": -1.16, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 4749, - "skipped_min_initial_risk": 0, - "sortino": -1.640558402791453, - "start_date": "2019-07-01", - "total_return_pct": -50.1, - "trades": 293, - "transaction_cost": 214.49328777750907, - "turnover_multiple": 21.449328777750907, - "underwater_pct": 98.81422924901186, - "win_rate": 25.6 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 5.3382, - "avg_gross_exposure_pct": 94.6618, - "avg_hold_days": 11.9, - "avg_positions": 13.9444, - "blocked_fraction": 0.9418881396271321, - "cagr_pct": -52.0, - "calmar": -0.76, - "capacity_opportunities": 5042, - "end_date": "2020-06-29", - "ev_net_r": -0.28883783914456834, - "ev_without_best": { - "1": -0.34862932238532346, - "10": -0.5836633330020508, - "5": -0.4721704834834389 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 164, - "time": 39, - "trailing_stop": 75 - }, - "gain_to_pain": -0.5252987265709966, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 68.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 293, - "peak_positions": 15, - "profit_factor": 0.6832710121179291, - "sessions_at_capacity": 140, - "sessions_measured": 252, - "sharpe": -1.23, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 4749, - "skipped_min_initial_risk": 0, - "sortino": -1.73288366773554, - "start_date": "2019-07-01", - "total_return_pct": -51.9, - "trades": 293, - "transaction_cost": 422.21840200763955, - "turnover_multiple": 21.110920100381975, - "underwater_pct": 98.81422924901186, - "win_rate": 25.3 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 6.3556, - "avg_gross_exposure_pct": 93.6444, - "avg_hold_days": 12.2, - "avg_positions": 14.2381, - "blocked_fraction": 0.9532201217558475, - "cagr_pct": -40.9, - "calmar": -0.63, - "capacity_opportunities": 6242, - "end_date": "2020-07-30", - "ev_net_r": -0.14663157928698659, - "ev_without_best": { - "1": -0.18851040145802667, - "10": -0.43862571880056794, - "5": -0.31661602840447833 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 156, - "time": 40, - "trailing_stop": 81 - }, - "gain_to_pain": -0.35013915601463413, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 65.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 292, - "peak_positions": 15, - "profit_factor": 0.8126853884641411, - "sessions_at_capacity": 170, - "sessions_measured": 252, - "sharpe": -0.79, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 5950, - "skipped_min_initial_risk": 0, - "sortino": -1.2018617612060516, - "start_date": "2019-08-01", - "total_return_pct": -40.8, - "trades": 292, - "transaction_cost": 212.90367601857653, - "turnover_multiple": 21.290367601857653, - "underwater_pct": 99.60474308300395, - "win_rate": 26.0 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 6.3316, - "avg_gross_exposure_pct": 93.6684, - "avg_hold_days": 12.2, - "avg_positions": 14.2381, - "blocked_fraction": 0.9532201217558475, - "cagr_pct": -43.0, - "calmar": -0.65, - "capacity_opportunities": 6242, - "end_date": "2020-07-30", - "ev_net_r": -0.161980729867102, - "ev_without_best": { - "1": -0.20382820901744553, - "10": -0.4536474679641137, - "5": -0.33180176666681904 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 156, - "time": 40, - "trailing_stop": 81 - }, - "gain_to_pain": -0.3760922876806656, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 66.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 292, - "peak_positions": 15, - "profit_factor": 0.7959039132244282, - "sessions_at_capacity": 170, - "sessions_measured": 252, - "sharpe": -0.86, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 5950, - "skipped_min_initial_risk": 0, - "sortino": -1.3025397639914484, - "start_date": "2019-08-01", - "total_return_pct": -42.9, - "trades": 292, - "transaction_cost": 418.6748270135718, - "turnover_multiple": 20.93374135067859, - "underwater_pct": 99.60474308300395, - "win_rate": 25.7 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 7.2736, - "avg_gross_exposure_pct": 92.7264, - "avg_hold_days": 12.8, - "avg_positions": 14.4643, - "blocked_fraction": 0.9615488762523694, - "cagr_pct": -34.2, - "calmar": -0.73, - "capacity_opportunities": 7386, - "end_date": "2020-08-31", - "ev_net_r": -0.08097898655206384, - "ev_without_best": { - "1": -0.1420909064617251, - "10": -0.413233857210302, - "5": -0.2903446254780229 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 37, - "trailing_stop": 95 - }, - "gain_to_pain": -0.30494777929225675, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 46.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 15, - "profit_factor": 0.8939392698099099, - "sessions_at_capacity": 197, - "sessions_measured": 252, - "sharpe": -0.58, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 7102, - "skipped_min_initial_risk": 0, - "sortino": -0.8360706888173297, - "start_date": "2019-09-03", - "total_return_pct": -34.0, - "trades": 284, - "transaction_cost": 263.85536690272914, - "turnover_multiple": 26.385536690272914, - "underwater_pct": 98.81422924901186, - "win_rate": 26.8 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 7.2555, - "avg_gross_exposure_pct": 92.7445, - "avg_hold_days": 12.8, - "avg_positions": 14.4643, - "blocked_fraction": 0.9615488762523694, - "cagr_pct": -36.5, - "calmar": -0.76, - "capacity_opportunities": 7386, - "end_date": "2020-08-31", - "ev_net_r": -0.09615955359256384, - "ev_without_best": { - "1": -0.15717169076835355, - "10": -0.42798228060088866, - "5": -0.3052666908483128 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 37, - "trailing_stop": 95 - }, - "gain_to_pain": -0.33319785506986943, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 47.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 15, - "profit_factor": 0.8757225904961057, - "sessions_at_capacity": 197, - "sessions_measured": 252, - "sharpe": -0.65, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 7102, - "skipped_min_initial_risk": 0, - "sortino": -0.9293316083062286, - "start_date": "2019-09-03", - "total_return_pct": -36.3, - "trades": 284, - "transaction_cost": 518.9919401822152, - "turnover_multiple": 25.94959700911076, - "underwater_pct": 98.81422924901186, - "win_rate": 26.4 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 6.8469, - "avg_gross_exposure_pct": 93.1531, - "avg_hold_days": 13.3, - "avg_positions": 14.2778, - "blocked_fraction": 0.9645866245392312, - "cagr_pct": -20.8, - "calmar": -0.46, - "capacity_opportunities": 7596, - "end_date": "2020-09-29", - "ev_net_r": -0.0038233098839980362, - "ev_without_best": { - "1": -0.066190346029696, - "10": -0.3668261186263888, - "5": -0.2280036522673234 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 132, - "time": 36, - "trailing_stop": 86 - }, - "gain_to_pain": -0.12445815449496478, - "longest_underwater_sessions": 141, - "max_drawdown_pct": 44.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 269, - "peak_positions": 15, - "profit_factor": 0.9949904215444473, - "sessions_at_capacity": 206, - "sessions_measured": 252, - "sharpe": -0.18, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 7327, - "skipped_min_initial_risk": 0, - "sortino": -0.2691774901605113, - "start_date": "2019-10-01", - "total_return_pct": -20.8, - "trades": 269, - "transaction_cost": 280.7928203358114, - "turnover_multiple": 28.07928203358114, - "underwater_pct": 97.62845849802372, - "win_rate": 29.4 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 6.8201, - "avg_gross_exposure_pct": 93.1799, - "avg_hold_days": 13.3, - "avg_positions": 14.2778, - "blocked_fraction": 0.9645866245392312, - "cagr_pct": -23.5, - "calmar": -0.52, - "capacity_opportunities": 7596, - "end_date": "2020-09-29", - "ev_net_r": -0.01820004122788813, - "ev_without_best": { - "1": -0.08046112012970393, - "10": -0.38061624532532506, - "5": -0.2419699097561397 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 132, - "time": 36, - "trailing_stop": 86 - }, - "gain_to_pain": -0.1650779585813314, - "longest_underwater_sessions": 141, - "max_drawdown_pct": 45.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 269, - "peak_positions": 15, - "profit_factor": 0.9764341980984121, - "sessions_at_capacity": 206, - "sessions_measured": 252, - "sharpe": -0.24, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 7327, - "skipped_min_initial_risk": 0, - "sortino": -0.3630150130710629, - "start_date": "2019-10-01", - "total_return_pct": -23.4, - "trades": 269, - "transaction_cost": 552.3573272376648, - "turnover_multiple": 27.61786636188324, - "underwater_pct": 98.02371541501977, - "win_rate": 29.0 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 7.8924, - "avg_gross_exposure_pct": 92.1076, - "avg_hold_days": 13.0, - "avg_positions": 14.5635, - "blocked_fraction": 0.9661708253358925, - "cagr_pct": -23.0, - "calmar": -0.53, - "capacity_opportunities": 8336, - "end_date": "2020-10-30", - "ev_net_r": -0.006293907905089378, - "ev_without_best": { - "1": -0.06757500490077321, - "10": -0.34373571323345653, - "5": -0.2158231059812905 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 39, - "trailing_stop": 92 - }, - "gain_to_pain": -0.13910427104236975, - "longest_underwater_sessions": 141, - "max_drawdown_pct": 43.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 282, - "peak_positions": 15, - "profit_factor": 0.9915533106469157, - "sessions_at_capacity": 216, - "sessions_measured": 252, - "sharpe": -0.08, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 8054, - "skipped_min_initial_risk": 0, - "sortino": -0.11954649492323041, - "start_date": "2019-11-01", - "total_return_pct": -23.0, - "trades": 282, - "transaction_cost": 332.7235224382481, - "turnover_multiple": 33.27235224382481, - "underwater_pct": 97.23320158102767, - "win_rate": 27.7 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 7.864, - "avg_gross_exposure_pct": 92.136, - "avg_hold_days": 13.0, - "avg_positions": 14.5635, - "blocked_fraction": 0.9661708253358925, - "cagr_pct": -25.8, - "calmar": -0.58, - "capacity_opportunities": 8336, - "end_date": "2020-10-30", - "ev_net_r": -0.01997441197312485, - "ev_without_best": { - "1": -0.08114967773514992, - "10": -0.3569182338138437, - "5": -0.22921616499210234 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 39, - "trailing_stop": 92 - }, - "gain_to_pain": -0.17658901563743498, - "longest_underwater_sessions": 215, - "max_drawdown_pct": 44.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 282, - "peak_positions": 15, - "profit_factor": 0.9735131053624879, - "sessions_at_capacity": 216, - "sessions_measured": 252, - "sharpe": -0.14, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 8054, - "skipped_min_initial_risk": 0, - "sortino": -0.19905517190901564, - "start_date": "2019-11-01", - "total_return_pct": -25.7, - "trades": 282, - "transaction_cost": 654.0001768059243, - "turnover_multiple": 32.70000884029621, - "underwater_pct": 97.62845849802372, - "win_rate": 27.3 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 8.4354, - "avg_gross_exposure_pct": 91.5646, - "avg_hold_days": 13.8, - "avg_positions": 14.6349, - "blocked_fraction": 0.9686288332745858, - "cagr_pct": -23.4, - "calmar": -0.52, - "capacity_opportunities": 8511, - "end_date": "2020-11-30", - "ev_net_r": -0.07592680340527085, - "ev_without_best": { - "1": -0.12147579767553753, - "10": -0.4010947066934841, - "5": -0.2644992464137165 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 126, - "time": 40, - "trailing_stop": 86 - }, - "gain_to_pain": -0.1495481444285675, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 45.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 15, - "profit_factor": 0.8993230283512352, - "sessions_at_capacity": 215, - "sessions_measured": 252, - "sharpe": -0.1, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 8244, - "skipped_min_initial_risk": 0, - "sortino": -0.14096030809162677, - "start_date": "2019-12-02", - "total_return_pct": -23.3, - "trades": 267, - "transaction_cost": 275.2502939476206, - "turnover_multiple": 27.52502939476206, - "underwater_pct": 96.04743083003953, - "win_rate": 28.1 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2019-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 8.404, - "avg_gross_exposure_pct": 91.596, - "avg_hold_days": 13.8, - "avg_positions": 14.6349, - "blocked_fraction": 0.9686288332745858, - "cagr_pct": -25.9, - "calmar": -0.57, - "capacity_opportunities": 8511, - "end_date": "2020-11-30", - "ev_net_r": -0.08910086629301263, - "ev_without_best": { - "1": -0.13460739474856104, - "10": -0.4139042451070977, - "5": -0.27745436666728907 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 126, - "time": 40, - "trailing_stop": 86 - }, - "gain_to_pain": -0.18539751580051664, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 45.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 267, - "peak_positions": 15, - "profit_factor": 0.8831891795702829, - "sessions_at_capacity": 215, - "sessions_measured": 252, - "sharpe": -0.15, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 8244, - "skipped_min_initial_risk": 0, - "sortino": -0.2106487877726409, - "start_date": "2019-12-02", - "total_return_pct": -25.8, - "trades": 267, - "transaction_cost": 542.1731229343078, - "turnover_multiple": 27.10865614671539, - "underwater_pct": 96.04743083003953, - "win_rate": 28.1 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.7314, - "avg_gross_exposure_pct": 91.2686, - "avg_hold_days": 13.2, - "avg_positions": 14.7579, - "blocked_fraction": 0.969752619639192, - "cagr_pct": -30.1, - "calmar": -0.7, - "capacity_opportunities": 9257, - "end_date": "2020-12-30", - "ev_net_r": -0.09062821202883545, - "ev_without_best": { - "1": -0.13410754494824229, - "10": -0.4120703202861495, - "5": -0.27027863347324116 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 134, - "time": 44, - "trailing_stop": 87 - }, - "gain_to_pain": -0.26493969133900774, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 42.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 280, - "peak_positions": 15, - "profit_factor": 0.8787692335600416, - "sessions_at_capacity": 232, - "sessions_measured": 252, - "sharpe": -0.21, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 8977, - "skipped_min_initial_risk": 0, - "sortino": -0.29856054850207264, - "start_date": "2020-01-02", - "total_return_pct": -29.9, - "trades": 280, - "transaction_cost": 260.9159958307224, - "turnover_multiple": 26.09159958307224, - "underwater_pct": 98.02371541501977, - "win_rate": 28.2 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.6948, - "avg_gross_exposure_pct": 91.3052, - "avg_hold_days": 13.2, - "avg_positions": 14.7579, - "blocked_fraction": 0.969752619639192, - "cagr_pct": -32.4, - "calmar": -0.74, - "capacity_opportunities": 9257, - "end_date": "2020-12-30", - "ev_net_r": -0.10338989736294212, - "ev_without_best": { - "1": -0.1468272651057586, - "10": -0.42448441766150474, - "5": -0.28282705902599603 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 134, - "time": 44, - "trailing_stop": 87 - }, - "gain_to_pain": -0.2951273030262739, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 43.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 280, - "peak_positions": 15, - "profit_factor": 0.8632238750086875, - "sessions_at_capacity": 232, - "sessions_measured": 252, - "sharpe": -0.27, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 8977, - "skipped_min_initial_risk": 0, - "sortino": -0.3671466066112904, - "start_date": "2020-01-02", - "total_return_pct": -32.3, - "trades": 280, - "transaction_cost": 513.5395892167231, - "turnover_multiple": 25.676979460836154, - "underwater_pct": 98.02371541501977, - "win_rate": 27.9 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 8.3515, - "avg_gross_exposure_pct": 91.6485, - "avg_hold_days": 13.6, - "avg_positions": 14.7976, - "blocked_fraction": 0.9729381443298969, - "cagr_pct": 21.9, - "calmar": 0.53, - "capacity_opportunities": 10088, - "end_date": "2021-02-01", - "ev_net_r": 0.12461444682663313, - "ev_without_best": { - "1": 0.03984792403792131, - "10": -0.2674478284742328, - "5": -0.12233895590167693 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 130, - "time": 45, - "trailing_stop": 83 - }, - "gain_to_pain": 0.5477733983399018, - "longest_underwater_sessions": 135, - "max_drawdown_pct": 41.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 273, - "peak_positions": 15, - "profit_factor": 1.1626300725401877, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": 0.64, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 9815, - "skipped_min_initial_risk": 0, - "sortino": 0.9127342469686981, - "start_date": "2020-02-03", - "total_return_pct": 21.8, - "trades": 273, - "transaction_cost": 288.69904960791, - "turnover_multiple": 28.869904960790997, - "underwater_pct": 96.44268774703558, - "win_rate": 30.0 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 8.3201, - "avg_gross_exposure_pct": 91.6799, - "avg_hold_days": 13.6, - "avg_positions": 14.7976, - "blocked_fraction": 0.9729381443298969, - "cagr_pct": 18.1, - "calmar": 0.43, - "capacity_opportunities": 10088, - "end_date": "2021-02-01", - "ev_net_r": 0.11176159690214602, - "ev_without_best": { - "1": 0.027065972385443116, - "10": -0.2799449522842038, - "5": -0.1349701274799971 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 130, - "time": 45, - "trailing_stop": 83 - }, - "gain_to_pain": 0.4961149476276482, - "longest_underwater_sessions": 135, - "max_drawdown_pct": 41.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 273, - "peak_positions": 15, - "profit_factor": 1.1443200021055764, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": 0.59, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 9815, - "skipped_min_initial_risk": 0, - "sortino": 0.8439059047697237, - "start_date": "2020-02-03", - "total_return_pct": 18.0, - "trades": 273, - "transaction_cost": 567.9529935476592, - "turnover_multiple": 28.397649677382958, - "underwater_pct": 96.83794466403161, - "win_rate": 30.0 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 9.5968, - "avg_gross_exposure_pct": 90.4032, - "avg_hold_days": 14.1, - "avg_positions": 14.7817, - "blocked_fraction": 0.9756637168141593, - "cagr_pct": 19.9, - "calmar": 0.53, - "capacity_opportunities": 10848, - "end_date": "2021-03-01", - "ev_net_r": 0.1477023386433581, - "ev_without_best": { - "1": 0.06012284698285283, - "10": -0.26645133921385195, - "5": -0.11620642509794712 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 113, - "time": 49, - "trailing_stop": 87 - }, - "gain_to_pain": 0.5351372858468019, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 37.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 264, - "peak_positions": 15, - "profit_factor": 1.1934891152082467, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": 0.61, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 10584, - "skipped_min_initial_risk": 0, - "sortino": 0.8604632769177579, - "start_date": "2020-03-02", - "total_return_pct": 19.8, - "trades": 264, - "transaction_cost": 290.03110008060867, - "turnover_multiple": 29.00311000806086, - "underwater_pct": 95.25691699604744, - "win_rate": 32.2 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 9.555, - "avg_gross_exposure_pct": 90.445, - "avg_hold_days": 14.1, - "avg_positions": 14.7817, - "blocked_fraction": 0.9756637168141593, - "cagr_pct": 16.2, - "calmar": 0.42, - "capacity_opportunities": 10848, - "end_date": "2021-03-01", - "ev_net_r": 0.13501822624155535, - "ev_without_best": { - "1": 0.047512700617206374, - "10": -0.27876780343343455, - "5": -0.12866539215213535 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 113, - "time": 49, - "trailing_stop": 87 - }, - "gain_to_pain": 0.48279620195112494, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 38.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 264, - "peak_positions": 15, - "profit_factor": 1.1750916121048975, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": 0.57, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 10584, - "skipped_min_initial_risk": 0, - "sortino": 0.7941006762113796, - "start_date": "2020-03-02", - "total_return_pct": 16.1, - "trades": 264, - "transaction_cost": 570.6228834511064, - "turnover_multiple": 28.53114417255532, - "underwater_pct": 95.65217391304348, - "win_rate": 32.2 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 7.7187, - "avg_gross_exposure_pct": 92.2813, - "avg_hold_days": 14.9, - "avg_positions": 14.7976, - "blocked_fraction": 0.9757191613846904, - "cagr_pct": 28.6, - "calmar": 0.65, - "capacity_opportunities": 10255, - "end_date": "2021-03-31", - "ev_net_r": 0.15193101119626856, - "ev_without_best": { - "1": 0.05263788589714306, - "10": -0.26111024961423007, - "5": -0.11027736681880654 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 112, - "time": 46, - "trailing_stop": 76 - }, - "gain_to_pain": 0.7215017125042831, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 44.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 249, - "peak_positions": 15, - "profit_factor": 1.199866454983846, - "sessions_at_capacity": 232, - "sessions_measured": 252, - "sharpe": 0.7, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 10006, - "skipped_min_initial_risk": 0, - "sortino": 1.0889127757756345, - "start_date": "2020-04-01", - "total_return_pct": 28.5, - "trades": 249, - "transaction_cost": 347.4421272637362, - "turnover_multiple": 34.74421272637362, - "underwater_pct": 90.51383399209486, - "win_rate": 31.7 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 7.4041, - "avg_gross_exposure_pct": 92.5959, - "avg_hold_days": 15.2, - "avg_positions": 14.7937, - "blocked_fraction": 0.9760555121188429, - "cagr_pct": 20.9, - "calmar": 0.51, - "capacity_opportunities": 10232, - "end_date": "2021-03-31", - "ev_net_r": 0.15183184107668682, - "ev_without_best": { - "1": 0.05758126884566781, - "10": -0.2780037916563804, - "5": -0.12285045439640334 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 105, - "time": 45, - "trailing_stop": 80 - }, - "gain_to_pain": 0.5850809990373127, - "longest_underwater_sessions": 136, - "max_drawdown_pct": 40.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 245, - "peak_positions": 15, - "profit_factor": 1.2008564398494448, - "sessions_at_capacity": 231, - "sessions_measured": 252, - "sharpe": 0.63, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 9987, - "skipped_min_initial_risk": 0, - "sortino": 0.9662860417156942, - "start_date": "2020-04-01", - "total_return_pct": 20.8, - "trades": 245, - "transaction_cost": 676.8927639724513, - "turnover_multiple": 33.84463819862257, - "underwater_pct": 89.32806324110672, - "win_rate": 33.1 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 7.4464, - "avg_gross_exposure_pct": 92.5536, - "avg_hold_days": 14.8, - "avg_positions": 14.9444, - "blocked_fraction": 0.975626204238921, - "cagr_pct": 23.5, - "calmar": 0.53, - "capacity_opportunities": 10380, - "end_date": "2021-04-30", - "ev_net_r": 0.15773494927631224, - "ev_without_best": { - "1": 0.06004093683145868, - "10": -0.3041212313136949, - "5": -0.15104044002665842 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 118, - "time": 45, - "trailing_stop": 76 - }, - "gain_to_pain": 0.6244119596555288, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 44.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 253, - "peak_positions": 15, - "profit_factor": 1.2091989470152884, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": 0.65, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 10127, - "skipped_min_initial_risk": 0, - "sortino": 1.0093491458259818, - "start_date": "2020-05-01", - "total_return_pct": 23.4, - "trades": 253, - "transaction_cost": 309.02103476902533, - "turnover_multiple": 30.902103476902536, - "underwater_pct": 92.88537549407114, - "win_rate": 30.0 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 7.409, - "avg_gross_exposure_pct": 92.591, - "avg_hold_days": 14.8, - "avg_positions": 14.9444, - "blocked_fraction": 0.975626204238921, - "cagr_pct": 20.0, - "calmar": 0.45, - "capacity_opportunities": 10380, - "end_date": "2021-04-30", - "ev_net_r": 0.1450607462820469, - "ev_without_best": { - "1": 0.047447889836514275, - "10": -0.31640169854744227, - "5": -0.16343817800979824 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 118, - "time": 45, - "trailing_stop": 76 - }, - "gain_to_pain": 0.5688960313282908, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 44.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 253, - "peak_positions": 15, - "profit_factor": 1.1904332797722565, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": 0.62, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 10127, - "skipped_min_initial_risk": 0, - "sortino": 0.9530965658877534, - "start_date": "2020-05-01", - "total_return_pct": 20.0, - "trades": 253, - "transaction_cost": 609.2113300135952, - "turnover_multiple": 30.460566500679764, - "underwater_pct": 92.88537549407114, - "win_rate": 30.0 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 6.1852, - "avg_gross_exposure_pct": 93.8148, - "avg_hold_days": 14.3, - "avg_positions": 14.877, - "blocked_fraction": 0.9725740605045535, - "cagr_pct": 32.9, - "calmar": 0.77, - "capacity_opportunities": 9553, - "end_date": "2021-05-28", - "ev_net_r": 0.2444024308967563, - "ev_without_best": { - "1": 0.15652233045821415, - "10": -0.21666329782003188, - "5": -0.06177501281991758 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 122, - "time": 41, - "trailing_stop": 84 - }, - "gain_to_pain": 0.775107226373384, - "longest_underwater_sessions": 137, - "max_drawdown_pct": 43.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 15, - "profit_factor": 1.3235100805533029, - "sessions_at_capacity": 221, - "sessions_measured": 252, - "sharpe": 0.74, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 9291, - "skipped_min_initial_risk": 0, - "sortino": 1.1575581565352318, - "start_date": "2020-06-01", - "total_return_pct": 32.5, - "trades": 262, - "transaction_cost": 356.35546866352126, - "turnover_multiple": 35.63554686635212, - "underwater_pct": 91.699604743083, - "win_rate": 29.0 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 6.1369, - "avg_gross_exposure_pct": 93.8631, - "avg_hold_days": 14.3, - "avg_positions": 14.877, - "blocked_fraction": 0.9725740605045535, - "cagr_pct": 28.8, - "calmar": 0.66, - "capacity_opportunities": 9553, - "end_date": "2021-05-28", - "ev_net_r": 0.23125191744303175, - "ev_without_best": { - "1": 0.14344456285298463, - "10": -0.22942533760882616, - "5": -0.07467245829972352 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 122, - "time": 41, - "trailing_stop": 84 - }, - "gain_to_pain": 0.7022192092581081, - "longest_underwater_sessions": 137, - "max_drawdown_pct": 43.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 262, - "peak_positions": 15, - "profit_factor": 1.3027926634455076, - "sessions_at_capacity": 221, - "sessions_measured": 252, - "sharpe": 0.71, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 9291, - "skipped_min_initial_risk": 0, - "sortino": 1.0962876656935825, - "start_date": "2020-06-01", - "total_return_pct": 28.4, - "trades": 262, - "transaction_cost": 700.9253009315385, - "turnover_multiple": 35.04626504657692, - "underwater_pct": 91.699604743083, - "win_rate": 29.0 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 6.7048, - "avg_gross_exposure_pct": 93.2952, - "avg_hold_days": 14.2, - "avg_positions": 14.9008, - "blocked_fraction": 0.9741859782927544, - "cagr_pct": 26.1, - "calmar": 0.66, - "capacity_opportunities": 10227, - "end_date": "2021-06-30", - "ev_net_r": 0.16323817062018062, - "ev_without_best": { - "1": 0.06965114432832048, - "10": -0.23736503382831603, - "5": -0.10203762929094197 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 121, - "time": 45, - "trailing_stop": 84 - }, - "gain_to_pain": 0.6876685206444736, - "longest_underwater_sessions": 136, - "max_drawdown_pct": 39.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 264, - "peak_positions": 15, - "profit_factor": 1.2262697387869468, - "sessions_at_capacity": 227, - "sessions_measured": 252, - "sharpe": 0.7, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 9963, - "skipped_min_initial_risk": 0, - "sortino": 1.104078190469756, - "start_date": "2020-07-01", - "total_return_pct": 26.0, - "trades": 264, - "transaction_cost": 333.0835335729161, - "turnover_multiple": 33.30835335729161, - "underwater_pct": 92.4901185770751, - "win_rate": 31.1 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 6.6742, - "avg_gross_exposure_pct": 93.3258, - "avg_hold_days": 14.2, - "avg_positions": 14.9008, - "blocked_fraction": 0.9741859782927544, - "cagr_pct": 22.2, - "calmar": 0.56, - "capacity_opportunities": 10227, - "end_date": "2021-06-30", - "ev_net_r": 0.1503083891560258, - "ev_without_best": { - "1": 0.056798152724846146, - "10": -0.24998300026457326, - "5": -0.11476276727908291 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 121, - "time": 45, - "trailing_stop": 84 - }, - "gain_to_pain": 0.6234458058611211, - "longest_underwater_sessions": 136, - "max_drawdown_pct": 39.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 264, - "peak_positions": 15, - "profit_factor": 1.2060831077125675, - "sessions_at_capacity": 227, - "sessions_measured": 252, - "sharpe": 0.67, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 9963, - "skipped_min_initial_risk": 0, - "sortino": 1.0503629483639756, - "start_date": "2020-07-01", - "total_return_pct": 22.2, - "trades": 264, - "transaction_cost": 655.1549891869211, - "turnover_multiple": 32.75774945934605, - "underwater_pct": 92.4901185770751, - "win_rate": 31.1 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 4.9247, - "avg_gross_exposure_pct": 95.0753, - "avg_hold_days": 13.6, - "avg_positions": 14.7381, - "blocked_fraction": 0.9716961498439126, - "cagr_pct": 22.4, - "calmar": 0.5, - "capacity_opportunities": 9610, - "end_date": "2021-08-02", - "ev_net_r": 0.12239903719513195, - "ev_without_best": { - "1": 0.03731154786612413, - "10": -0.28715901381128167, - "5": -0.1461928612323979 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 133, - "time": 43, - "trailing_stop": 82 - }, - "gain_to_pain": 0.649539257094887, - "longest_underwater_sessions": 57, - "max_drawdown_pct": 44.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 272, - "peak_positions": 15, - "profit_factor": 1.1631822295859984, - "sessions_at_capacity": 216, - "sessions_measured": 252, - "sharpe": 0.66, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 9338, - "skipped_min_initial_risk": 0, - "sortino": 1.0753450352897198, - "start_date": "2020-08-03", - "total_return_pct": 22.3, - "trades": 272, - "transaction_cost": 376.9163462230486, - "turnover_multiple": 37.69163462230486, - "underwater_pct": 92.4901185770751, - "win_rate": 29.0 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 4.882, - "avg_gross_exposure_pct": 95.118, - "avg_hold_days": 13.6, - "avg_positions": 14.7381, - "blocked_fraction": 0.9716961498439126, - "cagr_pct": 18.4, - "calmar": 0.41, - "capacity_opportunities": 9610, - "end_date": "2021-08-02", - "ev_net_r": 0.10865585225829995, - "ev_without_best": { - "1": 0.02363623744949171, - "10": -0.3005912238380206, - "5": -0.1597054105439893 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 133, - "time": 43, - "trailing_stop": 82 - }, - "gain_to_pain": 0.5667462928419909, - "longest_underwater_sessions": 59, - "max_drawdown_pct": 44.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 272, - "peak_positions": 15, - "profit_factor": 1.14318010748137, - "sessions_at_capacity": 216, - "sessions_measured": 252, - "sharpe": 0.63, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 9338, - "skipped_min_initial_risk": 0, - "sortino": 1.0153886468402766, - "start_date": "2020-08-03", - "total_return_pct": 18.3, - "trades": 272, - "transaction_cost": 740.4631374725633, - "turnover_multiple": 37.02315687362817, - "underwater_pct": 92.88537549407114, - "win_rate": 29.0 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 4.5744, - "avg_gross_exposure_pct": 95.4256, - "avg_hold_days": 13.9, - "avg_positions": 14.6706, - "blocked_fraction": 0.9690576652601969, - "cagr_pct": 1.5, - "calmar": 0.03, - "capacity_opportunities": 8532, - "end_date": "2021-08-31", - "ev_net_r": 0.07434365327867291, - "ev_without_best": { - "1": -0.013514768744435744, - "10": -0.31032935820535734, - "5": -0.19665543621271758 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 125, - "time": 46, - "trailing_stop": 78 - }, - "gain_to_pain": 0.19651336651196807, - "longest_underwater_sessions": 60, - "max_drawdown_pct": 50.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 264, - "peak_positions": 15, - "profit_factor": 1.101544692147283, - "sessions_at_capacity": 191, - "sessions_measured": 252, - "sharpe": 0.46, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 8268, - "skipped_min_initial_risk": 0, - "sortino": 0.7216833684831664, - "start_date": "2020-09-01", - "total_return_pct": 1.5, - "trades": 264, - "transaction_cost": 341.6090505439986, - "turnover_multiple": 34.16090505439986, - "underwater_pct": 94.0711462450593, - "win_rate": 31.1 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 4.5509, - "avg_gross_exposure_pct": 95.4491, - "avg_hold_days": 13.9, - "avg_positions": 14.6706, - "blocked_fraction": 0.9690576652601969, - "cagr_pct": -1.6, - "calmar": -0.03, - "capacity_opportunities": 8532, - "end_date": "2021-08-31", - "ev_net_r": 0.060049572897389526, - "ev_without_best": { - "1": -0.027741004640815563, - "10": -0.3243285263977886, - "5": -0.21075242528526933 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 125, - "time": 46, - "trailing_stop": 78 - }, - "gain_to_pain": 0.1311982788869989, - "longest_underwater_sessions": 60, - "max_drawdown_pct": 51.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 264, - "peak_positions": 15, - "profit_factor": 1.0810233326502097, - "sessions_at_capacity": 191, - "sessions_measured": 252, - "sharpe": 0.42, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 8268, - "skipped_min_initial_risk": 0, - "sortino": 0.6670713776441081, - "start_date": "2020-09-01", - "total_return_pct": -1.6, - "trades": 264, - "transaction_cost": 671.9834904965973, - "turnover_multiple": 33.59917452482986, - "underwater_pct": 94.46640316205533, - "win_rate": 31.1 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 3.9561, - "avg_gross_exposure_pct": 96.0439, - "avg_hold_days": 13.9, - "avg_positions": 14.6706, - "blocked_fraction": 0.9705522835870652, - "cagr_pct": 0.8, - "calmar": 0.02, - "capacity_opportunities": 8999, - "end_date": "2021-09-30", - "ev_net_r": 0.09844087463254773, - "ev_without_best": { - "1": 0.011006527016170081, - "10": -0.30335139244105974, - "5": -0.18333067031476868 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 123, - "time": 43, - "trailing_stop": 84 - }, - "gain_to_pain": 0.23914006922232806, - "longest_underwater_sessions": 76, - "max_drawdown_pct": 53.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 265, - "peak_positions": 15, - "profit_factor": 1.1402620071116851, - "sessions_at_capacity": 189, - "sessions_measured": 252, - "sharpe": 0.44, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 8734, - "skipped_min_initial_risk": 0, - "sortino": 0.7096263272100646, - "start_date": "2020-10-01", - "total_return_pct": 0.8, - "trades": 265, - "transaction_cost": 394.0274759340817, - "turnover_multiple": 39.402747593408165, - "underwater_pct": 92.88537549407114, - "win_rate": 29.4 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 3.9311, - "avg_gross_exposure_pct": 96.0689, - "avg_hold_days": 13.9, - "avg_positions": 14.6706, - "blocked_fraction": 0.9705522835870652, - "cagr_pct": -2.4, - "calmar": -0.04, - "capacity_opportunities": 8999, - "end_date": "2021-09-30", - "ev_net_r": 0.08380685290359349, - "ev_without_best": { - "1": -0.0035611948711858146, - "10": -0.3176880884187627, - "5": -0.19775576610356646 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 123, - "time": 43, - "trailing_stop": 84 - }, - "gain_to_pain": 0.18409573496525275, - "longest_underwater_sessions": 76, - "max_drawdown_pct": 54.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 265, - "peak_positions": 15, - "profit_factor": 1.1178323597229876, - "sessions_at_capacity": 189, - "sessions_measured": 252, - "sharpe": 0.41, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 8734, - "skipped_min_initial_risk": 0, - "sortino": 0.6501948204543608, - "start_date": "2020-10-01", - "total_return_pct": -2.4, - "trades": 265, - "transaction_cost": 774.8703053923281, - "turnover_multiple": 38.7435152696164, - "underwater_pct": 92.88537549407114, - "win_rate": 29.1 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 3.9583, - "avg_gross_exposure_pct": 96.0417, - "avg_hold_days": 13.3, - "avg_positions": 14.5159, - "blocked_fraction": 0.9670356111645814, - "cagr_pct": -2.9, - "calmar": -0.05, - "capacity_opportunities": 8312, - "end_date": "2021-11-01", - "ev_net_r": 0.08865685760523777, - "ev_without_best": { - "1": 0.011960641885422434, - "10": -0.3069566738947735, - "5": -0.17825514018570063 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 140, - "time": 38, - "trailing_stop": 82 - }, - "gain_to_pain": 0.18045270997669788, - "longest_underwater_sessions": 98, - "max_drawdown_pct": 61.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 274, - "peak_positions": 15, - "profit_factor": 1.118908469718465, - "sessions_at_capacity": 175, - "sessions_measured": 252, - "sharpe": 0.37, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 8038, - "skipped_min_initial_risk": 0, - "sortino": 0.6138085513462321, - "start_date": "2020-11-02", - "total_return_pct": -2.9, - "trades": 274, - "transaction_cost": 448.9022473105379, - "turnover_multiple": 44.89022473105379, - "underwater_pct": 88.53754940711462, - "win_rate": 27.4 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 3.9313, - "avg_gross_exposure_pct": 96.0687, - "avg_hold_days": 13.3, - "avg_positions": 14.5159, - "blocked_fraction": 0.9670356111645814, - "cagr_pct": -6.2, - "calmar": -0.1, - "capacity_opportunities": 8312, - "end_date": "2021-11-01", - "ev_net_r": 0.07355130120465116, - "ev_without_best": { - "1": -0.003094348521217119, - "10": -0.3216623108322709, - "5": -0.19304350713472065 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 140, - "time": 38, - "trailing_stop": 82 - }, - "gain_to_pain": 0.1314320459505965, - "longest_underwater_sessions": 98, - "max_drawdown_pct": 62.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 274, - "peak_positions": 15, - "profit_factor": 1.097354942888173, - "sessions_at_capacity": 175, - "sessions_measured": 252, - "sharpe": 0.33, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 8038, - "skipped_min_initial_risk": 0, - "sortino": 0.5446425892769859, - "start_date": "2020-11-02", - "total_return_pct": -6.2, - "trades": 274, - "transaction_cost": 883.7856606546482, - "turnover_multiple": 44.189283032732405, - "underwater_pct": 88.93280632411067, - "win_rate": 27.0 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 3.015, - "avg_gross_exposure_pct": 96.985, - "avg_hold_days": 12.7, - "avg_positions": 14.4008, - "blocked_fraction": 0.9574722970949386, - "cagr_pct": -43.6, - "calmar": -0.64, - "capacity_opportunities": 6678, - "end_date": "2021-11-30", - "ev_net_r": -0.19090729779615054, - "ev_without_best": { - "1": -0.26588125909265575, - "10": -0.5001209216605906, - "5": -0.4095523554439276 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 144, - "time": 35, - "trailing_stop": 91 - }, - "gain_to_pain": -0.46224331068950847, - "longest_underwater_sessions": 118, - "max_drawdown_pct": 67.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 15, - "profit_factor": 0.7523375268249052, - "sessions_at_capacity": 140, - "sessions_measured": 252, - "sharpe": -0.3, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 6394, - "skipped_min_initial_risk": 0, - "sortino": -0.49018928596305944, - "start_date": "2020-12-01", - "total_return_pct": -43.5, - "trades": 284, - "transaction_cost": 350.08944312708394, - "turnover_multiple": 35.008944312708394, - "underwater_pct": 92.4901185770751, - "win_rate": 24.6 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2020-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 2.9979, - "avg_gross_exposure_pct": 97.0021, - "avg_hold_days": 12.7, - "avg_positions": 14.4008, - "blocked_fraction": 0.9574722970949386, - "cagr_pct": -45.7, - "calmar": -0.67, - "capacity_opportunities": 6678, - "end_date": "2021-11-30", - "ev_net_r": -0.20609754528500226, - "ev_without_best": { - "1": -0.2810230266335948, - "10": -0.5149528385680543, - "5": -0.42451068072281223 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 144, - "time": 35, - "trailing_stop": 91 - }, - "gain_to_pain": -0.4861151667251703, - "longest_underwater_sessions": 118, - "max_drawdown_pct": 68.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 15, - "profit_factor": 0.7362912810840935, - "sessions_at_capacity": 140, - "sessions_measured": 252, - "sharpe": -0.34, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 6394, - "skipped_min_initial_risk": 0, - "sortino": -0.5625822311723149, - "start_date": "2020-12-01", - "total_return_pct": -45.6, - "trades": 284, - "transaction_cost": 688.2412630844013, - "turnover_multiple": 34.412063154220064, - "underwater_pct": 92.4901185770751, - "win_rate": 24.6 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.5258, - "avg_gross_exposure_pct": 97.4742, - "avg_hold_days": 12.1, - "avg_positions": 14.2659, - "blocked_fraction": 0.9540784557907845, - "cagr_pct": -42.5, - "calmar": -0.59, - "capacity_opportunities": 6424, - "end_date": "2021-12-31", - "ev_net_r": -0.14322804395959665, - "ev_without_best": { - "1": -0.21523468271155044, - "10": -0.4697354634739431, - "5": -0.3481536768954827 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 163, - "time": 31, - "trailing_stop": 87 - }, - "gain_to_pain": -0.5293262077030699, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 71.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 295, - "peak_positions": 15, - "profit_factor": 0.8223142780624485, - "sessions_at_capacity": 135, - "sessions_measured": 252, - "sharpe": -0.26, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 6129, - "skipped_min_initial_risk": 0, - "sortino": -0.4222652739939218, - "start_date": "2021-01-04", - "total_return_pct": -42.1, - "trades": 295, - "transaction_cost": 388.0082650207941, - "turnover_multiple": 38.80082650207941, - "underwater_pct": 92.88537549407114, - "win_rate": 23.7 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.5057, - "avg_gross_exposure_pct": 97.4943, - "avg_hold_days": 12.1, - "avg_positions": 14.2659, - "blocked_fraction": 0.9540784557907845, - "cagr_pct": -44.6, - "calmar": -0.62, - "capacity_opportunities": 6424, - "end_date": "2021-12-31", - "ev_net_r": -0.158899569333445, - "ev_without_best": { - "1": -0.23086117901269718, - "10": -0.485149966249792, - "5": -0.3636195160051173 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 163, - "time": 31, - "trailing_stop": 87 - }, - "gain_to_pain": -0.5556196919028038, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 72.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 295, - "peak_positions": 15, - "profit_factor": 0.8055516902920049, - "sessions_at_capacity": 135, - "sessions_measured": 252, - "sharpe": -0.3, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 6129, - "skipped_min_initial_risk": 0, - "sortino": -0.49099139778020673, - "start_date": "2021-01-04", - "total_return_pct": -44.2, - "trades": 295, - "transaction_cost": 763.6973899158398, - "turnover_multiple": 38.18486949579199, - "underwater_pct": 92.88537549407114, - "win_rate": 23.7 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 2.6801, - "avg_gross_exposure_pct": 97.3199, - "avg_hold_days": 11.3, - "avg_positions": 14.1508, - "blocked_fraction": 0.9383414634146341, - "cagr_pct": -69.7, - "calmar": -0.89, - "capacity_opportunities": 5125, - "end_date": "2022-01-28", - "ev_net_r": -0.40126079299554984, - "ev_without_best": { - "1": -0.4692861407482811, - "10": -0.6458884690206705, - "5": -0.5635582718635829 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 25, - "trailing_stop": 103 - }, - "gain_to_pain": -0.9167002542968948, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 78.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 316, - "peak_positions": 15, - "profit_factor": 0.5187191414229477, - "sessions_at_capacity": 125, - "sessions_measured": 252, - "sharpe": -1.03, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 4809, - "skipped_min_initial_risk": 0, - "sortino": -1.6085750884597962, - "start_date": "2021-02-01", - "total_return_pct": -69.3, - "trades": 316, - "transaction_cost": 272.5201207175263, - "turnover_multiple": 27.25201207175263, - "underwater_pct": 96.04743083003953, - "win_rate": 20.3 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 2.6649, - "avg_gross_exposure_pct": 97.3351, - "avg_hold_days": 11.2, - "avg_positions": 14.1429, - "blocked_fraction": 0.9383414634146341, - "cagr_pct": -71.0, - "calmar": -0.9, - "capacity_opportunities": 5125, - "end_date": "2022-01-28", - "ev_net_r": -0.4172192755344446, - "ev_without_best": { - "1": -0.48520350712778154, - "10": -0.661553820334274, - "5": -0.5793762959054911 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 178, - "time": 25, - "trailing_stop": 103 - }, - "gain_to_pain": -0.9233803462848754, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 78.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 316, - "peak_positions": 15, - "profit_factor": 0.5066436670570577, - "sessions_at_capacity": 125, - "sessions_measured": 252, - "sharpe": -1.08, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 4809, - "skipped_min_initial_risk": 0, - "sortino": -1.6793336037451745, - "start_date": "2021-02-01", - "total_return_pct": -70.6, - "trades": 316, - "transaction_cost": 535.1304143374101, - "turnover_multiple": 26.756520716870508, - "underwater_pct": 96.04743083003953, - "win_rate": 20.3 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 2.4488, - "avg_gross_exposure_pct": 97.5512, - "avg_hold_days": 11.3, - "avg_positions": 13.6468, - "blocked_fraction": 0.9162995594713657, - "cagr_pct": -73.0, - "calmar": -0.9, - "capacity_opportunities": 3632, - "end_date": "2022-02-25", - "ev_net_r": -0.49625374428922475, - "ev_without_best": { - "1": -0.5672866733103602, - "10": -0.7412582589739246, - "5": -0.6592066174959234 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 177, - "time": 27, - "trailing_stop": 88 - }, - "gain_to_pain": -0.8617678026417257, - "longest_underwater_sessions": 178, - "max_drawdown_pct": 80.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 304, - "peak_positions": 15, - "profit_factor": 0.4369077840544479, - "sessions_at_capacity": 88, - "sessions_measured": 252, - "sharpe": -1.68, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 3328, - "skipped_min_initial_risk": 0, - "sortino": -2.4294530311040297, - "start_date": "2021-03-01", - "total_return_pct": -72.6, - "trades": 304, - "transaction_cost": 265.2511698501193, - "turnover_multiple": 26.525116985011927, - "underwater_pct": 98.02371541501977, - "win_rate": 20.1 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 2.4366, - "avg_gross_exposure_pct": 97.5634, - "avg_hold_days": 11.3, - "avg_positions": 13.6468, - "blocked_fraction": 0.9162995594713657, - "cagr_pct": -74.1, - "calmar": -0.91, - "capacity_opportunities": 3632, - "end_date": "2022-02-25", - "ev_net_r": -0.5127892563233777, - "ev_without_best": { - "1": -0.5837813452101436, - "10": -0.7575333555823595, - "5": -0.675535882904942 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 177, - "time": 27, - "trailing_stop": 88 - }, - "gain_to_pain": -0.8684929980840977, - "longest_underwater_sessions": 178, - "max_drawdown_pct": 81.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 304, - "peak_positions": 15, - "profit_factor": 0.4262351855647563, - "sessions_at_capacity": 88, - "sessions_measured": 252, - "sharpe": -1.73, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 3328, - "skipped_min_initial_risk": 0, - "sortino": -2.503785730627698, - "start_date": "2021-03-01", - "total_return_pct": -73.7, - "trades": 304, - "transaction_cost": 521.8457548103677, - "turnover_multiple": 26.092287740518387, - "underwater_pct": 98.02371541501977, - "win_rate": 19.7 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 0.7484, - "avg_gross_exposure_pct": 99.2516, - "avg_hold_days": 11.3, - "avg_positions": 14.0714, - "blocked_fraction": 0.9460158675405312, - "cagr_pct": -75.3, - "calmar": -0.89, - "capacity_opportunities": 5798, - "end_date": "2022-03-30", - "ev_net_r": -0.5019632742675852, - "ev_without_best": { - "1": -0.5709654762656058, - "10": -0.7568714034806029, - "5": -0.6789548202357001 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 189, - "time": 30, - "trailing_stop": 80 - }, - "gain_to_pain": -0.8853430712453515, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 84.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 313, - "peak_positions": 15, - "profit_factor": 0.4584900336674739, - "sessions_at_capacity": 126, - "sessions_measured": 252, - "sharpe": -1.77, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 5485, - "skipped_min_initial_risk": 0, - "sortino": -2.5276877769042296, - "start_date": "2021-04-01", - "total_return_pct": -75.1, - "trades": 313, - "transaction_cost": 244.08006660039, - "turnover_multiple": 24.408006660039, - "underwater_pct": 98.02371541501977, - "win_rate": 20.8 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 0.7445, - "avg_gross_exposure_pct": 99.2555, - "avg_hold_days": 11.3, - "avg_positions": 14.0714, - "blocked_fraction": 0.9460158675405312, - "cagr_pct": -76.3, - "calmar": -0.9, - "capacity_opportunities": 5798, - "end_date": "2022-03-30", - "ev_net_r": -0.5185953278850318, - "ev_without_best": { - "1": -0.5875581772576335, - "10": -0.7733306668523102, - "5": -0.6954952943367095 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 189, - "time": 30, - "trailing_stop": 80 - }, - "gain_to_pain": -0.8915710605582807, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 84.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 313, - "peak_positions": 15, - "profit_factor": 0.4479509873988599, - "sessions_at_capacity": 126, - "sessions_measured": 252, - "sharpe": -1.83, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 5485, - "skipped_min_initial_risk": 0, - "sortino": -2.5955601869990446, - "start_date": "2021-04-01", - "total_return_pct": -76.0, - "trades": 313, - "transaction_cost": 480.45217125106313, - "turnover_multiple": 24.022608562553156, - "underwater_pct": 98.02371541501977, - "win_rate": 20.8 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 0.9328, - "avg_gross_exposure_pct": 99.0672, - "avg_hold_days": 10.7, - "avg_positions": 13.4722, - "blocked_fraction": 0.8766056831451927, - "cagr_pct": -76.8, - "calmar": -0.92, - "capacity_opportunities": 2569, - "end_date": "2022-04-29", - "ev_net_r": -0.542571240367318, - "ev_without_best": { - "1": -0.579930647728873, - "10": -0.7573572690476758, - "5": -0.6731579103020139 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 187, - "time": 28, - "trailing_stop": 88 - }, - "gain_to_pain": -0.8303877597504941, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 83.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 15, - "profit_factor": 0.408546788248323, - "sessions_at_capacity": 57, - "sessions_measured": 252, - "sharpe": -1.86, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 2252, - "skipped_min_initial_risk": 0, - "sortino": -2.641738636510848, - "start_date": "2021-05-03", - "total_return_pct": -76.4, - "trades": 317, - "transaction_cost": 251.47288759633034, - "turnover_multiple": 25.147288759633035, - "underwater_pct": 98.41897233201581, - "win_rate": 18.9 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 0.9311, - "avg_gross_exposure_pct": 99.0689, - "avg_hold_days": 10.7, - "avg_positions": 13.4722, - "blocked_fraction": 0.8766056831451927, - "cagr_pct": -77.8, - "calmar": -0.92, - "capacity_opportunities": 2569, - "end_date": "2022-04-29", - "ev_net_r": -0.5595618671833981, - "ev_without_best": { - "1": -0.5968809990537989, - "10": -0.7740506480705581, - "5": -0.6899327469756484 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 187, - "time": 28, - "trailing_stop": 88 - }, - "gain_to_pain": -0.8375915134786447, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 15, - "profit_factor": 0.3986151960205295, - "sessions_at_capacity": 57, - "sessions_measured": 252, - "sharpe": -1.92, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 2252, - "skipped_min_initial_risk": 0, - "sortino": -2.717234107207682, - "start_date": "2021-05-03", - "total_return_pct": -77.4, - "trades": 317, - "transaction_cost": 494.8081567481883, - "turnover_multiple": 24.740407837409414, - "underwater_pct": 98.41897233201581, - "win_rate": 18.6 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 0.5119, - "avg_gross_exposure_pct": 99.4881, - "avg_hold_days": 10.8, - "avg_positions": 14.1071, - "blocked_fraction": 0.9118516527815104, - "cagr_pct": -77.3, - "calmar": -0.94, - "capacity_opportunities": 3721, - "end_date": "2022-05-27", - "ev_net_r": -0.5489774700827174, - "ev_without_best": { - "1": -0.6043200627839139, - "10": -0.7882875614139918, - "5": -0.7099698581971468 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 193, - "time": 25, - "trailing_stop": 95 - }, - "gain_to_pain": -0.8566999292469696, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 82.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 328, - "peak_positions": 15, - "profit_factor": 0.42399122677499157, - "sessions_at_capacity": 92, - "sessions_measured": 252, - "sharpe": -2.21, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 3393, - "skipped_min_initial_risk": 0, - "sortino": -2.96549465882751, - "start_date": "2021-06-01", - "total_return_pct": -76.9, - "trades": 328, - "transaction_cost": 253.71082240786095, - "turnover_multiple": 25.371082240786095, - "underwater_pct": 98.81422924901186, - "win_rate": 22.3 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 0.5125, - "avg_gross_exposure_pct": 99.4875, - "avg_hold_days": 10.8, - "avg_positions": 14.1071, - "blocked_fraction": 0.9118516527815104, - "cagr_pct": -78.3, - "calmar": -0.95, - "capacity_opportunities": 3721, - "end_date": "2022-05-27", - "ev_net_r": -0.5661898087165202, - "ev_without_best": { - "1": -0.6215033957485293, - "10": -0.805271869170027, - "5": -0.7270222792424683 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 193, - "time": 25, - "trailing_stop": 95 - }, - "gain_to_pain": -0.8607168001385201, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 82.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 328, - "peak_positions": 15, - "profit_factor": 0.413727896149386, - "sessions_at_capacity": 92, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 3393, - "skipped_min_initial_risk": 0, - "sortino": -3.0404307131212, - "start_date": "2021-06-01", - "total_return_pct": -77.8, - "trades": 328, - "transaction_cost": 499.35295484134963, - "turnover_multiple": 24.96764774206748, - "underwater_pct": 98.81422924901186, - "win_rate": 22.0 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 0.1878, - "avg_gross_exposure_pct": 99.8122, - "avg_hold_days": 10.0, - "avg_positions": 13.5794, - "blocked_fraction": 0.8711144806671721, - "cagr_pct": -82.3, - "calmar": -1.0, - "capacity_opportunities": 2638, - "end_date": "2022-06-30", - "ev_net_r": -0.6318363832934231, - "ev_without_best": { - "1": -0.6739956955380473, - "10": -0.864301844047014, - "5": -0.7810700575620131 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 218, - "time": 23, - "trailing_stop": 85 - }, - "gain_to_pain": -0.8582761979597738, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 82.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 340, - "peak_positions": 15, - "profit_factor": 0.3718307010186815, - "sessions_at_capacity": 58, - "sessions_measured": 252, - "sharpe": -3.49, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 2298, - "skipped_min_initial_risk": 0, - "sortino": -4.030258431196819, - "start_date": "2021-07-01", - "total_return_pct": -82.2, - "trades": 340, - "transaction_cost": 226.71860514091952, - "turnover_multiple": 22.67186051409195, - "underwater_pct": 99.2094861660079, - "win_rate": 17.4 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 0.187, - "avg_gross_exposure_pct": 99.813, - "avg_hold_days": 10.0, - "avg_positions": 13.5794, - "blocked_fraction": 0.8711144806671721, - "cagr_pct": -83.0, - "calmar": -1.0, - "capacity_opportunities": 2638, - "end_date": "2022-06-30", - "ev_net_r": -0.6489773717996508, - "ev_without_best": { - "1": -0.6909825721096415, - "10": -0.8808362273876958, - "5": -0.7978779742123357 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 218, - "time": 23, - "trailing_stop": 85 - }, - "gain_to_pain": -0.8634527411218187, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 82.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 340, - "peak_positions": 15, - "profit_factor": 0.36317354047508044, - "sessions_at_capacity": 58, - "sessions_measured": 252, - "sharpe": -3.57, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 2298, - "skipped_min_initial_risk": 0, - "sortino": -4.1046104286424505, - "start_date": "2021-07-01", - "total_return_pct": -82.9, - "trades": 340, - "transaction_cost": 446.56317542955907, - "turnover_multiple": 22.328158771477955, - "underwater_pct": 99.60474308300395, - "win_rate": 17.1 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 1.1771, - "avg_gross_exposure_pct": 98.8229, - "avg_hold_days": 10.8, - "avg_positions": 14.0714, - "blocked_fraction": 0.9255972696245733, - "cagr_pct": -85.6, - "calmar": -0.99, - "capacity_opportunities": 4395, - "end_date": "2022-08-01", - "ev_net_r": -0.6359187813412055, - "ev_without_best": { - "1": -0.672418536762142, - "10": -0.8458413802074556, - "5": -0.7688006445255118 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 203, - "time": 25, - "trailing_stop": 84 - }, - "gain_to_pain": -0.8819638862489922, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 86.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 327, - "peak_positions": 15, - "profit_factor": 0.36783221021996626, - "sessions_at_capacity": 102, - "sessions_measured": 252, - "sharpe": -3.81, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 4068, - "skipped_min_initial_risk": 0, - "sortino": -4.256758162981274, - "start_date": "2021-08-02", - "total_return_pct": -85.5, - "trades": 327, - "transaction_cost": 183.38039062968767, - "turnover_multiple": 18.338039062968768, - "underwater_pct": 99.60474308300395, - "win_rate": 19.3 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 1.1857, - "avg_gross_exposure_pct": 98.8143, - "avg_hold_days": 10.8, - "avg_positions": 14.0714, - "blocked_fraction": 0.9255972696245733, - "cagr_pct": -86.2, - "calmar": -0.99, - "capacity_opportunities": 4395, - "end_date": "2022-08-01", - "ev_net_r": -0.6527189167436445, - "ev_without_best": { - "1": -0.6891790477884511, - "10": -0.8622087328189705, - "5": -0.7852688062538683 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 203, - "time": 25, - "trailing_stop": 84 - }, - "gain_to_pain": -0.885555549763212, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 86.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 327, - "peak_positions": 15, - "profit_factor": 0.35921851994884396, - "sessions_at_capacity": 102, - "sessions_measured": 252, - "sharpe": -3.88, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 4068, - "skipped_min_initial_risk": 0, - "sortino": -4.3278638287741105, - "start_date": "2021-08-02", - "total_return_pct": -86.1, - "trades": 327, - "transaction_cost": 360.97173440124806, - "turnover_multiple": 18.048586720062403, - "underwater_pct": 99.60474308300395, - "win_rate": 19.3 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 1.1736, - "avg_gross_exposure_pct": 98.8264, - "avg_hold_days": 10.4, - "avg_positions": 14.1151, - "blocked_fraction": 0.9485271788642575, - "cagr_pct": -84.2, - "calmar": -1.0, - "capacity_opportunities": 6586, - "end_date": "2022-08-31", - "ev_net_r": -0.6376675634956775, - "ev_without_best": { - "1": -0.6728766435234284, - "10": -0.8296462616981867, - "5": -0.7650278052126173 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 211, - "time": 20, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9058233199261465, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 84.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 339, - "peak_positions": 15, - "profit_factor": 0.3304060848870093, - "sessions_at_capacity": 124, - "sessions_measured": 252, - "sharpe": -3.89, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 6247, - "skipped_min_initial_risk": 0, - "sortino": -4.286333755574343, - "start_date": "2021-09-01", - "total_return_pct": -84.1, - "trades": 339, - "transaction_cost": 202.91955049079715, - "turnover_multiple": 20.291955049079714, - "underwater_pct": 98.02371541501977, - "win_rate": 17.4 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 1.1787, - "avg_gross_exposure_pct": 98.8213, - "avg_hold_days": 10.5, - "avg_positions": 14.1111, - "blocked_fraction": 0.9494239114170283, - "cagr_pct": -84.7, - "calmar": -1.0, - "capacity_opportunities": 6683, - "end_date": "2022-08-31", - "ev_net_r": -0.6529820164432871, - "ev_without_best": { - "1": -0.6882528349011701, - "10": -0.8451304290202678, - "5": -0.7803830153166286 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 210, - "time": 20, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9077179919942872, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 84.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 338, - "peak_positions": 15, - "profit_factor": 0.32330431303403945, - "sessions_at_capacity": 125, - "sessions_measured": 252, - "sharpe": -3.93, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 6345, - "skipped_min_initial_risk": 0, - "sortino": -4.318894402532759, - "start_date": "2021-09-01", - "total_return_pct": -84.6, - "trades": 338, - "transaction_cost": 399.505485000484, - "turnover_multiple": 19.9752742500242, - "underwater_pct": 98.02371541501977, - "win_rate": 17.2 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 1.1065, - "avg_gross_exposure_pct": 98.8935, - "avg_hold_days": 10.6, - "avg_positions": 14.0159, - "blocked_fraction": 0.9493207143947489, - "cagr_pct": -81.1, - "calmar": -0.97, - "capacity_opportunities": 6551, - "end_date": "2022-09-30", - "ev_net_r": -0.5581016004015933, - "ev_without_best": { - "1": -0.5938149027770788, - "10": -0.7890333484410104, - "5": -0.7137194277085783 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 207, - "time": 25, - "trailing_stop": 86 - }, - "gain_to_pain": -0.8578036364149856, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 83.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 332, - "peak_positions": 15, - "profit_factor": 0.4175838508365639, - "sessions_at_capacity": 117, - "sessions_measured": 252, - "sharpe": -3.28, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 6219, - "skipped_min_initial_risk": 0, - "sortino": -3.9429653693331197, - "start_date": "2021-10-01", - "total_return_pct": -81.0, - "trades": 332, - "transaction_cost": 199.46505484730253, - "turnover_multiple": 19.946505484730253, - "underwater_pct": 99.2094861660079, - "win_rate": 19.0 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 1.1077, - "avg_gross_exposure_pct": 98.8923, - "avg_hold_days": 10.6, - "avg_positions": 14.0159, - "blocked_fraction": 0.9493207143947489, - "cagr_pct": -81.9, - "calmar": -0.98, - "capacity_opportunities": 6551, - "end_date": "2022-09-30", - "ev_net_r": -0.5745759381841244, - "ev_without_best": { - "1": -0.6102492304561711, - "10": -0.8049182628250973, - "5": -0.729830404583627 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 207, - "time": 25, - "trailing_stop": 86 - }, - "gain_to_pain": -0.8626692747816334, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 84.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 332, - "peak_positions": 15, - "profit_factor": 0.40792926816538433, - "sessions_at_capacity": 117, - "sessions_measured": 252, - "sharpe": -3.36, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 6219, - "skipped_min_initial_risk": 0, - "sortino": -4.025645958590173, - "start_date": "2021-10-01", - "total_return_pct": -81.8, - "trades": 332, - "transaction_cost": 392.5971487766527, - "turnover_multiple": 19.629857438832634, - "underwater_pct": 99.2094861660079, - "win_rate": 19.0 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 2.3782, - "avg_gross_exposure_pct": 97.6218, - "avg_hold_days": 10.2, - "avg_positions": 14.3651, - "blocked_fraction": 0.9552257737189244, - "cagr_pct": -88.5, - "calmar": -1.0, - "capacity_opportunities": 7884, - "end_date": "2022-10-31", - "ev_net_r": -0.651548598350396, - "ev_without_best": { - "1": -0.6853967519987895, - "10": -0.844368524351313, - "5": -0.7747111267830195 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 225, - "time": 20, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9164064823758842, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 353, - "peak_positions": 15, - "profit_factor": 0.3513081600618853, - "sessions_at_capacity": 152, - "sessions_measured": 252, - "sharpe": -3.75, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 7531, - "skipped_min_initial_risk": 0, - "sortino": -4.249255418784312, - "start_date": "2021-11-01", - "total_return_pct": -88.4, - "trades": 353, - "transaction_cost": 198.7101491580634, - "turnover_multiple": 19.871014915806338, - "underwater_pct": 99.60474308300395, - "win_rate": 18.4 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 2.3761, - "avg_gross_exposure_pct": 97.6239, - "avg_hold_days": 10.2, - "avg_positions": 14.3651, - "blocked_fraction": 0.9552257737189244, - "cagr_pct": -89.0, - "calmar": -1.0, - "capacity_opportunities": 7884, - "end_date": "2022-10-31", - "ev_net_r": -0.6675371909194091, - "ev_without_best": { - "1": -0.7013463414727691, - "10": -0.8600192246605182, - "5": -0.7905570976261065 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 225, - "time": 20, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9189983212784802, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 353, - "peak_positions": 15, - "profit_factor": 0.34346488898570415, - "sessions_at_capacity": 152, - "sessions_measured": 252, - "sharpe": -3.83, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 7531, - "skipped_min_initial_risk": 0, - "sortino": -4.3188435885821495, - "start_date": "2021-11-01", - "total_return_pct": -88.9, - "trades": 353, - "transaction_cost": 390.99493160139826, - "turnover_multiple": 19.54974658006991, - "underwater_pct": 99.60474308300395, - "win_rate": 18.4 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 1.3325, - "avg_gross_exposure_pct": 98.6675, - "avg_hold_days": 10.1, - "avg_positions": 14.2024, - "blocked_fraction": 0.9560903001736542, - "cagr_pct": -91.9, - "calmar": -1.0, - "capacity_opportunities": 8062, - "end_date": "2022-11-30", - "ev_net_r": -0.7292016042603624, - "ev_without_best": { - "1": -0.7631738509746527, - "10": -0.9222718310611147, - "5": -0.8554368060886015 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 219, - "time": 24, - "trailing_stop": 96 - }, - "gain_to_pain": -0.9303429778482921, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 354, - "peak_positions": 15, - "profit_factor": 0.30159237997415544, - "sessions_at_capacity": 140, - "sessions_measured": 252, - "sharpe": -4.45, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 7708, - "skipped_min_initial_risk": 0, - "sortino": -4.804244726473918, - "start_date": "2021-12-01", - "total_return_pct": -91.8, - "trades": 354, - "transaction_cost": 191.89040484880962, - "turnover_multiple": 19.189040484880962, - "underwater_pct": 99.60474308300395, - "win_rate": 17.5 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2021-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 1.3097, - "avg_gross_exposure_pct": 98.6903, - "avg_hold_days": 10.1, - "avg_positions": 14.1746, - "blocked_fraction": 0.9543396714525935, - "cagr_pct": -92.2, - "calmar": -1.0, - "capacity_opportunities": 7731, - "end_date": "2022-11-30", - "ev_net_r": -0.7450929670089262, - "ev_without_best": { - "1": -0.7791224464716314, - "10": -0.9383189718662254, - "5": -0.8714382271469864 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 218, - "time": 24, - "trailing_stop": 96 - }, - "gain_to_pain": -0.9324786910781951, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 353, - "peak_positions": 15, - "profit_factor": 0.294857896519296, - "sessions_at_capacity": 135, - "sessions_measured": 252, - "sharpe": -4.52, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 7378, - "skipped_min_initial_risk": 0, - "sortino": -4.866036683783002, - "start_date": "2021-12-01", - "total_return_pct": -92.2, - "trades": 353, - "transaction_cost": 377.93425961017056, - "turnover_multiple": 18.89671298050853, - "underwater_pct": 99.60474308300395, - "win_rate": 17.3 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 1.9904, - "avg_gross_exposure_pct": 98.0096, - "avg_hold_days": 10.0, - "avg_positions": 14.1984, - "blocked_fraction": 0.9623118222970839, - "cagr_pct": -92.6, - "calmar": -1.0, - "capacity_opportunities": 9499, - "end_date": "2023-01-03", - "ev_net_r": -0.793315558995879, - "ev_without_best": { - "1": -0.8270867552000247, - "10": -0.9818414945668132, - "5": -0.9190592317132651 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 223, - "time": 24, - "trailing_stop": 96 - }, - "gain_to_pain": -0.9129681733417029, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 358, - "peak_positions": 15, - "profit_factor": 0.27330999563057295, - "sessions_at_capacity": 157, - "sessions_measured": 252, - "sharpe": -4.49, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 9141, - "skipped_min_initial_risk": 0, - "sortino": -4.89404469602857, - "start_date": "2022-01-03", - "total_return_pct": -92.6, - "trades": 358, - "transaction_cost": 195.65641305927238, - "turnover_multiple": 19.565641305927237, - "underwater_pct": 98.02371541501977, - "win_rate": 16.2 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 1.9821, - "avg_gross_exposure_pct": 98.0179, - "avg_hold_days": 10.0, - "avg_positions": 14.1984, - "blocked_fraction": 0.9623118222970839, - "cagr_pct": -92.9, - "calmar": -1.0, - "capacity_opportunities": 9499, - "end_date": "2023-01-03", - "ev_net_r": -0.8082657736182943, - "ev_without_best": { - "1": -0.8419956043675426, - "10": -0.9964365695994939, - "5": -0.9337004083164605 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 223, - "time": 24, - "trailing_stop": 96 - }, - "gain_to_pain": -0.9150331601540608, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 358, - "peak_positions": 15, - "profit_factor": 0.2675437271891183, - "sessions_at_capacity": 157, - "sessions_measured": 252, - "sharpe": -4.56, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 9141, - "skipped_min_initial_risk": 0, - "sortino": -4.952656771043418, - "start_date": "2022-01-03", - "total_return_pct": -92.9, - "trades": 358, - "transaction_cost": 385.4249233009888, - "turnover_multiple": 19.27124616504944, - "underwater_pct": 98.02371541501977, - "win_rate": 15.9 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 4.3757, - "avg_gross_exposure_pct": 95.6243, - "avg_hold_days": 10.0, - "avg_positions": 14.4365, - "blocked_fraction": 0.9677047289504037, - "cagr_pct": -89.0, - "calmar": -0.96, - "capacity_opportunities": 11271, - "end_date": "2023-02-01", - "ev_net_r": -0.6591440286367319, - "ev_without_best": { - "1": -0.7415118568764408, - "10": -0.930466452050646, - "5": -0.8574130024568959 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 227, - "time": 18, - "trailing_stop": 104 - }, - "gain_to_pain": -0.841258439884068, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 364, - "peak_positions": 15, - "profit_factor": 0.39940819858493315, - "sessions_at_capacity": 177, - "sessions_measured": 252, - "sharpe": -3.18, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 10907, - "skipped_min_initial_risk": 0, - "sortino": -4.09901410572147, - "start_date": "2022-02-01", - "total_return_pct": -89.0, - "trades": 364, - "transaction_cost": 193.93397742107842, - "turnover_multiple": 19.393397742107844, - "underwater_pct": 99.60474308300395, - "win_rate": 19.0 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 4.3652, - "avg_gross_exposure_pct": 95.6348, - "avg_hold_days": 10.0, - "avg_positions": 14.4365, - "blocked_fraction": 0.9677047289504037, - "cagr_pct": -89.5, - "calmar": -0.97, - "capacity_opportunities": 11271, - "end_date": "2023-02-01", - "ev_net_r": -0.673181046753383, - "ev_without_best": { - "1": -0.7554984269704115, - "10": -0.944088005765944, - "5": -0.8712489100556845 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 227, - "time": 18, - "trailing_stop": 104 - }, - "gain_to_pain": -0.8459800512736159, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 364, - "peak_positions": 15, - "profit_factor": 0.392524319413992, - "sessions_at_capacity": 177, - "sessions_measured": 252, - "sharpe": -3.24, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 10907, - "skipped_min_initial_risk": 0, - "sortino": -4.163198123457785, - "start_date": "2022-02-01", - "total_return_pct": -89.4, - "trades": 364, - "transaction_cost": 382.2251159834743, - "turnover_multiple": 19.11125579917372, - "underwater_pct": 99.60474308300395, - "win_rate": 18.7 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 5.66, - "avg_gross_exposure_pct": 94.34, - "avg_hold_days": 10.2, - "avg_positions": 14.7103, - "blocked_fraction": 0.9711960424479374, - "cagr_pct": -86.2, - "calmar": -0.95, - "capacity_opportunities": 12533, - "end_date": "2023-03-01", - "ev_net_r": -0.603123166683931, - "ev_without_best": { - "1": -0.6661763254414252, - "10": -0.8508809064047971, - "5": -0.765493089127938 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 213, - "time": 21, - "trailing_stop": 112 - }, - "gain_to_pain": -0.8054657186462468, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 90.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 361, - "peak_positions": 15, - "profit_factor": 0.4265311502730406, - "sessions_at_capacity": 197, - "sessions_measured": 252, - "sharpe": -2.86, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 12172, - "skipped_min_initial_risk": 0, - "sortino": -3.7435940934862737, - "start_date": "2022-03-01", - "total_return_pct": -86.1, - "trades": 361, - "transaction_cost": 206.4911806895339, - "turnover_multiple": 20.649118068953392, - "underwater_pct": 96.83794466403161, - "win_rate": 21.6 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 6.0896, - "avg_gross_exposure_pct": 93.9104, - "avg_hold_days": 10.2, - "avg_positions": 14.6508, - "blocked_fraction": 0.9713170265317504, - "cagr_pct": -87.2, - "calmar": -0.95, - "capacity_opportunities": 12551, - "end_date": "2023-03-01", - "ev_net_r": -0.6012241838837723, - "ev_without_best": { - "1": -0.6643774987436598, - "10": -0.8530933592198323, - "5": -0.7636670433705394 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 213, - "time": 23, - "trailing_stop": 109 - }, - "gain_to_pain": -0.8249092160186773, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 91.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 360, - "peak_positions": 15, - "profit_factor": 0.4295648476283798, - "sessions_at_capacity": 195, - "sessions_measured": 252, - "sharpe": -2.93, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 12191, - "skipped_min_initial_risk": 0, - "sortino": -3.824512706606023, - "start_date": "2022-03-01", - "total_return_pct": -87.2, - "trades": 360, - "transaction_cost": 405.9352873534726, - "turnover_multiple": 20.296764367673628, - "underwater_pct": 96.83794466403161, - "win_rate": 21.7 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 8.6282, - "avg_gross_exposure_pct": 91.3718, - "avg_hold_days": 10.3, - "avg_positions": 14.6746, - "blocked_fraction": 0.9732363745408201, - "cagr_pct": -91.1, - "calmar": -0.99, - "capacity_opportunities": 13339, - "end_date": "2023-04-03", - "ev_net_r": -0.6994083020489503, - "ev_without_best": { - "1": -0.7634403871277788, - "10": -0.937503376514501, - "5": -0.8571842536697317 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 215, - "time": 24, - "trailing_stop": 103 - }, - "gain_to_pain": -0.9319423387108952, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 357, - "peak_positions": 15, - "profit_factor": 0.3479454178695806, - "sessions_at_capacity": 205, - "sessions_measured": 252, - "sharpe": -3.47, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 12982, - "skipped_min_initial_risk": 0, - "sortino": -4.388087010762631, - "start_date": "2022-04-01", - "total_return_pct": -91.2, - "trades": 357, - "transaction_cost": 169.02413186084132, - "turnover_multiple": 16.902413186084132, - "underwater_pct": 99.2094861660079, - "win_rate": 19.0 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 8.6188, - "avg_gross_exposure_pct": 91.3812, - "avg_hold_days": 10.3, - "avg_positions": 14.6746, - "blocked_fraction": 0.9732363745408201, - "cagr_pct": -91.4, - "calmar": -0.99, - "capacity_opportunities": 13339, - "end_date": "2023-04-03", - "ev_net_r": -0.712205078416693, - "ev_without_best": { - "1": -0.776202328217908, - "10": -0.9499953491285554, - "5": -0.8699050043806835 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 215, - "time": 24, - "trailing_stop": 103 - }, - "gain_to_pain": -0.9341079704172237, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 357, - "peak_positions": 15, - "profit_factor": 0.34212838429228937, - "sessions_at_capacity": 205, - "sessions_measured": 252, - "sharpe": -3.53, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 12982, - "skipped_min_initial_risk": 0, - "sortino": -4.444629327699381, - "start_date": "2022-04-01", - "total_return_pct": -91.5, - "trades": 357, - "transaction_cost": 333.78624427725515, - "turnover_multiple": 16.689312213862756, - "underwater_pct": 99.2094861660079, - "win_rate": 18.5 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 9.7752, - "avg_gross_exposure_pct": 90.2248, - "avg_hold_days": 9.8, - "avg_positions": 14.7579, - "blocked_fraction": 0.9731495951129422, - "cagr_pct": -95.1, - "calmar": -1.0, - "capacity_opportunities": 14078, - "end_date": "2023-05-02", - "ev_net_r": -0.8005297317319976, - "ev_without_best": { - "1": -0.8612632694448517, - "10": -1.023098718240894, - "5": -0.9485411344935026 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 230, - "time": 21, - "trailing_stop": 112 - }, - "gain_to_pain": -0.9489116957588496, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 95.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 378, - "peak_positions": 15, - "profit_factor": 0.29067039494122504, - "sessions_at_capacity": 204, - "sessions_measured": 252, - "sharpe": -4.11, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 13700, - "skipped_min_initial_risk": 0, - "sortino": -5.05841822969766, - "start_date": "2022-05-02", - "total_return_pct": -95.1, - "trades": 378, - "transaction_cost": 166.5753462060446, - "turnover_multiple": 16.657534620604462, - "underwater_pct": 98.81422924901186, - "win_rate": 16.7 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 9.7387, - "avg_gross_exposure_pct": 90.2613, - "avg_hold_days": 9.8, - "avg_positions": 14.7579, - "blocked_fraction": 0.9731495951129422, - "cagr_pct": -95.4, - "calmar": -1.0, - "capacity_opportunities": 14078, - "end_date": "2023-05-02", - "ev_net_r": -0.8125728091450132, - "ev_without_best": { - "1": -0.8732714528053869, - "10": -1.0348585839229727, - "5": -0.9604976974913942 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 230, - "time": 21, - "trailing_stop": 112 - }, - "gain_to_pain": -0.9509795539332313, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 95.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 378, - "peak_positions": 15, - "profit_factor": 0.28612515535520905, - "sessions_at_capacity": 204, - "sessions_measured": 252, - "sharpe": -4.16, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 13700, - "skipped_min_initial_risk": 0, - "sortino": -5.108977919053615, - "start_date": "2022-05-02", - "total_return_pct": -95.3, - "trades": 378, - "transaction_cost": 328.882090052218, - "turnover_multiple": 16.4441045026109, - "underwater_pct": 98.81422924901186, - "win_rate": 16.4 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 10.0154, - "avg_gross_exposure_pct": 89.9846, - "avg_hold_days": 10.2, - "avg_positions": 14.7976, - "blocked_fraction": 0.9772557328015952, - "cagr_pct": -95.5, - "calmar": -1.0, - "capacity_opportunities": 16048, - "end_date": "2023-06-01", - "ev_net_r": -0.7789844668576213, - "ev_without_best": { - "1": -0.8418278692006752, - "10": -0.9915043167041713, - "5": -0.9240552965855089 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 212, - "time": 22, - "trailing_stop": 116 - }, - "gain_to_pain": -0.9178896529246586, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 95.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 365, - "peak_positions": 15, - "profit_factor": 0.2951962800528703, - "sessions_at_capacity": 218, - "sessions_measured": 252, - "sharpe": -4.0, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 15683, - "skipped_min_initial_risk": 0, - "sortino": -4.906933901899559, - "start_date": "2022-06-01", - "total_return_pct": -95.5, - "trades": 365, - "transaction_cost": 152.06119001416437, - "turnover_multiple": 15.206119001416438, - "underwater_pct": 98.81422924901186, - "win_rate": 17.8 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 9.956, - "avg_gross_exposure_pct": 90.044, - "avg_hold_days": 10.2, - "avg_positions": 14.7976, - "blocked_fraction": 0.9772557328015952, - "cagr_pct": -95.7, - "calmar": -1.0, - "capacity_opportunities": 16048, - "end_date": "2023-06-01", - "ev_net_r": -0.7903475278624537, - "ev_without_best": { - "1": -0.8531529217599215, - "10": -1.0026653311817206, - "5": -0.9353149475191965 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 212, - "time": 22, - "trailing_stop": 116 - }, - "gain_to_pain": -0.9196190500086474, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 95.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 365, - "peak_positions": 15, - "profit_factor": 0.2906846203942811, - "sessions_at_capacity": 218, - "sessions_measured": 252, - "sharpe": -4.06, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 15683, - "skipped_min_initial_risk": 0, - "sortino": -4.960018727765902, - "start_date": "2022-06-01", - "total_return_pct": -95.7, - "trades": 365, - "transaction_cost": 300.0583473297652, - "turnover_multiple": 15.002917366488257, - "underwater_pct": 98.81422924901186, - "win_rate": 17.5 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 14.1348, - "avg_gross_exposure_pct": 85.8652, - "avg_hold_days": 10.0, - "avg_positions": 14.9127, - "blocked_fraction": 0.9792542597919893, - "cagr_pct": -96.0, - "calmar": -0.99, - "capacity_opportunities": 18076, - "end_date": "2023-07-03", - "ev_net_r": -0.833750254050771, - "ev_without_best": { - "1": -0.89505978410442, - "10": -1.0394659830437605, - "5": -0.976550006737144 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 224, - "time": 23, - "trailing_stop": 113 - }, - "gain_to_pain": -0.9682143117491063, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 96.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 375, - "peak_positions": 15, - "profit_factor": 0.2797746651717149, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -4.23, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 17701, - "skipped_min_initial_risk": 0, - "sortino": -5.039759266108547, - "start_date": "2022-07-01", - "total_return_pct": -96.0, - "trades": 375, - "transaction_cost": 169.9397155947099, - "turnover_multiple": 16.99397155947099, - "underwater_pct": 96.83794466403161, - "win_rate": 19.5 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 14.0709, - "avg_gross_exposure_pct": 85.9291, - "avg_hold_days": 10.0, - "avg_positions": 14.9127, - "blocked_fraction": 0.9792542597919893, - "cagr_pct": -96.1, - "calmar": -0.99, - "capacity_opportunities": 18076, - "end_date": "2023-07-03", - "ev_net_r": -0.8446508260634875, - "ev_without_best": { - "1": -0.9059221273385659, - "10": -1.0501841258081928, - "5": -0.9873570463211813 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 224, - "time": 23, - "trailing_stop": 113 - }, - "gain_to_pain": -0.969459736404159, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 96.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 375, - "peak_positions": 15, - "profit_factor": 0.2756196353730604, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -4.27, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 17701, - "skipped_min_initial_risk": 0, - "sortino": -5.08101317848672, - "start_date": "2022-07-01", - "total_return_pct": -96.2, - "trades": 375, - "transaction_cost": 336.0410752263046, - "turnover_multiple": 16.80205376131523, - "underwater_pct": 96.83794466403161, - "win_rate": 19.2 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 19.05, - "avg_gross_exposure_pct": 80.95, - "avg_hold_days": 9.9, - "avg_positions": 14.8849, - "blocked_fraction": 0.979367866549605, - "cagr_pct": -95.9, - "calmar": -0.99, - "capacity_opportunities": 18224, - "end_date": "2023-08-01", - "ev_net_r": -0.8113199026890683, - "ev_without_best": { - "1": -0.8724061263922764, - "10": -1.045364029685383, - "5": -0.974462554566312 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 220, - "time": 24, - "trailing_stop": 117 - }, - "gain_to_pain": -0.964826799719117, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 376, - "peak_positions": 15, - "profit_factor": 0.29395969510080533, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -3.61, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 17848, - "skipped_min_initial_risk": 0, - "sortino": -4.798990555507857, - "start_date": "2022-08-01", - "total_return_pct": -95.9, - "trades": 376, - "transaction_cost": 143.3942582071449, - "turnover_multiple": 14.339425820714489, - "underwater_pct": 99.60474308300395, - "win_rate": 20.5 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 18.9849, - "avg_gross_exposure_pct": 81.0151, - "avg_hold_days": 9.9, - "avg_positions": 14.8849, - "blocked_fraction": 0.979367866549605, - "cagr_pct": -96.1, - "calmar": -0.99, - "capacity_opportunities": 18224, - "end_date": "2023-08-01", - "ev_net_r": -0.8219395117181307, - "ev_without_best": { - "1": -0.8829868593515546, - "10": -1.055849132227198, - "5": -0.9850132466045411 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 220, - "time": 24, - "trailing_stop": 117 - }, - "gain_to_pain": -0.9661139689373105, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 376, - "peak_positions": 15, - "profit_factor": 0.28981383650274195, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -3.65, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 17848, - "skipped_min_initial_risk": 0, - "sortino": -4.8411626141275, - "start_date": "2022-08-01", - "total_return_pct": -96.1, - "trades": 376, - "transaction_cost": 283.5384974548647, - "turnover_multiple": 14.176924872743234, - "underwater_pct": 99.60474308300395, - "win_rate": 19.9 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 20.4179, - "avg_gross_exposure_pct": 79.5821, - "avg_hold_days": 9.5, - "avg_positions": 14.8333, - "blocked_fraction": 0.9781598252786022, - "cagr_pct": -97.6, - "calmar": -1.0, - "capacity_opportunities": 17857, - "end_date": "2023-09-01", - "ev_net_r": -0.8727509679211362, - "ev_without_best": { - "1": -0.9317966361831801, - "10": -1.0838558218100658, - "5": -1.026953827716869 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 227, - "time": 23, - "trailing_stop": 125 - }, - "gain_to_pain": -0.9725785955876894, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 97.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 390, - "peak_positions": 15, - "profit_factor": 0.269447678726978, - "sessions_at_capacity": 224, - "sessions_measured": 252, - "sharpe": -4.21, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 17467, - "skipped_min_initial_risk": 0, - "sortino": -5.177326942136279, - "start_date": "2022-09-01", - "total_return_pct": -97.5, - "trades": 390, - "transaction_cost": 108.63700943106218, - "turnover_multiple": 10.863700943106219, - "underwater_pct": 99.2094861660079, - "win_rate": 19.2 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 20.3567, - "avg_gross_exposure_pct": 79.6433, - "avg_hold_days": 9.5, - "avg_positions": 14.8333, - "blocked_fraction": 0.9781598252786022, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 17857, - "end_date": "2023-09-01", - "ev_net_r": -0.8832799375290601, - "ev_without_best": { - "1": -0.9422878958538542, - "10": -1.0942864904689567, - "5": -1.037413774515294 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 227, - "time": 23, - "trailing_stop": 125 - }, - "gain_to_pain": -0.9736262533329086, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 97.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 390, - "peak_positions": 15, - "profit_factor": 0.26580004276610075, - "sessions_at_capacity": 224, - "sessions_measured": 252, - "sharpe": -4.25, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 17467, - "skipped_min_initial_risk": 0, - "sortino": -5.218321302769432, - "start_date": "2022-09-01", - "total_return_pct": -97.7, - "trades": 390, - "transaction_cost": 214.85101034515648, - "turnover_multiple": 10.742550517257822, - "underwater_pct": 99.2094861660079, - "win_rate": 18.7 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 21.4334, - "avg_gross_exposure_pct": 78.5666, - "avg_hold_days": 9.5, - "avg_positions": 14.8611, - "blocked_fraction": 0.9782055537116938, - "cagr_pct": -96.5, - "calmar": -1.0, - "capacity_opportunities": 18078, - "end_date": "2023-10-03", - "ev_net_r": -0.7728498414364912, - "ev_without_best": { - "1": -0.8310403346361106, - "10": -1.0067202818737797, - "5": -0.9293849384303368 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 234, - "time": 25, - "trailing_stop": 120 - }, - "gain_to_pain": -0.9709211013438732, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 96.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 394, - "peak_positions": 15, - "profit_factor": 0.3153314241475105, - "sessions_at_capacity": 225, - "sessions_measured": 252, - "sharpe": -3.83, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 17684, - "skipped_min_initial_risk": 0, - "sortino": -4.825974016155314, - "start_date": "2022-10-03", - "total_return_pct": -96.4, - "trades": 394, - "transaction_cost": 135.39154983876057, - "turnover_multiple": 13.539154983876054, - "underwater_pct": 98.81422924901186, - "win_rate": 18.8 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 21.365, - "avg_gross_exposure_pct": 78.635, - "avg_hold_days": 9.5, - "avg_positions": 14.8611, - "blocked_fraction": 0.9782055537116938, - "cagr_pct": -96.6, - "calmar": -1.0, - "capacity_opportunities": 18078, - "end_date": "2023-10-03", - "ev_net_r": -0.7831587660735754, - "ev_without_best": { - "1": -0.8413113732412328, - "10": -1.0168288323796248, - "5": -0.9395970662542737 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 234, - "time": 25, - "trailing_stop": 120 - }, - "gain_to_pain": -0.9720748420366068, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 96.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 394, - "peak_positions": 15, - "profit_factor": 0.3112113155382054, - "sessions_at_capacity": 225, - "sessions_measured": 252, - "sharpe": -3.87, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 17684, - "skipped_min_initial_risk": 0, - "sortino": -4.867192076485955, - "start_date": "2022-10-03", - "total_return_pct": -96.6, - "trades": 394, - "transaction_cost": 267.93109484931534, - "turnover_multiple": 13.396554742465767, - "underwater_pct": 98.81422924901186, - "win_rate": 18.5 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 22.0108, - "avg_gross_exposure_pct": 77.9892, - "avg_hold_days": 9.3, - "avg_positions": 14.8849, - "blocked_fraction": 0.9784825069757459, - "cagr_pct": -98.0, - "calmar": -1.0, - "capacity_opportunities": 18636, - "end_date": "2023-11-01", - "ev_net_r": -0.8503295122342323, - "ev_without_best": { - "1": -0.9076953709798528, - "10": -1.0746225515760663, - "5": -1.0069919158082352 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 236, - "time": 22, - "trailing_stop": 128 - }, - "gain_to_pain": -0.9166496935056668, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 98.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 401, - "peak_positions": 15, - "profit_factor": 0.28059123781437867, - "sessions_at_capacity": 236, - "sessions_measured": 252, - "sharpe": -4.33, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 18235, - "skipped_min_initial_risk": 0, - "sortino": -5.300383372107106, - "start_date": "2022-11-01", - "total_return_pct": -98.0, - "trades": 401, - "transaction_cost": 115.535951968678, - "turnover_multiple": 11.5535951968678, - "underwater_pct": 99.2094861660079, - "win_rate": 18.2 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 21.9459, - "avg_gross_exposure_pct": 78.0541, - "avg_hold_days": 9.3, - "avg_positions": 14.8849, - "blocked_fraction": 0.9784825069757459, - "cagr_pct": -98.1, - "calmar": -1.0, - "capacity_opportunities": 18636, - "end_date": "2023-11-01", - "ev_net_r": -0.8602974486232531, - "ev_without_best": { - "1": -0.917625231871851, - "10": -1.084426916609256, - "5": -1.016831640066164 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 236, - "time": 22, - "trailing_stop": 128 - }, - "gain_to_pain": -0.9181097037582804, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 401, - "peak_positions": 15, - "profit_factor": 0.27709374825375144, - "sessions_at_capacity": 236, - "sessions_measured": 252, - "sharpe": -4.37, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 18235, - "skipped_min_initial_risk": 0, - "sortino": -5.338980193995989, - "start_date": "2022-11-01", - "total_return_pct": -98.1, - "trades": 401, - "transaction_cost": 228.585433354321, - "turnover_multiple": 11.42927166771605, - "underwater_pct": 99.2094861660079, - "win_rate": 18.0 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 26.5029, - "avg_gross_exposure_pct": 73.4971, - "avg_hold_days": 9.2, - "avg_positions": 14.9762, - "blocked_fraction": 0.979796979450359, - "cagr_pct": -78.4, - "calmar": -0.81, - "capacity_opportunities": 20195, - "end_date": "2023-12-01", - "ev_net_r": 0.6576806277838207, - "ev_without_best": { - "1": -0.7837406350923726, - "10": -0.9995058642135393, - "5": -0.9168459069341514 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 241, - "time": 21, - "trailing_stop": 131 - }, - "gain_to_pain": 0.42344723815805696, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 96.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 408, - "peak_positions": 15, - "profit_factor": 1.5807908669950497, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.56, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 19787, - "skipped_min_initial_risk": 0, - "sortino": 6.4545938143031325, - "start_date": "2022-12-01", - "total_return_pct": -78.4, - "trades": 408, - "transaction_cost": 150.12782091836053, - "turnover_multiple": 15.012782091836051, - "underwater_pct": 98.81422924901186, - "win_rate": 19.4 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2022-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 26.4307, - "avg_gross_exposure_pct": 73.5693, - "avg_hold_days": 9.2, - "avg_positions": 14.9762, - "blocked_fraction": 0.979796979450359, - "cagr_pct": -79.3, - "calmar": -0.82, - "capacity_opportunities": 20195, - "end_date": "2023-12-01", - "ev_net_r": 0.6468496839179662, - "ev_without_best": { - "1": -0.7931510216433588, - "10": -1.008794498351671, - "5": -0.9261823263791215 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 241, - "time": 21, - "trailing_stop": 131 - }, - "gain_to_pain": 0.40133092336692955, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 96.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 408, - "peak_positions": 15, - "profit_factor": 1.567486272639849, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.55, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 19787, - "skipped_min_initial_risk": 0, - "sortino": 6.366384055350292, - "start_date": "2022-12-01", - "total_return_pct": -79.3, - "trades": 408, - "transaction_cost": 297.09481665474954, - "turnover_multiple": 14.854740832737475, - "underwater_pct": 98.81422924901186, - "win_rate": 19.1 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 26.8846, - "avg_gross_exposure_pct": 73.1154, - "avg_hold_days": 9.1, - "avg_positions": 14.9921, - "blocked_fraction": 0.9812710246386035, - "cagr_pct": -78.5, - "calmar": -0.82, - "capacity_opportunities": 21998, - "end_date": "2024-01-03", - "ev_net_r": 0.6708887657346524, - "ev_without_best": { - "1": -0.7564719297706024, - "10": -0.9875247226748962, - "5": -0.9029157179111132 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 242, - "time": 23, - "trailing_stop": 132 - }, - "gain_to_pain": 0.42020166794259334, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 96.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 412, - "peak_positions": 15, - "profit_factor": 1.6002288850124988, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.56, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 21586, - "skipped_min_initial_risk": 0, - "sortino": 6.40021615557982, - "start_date": "2023-01-03", - "total_return_pct": -78.5, - "trades": 412, - "transaction_cost": 157.53500028270585, - "turnover_multiple": 15.753500028270585, - "underwater_pct": 98.41897233201581, - "win_rate": 18.4 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 26.8031, - "avg_gross_exposure_pct": 73.1969, - "avg_hold_days": 9.1, - "avg_positions": 14.9921, - "blocked_fraction": 0.9812710246386035, - "cagr_pct": -79.4, - "calmar": -0.82, - "capacity_opportunities": 21998, - "end_date": "2024-01-03", - "ev_net_r": 0.66027683155459, - "ev_without_best": { - "1": -0.7656765991408423, - "10": -0.9966095010320525, - "5": -0.9120324523991853 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 242, - "time": 23, - "trailing_stop": 132 - }, - "gain_to_pain": 0.3968881036777676, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 96.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 412, - "peak_positions": 15, - "profit_factor": 1.5868527891825213, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.55, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 21586, - "skipped_min_initial_risk": 0, - "sortino": 6.307993760551309, - "start_date": "2023-01-03", - "total_return_pct": -79.4, - "trades": 412, - "transaction_cost": 311.2901488800586, - "turnover_multiple": 15.564507444002931, - "underwater_pct": 98.41897233201581, - "win_rate": 18.2 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 29.684, - "avg_gross_exposure_pct": 70.316, - "avg_hold_days": 9.1, - "avg_positions": 14.9921, - "blocked_fraction": 0.9812689917910109, - "cagr_pct": -85.6, - "calmar": -0.89, - "capacity_opportunities": 22049, - "end_date": "2024-02-01", - "ev_net_r": 0.5758637594178715, - "ev_without_best": { - "1": -0.848263111599062, - "10": -0.9977358162412927, - "5": -0.9456849699272566 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 239, - "time": 25, - "trailing_stop": 134 - }, - "gain_to_pain": 0.34274021315146397, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 413, - "peak_positions": 15, - "profit_factor": 1.527888052450283, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.49, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 21636, - "skipped_min_initial_risk": 0, - "sortino": 5.901369641114543, - "start_date": "2023-02-01", - "total_return_pct": -85.6, - "trades": 413, - "transaction_cost": 111.67781001626464, - "turnover_multiple": 11.167781001626464, - "underwater_pct": 99.60474308300395, - "win_rate": 17.7 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 29.6023, - "avg_gross_exposure_pct": 70.3977, - "avg_hold_days": 9.1, - "avg_positions": 14.9921, - "blocked_fraction": 0.9812689917910109, - "cagr_pct": -86.2, - "calmar": -0.89, - "capacity_opportunities": 22049, - "end_date": "2024-02-01", - "ev_net_r": 0.5655225324695874, - "ev_without_best": { - "1": -0.857199832372422, - "10": -1.006586552293998, - "5": -0.9545737144974206 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 239, - "time": 25, - "trailing_stop": 134 - }, - "gain_to_pain": 0.322496686048154, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 413, - "peak_positions": 15, - "profit_factor": 1.5149391147829525, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.49, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 21636, - "skipped_min_initial_risk": 0, - "sortino": 5.808111258899023, - "start_date": "2023-02-01", - "total_return_pct": -86.2, - "trades": 413, - "transaction_cost": 220.49429758838488, - "turnover_multiple": 11.024714879419243, - "underwater_pct": 99.60474308300395, - "win_rate": 17.4 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 28.4574, - "avg_gross_exposure_pct": 71.5426, - "avg_hold_days": 9.2, - "avg_positions": 14.9802, - "blocked_fraction": 0.9817363802396544, - "cagr_pct": -82.5, - "calmar": -0.86, - "capacity_opportunities": 22449, - "end_date": "2024-02-29", - "ev_net_r": 0.6269871563051663, - "ev_without_best": { - "1": -0.8074606370006755, - "10": -0.972684732087733, - "5": -0.9105505057053148 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 239, - "time": 23, - "trailing_stop": 133 - }, - "gain_to_pain": 0.4290906715897998, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 95.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 410, - "peak_positions": 15, - "profit_factor": 1.572612562946944, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.52, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 22039, - "skipped_min_initial_risk": 0, - "sortino": 6.110658341465605, - "start_date": "2023-03-01", - "total_return_pct": -82.5, - "trades": 410, - "transaction_cost": 115.45094981990547, - "turnover_multiple": 11.545094981990548, - "underwater_pct": 99.60474308300395, - "win_rate": 18.5 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 28.3744, - "avg_gross_exposure_pct": 71.6256, - "avg_hold_days": 9.2, - "avg_positions": 14.9802, - "blocked_fraction": 0.9817363802396544, - "cagr_pct": -83.3, - "calmar": -0.87, - "capacity_opportunities": 22449, - "end_date": "2024-02-29", - "ev_net_r": 0.6163549453842124, - "ev_without_best": { - "1": -0.8166787511976772, - "10": -0.9817757932259623, - "5": -0.9196935974168688 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 239, - "time": 23, - "trailing_stop": 133 - }, - "gain_to_pain": 0.4073186754308556, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 410, - "peak_positions": 15, - "profit_factor": 1.5590424573655737, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.52, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 22039, - "skipped_min_initial_risk": 0, - "sortino": 6.0176135384012195, - "start_date": "2023-03-01", - "total_return_pct": -83.2, - "trades": 410, - "transaction_cost": 227.78457245222765, - "turnover_multiple": 11.389228622611382, - "underwater_pct": 99.60474308300395, - "win_rate": 18.0 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 29.07, - "avg_gross_exposure_pct": 70.93, - "avg_hold_days": 9.2, - "avg_positions": 14.9921, - "blocked_fraction": 0.9826569986854938, - "cagr_pct": -75.7, - "calmar": -0.81, - "capacity_opportunities": 23583, - "end_date": "2024-04-03", - "ev_net_r": 0.6810094483991801, - "ev_without_best": { - "1": -0.7568217407429649, - "10": -0.9140778432410348, - "5": -0.8596654071794702 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 240, - "time": 29, - "trailing_stop": 125 - }, - "gain_to_pain": 0.45595209912849277, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 409, - "peak_positions": 15, - "profit_factor": 1.6422874595309644, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.56, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 23174, - "skipped_min_initial_risk": 0, - "sortino": 6.81780124221956, - "start_date": "2023-04-03", - "total_return_pct": -75.8, - "trades": 409, - "transaction_cost": 125.32592904873934, - "turnover_multiple": 12.532592904873935, - "underwater_pct": 99.60474308300395, - "win_rate": 19.3 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 28.9925, - "avg_gross_exposure_pct": 71.0075, - "avg_hold_days": 9.2, - "avg_positions": 14.9921, - "blocked_fraction": 0.9826569986854938, - "cagr_pct": -76.7, - "calmar": -0.82, - "capacity_opportunities": 23583, - "end_date": "2024-04-03", - "ev_net_r": 0.6704843445209779, - "ev_without_best": { - "1": -0.7659290194566112, - "10": -0.9230595101811936, - "5": -0.868696380327424 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 240, - "time": 29, - "trailing_stop": 125 - }, - "gain_to_pain": 0.43199412396812326, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 409, - "peak_positions": 15, - "profit_factor": 1.6280146329759209, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.56, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 23174, - "skipped_min_initial_risk": 0, - "sortino": 6.72179720736301, - "start_date": "2023-04-03", - "total_return_pct": -76.8, - "trades": 409, - "transaction_cost": 246.5455667657401, - "turnover_multiple": 12.327278338287003, - "underwater_pct": 99.60474308300395, - "win_rate": 18.8 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 30.7969, - "avg_gross_exposure_pct": 69.2031, - "avg_hold_days": 9.4, - "avg_positions": 14.9921, - "blocked_fraction": 0.9828588526972728, - "cagr_pct": -65.7, - "calmar": -0.74, - "capacity_opportunities": 23394, - "end_date": "2024-04-30", - "ev_net_r": 0.7888223659434763, - "ev_without_best": { - "1": -0.6774959146876511, - "10": -0.8629344748125951, - "5": -0.8015048193346724 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 234, - "time": 28, - "trailing_stop": 124 - }, - "gain_to_pain": 0.7529470209261735, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 401, - "peak_positions": 15, - "profit_factor": 1.7785299442059632, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.61, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 22993, - "skipped_min_initial_risk": 0, - "sortino": 7.838122577655942, - "start_date": "2023-05-01", - "total_return_pct": -65.6, - "trades": 401, - "transaction_cost": 177.67588152645854, - "turnover_multiple": 17.767588152645853, - "underwater_pct": 99.60474308300395, - "win_rate": 19.2 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 30.7185, - "avg_gross_exposure_pct": 69.2815, - "avg_hold_days": 9.4, - "avg_positions": 14.9921, - "blocked_fraction": 0.9828588526972728, - "cagr_pct": -67.0, - "calmar": -0.75, - "capacity_opportunities": 23394, - "end_date": "2024-04-30", - "ev_net_r": 0.7783779464827346, - "ev_without_best": { - "1": -0.6864939507695018, - "10": -0.8717436757539924, - "5": -0.810381930091684 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 234, - "time": 28, - "trailing_stop": 124 - }, - "gain_to_pain": 0.7241025011957493, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 89.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 401, - "peak_positions": 15, - "profit_factor": 1.7629154036737202, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.6, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 22993, - "skipped_min_initial_risk": 0, - "sortino": 7.732466237440308, - "start_date": "2023-05-01", - "total_return_pct": -67.0, - "trades": 401, - "transaction_cost": 348.80198871293624, - "turnover_multiple": 17.44009943564681, - "underwater_pct": 99.60474308300395, - "win_rate": 19.0 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 26.7514, - "avg_gross_exposure_pct": 73.2486, - "avg_hold_days": 9.3, - "avg_positions": 14.9881, - "blocked_fraction": 0.9827261037291042, - "cagr_pct": -71.9, - "calmar": -0.85, - "capacity_opportunities": 23330, - "end_date": "2024-05-31", - "ev_net_r": 0.7111140223413391, - "ev_without_best": { - "1": -0.7481024468030717, - "10": -0.883691150824456, - "5": -0.8272977073807223 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 237, - "time": 34, - "trailing_stop": 117 - }, - "gain_to_pain": 0.6352854984847455, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 84.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 403, - "peak_positions": 15, - "profit_factor": 1.6782451117654849, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.57, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 22927, - "skipped_min_initial_risk": 0, - "sortino": 7.715007704149279, - "start_date": "2023-06-01", - "total_return_pct": -71.9, - "trades": 403, - "transaction_cost": 227.99762033557138, - "turnover_multiple": 22.799762033557137, - "underwater_pct": 99.2094861660079, - "win_rate": 20.8 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 26.6662, - "avg_gross_exposure_pct": 73.3338, - "avg_hold_days": 9.3, - "avg_positions": 14.9881, - "blocked_fraction": 0.9827261037291042, - "cagr_pct": -73.1, - "calmar": -0.86, - "capacity_opportunities": 23330, - "end_date": "2024-05-31", - "ev_net_r": 0.700041527996911, - "ev_without_best": { - "1": -0.7577373160811497, - "10": -0.8932010553134541, - "5": -0.8368850418397812 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 237, - "time": 34, - "trailing_stop": 117 - }, - "gain_to_pain": 0.6082270527283001, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 85.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 403, - "peak_positions": 15, - "profit_factor": 1.6629219246463902, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.57, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 22927, - "skipped_min_initial_risk": 0, - "sortino": 7.601892883134656, - "start_date": "2023-06-01", - "total_return_pct": -73.1, - "trades": 403, - "transaction_cost": 447.39311401137417, - "turnover_multiple": 22.36965570056871, - "underwater_pct": 99.2094861660079, - "win_rate": 20.3 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 24.2806, - "avg_gross_exposure_pct": 75.7194, - "avg_hold_days": 9.0, - "avg_positions": 14.996, - "blocked_fraction": 0.9817046354120855, - "cagr_pct": -60.5, - "calmar": -0.74, - "capacity_opportunities": 22738, - "end_date": "2024-07-02", - "ev_net_r": 0.7404854738696579, - "ev_without_best": { - "1": -0.6729498252737757, - "10": -0.8810379295259384, - "5": -0.8112911949112144 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 243, - "time": 24, - "trailing_stop": 134 - }, - "gain_to_pain": 0.7465103473084146, - "longest_underwater_sessions": 161, - "max_drawdown_pct": 81.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 416, - "peak_positions": 15, - "profit_factor": 1.6994002136755793, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.65, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 22322, - "skipped_min_initial_risk": 0, - "sortino": 9.189242531415173, - "start_date": "2023-07-03", - "total_return_pct": -60.5, - "trades": 416, - "transaction_cost": 341.23569267803305, - "turnover_multiple": 34.123569267803305, - "underwater_pct": 98.41897233201581, - "win_rate": 20.0 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 24.2, - "avg_gross_exposure_pct": 75.8, - "avg_hold_days": 9.0, - "avg_positions": 14.996, - "blocked_fraction": 0.9817046354120855, - "cagr_pct": -62.1, - "calmar": -0.76, - "capacity_opportunities": 22738, - "end_date": "2024-07-02", - "ev_net_r": 0.7292588929645976, - "ev_without_best": { - "1": -0.6827841864436258, - "10": -0.8906900065472235, - "5": -0.8209810368892241 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 243, - "time": 24, - "trailing_stop": 134 - }, - "gain_to_pain": 0.7137291955304368, - "longest_underwater_sessions": 161, - "max_drawdown_pct": 81.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 416, - "peak_positions": 15, - "profit_factor": 1.6838649521502376, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.64, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 22322, - "skipped_min_initial_risk": 0, - "sortino": 9.075213160877954, - "start_date": "2023-07-03", - "total_return_pct": -62.1, - "trades": 416, - "transaction_cost": 668.9784773433753, - "turnover_multiple": 33.44892386716876, - "underwater_pct": 98.41897233201581, - "win_rate": 19.7 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 23.394, - "avg_gross_exposure_pct": 76.606, - "avg_hold_days": 9.1, - "avg_positions": 14.996, - "blocked_fraction": 0.9820159663128345, - "cagr_pct": -63.2, - "calmar": -0.78, - "capacity_opportunities": 22798, - "end_date": "2024-07-31", - "ev_net_r": 0.7182662504906887, - "ev_without_best": { - "1": -0.7159583665457512, - "10": -0.9009914953574721, - "5": -0.8333626646642176 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 243, - "time": 26, - "trailing_stop": 126 - }, - "gain_to_pain": 0.6795194638337693, - "longest_underwater_sessions": 181, - "max_drawdown_pct": 81.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 410, - "peak_positions": 15, - "profit_factor": 1.6735371113129744, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.64, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 22388, - "skipped_min_initial_risk": 0, - "sortino": 9.240599966303657, - "start_date": "2023-08-01", - "total_return_pct": -63.2, - "trades": 410, - "transaction_cost": 284.2194973373797, - "turnover_multiple": 28.42194973373797, - "underwater_pct": 98.81422924901186, - "win_rate": 18.5 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 23.3254, - "avg_gross_exposure_pct": 76.6746, - "avg_hold_days": 9.1, - "avg_positions": 14.996, - "blocked_fraction": 0.9820159663128345, - "cagr_pct": -64.7, - "calmar": -0.79, - "capacity_opportunities": 22798, - "end_date": "2024-07-31", - "ev_net_r": 0.7070574240584788, - "ev_without_best": { - "1": -0.7257545060718851, - "10": -0.9106256261511715, - "5": -0.8430389816473904 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 243, - "time": 26, - "trailing_stop": 126 - }, - "gain_to_pain": 0.6496633989418589, - "longest_underwater_sessions": 181, - "max_drawdown_pct": 81.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 410, - "peak_positions": 15, - "profit_factor": 1.6582564899507937, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.63, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 22388, - "skipped_min_initial_risk": 0, - "sortino": 9.123317309075471, - "start_date": "2023-08-01", - "total_return_pct": -64.7, - "trades": 410, - "transaction_cost": 557.3770850883558, - "turnover_multiple": 27.868854254417784, - "underwater_pct": 98.81422924901186, - "win_rate": 18.3 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 21.8663, - "avg_gross_exposure_pct": 78.1337, - "avg_hold_days": 9.2, - "avg_positions": 14.9921, - "blocked_fraction": 0.9823329261908916, - "cagr_pct": -70.2, - "calmar": -0.81, - "capacity_opportunities": 22924, - "end_date": "2024-09-03", - "ev_net_r": 0.6890806029707426, - "ev_without_best": { - "1": -0.7629665604337716, - "10": -0.9501438433157336, - "5": -0.8823084942175992 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 239, - "time": 26, - "trailing_stop": 125 - }, - "gain_to_pain": 0.5871759756607657, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 87.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 405, - "peak_positions": 15, - "profit_factor": 1.6215942275690767, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.61, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 22519, - "skipped_min_initial_risk": 0, - "sortino": 8.435522079629827, - "start_date": "2023-09-01", - "total_return_pct": -70.5, - "trades": 405, - "transaction_cost": 338.9655157408116, - "turnover_multiple": 33.89655157408116, - "underwater_pct": 99.2094861660079, - "win_rate": 17.5 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 21.7758, - "avg_gross_exposure_pct": 78.2242, - "avg_hold_days": 9.2, - "avg_positions": 14.9921, - "blocked_fraction": 0.9823329261908916, - "cagr_pct": -71.4, - "calmar": -0.82, - "capacity_opportunities": 22924, - "end_date": "2024-09-03", - "ev_net_r": 0.6778308508483446, - "ev_without_best": { - "1": -0.7727862432024694, - "10": -0.9597642586213511, - "5": -0.8920070920939744 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 239, - "time": 26, - "trailing_stop": 125 - }, - "gain_to_pain": 0.5607037462037343, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 87.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 405, - "peak_positions": 15, - "profit_factor": 1.6071933109018457, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": 0.61, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 22519, - "skipped_min_initial_risk": 0, - "sortino": 8.329940710548371, - "start_date": "2023-09-01", - "total_return_pct": -71.7, - "trades": 405, - "transaction_cost": 665.559723732384, - "turnover_multiple": 33.277986186619195, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 19.321, - "avg_gross_exposure_pct": 80.679, - "avg_hold_days": 9.4, - "avg_positions": 14.9683, - "blocked_fraction": 0.9831453445983617, - "cagr_pct": -61.3, - "calmar": -0.69, - "capacity_opportunities": 23317, - "end_date": "2024-10-01", - "ev_net_r": 0.741922684223233, - "ev_without_best": { - "1": -0.7544401013231222, - "10": -0.9796719217668524, - "5": -0.9041830675111567 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 228, - "time": 28, - "trailing_stop": 122 - }, - "gain_to_pain": 0.6721711935273207, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 88.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 393, - "peak_positions": 15, - "profit_factor": 1.6474858780011865, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.65, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 22924, - "skipped_min_initial_risk": 0, - "sortino": 7.785755933886962, - "start_date": "2023-10-02", - "total_return_pct": -61.2, - "trades": 393, - "transaction_cost": 453.7468835193533, - "turnover_multiple": 45.374688351935326, - "underwater_pct": 99.2094861660079, - "win_rate": 19.1 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 19.2493, - "avg_gross_exposure_pct": 80.7507, - "avg_hold_days": 9.4, - "avg_positions": 14.9683, - "blocked_fraction": 0.9831453445983617, - "cagr_pct": -62.8, - "calmar": -0.7, - "capacity_opportunities": 23317, - "end_date": "2024-10-01", - "ev_net_r": 0.7307438708537055, - "ev_without_best": { - "1": -0.7641448867394669, - "10": -0.9891243436974819, - "5": -0.9137548359724776 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 228, - "time": 28, - "trailing_stop": 122 - }, - "gain_to_pain": 0.6451261991423989, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 393, - "peak_positions": 15, - "profit_factor": 1.6335886033297453, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.64, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 22924, - "skipped_min_initial_risk": 0, - "sortino": 7.69344573838715, - "start_date": "2023-10-02", - "total_return_pct": -62.8, - "trades": 393, - "transaction_cost": 891.8041218311645, - "turnover_multiple": 44.59020609155822, - "underwater_pct": 99.2094861660079, - "win_rate": 19.1 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 18.7665, - "avg_gross_exposure_pct": 81.2335, - "avg_hold_days": 9.5, - "avg_positions": 14.9921, - "blocked_fraction": 0.9842972196365697, - "cagr_pct": -94.9, - "calmar": -1.0, - "capacity_opportunities": 24709, - "end_date": "2024-10-31", - "ev_net_r": -0.7409795472812168, - "ev_without_best": { - "1": -0.7770111802492498, - "10": -0.9469635214873146, - "5": -0.8807232092970435 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 225, - "time": 30, - "trailing_stop": 118 - }, - "gain_to_pain": -0.9628969797602996, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 388, - "peak_positions": 15, - "profit_factor": 0.3152432746459152, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -3.63, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 24321, - "skipped_min_initial_risk": 0, - "sortino": -4.410701268534303, - "start_date": "2023-11-01", - "total_return_pct": -94.9, - "trades": 388, - "transaction_cost": 123.78244478205008, - "turnover_multiple": 12.378244478205009, - "underwater_pct": 99.60474308300395, - "win_rate": 18.0 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 18.6424, - "avg_gross_exposure_pct": 81.3576, - "avg_hold_days": 9.5, - "avg_positions": 14.9921, - "blocked_fraction": 0.9842972196365697, - "cagr_pct": -95.1, - "calmar": -1.0, - "capacity_opportunities": 24709, - "end_date": "2024-10-31", - "ev_net_r": -0.7502769912891748, - "ev_without_best": { - "1": -0.7862897655991382, - "10": -0.9559915144221376, - "5": -0.889891256956967 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 225, - "time": 30, - "trailing_stop": 118 - }, - "gain_to_pain": -0.9648101224125544, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 95.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 388, - "peak_positions": 15, - "profit_factor": 0.31127563859227947, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": -3.67, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 24321, - "skipped_min_initial_risk": 0, - "sortino": -4.445592228588347, - "start_date": "2023-11-01", - "total_return_pct": -95.1, - "trades": 388, - "transaction_cost": 244.83425877024285, - "turnover_multiple": 12.241712938512142, - "underwater_pct": 99.60474308300395, - "win_rate": 18.0 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 20.3041, - "avg_gross_exposure_pct": 79.6959, - "avg_hold_days": 9.9, - "avg_positions": 14.9802, - "blocked_fraction": 0.9847460422163589, - "cagr_pct": -92.8, - "calmar": -1.0, - "capacity_opportunities": 24256, - "end_date": "2024-12-02", - "ev_net_r": -0.6773090419092963, - "ev_without_best": { - "1": -0.7205413830434714, - "10": -0.9038943831669259, - "5": -0.8318009637332304 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 215, - "time": 30, - "trailing_stop": 110 - }, - "gain_to_pain": -0.9471191832216027, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 370, - "peak_positions": 15, - "profit_factor": 0.3494608071047386, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -3.31, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 23886, - "skipped_min_initial_risk": 0, - "sortino": -4.057823612188004, - "start_date": "2023-12-01", - "total_return_pct": -92.9, - "trades": 370, - "transaction_cost": 155.21038714686833, - "turnover_multiple": 15.521038714686833, - "underwater_pct": 99.60474308300395, - "win_rate": 18.9 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2023-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 20.2055, - "avg_gross_exposure_pct": 79.7945, - "avg_hold_days": 9.9, - "avg_positions": 14.9802, - "blocked_fraction": 0.9847460422163589, - "cagr_pct": -93.0, - "calmar": -1.0, - "capacity_opportunities": 24256, - "end_date": "2024-12-02", - "ev_net_r": -0.6865204553370773, - "ev_without_best": { - "1": -0.7297271016283533, - "10": -0.9129024969359286, - "5": -0.8408592795072286 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 215, - "time": 30, - "trailing_stop": 110 - }, - "gain_to_pain": -0.9491605017137846, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 370, - "peak_positions": 15, - "profit_factor": 0.34513176837465853, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -3.34, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 23886, - "skipped_min_initial_risk": 0, - "sortino": -4.091945251501077, - "start_date": "2023-12-01", - "total_return_pct": -93.1, - "trades": 370, - "transaction_cost": 306.95969428493123, - "turnover_multiple": 15.34798471424656, - "underwater_pct": 99.60474308300395, - "win_rate": 18.9 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.3839, - "avg_gross_exposure_pct": 82.6161, - "avg_hold_days": 9.7, - "avg_positions": 14.9563, - "blocked_fraction": 0.9838605273378501, - "cagr_pct": -92.1, - "calmar": -0.98, - "capacity_opportunities": 23173, - "end_date": "2024-12-31", - "ev_net_r": -0.6138587620311469, - "ev_without_best": { - "1": -0.6683522249281493, - "10": -0.877074182867193, - "5": -0.7969589949182744 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 214, - "time": 27, - "trailing_stop": 118 - }, - "gain_to_pain": -0.8652359393178032, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 374, - "peak_positions": 15, - "profit_factor": 0.3958637997893102, - "sessions_at_capacity": 242, - "sessions_measured": 252, - "sharpe": -3.14, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 22799, - "skipped_min_initial_risk": 0, - "sortino": -3.892395827616104, - "start_date": "2024-01-02", - "total_return_pct": -92.0, - "trades": 374, - "transaction_cost": 133.91919101266873, - "turnover_multiple": 13.391919101266874, - "underwater_pct": 99.60474308300395, - "win_rate": 19.0 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.2866, - "avg_gross_exposure_pct": 82.7134, - "avg_hold_days": 9.7, - "avg_positions": 14.9563, - "blocked_fraction": 0.9838605273378501, - "cagr_pct": -92.3, - "calmar": -0.98, - "capacity_opportunities": 23173, - "end_date": "2024-12-31", - "ev_net_r": -0.6227848977392354, - "ev_without_best": { - "1": -0.6772300995088281, - "10": -0.8857503765507029, - "5": -0.8057248101971508 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 214, - "time": 27, - "trailing_stop": 118 - }, - "gain_to_pain": -0.8660606070713569, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 374, - "peak_positions": 15, - "profit_factor": 0.39114800580982567, - "sessions_at_capacity": 242, - "sessions_measured": 252, - "sharpe": -3.16, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 22799, - "skipped_min_initial_risk": 0, - "sortino": -3.9208584144068404, - "start_date": "2024-01-02", - "total_return_pct": -92.2, - "trades": 374, - "transaction_cost": 264.9532867232583, - "turnover_multiple": 13.247664336162916, - "underwater_pct": 99.60474308300395, - "win_rate": 18.2 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 16.0088, - "avg_gross_exposure_pct": 83.9912, - "avg_hold_days": 10.1, - "avg_positions": 14.9325, - "blocked_fraction": 0.9841676985671325, - "cagr_pct": -91.6, - "calmar": -0.98, - "capacity_opportunities": 22612, - "end_date": "2025-02-03", - "ev_net_r": -0.6723131458200375, - "ev_without_best": { - "1": -0.7130245946152591, - "10": -0.9056515092964409, - "5": -0.8388420245379757 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 198, - "time": 26, - "trailing_stop": 119 - }, - "gain_to_pain": -0.884917567135759, - "longest_underwater_sessions": 236, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 358, - "peak_positions": 15, - "profit_factor": 0.3386885836897623, - "sessions_at_capacity": 235, - "sessions_measured": 252, - "sharpe": -2.94, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 22254, - "skipped_min_initial_risk": 0, - "sortino": -3.6979030230772336, - "start_date": "2024-02-01", - "total_return_pct": -91.7, - "trades": 358, - "transaction_cost": 146.78113028974553, - "turnover_multiple": 14.678113028974552, - "underwater_pct": 98.02371541501977, - "win_rate": 19.3 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 15.8822, - "avg_gross_exposure_pct": 84.1178, - "avg_hold_days": 10.1, - "avg_positions": 14.9325, - "blocked_fraction": 0.9841676985671325, - "cagr_pct": -91.7, - "calmar": -0.99, - "capacity_opportunities": 22612, - "end_date": "2025-02-03", - "ev_net_r": -0.681248153286327, - "ev_without_best": { - "1": -0.7219291471797527, - "10": -0.9142899691193555, - "5": -0.8476023071180685 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 198, - "time": 26, - "trailing_stop": 119 - }, - "gain_to_pain": -0.886716261998698, - "longest_underwater_sessions": 236, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 358, - "peak_positions": 15, - "profit_factor": 0.33438760609401885, - "sessions_at_capacity": 235, - "sessions_measured": 252, - "sharpe": -2.96, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 22254, - "skipped_min_initial_risk": 0, - "sortino": -3.7238776678241083, - "start_date": "2024-02-01", - "total_return_pct": -91.9, - "trades": 358, - "transaction_cost": 290.692520415198, - "turnover_multiple": 14.534626020759896, - "underwater_pct": 98.02371541501977, - "win_rate": 19.0 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 12.792, - "avg_gross_exposure_pct": 87.208, - "avg_hold_days": 10.1, - "avg_positions": 14.7897, - "blocked_fraction": 0.982281284606866, - "cagr_pct": -92.2, - "calmar": -1.0, - "capacity_opportunities": 19866, - "end_date": "2025-03-04", - "ev_net_r": -0.7421181790298182, - "ev_without_best": { - "1": -0.783724424765157, - "10": -0.9712346643278004, - "5": -0.9096814289382029 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 200, - "time": 26, - "trailing_stop": 114 - }, - "gain_to_pain": -0.9132480609413003, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.28139697942864833, - "sessions_at_capacity": 213, - "sessions_measured": 252, - "sharpe": -3.14, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 19514, - "skipped_min_initial_risk": 0, - "sortino": -3.9725451249858694, - "start_date": "2024-03-01", - "total_return_pct": -92.4, - "trades": 352, - "transaction_cost": 123.24912908059396, - "turnover_multiple": 12.324912908059394, - "underwater_pct": 98.81422924901186, - "win_rate": 15.6 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 12.4947, - "avg_gross_exposure_pct": 87.5053, - "avg_hold_days": 10.2, - "avg_positions": 14.8294, - "blocked_fraction": 0.9830137252993283, - "cagr_pct": -91.7, - "calmar": -1.0, - "capacity_opportunities": 20546, - "end_date": "2025-03-04", - "ev_net_r": -0.7252072225972679, - "ev_without_best": { - "1": -0.7670666303250377, - "10": -0.9553065476041623, - "5": -0.89370403474044 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 192, - "time": 25, - "trailing_stop": 118 - }, - "gain_to_pain": -0.9082574024879682, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 349, - "peak_positions": 15, - "profit_factor": 0.2895662689860991, - "sessions_at_capacity": 220, - "sessions_measured": 252, - "sharpe": -2.99, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 20197, - "skipped_min_initial_risk": 0, - "sortino": -3.8094212352590806, - "start_date": "2024-03-01", - "total_return_pct": -91.8, - "trades": 349, - "transaction_cost": 244.5607017125614, - "turnover_multiple": 12.228035085628072, - "underwater_pct": 99.2094861660079, - "win_rate": 16.0 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 10.1847, - "avg_gross_exposure_pct": 89.8153, - "avg_hold_days": 9.9, - "avg_positions": 14.6349, - "blocked_fraction": 0.981728523228653, - "cagr_pct": -92.3, - "calmar": -1.0, - "capacity_opportunities": 19265, - "end_date": "2025-04-01", - "ev_net_r": -0.7332121396541207, - "ev_without_best": { - "1": -0.791461185347012, - "10": -0.9890454315943815, - "5": -0.9201704340958103 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 204, - "time": 26, - "trailing_stop": 111 - }, - "gain_to_pain": -0.9172613613188388, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.3030396203808495, - "sessions_at_capacity": 207, - "sessions_measured": 252, - "sharpe": -3.51, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 18913, - "skipped_min_initial_risk": 0, - "sortino": -4.290219319983223, - "start_date": "2024-04-01", - "total_return_pct": -92.3, - "trades": 352, - "transaction_cost": 112.85362077103366, - "turnover_multiple": 11.285362077103366, - "underwater_pct": 99.60474308300395, - "win_rate": 15.3 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 10.0602, - "avg_gross_exposure_pct": 89.9398, - "avg_hold_days": 9.9, - "avg_positions": 14.6349, - "blocked_fraction": 0.981728523228653, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 19265, - "end_date": "2025-04-01", - "ev_net_r": -0.74172847273955, - "ev_without_best": { - "1": -0.7999250648622234, - "10": -0.9972143649961271, - "5": -0.9284709152241931 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 204, - "time": 26, - "trailing_stop": 111 - }, - "gain_to_pain": -0.9160861511570519, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.29939457775080086, - "sessions_at_capacity": 207, - "sessions_measured": 252, - "sharpe": -3.52, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 18913, - "skipped_min_initial_risk": 0, - "sortino": -4.305413263017653, - "start_date": "2024-04-01", - "total_return_pct": -92.4, - "trades": 352, - "transaction_cost": 223.49499311158962, - "turnover_multiple": 11.17474965557948, - "underwater_pct": 99.60474308300395, - "win_rate": 15.1 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 7.7593, - "avg_gross_exposure_pct": 92.2407, - "avg_hold_days": 10.2, - "avg_positions": 14.0675, - "blocked_fraction": 0.9812806757219495, - "cagr_pct": -88.4, - "calmar": -1.0, - "capacity_opportunities": 17522, - "end_date": "2025-05-02", - "ev_net_r": -0.6738662548659652, - "ev_without_best": { - "1": -0.7362089739895638, - "10": -0.9628036373250709, - "5": -0.8960434927776681 - }, - "exit_reasons": { - "open_at_end": 8, - "stop": 185, - "time": 25, - "trailing_stop": 110 - }, - "gain_to_pain": -0.9018378189246754, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 328, - "peak_positions": 15, - "profit_factor": 0.34506157589456, - "sessions_at_capacity": 185, - "sessions_measured": 252, - "sharpe": -3.0, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 17194, - "skipped_min_initial_risk": 0, - "sortino": -3.705780980503671, - "start_date": "2024-05-01", - "total_return_pct": -88.4, - "trades": 328, - "transaction_cost": 136.53819088776558, - "turnover_multiple": 13.653819088776558, - "underwater_pct": 99.2094861660079, - "win_rate": 15.2 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 7.9716, - "avg_gross_exposure_pct": 92.0284, - "avg_hold_days": 10.2, - "avg_positions": 14.0159, - "blocked_fraction": 0.9820471745014638, - "cagr_pct": -88.5, - "calmar": -1.0, - "capacity_opportunities": 18103, - "end_date": "2025-05-02", - "ev_net_r": -0.6980003849473956, - "ev_without_best": { - "1": -0.7428765178227477, - "10": -0.97160418127995, - "5": -0.9039897368456031 - }, - "exit_reasons": { - "open_at_end": 8, - "stop": 184, - "time": 25, - "trailing_stop": 108 - }, - "gain_to_pain": -0.9091606843636011, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 325, - "peak_positions": 15, - "profit_factor": 0.3268015559867502, - "sessions_at_capacity": 191, - "sessions_measured": 252, - "sharpe": -2.91, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 17778, - "skipped_min_initial_risk": 0, - "sortino": -3.605606694040233, - "start_date": "2024-05-01", - "total_return_pct": -88.6, - "trades": 325, - "transaction_cost": 270.8267313213923, - "turnover_multiple": 13.541336566069614, - "underwater_pct": 99.2094861660079, - "win_rate": 15.7 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 6.4261, - "avg_gross_exposure_pct": 93.5739, - "avg_hold_days": 10.5, - "avg_positions": 13.8056, - "blocked_fraction": 0.9810487580496781, - "cagr_pct": -85.2, - "calmar": -0.99, - "capacity_opportunities": 16305, - "end_date": "2025-06-04", - "ev_net_r": -0.681358108557665, - "ev_without_best": { - "1": -0.7285757455142616, - "10": -0.9372219655474189, - "5": -0.8731121811233029 - }, - "exit_reasons": { - "open_at_end": 8, - "stop": 174, - "time": 26, - "trailing_stop": 101 - }, - "gain_to_pain": -0.8847971847013495, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 85.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 309, - "peak_positions": 15, - "profit_factor": 0.3162209059055551, - "sessions_at_capacity": 171, - "sessions_measured": 252, - "sharpe": -2.56, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 15996, - "skipped_min_initial_risk": 0, - "sortino": -3.379389355648734, - "start_date": "2024-06-03", - "total_return_pct": -85.2, - "trades": 309, - "transaction_cost": 114.64489479995675, - "turnover_multiple": 11.464489479995674, - "underwater_pct": 98.81422924901186, - "win_rate": 15.5 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 6.3445, - "avg_gross_exposure_pct": 93.6555, - "avg_hold_days": 10.5, - "avg_positions": 13.8056, - "blocked_fraction": 0.9810487580496781, - "cagr_pct": -85.3, - "calmar": -0.99, - "capacity_opportunities": 16305, - "end_date": "2025-06-04", - "ev_net_r": -0.6892973043270357, - "ev_without_best": { - "1": -0.7364764081289633, - "10": -0.9448094516430873, - "5": -0.8808270520462375 - }, - "exit_reasons": { - "open_at_end": 8, - "stop": 174, - "time": 26, - "trailing_stop": 101 - }, - "gain_to_pain": -0.8860234811170715, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 86.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 309, - "peak_positions": 15, - "profit_factor": 0.3125823687466827, - "sessions_at_capacity": 171, - "sessions_measured": 252, - "sharpe": -2.57, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 15996, - "skipped_min_initial_risk": 0, - "sortino": -3.3944300719527347, - "start_date": "2024-06-03", - "total_return_pct": -85.3, - "trades": 309, - "transaction_cost": 227.40675113341067, - "turnover_multiple": 11.370337556670533, - "underwater_pct": 98.81422924901186, - "win_rate": 15.2 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 38.0339, - "avg_gross_exposure_pct": 61.9661, - "avg_hold_days": 11.0, - "avg_positions": 15.0, - "blocked_fraction": 0.986338688353832, - "cagr_pct": -89.1, - "calmar": -0.97, - "capacity_opportunities": 24961, - "end_date": "2025-07-02", - "ev_net_r": -0.5871547766550194, - "ev_without_best": { - "1": -0.7074514083510636, - "10": -0.8682228312392377, - "5": -0.8192286397623958 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 184, - "time": 34, - "trailing_stop": 108 - }, - "gain_to_pain": -0.9539759682188121, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 91.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 341, - "peak_positions": 15, - "profit_factor": 0.3680932035916923, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.25, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 24620, - "skipped_min_initial_risk": 0, - "sortino": -3.445458342157721, - "start_date": "2024-07-01", - "total_return_pct": -89.2, - "trades": 341, - "transaction_cost": 135.26529825786884, - "turnover_multiple": 13.526529825786882, - "underwater_pct": 99.2094861660079, - "win_rate": 16.4 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 37.9625, - "avg_gross_exposure_pct": 62.0375, - "avg_hold_days": 11.0, - "avg_positions": 15.0, - "blocked_fraction": 0.986338688353832, - "cagr_pct": -89.4, - "calmar": -0.97, - "capacity_opportunities": 24961, - "end_date": "2025-07-02", - "ev_net_r": -0.5950524948255248, - "ev_without_best": { - "1": -0.7152165707906979, - "10": -0.875811458194943, - "5": -0.8268771270359595 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 184, - "time": 34, - "trailing_stop": 108 - }, - "gain_to_pain": -0.9574460409041191, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 341, - "peak_positions": 15, - "profit_factor": 0.3637974594091725, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -2.28, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 24620, - "skipped_min_initial_risk": 0, - "sortino": -3.484283724577099, - "start_date": "2024-07-01", - "total_return_pct": -89.5, - "trades": 341, - "transaction_cost": 268.0994338381915, - "turnover_multiple": 13.404971691909573, - "underwater_pct": 99.2094861660079, - "win_rate": 15.8 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 39.8227, - "avg_gross_exposure_pct": 60.1773, - "avg_hold_days": 10.8, - "avg_positions": 15.0, - "blocked_fraction": 0.98640625, - "cagr_pct": -94.3, - "calmar": -1.0, - "capacity_opportunities": 25600, - "end_date": "2025-08-04", - "ev_net_r": -0.7408839905148391, - "ev_without_best": { - "1": -0.7720675453111628, - "10": -0.887885599826373, - "5": -0.8399568577946136 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 187, - "time": 34, - "trailing_stop": 112 - }, - "gain_to_pain": -0.9733970070102903, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 94.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 348, - "peak_positions": 15, - "profit_factor": 0.2153521463216499, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.8, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 25252, - "skipped_min_initial_risk": 0, - "sortino": -4.469025686398731, - "start_date": "2024-08-01", - "total_return_pct": -94.4, - "trades": 348, - "transaction_cost": 86.7819026258285, - "turnover_multiple": 8.678190262582849, - "underwater_pct": 99.2094861660079, - "win_rate": 16.1 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 39.7524, - "avg_gross_exposure_pct": 60.2476, - "avg_hold_days": 10.8, - "avg_positions": 15.0, - "blocked_fraction": 0.98640625, - "cagr_pct": -94.4, - "calmar": -1.0, - "capacity_opportunities": 25600, - "end_date": "2025-08-04", - "ev_net_r": -0.7488036824097265, - "ev_without_best": { - "1": -0.7799655977837632, - "10": -0.8955839912569911, - "5": -0.8477706038997295 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 187, - "time": 34, - "trailing_stop": 112 - }, - "gain_to_pain": -0.974174935721605, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 94.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 348, - "peak_positions": 15, - "profit_factor": 0.21230541738849515, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.83, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 25252, - "skipped_min_initial_risk": 0, - "sortino": -4.5000564268250605, - "start_date": "2024-08-01", - "total_return_pct": -94.6, - "trades": 348, - "transaction_cost": 172.1401703189899, - "turnover_multiple": 8.607008515949495, - "underwater_pct": 99.2094861660079, - "win_rate": 15.8 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 41.3196, - "avg_gross_exposure_pct": 58.6804, - "avg_hold_days": 10.7, - "avg_positions": 15.0, - "blocked_fraction": 0.986585132811007, - "cagr_pct": -94.0, - "calmar": -1.0, - "capacity_opportunities": 26165, - "end_date": "2025-09-04", - "ev_net_r": -0.7303950870903986, - "ev_without_best": { - "1": -0.7612813859786841, - "10": -0.8697988021948482, - "5": -0.820355863249255 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 190, - "time": 35, - "trailing_stop": 111 - }, - "gain_to_pain": -0.9691969032141283, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 94.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 351, - "peak_positions": 15, - "profit_factor": 0.2157284833231463, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.03, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 25814, - "skipped_min_initial_risk": 0, - "sortino": -4.72610290165774, - "start_date": "2024-09-03", - "total_return_pct": -94.0, - "trades": 351, - "transaction_cost": 80.78069369994057, - "turnover_multiple": 8.078069369994058, - "underwater_pct": 99.2094861660079, - "win_rate": 15.7 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 41.2559, - "avg_gross_exposure_pct": 58.7441, - "avg_hold_days": 10.7, - "avg_positions": 15.0, - "blocked_fraction": 0.986585132811007, - "cagr_pct": -94.1, - "calmar": -1.0, - "capacity_opportunities": 26165, - "end_date": "2025-09-04", - "ev_net_r": -0.7380104141806864, - "ev_without_best": { - "1": -0.7688743895137197, - "10": -0.8771559913508705, - "5": -0.8277681179101124 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 190, - "time": 35, - "trailing_stop": 111 - }, - "gain_to_pain": -0.9701534812921083, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 351, - "peak_positions": 15, - "profit_factor": 0.2127469391029049, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.07, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 25814, - "skipped_min_initial_risk": 0, - "sortino": -4.762082342731707, - "start_date": "2024-09-03", - "total_return_pct": -94.2, - "trades": 351, - "transaction_cost": 160.23310335613448, - "turnover_multiple": 8.011655167806722, - "underwater_pct": 99.60474308300395, - "win_rate": 15.4 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 42.032, - "avg_gross_exposure_pct": 57.968, - "avg_hold_days": 10.7, - "avg_positions": 15.0, - "blocked_fraction": 0.9869549150036955, - "cagr_pct": -90.0, - "calmar": -1.0, - "capacity_opportunities": 27060, - "end_date": "2025-10-02", - "ev_net_r": -0.5946623381017268, - "ev_without_best": { - "1": -0.6680274997212524, - "10": -0.8435436988728143, - "5": -0.7923090599056347 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 195, - "time": 37, - "trailing_stop": 106 - }, - "gain_to_pain": -0.8020133787971109, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 353, - "peak_positions": 15, - "profit_factor": 0.34984370924881497, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.74, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 26707, - "skipped_min_initial_risk": 0, - "sortino": -4.695568026591629, - "start_date": "2024-10-01", - "total_return_pct": -90.0, - "trades": 353, - "transaction_cost": 96.11842290918526, - "turnover_multiple": 9.611842290918524, - "underwater_pct": 99.60474308300395, - "win_rate": 17.0 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 41.9705, - "avg_gross_exposure_pct": 58.0295, - "avg_hold_days": 10.7, - "avg_positions": 15.0, - "blocked_fraction": 0.9869549150036955, - "cagr_pct": -90.3, - "calmar": -1.0, - "capacity_opportunities": 27060, - "end_date": "2025-10-02", - "ev_net_r": -0.6023794092847267, - "ev_without_best": { - "1": -0.6756790038438578, - "10": -0.8509802926247542, - "5": -0.7998261455860209 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 195, - "time": 37, - "trailing_stop": 106 - }, - "gain_to_pain": -0.8056829825882125, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 353, - "peak_positions": 15, - "profit_factor": 0.34578660024892843, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.78, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 26707, - "skipped_min_initial_risk": 0, - "sortino": -4.737417771576317, - "start_date": "2024-10-01", - "total_return_pct": -90.3, - "trades": 353, - "transaction_cost": 190.48087053484542, - "turnover_multiple": 9.524043526742272, - "underwater_pct": 99.60474308300395, - "win_rate": 16.7 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 41.5727, - "avg_gross_exposure_pct": 58.4273, - "avg_hold_days": 11.5, - "avg_positions": 15.0, - "blocked_fraction": 0.9879926335174954, - "cagr_pct": -90.0, - "calmar": -0.99, - "capacity_opportunities": 27150, - "end_date": "2025-11-04", - "ev_net_r": -0.6701534761029966, - "ev_without_best": { - "1": -0.6938047604066615, - "10": -0.8035550184576301, - "5": -0.7470287722248352 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 175, - "time": 48, - "trailing_stop": 88 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 90.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 326, - "peak_positions": 15, - "profit_factor": 0.24926723789593513, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.88, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 26824, - "skipped_min_initial_risk": 0, - "sortino": -5.542054930892375, - "start_date": "2024-11-01", - "total_return_pct": -90.1, - "trades": 326, - "transaction_cost": 88.69661140178877, - "turnover_multiple": 8.869661140178877, - "underwater_pct": 99.2094861660079, - "win_rate": 18.7 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 41.5106, - "avg_gross_exposure_pct": 58.4894, - "avg_hold_days": 11.5, - "avg_positions": 15.0, - "blocked_fraction": 0.9879926335174954, - "cagr_pct": -90.2, - "calmar": -0.99, - "capacity_opportunities": 27150, - "end_date": "2025-11-04", - "ev_net_r": -0.6776928730060958, - "ev_without_best": { - "1": -0.7013161366832473, - "10": -0.8108240640554234, - "5": -0.754413711236583 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 175, - "time": 48, - "trailing_stop": 88 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 90.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 326, - "peak_positions": 15, - "profit_factor": 0.2458039033141819, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.93, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 26824, - "skipped_min_initial_risk": 0, - "sortino": -5.58157486536519, - "start_date": "2024-11-01", - "total_return_pct": -90.4, - "trades": 326, - "transaction_cost": 175.99396210325463, - "turnover_multiple": 8.799698105162733, - "underwater_pct": 99.2094861660079, - "win_rate": 18.4 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 39.3648, - "avg_gross_exposure_pct": 60.6352, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9872183873169992, - "cagr_pct": -86.1, - "calmar": -0.96, - "capacity_opportunities": 26366, - "end_date": "2025-12-03", - "ev_net_r": -0.5529846068507386, - "ev_without_best": { - "1": -0.5959202121921956, - "10": -0.7538279106909844, - "5": -0.6918273869814258 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 187, - "time": 43, - "trailing_stop": 92 - }, - "gain_to_pain": -0.9619583473008223, - "longest_underwater_sessions": 227, - "max_drawdown_pct": 89.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 337, - "peak_positions": 15, - "profit_factor": 0.3550568635545779, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.45, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 26029, - "skipped_min_initial_risk": 0, - "sortino": -4.288636887754788, - "start_date": "2024-12-02", - "total_return_pct": -86.2, - "trades": 337, - "transaction_cost": 127.9193670618223, - "turnover_multiple": 12.791936706182229, - "underwater_pct": 97.62845849802372, - "win_rate": 18.4 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2024-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 39.2988, - "avg_gross_exposure_pct": 60.7012, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9872183873169992, - "cagr_pct": -86.5, - "calmar": -0.96, - "capacity_opportunities": 26366, - "end_date": "2025-12-03", - "ev_net_r": -0.5609594983063528, - "ev_without_best": { - "1": -0.6038576461638663, - "10": -0.7615131656478495, - "5": -0.6996459962806809 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 187, - "time": 43, - "trailing_stop": 92 - }, - "gain_to_pain": -0.9637890086050228, - "longest_underwater_sessions": 227, - "max_drawdown_pct": 89.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 337, - "peak_positions": 15, - "profit_factor": 0.3504357751662416, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -3.5, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 26029, - "skipped_min_initial_risk": 0, - "sortino": -4.333781693952129, - "start_date": "2024-12-02", - "total_return_pct": -86.6, - "trades": 337, - "transaction_cost": 253.5835953687853, - "turnover_multiple": 12.679179768439264, - "underwater_pct": 97.62845849802372, - "win_rate": 18.1 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 40.0533, - "avg_gross_exposure_pct": 59.9467, - "avg_hold_days": 11.8, - "avg_positions": 14.9881, - "blocked_fraction": 0.9876867255953989, - "cagr_pct": -91.6, - "calmar": -0.98, - "capacity_opportunities": 25907, - "end_date": "2026-01-05", - "ev_net_r": -0.7339484884268397, - "ev_without_best": { - "1": -0.7583210117319181, - "10": -0.870552325905237, - "5": -0.8162856109576114 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 179, - "time": 41, - "trailing_stop": 85 - }, - "gain_to_pain": -0.9691222302419833, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 15, - "profit_factor": 0.21784539658315893, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.93, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 25588, - "skipped_min_initial_risk": 0, - "sortino": -5.426279192831483, - "start_date": "2025-01-02", - "total_return_pct": -91.7, - "trades": 319, - "transaction_cost": 95.15448043888584, - "turnover_multiple": 9.515448043888584, - "underwater_pct": 98.41897233201581, - "win_rate": 16.3 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 39.9917, - "avg_gross_exposure_pct": 60.0083, - "avg_hold_days": 11.8, - "avg_positions": 14.9881, - "blocked_fraction": 0.9876867255953989, - "cagr_pct": -91.8, - "calmar": -0.98, - "capacity_opportunities": 25907, - "end_date": "2026-01-05", - "ev_net_r": -0.7417624187439554, - "ev_without_best": { - "1": -0.7661071679288993, - "10": -0.8781552734150989, - "5": -0.8240066914241219 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 179, - "time": 41, - "trailing_stop": 85 - }, - "gain_to_pain": -0.9699387072789439, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 319, - "peak_positions": 15, - "profit_factor": 0.21477873010876386, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.97, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 25588, - "skipped_min_initial_risk": 0, - "sortino": -5.465914842964201, - "start_date": "2025-01-02", - "total_return_pct": -91.9, - "trades": 319, - "transaction_cost": 188.78230824640283, - "turnover_multiple": 9.439115412320142, - "underwater_pct": 98.41897233201581, - "win_rate": 16.0 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 35.2605, - "avg_gross_exposure_pct": 64.7395, - "avg_hold_days": 10.9, - "avg_positions": 14.9921, - "blocked_fraction": 0.9866692426584235, - "cagr_pct": -93.0, - "calmar": -1.0, - "capacity_opportunities": 25880, - "end_date": "2026-02-03", - "ev_net_r": -0.7223591158374826, - "ev_without_best": { - "1": -0.7544909966942607, - "10": -0.8858838747536757, - "5": -0.8335994353194872 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 198, - "time": 43, - "trailing_stop": 89 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 345, - "peak_positions": 15, - "profit_factor": 0.24294906527562649, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.23, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 25535, - "skipped_min_initial_risk": 0, - "sortino": 0.9649595695958715, - "start_date": "2025-02-03", - "total_return_pct": -93.0, - "trades": 345, - "transaction_cost": 95.17215729340495, - "turnover_multiple": 9.517215729340494, - "underwater_pct": 99.60474308300395, - "win_rate": 16.5 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 35.1935, - "avg_gross_exposure_pct": 64.8065, - "avg_hold_days": 10.9, - "avg_positions": 14.9921, - "blocked_fraction": 0.9866692426584235, - "cagr_pct": -93.3, - "calmar": -1.0, - "capacity_opportunities": 25880, - "end_date": "2026-02-03", - "ev_net_r": -0.730540447089419, - "ev_without_best": { - "1": -0.7626572042397901, - "10": -0.8938758460843255, - "5": -0.8416698247745762 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 198, - "time": 43, - "trailing_stop": 89 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 345, - "peak_positions": 15, - "profit_factor": 0.23959353231011776, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.22, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 25535, - "skipped_min_initial_risk": 0, - "sortino": 0.9337586880652061, - "start_date": "2025-02-03", - "total_return_pct": -93.2, - "trades": 345, - "transaction_cost": 188.62183422692598, - "turnover_multiple": 9.4310917113463, - "underwater_pct": 99.60474308300395, - "win_rate": 16.5 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 30.4728, - "avg_gross_exposure_pct": 69.5272, - "avg_hold_days": 10.9, - "avg_positions": 14.9921, - "blocked_fraction": 0.9865001950838861, - "cagr_pct": -94.2, - "calmar": -1.0, - "capacity_opportunities": 25630, - "end_date": "2026-03-03", - "ev_net_r": -0.7518085881895948, - "ev_without_best": { - "1": -0.7839326939492579, - "10": -0.9261108883009306, - "5": -0.8708416880325707 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 198, - "time": 39, - "trailing_stop": 94 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.244691986350606, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.19, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 25284, - "skipped_min_initial_risk": 0, - "sortino": 0.7764093722547974, - "start_date": "2025-03-03", - "total_return_pct": -94.2, - "trades": 346, - "transaction_cost": 97.20995394375126, - "turnover_multiple": 9.720995394375127, - "underwater_pct": 99.60474308300395, - "win_rate": 16.2 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 30.4085, - "avg_gross_exposure_pct": 69.5915, - "avg_hold_days": 10.9, - "avg_positions": 14.9921, - "blocked_fraction": 0.9865001950838861, - "cagr_pct": -94.4, - "calmar": -1.0, - "capacity_opportunities": 25630, - "end_date": "2026-03-03", - "ev_net_r": -0.7601653386093866, - "ev_without_best": { - "1": -0.7922748729608291, - "10": -0.9342566346972274, - "5": -0.8790566985316891 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 198, - "time": 39, - "trailing_stop": 94 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.241495680011725, - "sessions_at_capacity": 250, - "sessions_measured": 252, - "sharpe": 0.18, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 25284, - "skipped_min_initial_risk": 0, - "sortino": 0.7454661032174714, - "start_date": "2025-03-03", - "total_return_pct": -94.4, - "trades": 346, - "transaction_cost": 192.61188001726455, - "turnover_multiple": 9.630594000863226, - "underwater_pct": 99.60474308300395, - "win_rate": 16.2 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 30.6909, - "avg_gross_exposure_pct": 69.3091, - "avg_hold_days": 10.8, - "avg_positions": 14.9841, - "blocked_fraction": 0.9866845740598619, - "cagr_pct": -92.6, - "calmar": -1.0, - "capacity_opportunities": 26060, - "end_date": "2026-04-01", - "ev_net_r": -0.7054684925043045, - "ev_without_best": { - "1": -0.7359811123662622, - "10": -0.8742932645187196, - "5": -0.8200294639644927 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 192, - "time": 38, - "trailing_stop": 102 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.2584437833770418, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.24, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 25713, - "skipped_min_initial_risk": 0, - "sortino": 0.9973740030956523, - "start_date": "2025-04-01", - "total_return_pct": -92.6, - "trades": 347, - "transaction_cost": 121.67709099848024, - "turnover_multiple": 12.167709099848024, - "underwater_pct": 99.60474308300395, - "win_rate": 17.0 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 30.6313, - "avg_gross_exposure_pct": 69.3687, - "avg_hold_days": 10.8, - "avg_positions": 14.9841, - "blocked_fraction": 0.9866845740598619, - "cagr_pct": -92.8, - "calmar": -1.0, - "capacity_opportunities": 26060, - "end_date": "2026-04-01", - "ev_net_r": -0.7140156522980547, - "ev_without_best": { - "1": -0.7444848051814801, - "10": -0.8826348128593038, - "5": -0.8284575809368214 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 192, - "time": 38, - "trailing_stop": 102 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.2549230250571049, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.23, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 25713, - "skipped_min_initial_risk": 0, - "sortino": 0.9648110469731472, - "start_date": "2025-04-01", - "total_return_pct": -92.8, - "trades": 347, - "transaction_cost": 241.10178852215003, - "turnover_multiple": 12.0550894261075, - "underwater_pct": 99.60474308300395, - "win_rate": 17.0 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 26.9208, - "avg_gross_exposure_pct": 73.0792, - "avg_hold_days": 10.9, - "avg_positions": 14.9841, - "blocked_fraction": 0.987240476453885, - "cagr_pct": -91.3, - "calmar": -0.97, - "capacity_opportunities": 27117, - "end_date": "2026-05-01", - "ev_net_r": -0.6475627671831371, - "ev_without_best": { - "1": -0.7339783526174368, - "10": -0.9179349880466933, - "5": -0.8474293742020528 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 197, - "time": 36, - "trailing_stop": 98 - }, - "gain_to_pain": -0.9190050913512975, - "longest_underwater_sessions": 143, - "max_drawdown_pct": 94.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.34929705180919696, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.28, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 26771, - "skipped_min_initial_risk": 0, - "sortino": 1.166116699254497, - "start_date": "2025-05-01", - "total_return_pct": -91.3, - "trades": 346, - "transaction_cost": 169.48745534481617, - "turnover_multiple": 16.948745534481613, - "underwater_pct": 93.2806324110672, - "win_rate": 17.1 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 26.8539, - "avg_gross_exposure_pct": 73.1461, - "avg_hold_days": 10.9, - "avg_positions": 14.9841, - "blocked_fraction": 0.987240476453885, - "cagr_pct": -91.6, - "calmar": -0.97, - "capacity_opportunities": 27117, - "end_date": "2026-05-01", - "ev_net_r": -0.6564304952392438, - "ev_without_best": { - "1": -0.7427663593499397, - "10": -0.9264668682887665, - "5": -0.8560914479014651 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 197, - "time": 36, - "trailing_stop": 98 - }, - "gain_to_pain": -0.9221316486582897, - "longest_underwater_sessions": 143, - "max_drawdown_pct": 94.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.34505485651018675, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.27, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 26771, - "skipped_min_initial_risk": 0, - "sortino": 1.1330194695654074, - "start_date": "2025-05-01", - "total_return_pct": -91.6, - "trades": 346, - "transaction_cost": 335.85965280332954, - "turnover_multiple": 16.792982640166475, - "underwater_pct": 93.2806324110672, - "win_rate": 17.1 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 28.1342, - "avg_gross_exposure_pct": 71.8658, - "avg_hold_days": 10.7, - "avg_positions": 14.9603, - "blocked_fraction": 0.9865263157894737, - "cagr_pct": -93.4, - "calmar": -0.99, - "capacity_opportunities": 26125, - "end_date": "2026-06-02", - "ev_net_r": -0.7496466052546793, - "ev_without_best": { - "1": -0.7794505245060823, - "10": -0.9240126284969055, - "5": -0.8682500282543115 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 38, - "trailing_stop": 97 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 146, - "max_drawdown_pct": 94.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.24169156521919544, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.2, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 25773, - "skipped_min_initial_risk": 0, - "sortino": 0.8497366127922393, - "start_date": "2025-06-02", - "total_return_pct": -93.4, - "trades": 352, - "transaction_cost": 116.89976046132503, - "turnover_multiple": 11.689976046132504, - "underwater_pct": 97.23320158102767, - "win_rate": 16.5 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 28.055, - "avg_gross_exposure_pct": 71.945, - "avg_hold_days": 10.7, - "avg_positions": 14.9603, - "blocked_fraction": 0.9865263157894737, - "cagr_pct": -93.6, - "calmar": -0.99, - "capacity_opportunities": 26125, - "end_date": "2026-06-02", - "ev_net_r": -0.7585912983100553, - "ev_without_best": { - "1": -0.7883829756892113, - "10": -0.9327761051655701, - "5": -0.8770624087233334 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 38, - "trailing_stop": 97 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 146, - "max_drawdown_pct": 94.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.23827958876352812, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": 0.2, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 25773, - "skipped_min_initial_risk": 0, - "sortino": 0.8153355337081518, - "start_date": "2025-06-02", - "total_return_pct": -93.6, - "trades": 352, - "transaction_cost": 231.63380146199648, - "turnover_multiple": 11.581690073099825, - "underwater_pct": 97.23320158102767, - "win_rate": 16.5 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 27.1293, - "avg_gross_exposure_pct": 72.8707, - "avg_hold_days": 10.1, - "avg_positions": 14.9841, - "blocked_fraction": 0.9856740162953238, - "cagr_pct": -95.9, - "calmar": -0.99, - "capacity_opportunities": 25897, - "end_date": "2026-07-01", - "ev_net_r": -0.803768890548508, - "ev_without_best": { - "1": -0.8325679901979176, - "10": -0.9937668343450136, - "5": -0.9255809940555012 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 225, - "time": 37, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9644451872522811, - "longest_underwater_sessions": 136, - "max_drawdown_pct": 96.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 371, - "peak_positions": 15, - "profit_factor": 0.234643299711204, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.1, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 25526, - "skipped_min_initial_risk": 0, - "sortino": 0.39979828833350306, - "start_date": "2025-07-01", - "total_return_pct": -95.9, - "trades": 371, - "transaction_cost": 104.13247184885886, - "turnover_multiple": 10.413247184885886, - "underwater_pct": 98.41897233201581, - "win_rate": 14.3 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|empty_book|empty-2025-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 27.052, - "avg_gross_exposure_pct": 72.948, - "avg_hold_days": 10.1, - "avg_positions": 14.9841, - "blocked_fraction": 0.9856740162953238, - "cagr_pct": -96.1, - "calmar": -0.99, - "capacity_opportunities": 25897, - "end_date": "2026-07-01", - "ev_net_r": -0.8126822730857909, - "ev_without_best": { - "1": -0.8414417150275555, - "10": -1.0023659966712282, - "5": -0.9343129166113258 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 225, - "time": 37, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9650653459611196, - "longest_underwater_sessions": 136, - "max_drawdown_pct": 97.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 371, - "peak_positions": 15, - "profit_factor": 0.2315879846416205, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": 0.09, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 25526, - "skipped_min_initial_risk": 0, - "sortino": 0.36439113917552246, - "start_date": "2025-07-01", - "total_return_pct": -96.1, - "trades": 371, - "transaction_cost": 206.36956429330226, - "turnover_multiple": 10.318478214665113, - "underwater_pct": 98.41897233201581, - "win_rate": 14.3 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-01|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.3857, - "avg_gross_exposure_pct": 98.6143, - "avg_hold_days": 13.0, - "avg_positions": 14.2381, - "blocked_fraction": 0.937099161322151, - "cagr_pct": -65.1, - "calmar": -0.65, - "capacity_opportunities": 4054, - "end_date": "2019-12-31", - "ev_net_r": -0.4349889058116251, - "ev_without_best": { - "1": -0.504471910747427, - "10": -0.7176190917050117, - "5": -0.6188140412183146 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 32, - "trailing_stop": 72 - }, - "gain_to_pain": -0.8937086905418465, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 3912.43, - "measurement_start_positions": 11, - "opened_positions": 255, - "peak_positions": 15, - "profit_factor": 0.5074789468122128, - "sessions_at_capacity": 145, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 3799, - "skipped_min_initial_risk": 0, - "sortino": 279.2989807639066, - "start_date": "2019-01-02", - "total_return_pct": -64.8, - "trades": 255, - "transaction_cost": 75.73293868812104, - "turnover_multiple": 19.3570079689914, - "underwater_pct": 96.83794466403161, - "win_rate": 23.1 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-01|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.3864, - "avg_gross_exposure_pct": 98.6136, - "avg_hold_days": 13.0, - "avg_positions": 14.2381, - "blocked_fraction": 0.937099161322151, - "cagr_pct": -66.2, - "calmar": -0.66, - "capacity_opportunities": 4054, - "end_date": "2019-12-31", - "ev_net_r": -0.45295182350108404, - "ev_without_best": { - "1": -0.5223346073225683, - "10": -0.7350850650218453, - "5": -0.6364766493430567 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 32, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9019081318476939, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 3828.67, - "measurement_start_positions": 11, - "opened_positions": 255, - "peak_positions": 15, - "profit_factor": 0.49482046920785266, - "sessions_at_capacity": 145, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 3799, - "skipped_min_initial_risk": 0, - "sortino": 279.65197447539515, - "start_date": "2019-01-02", - "total_return_pct": -66.0, - "trades": 255, - "transaction_cost": 146.1697591572287, - "turnover_multiple": 19.08884275182096, - "underwater_pct": 96.83794466403161, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.8846, - "avg_gross_exposure_pct": 99.1154, - "avg_hold_days": 13.4, - "avg_positions": 14.0952, - "blocked_fraction": 0.9444689290436316, - "cagr_pct": -56.3, - "calmar": -0.56, - "capacity_opportunities": 4538, - "end_date": "2019-12-31", - "ev_net_r": -0.3057952229588414, - "ev_without_best": { - "1": -0.37559398618928325, - "10": -0.6121132348391679, - "5": -0.5039094387971425 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 138, - "time": 41, - "trailing_stop": 58 - }, - "gain_to_pain": -0.8065328114375353, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 3478.01, - "measurement_start_positions": 11, - "opened_positions": 252, - "peak_positions": 15, - "profit_factor": 0.6485418106364901, - "sessions_at_capacity": 129, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 4286, - "skipped_min_initial_risk": 0, - "sortino": 281.5002902789151, - "start_date": "2019-01-02", - "total_return_pct": -56.1, - "trades": 252, - "transaction_cost": 77.09288480507333, - "turnover_multiple": 22.165803090006445, - "underwater_pct": 96.83794466403161, - "win_rate": 25.4 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.8903, - "avg_gross_exposure_pct": 99.1097, - "avg_hold_days": 13.3, - "avg_positions": 13.9841, - "blocked_fraction": 0.9443339960238568, - "cagr_pct": -58.8, - "calmar": -0.59, - "capacity_opportunities": 4527, - "end_date": "2019-12-31", - "ev_net_r": -0.3398087350333608, - "ev_without_best": { - "1": -0.4095700258787364, - "10": -0.6462878968304326, - "5": -0.5379408637506067 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 139, - "time": 40, - "trailing_stop": 58 - }, - "gain_to_pain": -0.8284694588665081, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 3400.34, - "measurement_start_positions": 11, - "opened_positions": 252, - "peak_positions": 15, - "profit_factor": 0.6169870713064372, - "sessions_at_capacity": 127, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 4275, - "skipped_min_initial_risk": 0, - "sortino": 281.50402504992616, - "start_date": "2019-01-02", - "total_return_pct": -58.6, - "trades": 252, - "transaction_cost": 148.92907261453988, - "turnover_multiple": 21.89914429359121, - "underwater_pct": 96.83794466403161, - "win_rate": 25.0 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.3699, - "avg_gross_exposure_pct": 99.6301, - "avg_hold_days": 13.2, - "avg_positions": 14.0873, - "blocked_fraction": 0.9415554532903819, - "cagr_pct": -55.1, - "calmar": -0.55, - "capacity_opportunities": 4346, - "end_date": "2019-12-31", - "ev_net_r": -0.30276506792850555, - "ev_without_best": { - "1": -0.3720000853823023, - "10": -0.6036683765506523, - "5": -0.49190268054776276 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 139, - "time": 43, - "trailing_stop": 57 - }, - "gain_to_pain": -0.7528037039839383, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 4431.59, - "measurement_start_positions": 11, - "opened_positions": 254, - "peak_positions": 15, - "profit_factor": 0.6512396554129997, - "sessions_at_capacity": 126, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 4092, - "skipped_min_initial_risk": 0, - "sortino": 284.6424970140118, - "start_date": "2019-01-02", - "total_return_pct": -54.8, - "trades": 254, - "transaction_cost": 100.67234176054671, - "turnover_multiple": 22.716980081764493, - "underwater_pct": 96.83794466403161, - "win_rate": 25.2 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.3694, - "avg_gross_exposure_pct": 99.6306, - "avg_hold_days": 13.2, - "avg_positions": 14.0873, - "blocked_fraction": 0.9415554532903819, - "cagr_pct": -56.5, - "calmar": -0.57, - "capacity_opportunities": 4346, - "end_date": "2019-12-31", - "ev_net_r": -0.32135547588085833, - "ev_without_best": { - "1": -0.39049235628811835, - "10": -0.6218580700160425, - "5": -0.5102588781347921 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 139, - "time": 43, - "trailing_stop": 57 - }, - "gain_to_pain": -0.7692385323889995, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 4333.92, - "measurement_start_positions": 11, - "opened_positions": 254, - "peak_positions": 15, - "profit_factor": 0.6354502348500443, - "sessions_at_capacity": 126, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 4092, - "skipped_min_initial_risk": 0, - "sortino": 285.0171588024457, - "start_date": "2019-01-02", - "total_return_pct": -56.3, - "trades": 254, - "transaction_cost": 194.07129315577455, - "turnover_multiple": 22.389810282120408, - "underwater_pct": 96.83794466403161, - "win_rate": 25.2 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 2.41, - "avg_gross_exposure_pct": 97.59, - "avg_hold_days": 13.6, - "avg_positions": 14.3056, - "blocked_fraction": 0.9523716951788491, - "cagr_pct": -70.2, - "calmar": -0.7, - "capacity_opportunities": 5144, - "end_date": "2019-12-31", - "ev_net_r": -0.40389517934966773, - "ev_without_best": { - "1": -0.47609841511701095, - "10": -0.697162940028632, - "5": -0.5937839967799725 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 131, - "time": 35, - "trailing_stop": 64 - }, - "gain_to_pain": -0.8724840771419553, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5039.9, - "measurement_start_positions": 12, - "opened_positions": 245, - "peak_positions": 15, - "profit_factor": 0.5419778483791213, - "sessions_at_capacity": 158, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 4899, - "skipped_min_initial_risk": 0, - "sortino": 283.711163720077, - "start_date": "2019-01-02", - "total_return_pct": -70.0, - "trades": 245, - "transaction_cost": 87.15181574700065, - "turnover_multiple": 17.292370036508792, - "underwater_pct": 96.83794466403161, - "win_rate": 24.9 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 2.4034, - "avg_gross_exposure_pct": 97.5966, - "avg_hold_days": 13.6, - "avg_positions": 14.3056, - "blocked_fraction": 0.9523716951788491, - "cagr_pct": -71.2, - "calmar": -0.71, - "capacity_opportunities": 5144, - "end_date": "2019-12-31", - "ev_net_r": -0.42145129487548016, - "ev_without_best": { - "1": -0.49354853488380557, - "10": -0.7142778071326326, - "5": -0.6110945243785272 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 131, - "time": 35, - "trailing_stop": 64 - }, - "gain_to_pain": -0.8805079164508003, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4950.66, - "measurement_start_positions": 12, - "opened_positions": 245, - "peak_positions": 15, - "profit_factor": 0.5288261066686722, - "sessions_at_capacity": 158, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 4899, - "skipped_min_initial_risk": 0, - "sortino": 284.05430698694124, - "start_date": "2019-01-02", - "total_return_pct": -71.0, - "trades": 245, - "transaction_cost": 168.9110844796028, - "turnover_multiple": 17.059451111528848, - "underwater_pct": 96.83794466403161, - "win_rate": 24.9 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.809, - "avg_gross_exposure_pct": 98.191, - "avg_hold_days": 13.5, - "avg_positions": 14.1508, - "blocked_fraction": 0.9455947136563877, - "cagr_pct": -58.0, - "calmar": -0.58, - "capacity_opportunities": 4540, - "end_date": "2019-12-31", - "ev_net_r": -0.39999963579079867, - "ev_without_best": { - "1": -0.4340279902129177, - "10": -0.6732476577071047, - "5": -0.5584240968886289 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 130, - "time": 37, - "trailing_stop": 65 - }, - "gain_to_pain": -0.7779955454913853, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4883.53, - "measurement_start_positions": 9, - "opened_positions": 247, - "peak_positions": 15, - "profit_factor": 0.5442651279163088, - "sessions_at_capacity": 153, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 4293, - "skipped_min_initial_risk": 0, - "sortino": 283.7932145774478, - "start_date": "2019-01-02", - "total_return_pct": -57.8, - "trades": 247, - "transaction_cost": 108.48734311042368, - "turnover_multiple": 22.214943516354705, - "underwater_pct": 96.04743083003953, - "win_rate": 25.5 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.8099, - "avg_gross_exposure_pct": 98.1901, - "avg_hold_days": 13.5, - "avg_positions": 14.1508, - "blocked_fraction": 0.9455947136563877, - "cagr_pct": -59.3, - "calmar": -0.59, - "capacity_opportunities": 4540, - "end_date": "2019-12-31", - "ev_net_r": -0.41782356388606584, - "ev_without_best": { - "1": -0.4518309660611646, - "10": -0.6907323681641858, - "5": -0.5760756701062635 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 130, - "time": 37, - "trailing_stop": 65 - }, - "gain_to_pain": -0.793526037910199, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4794.08, - "measurement_start_positions": 9, - "opened_positions": 247, - "peak_positions": 15, - "profit_factor": 0.530883744227054, - "sessions_at_capacity": 153, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 4293, - "skipped_min_initial_risk": 0, - "sortino": 284.1030153125362, - "start_date": "2019-01-02", - "total_return_pct": -59.1, - "trades": 247, - "transaction_cost": 209.96485006968908, - "turnover_multiple": 21.898346509621145, - "underwater_pct": 96.44268774703558, - "win_rate": 25.5 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.3381, - "avg_gross_exposure_pct": 98.6619, - "avg_hold_days": 13.2, - "avg_positions": 14.0833, - "blocked_fraction": 0.9440544098288723, - "cagr_pct": -65.4, - "calmar": -0.65, - "capacity_opportunities": 4558, - "end_date": "2019-12-31", - "ev_net_r": -0.34584791461450665, - "ev_without_best": { - "1": -0.41497997076606796, - "10": -0.6488391432219461, - "5": -0.5350906337170069 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 142, - "time": 39, - "trailing_stop": 59 - }, - "gain_to_pain": -0.8667602575164756, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4629.99, - "measurement_start_positions": 11, - "opened_positions": 255, - "peak_positions": 15, - "profit_factor": 0.6095992809295262, - "sessions_at_capacity": 131, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 4303, - "skipped_min_initial_risk": 0, - "sortino": 282.7994953047227, - "start_date": "2019-01-02", - "total_return_pct": -65.2, - "trades": 255, - "transaction_cost": 93.76668784626361, - "turnover_multiple": 20.252028156921206, - "underwater_pct": 97.23320158102767, - "win_rate": 25.1 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.3376, - "avg_gross_exposure_pct": 98.6624, - "avg_hold_days": 13.2, - "avg_positions": 14.0833, - "blocked_fraction": 0.9440544098288723, - "cagr_pct": -66.6, - "calmar": -0.67, - "capacity_opportunities": 4558, - "end_date": "2019-12-31", - "ev_net_r": -0.36417688178990876, - "ev_without_best": { - "1": -0.4332101579668609, - "10": -0.6667205072237737, - "5": -0.5531810985530078 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 142, - "time": 39, - "trailing_stop": 59 - }, - "gain_to_pain": -0.8748418606087299, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4545.67, - "measurement_start_positions": 11, - "opened_positions": 255, - "peak_positions": 15, - "profit_factor": 0.5949290396160953, - "sessions_at_capacity": 131, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 4303, - "skipped_min_initial_risk": 0, - "sortino": 283.04744745352036, - "start_date": "2019-01-02", - "total_return_pct": -66.4, - "trades": 255, - "transaction_cost": 181.3292247888762, - "turnover_multiple": 19.945269321010564, - "underwater_pct": 97.23320158102767, - "win_rate": 25.1 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.9364, - "avg_gross_exposure_pct": 99.0636, - "avg_hold_days": 13.1, - "avg_positions": 14.1587, - "blocked_fraction": 0.9332106231922167, - "cagr_pct": -60.4, - "calmar": -0.61, - "capacity_opportunities": 3803, - "end_date": "2019-12-31", - "ev_net_r": -0.395553502553434, - "ev_without_best": { - "1": -0.4651552727132581, - "10": -0.6913669097635944, - "5": -0.5854129028998095 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 136, - "time": 35, - "trailing_stop": 69 - }, - "gain_to_pain": -0.8867272687014754, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4803.59, - "measurement_start_positions": 13, - "opened_positions": 254, - "peak_positions": 15, - "profit_factor": 0.5473329494884692, - "sessions_at_capacity": 112, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 3549, - "skipped_min_initial_risk": 0, - "sortino": 280.98686996750786, - "start_date": "2019-01-02", - "total_return_pct": -60.2, - "trades": 254, - "transaction_cost": 101.33218538904386, - "turnover_multiple": 21.095094583227098, - "underwater_pct": 96.83794466403161, - "win_rate": 23.6 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.9653, - "avg_gross_exposure_pct": 99.0347, - "avg_hold_days": 13.1, - "avg_positions": 14.25, - "blocked_fraction": 0.9404175463288764, - "cagr_pct": -61.5, - "calmar": -0.62, - "capacity_opportunities": 4263, - "end_date": "2019-12-31", - "ev_net_r": -0.4010028210157052, - "ev_without_best": { - "1": -0.4704545130638144, - "10": -0.6958393669818231, - "5": -0.5903135690063142 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 135, - "time": 35, - "trailing_stop": 69 - }, - "gain_to_pain": -0.8917982129015098, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4716.89, - "measurement_start_positions": 13, - "opened_positions": 254, - "peak_positions": 15, - "profit_factor": 0.5465680942770161, - "sessions_at_capacity": 124, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 4009, - "skipped_min_initial_risk": 0, - "sortino": 281.32409587694934, - "start_date": "2019-01-02", - "total_return_pct": -61.3, - "trades": 254, - "transaction_cost": 195.59535665367082, - "turnover_multiple": 20.73350837667094, - "underwater_pct": 96.83794466403161, - "win_rate": 23.6 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.4857, - "avg_gross_exposure_pct": 98.5143, - "avg_hold_days": 13.3, - "avg_positions": 14.131, - "blocked_fraction": 0.9329829172141918, - "cagr_pct": -55.6, - "calmar": -0.56, - "capacity_opportunities": 3805, - "end_date": "2019-12-31", - "ev_net_r": -0.32498432569106234, - "ev_without_best": { - "1": -0.39205332845820456, - "10": -0.6312382183177374, - "5": -0.5174358330710799 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 140, - "time": 36, - "trailing_stop": 64 - }, - "gain_to_pain": -0.8109699318049453, - "longest_underwater_sessions": 162, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 4836.98, - "measurement_start_positions": 9, - "opened_positions": 255, - "peak_positions": 15, - "profit_factor": 0.6282194991257833, - "sessions_at_capacity": 136, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 3550, - "skipped_min_initial_risk": 0, - "sortino": 279.99787973552077, - "start_date": "2019-01-02", - "total_return_pct": -55.4, - "trades": 255, - "transaction_cost": 115.40201364140715, - "turnover_multiple": 23.85827802500882, - "underwater_pct": 96.04743083003953, - "win_rate": 24.3 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.4802, - "avg_gross_exposure_pct": 98.5198, - "avg_hold_days": 13.3, - "avg_positions": 14.131, - "blocked_fraction": 0.9329829172141918, - "cagr_pct": -57.1, - "calmar": -0.57, - "capacity_opportunities": 3805, - "end_date": "2019-12-31", - "ev_net_r": -0.34305892604470034, - "ev_without_best": { - "1": -0.4100306899443202, - "10": -0.6488793847665795, - "5": -0.5352567892863554 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 140, - "time": 36, - "trailing_stop": 64 - }, - "gain_to_pain": -0.8238730009581039, - "longest_underwater_sessions": 162, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 4767.28, - "measurement_start_positions": 9, - "opened_positions": 255, - "peak_positions": 15, - "profit_factor": 0.6133171629350588, - "sessions_at_capacity": 136, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 3550, - "skipped_min_initial_risk": 0, - "sortino": 280.19302152539495, - "start_date": "2019-01-02", - "total_return_pct": -56.9, - "trades": 255, - "transaction_cost": 224.05588389818186, - "turnover_multiple": 23.499341752339056, - "underwater_pct": 96.04743083003953, - "win_rate": 23.9 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.6316, - "avg_gross_exposure_pct": 98.3684, - "avg_hold_days": 13.4, - "avg_positions": 13.9405, - "blocked_fraction": 0.9195097714474991, - "cagr_pct": -58.7, - "calmar": -0.59, - "capacity_opportunities": 3019, - "end_date": "2019-12-31", - "ev_net_r": -0.4131725367512441, - "ev_without_best": { - "1": -0.486010829662952, - "10": -0.7300721812506096, - "5": -0.6121770991766077 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 127, - "time": 34, - "trailing_stop": 67 - }, - "gain_to_pain": -0.7600027134626799, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5064.24, - "measurement_start_positions": 12, - "opened_positions": 243, - "peak_positions": 15, - "profit_factor": 0.5421924201362959, - "sessions_at_capacity": 100, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 2776, - "skipped_min_initial_risk": 0, - "sortino": 281.3777690925929, - "start_date": "2019-01-02", - "total_return_pct": -58.4, - "trades": 243, - "transaction_cost": 99.64435003043967, - "turnover_multiple": 19.676071835149926, - "underwater_pct": 96.83794466403161, - "win_rate": 23.5 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.6277, - "avg_gross_exposure_pct": 98.3723, - "avg_hold_days": 13.4, - "avg_positions": 13.9405, - "blocked_fraction": 0.9195097714474991, - "cagr_pct": -60.0, - "calmar": -0.6, - "capacity_opportunities": 3019, - "end_date": "2019-12-31", - "ev_net_r": -0.43093806298046977, - "ev_without_best": { - "1": -0.5036703494686366, - "10": -0.7473242409936606, - "5": -0.6296273590287279 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 127, - "time": 34, - "trailing_stop": 67 - }, - "gain_to_pain": -0.7721972436298808, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4985.17, - "measurement_start_positions": 12, - "opened_positions": 243, - "peak_positions": 15, - "profit_factor": 0.529338001869579, - "sessions_at_capacity": 100, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 2776, - "skipped_min_initial_risk": 0, - "sortino": 281.7313179458109, - "start_date": "2019-01-02", - "total_return_pct": -59.8, - "trades": 243, - "transaction_cost": 193.3982883195476, - "turnover_multiple": 19.397361405884613, - "underwater_pct": 96.83794466403161, - "win_rate": 23.5 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.7254, - "avg_gross_exposure_pct": 98.2746, - "avg_hold_days": 13.4, - "avg_positions": 13.9524, - "blocked_fraction": 0.9359897172236504, - "cagr_pct": -55.6, - "calmar": -0.56, - "capacity_opportunities": 3890, - "end_date": "2019-12-31", - "ev_net_r": -0.3730210182187326, - "ev_without_best": { - "1": -0.4439351930820423, - "10": -0.6635412362039487, - "5": -0.5588346791607833 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 134, - "time": 38, - "trailing_stop": 62 - }, - "gain_to_pain": -0.7196689442890007, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4315.65, - "measurement_start_positions": 9, - "opened_positions": 249, - "peak_positions": 15, - "profit_factor": 0.5756449382680842, - "sessions_at_capacity": 137, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 3641, - "skipped_min_initial_risk": 0, - "sortino": 280.05089438519207, - "start_date": "2019-01-02", - "total_return_pct": -55.3, - "trades": 249, - "transaction_cost": 97.52826568019522, - "turnover_multiple": 22.598743104791915, - "underwater_pct": 96.83794466403161, - "win_rate": 23.7 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.7209, - "avg_gross_exposure_pct": 98.2791, - "avg_hold_days": 13.4, - "avg_positions": 13.9524, - "blocked_fraction": 0.9359897172236504, - "cagr_pct": -57.0, - "calmar": -0.57, - "capacity_opportunities": 3890, - "end_date": "2019-12-31", - "ev_net_r": -0.391010366287533, - "ev_without_best": { - "1": -0.46182200190625655, - "10": -0.6811129863214105, - "5": -0.5765800041557829 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 134, - "time": 38, - "trailing_stop": 62 - }, - "gain_to_pain": -0.733688564354229, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4244.61, - "measurement_start_positions": 9, - "opened_positions": 249, - "peak_positions": 15, - "profit_factor": 0.5617106993915317, - "sessions_at_capacity": 137, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 3641, - "skipped_min_initial_risk": 0, - "sortino": 280.25617717415435, - "start_date": "2019-01-02", - "total_return_pct": -56.8, - "trades": 249, - "transaction_cost": 189.03689112280506, - "turnover_multiple": 22.26787515493827, - "underwater_pct": 96.83794466403161, - "win_rate": 23.3 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.6438, - "avg_gross_exposure_pct": 98.3562, - "avg_hold_days": 13.5, - "avg_positions": 14.2937, - "blocked_fraction": 0.953342220529423, - "cagr_pct": -60.8, - "calmar": -0.61, - "capacity_opportunities": 5251, - "end_date": "2019-12-31", - "ev_net_r": -0.39420335844530213, - "ev_without_best": { - "1": -0.4663668736351684, - "10": -0.6749005712653481, - "5": -0.5770759755186159 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 129, - "time": 38, - "trailing_stop": 63 - }, - "gain_to_pain": -0.7882366502841265, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4844.85, - "measurement_start_positions": 13, - "opened_positions": 245, - "peak_positions": 15, - "profit_factor": 0.555651445275969, - "sessions_at_capacity": 155, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 5006, - "skipped_min_initial_risk": 0, - "sortino": 286.55109751986447, - "start_date": "2019-01-02", - "total_return_pct": -60.6, - "trades": 245, - "transaction_cost": 99.62847400742447, - "turnover_multiple": 20.563789179731973, - "underwater_pct": 96.83794466403161, - "win_rate": 23.7 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.6418, - "avg_gross_exposure_pct": 98.3582, - "avg_hold_days": 13.5, - "avg_positions": 14.2937, - "blocked_fraction": 0.953342220529423, - "cagr_pct": -62.1, - "calmar": -0.62, - "capacity_opportunities": 5251, - "end_date": "2019-12-31", - "ev_net_r": -0.4120358869399685, - "ev_without_best": { - "1": -0.48409453921085327, - "10": -0.6923112323942504, - "5": -0.59466949621282 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 129, - "time": 38, - "trailing_stop": 63 - }, - "gain_to_pain": -0.8015244717855932, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4772.28, - "measurement_start_positions": 13, - "opened_positions": 245, - "peak_positions": 15, - "profit_factor": 0.5423239713403959, - "sessions_at_capacity": 155, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 5006, - "skipped_min_initial_risk": 0, - "sortino": 286.84382321004307, - "start_date": "2019-01-02", - "total_return_pct": -61.9, - "trades": 245, - "transaction_cost": 193.52894424294348, - "turnover_multiple": 20.276361010140175, - "underwater_pct": 96.83794466403161, - "win_rate": 23.7 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 2.0194, - "avg_gross_exposure_pct": 97.9806, - "avg_hold_days": 13.7, - "avg_positions": 14.3373, - "blocked_fraction": 0.9524459169752485, - "cagr_pct": -55.6, - "calmar": -0.56, - "capacity_opportunities": 5131, - "end_date": "2019-12-31", - "ev_net_r": -0.2743662897710389, - "ev_without_best": { - "1": -0.3463336174980064, - "10": -0.5929393090314863, - "5": -0.4767216815539815 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 124, - "time": 42, - "trailing_stop": 63 - }, - "gain_to_pain": -0.7987448881399668, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5333.46, - "measurement_start_positions": 12, - "opened_positions": 244, - "peak_positions": 15, - "profit_factor": 0.6767452445456584, - "sessions_at_capacity": 154, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 4887, - "skipped_min_initial_risk": 0, - "sortino": 284.12122410967896, - "start_date": "2019-01-02", - "total_return_pct": -55.3, - "trades": 244, - "transaction_cost": 114.01799156519583, - "turnover_multiple": 21.377865694163983, - "underwater_pct": 97.23320158102767, - "win_rate": 26.2 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 2.0186, - "avg_gross_exposure_pct": 97.9814, - "avg_hold_days": 13.7, - "avg_positions": 14.3373, - "blocked_fraction": 0.9524459169752485, - "cagr_pct": -57.0, - "calmar": -0.57, - "capacity_opportunities": 5131, - "end_date": "2019-12-31", - "ev_net_r": -0.2924892143085106, - "ev_without_best": { - "1": -0.3643524426272943, - "10": -0.6106109147970734, - "5": -0.49457759679566543 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 124, - "time": 42, - "trailing_stop": 63 - }, - "gain_to_pain": -0.8116770294381742, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5268.44, - "measurement_start_positions": 12, - "opened_positions": 244, - "peak_positions": 15, - "profit_factor": 0.6604742798225759, - "sessions_at_capacity": 154, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 4887, - "skipped_min_initial_risk": 0, - "sortino": 284.56499171710556, - "start_date": "2019-01-02", - "total_return_pct": -56.7, - "trades": 244, - "transaction_cost": 222.06166385628083, - "turnover_multiple": 21.074707489909805, - "underwater_pct": 97.23320158102767, - "win_rate": 26.2 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-13|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 2.2024, - "avg_gross_exposure_pct": 97.7976, - "avg_hold_days": 13.1, - "avg_positions": 14.1349, - "blocked_fraction": 0.9332101372756072, - "cagr_pct": -65.6, - "calmar": -0.66, - "capacity_opportunities": 3788, - "end_date": "2019-12-31", - "ev_net_r": -0.41997852873875385, - "ev_without_best": { - "1": -0.4569192290042726, - "10": -0.6890293840730229, - "5": -0.5797111648450004 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 141, - "time": 35, - "trailing_stop": 62 - }, - "gain_to_pain": -0.8470993458814896, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4646.75, - "measurement_start_positions": 10, - "opened_positions": 253, - "peak_positions": 15, - "profit_factor": 0.5272747094735347, - "sessions_at_capacity": 130, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 3535, - "skipped_min_initial_risk": 0, - "sortino": 282.1264746273203, - "start_date": "2019-01-02", - "total_return_pct": -65.4, - "trades": 253, - "transaction_cost": 89.79953483372611, - "turnover_multiple": 19.32523480577309, - "underwater_pct": 96.83794466403161, - "win_rate": 24.1 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-13|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 2.1966, - "avg_gross_exposure_pct": 97.8034, - "avg_hold_days": 13.1, - "avg_positions": 14.1349, - "blocked_fraction": 0.9332101372756072, - "cagr_pct": -66.8, - "calmar": -0.67, - "capacity_opportunities": 3788, - "end_date": "2019-12-31", - "ev_net_r": -0.4379693539616162, - "ev_without_best": { - "1": -0.4748309760623996, - "10": -0.7066486544570731, - "5": -0.5975215538165481 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 141, - "time": 35, - "trailing_stop": 62 - }, - "gain_to_pain": -0.856436698713691, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4590.97, - "measurement_start_positions": 10, - "opened_positions": 253, - "peak_positions": 15, - "profit_factor": 0.5142883264556959, - "sessions_at_capacity": 130, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 3535, - "skipped_min_initial_risk": 0, - "sortino": 282.4075277350634, - "start_date": "2019-01-02", - "total_return_pct": -66.6, - "trades": 253, - "transaction_cost": 174.74556007164537, - "turnover_multiple": 19.03144216490691, - "underwater_pct": 96.83794466403161, - "win_rate": 24.1 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-14|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.0889, - "avg_gross_exposure_pct": 98.9111, - "avg_hold_days": 13.4, - "avg_positions": 14.0595, - "blocked_fraction": 0.93580375782881, - "cagr_pct": -50.7, - "calmar": -0.51, - "capacity_opportunities": 3832, - "end_date": "2019-12-31", - "ev_net_r": -0.3752810482010646, - "ev_without_best": { - "1": -0.44707278451160803, - "10": -0.6852179932370097, - "5": -0.5722015687137527 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 132, - "time": 36, - "trailing_stop": 63 - }, - "gain_to_pain": -0.6349011066149379, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5074.1, - "measurement_start_positions": 9, - "opened_positions": 246, - "peak_positions": 15, - "profit_factor": 0.5739915596071405, - "sessions_at_capacity": 133, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 3586, - "skipped_min_initial_risk": 0, - "sortino": 283.99601031111945, - "start_date": "2019-01-02", - "total_return_pct": -50.5, - "trades": 246, - "transaction_cost": 111.74477802445868, - "turnover_multiple": 22.022580955136608, - "underwater_pct": 96.44268774703558, - "win_rate": 24.0 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2019-seed-14|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 1.0864, - "avg_gross_exposure_pct": 98.9136, - "avg_hold_days": 13.4, - "avg_positions": 14.0595, - "blocked_fraction": 0.93580375782881, - "cagr_pct": -52.3, - "calmar": -0.52, - "capacity_opportunities": 3832, - "end_date": "2019-12-31", - "ev_net_r": -0.3931060618948326, - "ev_without_best": { - "1": -0.464793332625652, - "10": -0.7026105578426308, - "5": -0.5897687178753279 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 132, - "time": 36, - "trailing_stop": 63 - }, - "gain_to_pain": -0.6541759940533668, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5007.5, - "measurement_start_positions": 9, - "opened_positions": 246, - "peak_positions": 15, - "profit_factor": 0.5603416587769222, - "sessions_at_capacity": 133, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 3586, - "skipped_min_initial_risk": 0, - "sortino": 284.25173934757686, - "start_date": "2019-01-02", - "total_return_pct": -52.1, - "trades": 246, - "transaction_cost": 217.3640540618522, - "turnover_multiple": 21.70384963173761, - "underwater_pct": 96.83794466403161, - "win_rate": 23.6 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.5398, - "avg_gross_exposure_pct": 91.4602, - "avg_hold_days": 13.0, - "avg_positions": 14.7976, - "blocked_fraction": 0.9712938711367208, - "cagr_pct": -31.4, - "calmar": -0.67, - "capacity_opportunities": 9545, - "end_date": "2020-12-30", - "ev_net_r": -0.09235966641860759, - "ev_without_best": { - "1": -0.1368009313962789, - "10": -0.4081258831238548, - "5": -0.27221605743662813 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 134, - "time": 44, - "trailing_stop": 81 - }, - "gain_to_pain": -0.2297179775886028, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 46.8, - "measurement_start_equity": 5555.92, - "measurement_start_positions": 15, - "opened_positions": 274, - "peak_positions": 15, - "profit_factor": 0.8797038774166456, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -0.25, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 9271, - "skipped_min_initial_risk": 0, - "sortino": -0.35554296542565617, - "start_date": "2020-01-02", - "total_return_pct": -31.3, - "trades": 274, - "transaction_cost": 135.8090385582854, - "turnover_multiple": 24.444023412555513, - "underwater_pct": 98.41897233201581, - "win_rate": 27.7 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.3381, - "avg_gross_exposure_pct": 91.6619, - "avg_hold_days": 13.0, - "avg_positions": 14.7897, - "blocked_fraction": 0.9707540146761672, - "cagr_pct": -30.5, - "calmar": -0.66, - "capacity_opportunities": 9403, - "end_date": "2020-12-30", - "ev_net_r": -0.09557938892785234, - "ev_without_best": { - "1": -0.13978090386146805, - "10": -0.4224375602344977, - "5": -0.27819482194697964 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 135, - "time": 43, - "trailing_stop": 82 - }, - "gain_to_pain": -0.2270523915778329, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 46.1, - "measurement_start_equity": 5343.65, - "measurement_start_positions": 15, - "opened_positions": 275, - "peak_positions": 15, - "profit_factor": 0.8803281340176873, - "sessions_at_capacity": 235, - "sessions_measured": 252, - "sharpe": -0.21, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 9128, - "skipped_min_initial_risk": 0, - "sortino": -0.3021062688370632, - "start_date": "2020-01-02", - "total_return_pct": -30.3, - "trades": 275, - "transaction_cost": 266.2865585324567, - "turnover_multiple": 24.91616765061865, - "underwater_pct": 98.02371541501977, - "win_rate": 27.6 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.5189, - "avg_gross_exposure_pct": 91.4811, - "avg_hold_days": 12.9, - "avg_positions": 14.8016, - "blocked_fraction": 0.970880904996334, - "cagr_pct": -35.8, - "calmar": -0.71, - "capacity_opportunities": 9547, - "end_date": "2020-12-30", - "ev_net_r": -0.12463343632786794, - "ev_without_best": { - "1": -0.1685494619914547, - "10": -0.4414564697013053, - "5": -0.3062227843817387 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 140, - "time": 43, - "trailing_stop": 80 - }, - "gain_to_pain": -0.26897869477579944, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 5946.8, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.8429550957984281, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -0.34, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 9269, - "skipped_min_initial_risk": 0, - "sortino": -0.4828128186588201, - "start_date": "2020-01-02", - "total_return_pct": -35.6, - "trades": 278, - "transaction_cost": 141.2284925540907, - "turnover_multiple": 23.74865348659627, - "underwater_pct": 98.81422924901186, - "win_rate": 27.3 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.5861, - "avg_gross_exposure_pct": 91.4139, - "avg_hold_days": 12.8, - "avg_positions": 14.754, - "blocked_fraction": 0.9697528187337381, - "cagr_pct": -24.2, - "calmar": -0.58, - "capacity_opportunities": 9224, - "end_date": "2020-12-30", - "ev_net_r": -0.07880323964589458, - "ev_without_best": { - "1": -0.12453299645480237, - "10": -0.4183894375006113, - "5": -0.2752778776221099 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 139, - "time": 44, - "trailing_stop": 81 - }, - "gain_to_pain": -0.1598134553380523, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 41.9, - "measurement_start_equity": 5902.84, - "measurement_start_positions": 15, - "opened_positions": 279, - "peak_positions": 15, - "profit_factor": 0.9010519121594831, - "sessions_at_capacity": 230, - "sessions_measured": 252, - "sharpe": -0.08, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 8945, - "skipped_min_initial_risk": 0, - "sortino": -0.11586245804720939, - "start_date": "2020-01-02", - "total_return_pct": -24.1, - "trades": 279, - "transaction_cost": 323.054696301665, - "turnover_multiple": 27.36434464610806, - "underwater_pct": 98.41897233201581, - "win_rate": 28.0 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.6105, - "avg_gross_exposure_pct": 91.3895, - "avg_hold_days": 12.9, - "avg_positions": 14.8095, - "blocked_fraction": 0.9712493465760585, - "cagr_pct": -26.5, - "calmar": -0.6, - "capacity_opportunities": 9565, - "end_date": "2020-12-30", - "ev_net_r": -0.10033268973669299, - "ev_without_best": { - "1": -0.14464085894188405, - "10": -0.4282059501387811, - "5": -0.283489683387622 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 44, - "trailing_stop": 80 - }, - "gain_to_pain": -0.1790188178464897, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 44.0, - "measurement_start_equity": 7048.92, - "measurement_start_positions": 15, - "opened_positions": 275, - "peak_positions": 15, - "profit_factor": 0.8739723592085321, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -0.13, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 9290, - "skipped_min_initial_risk": 0, - "sortino": -0.18905086965647824, - "start_date": "2020-01-02", - "total_return_pct": -26.3, - "trades": 275, - "transaction_cost": 181.98566091272616, - "turnover_multiple": 25.817523948736284, - "underwater_pct": 98.41897233201581, - "win_rate": 26.9 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.5762, - "avg_gross_exposure_pct": 91.4238, - "avg_hold_days": 12.9, - "avg_positions": 14.8095, - "blocked_fraction": 0.9712493465760585, - "cagr_pct": -28.9, - "calmar": -0.65, - "capacity_opportunities": 9565, - "end_date": "2020-12-30", - "ev_net_r": -0.11309288961349535, - "ev_without_best": { - "1": -0.15735832243282513, - "10": -0.4406119477384669, - "5": -0.29603264671939383 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 44, - "trailing_stop": 80 - }, - "gain_to_pain": -0.21065793894724466, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 44.6, - "measurement_start_equity": 6938.17, - "measurement_start_positions": 15, - "opened_positions": 275, - "peak_positions": 15, - "profit_factor": 0.8594745009199084, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -0.18, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 9290, - "skipped_min_initial_risk": 0, - "sortino": -0.25945845865049555, - "start_date": "2020-01-02", - "total_return_pct": -28.8, - "trades": 275, - "transaction_cost": 352.0865525818283, - "turnover_multiple": 25.373156940650656, - "underwater_pct": 98.41897233201581, - "win_rate": 26.9 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.581, - "avg_gross_exposure_pct": 91.419, - "avg_hold_days": 12.9, - "avg_positions": 14.7698, - "blocked_fraction": 0.9709759727833298, - "cagr_pct": -22.6, - "calmar": -0.54, - "capacity_opportunities": 9406, - "end_date": "2020-12-30", - "ev_net_r": -0.10476375041518945, - "ev_without_best": { - "1": -0.1494140056464426, - "10": -0.43529882499062034, - "5": -0.2893702563448287 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 43, - "trailing_stop": 78 - }, - "gain_to_pain": -0.13240313733182937, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 41.5, - "measurement_start_equity": 5499.56, - "measurement_start_positions": 15, - "opened_positions": 273, - "peak_positions": 15, - "profit_factor": 0.8706892313446072, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -0.06, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 9133, - "skipped_min_initial_risk": 0, - "sortino": -0.09020844298179172, - "start_date": "2020-01-02", - "total_return_pct": -22.5, - "trades": 273, - "transaction_cost": 147.69911893288383, - "turnover_multiple": 26.85653378322699, - "underwater_pct": 97.62845849802372, - "win_rate": 27.1 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.544, - "avg_gross_exposure_pct": 91.456, - "avg_hold_days": 12.9, - "avg_positions": 14.7698, - "blocked_fraction": 0.9709759727833298, - "cagr_pct": -25.2, - "calmar": -0.6, - "capacity_opportunities": 9406, - "end_date": "2020-12-30", - "ev_net_r": -0.11747178675479736, - "ev_without_best": { - "1": -0.16207879958434757, - "10": -0.44764798209521744, - "5": -0.30185846177083875 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 43, - "trailing_stop": 78 - }, - "gain_to_pain": -0.16710354632368193, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 42.2, - "measurement_start_equity": 5400.19, - "measurement_start_positions": 15, - "opened_positions": 273, - "peak_positions": 15, - "profit_factor": 0.8565223975216552, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -0.11, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 9133, - "skipped_min_initial_risk": 0, - "sortino": -0.16240844087022058, - "start_date": "2020-01-02", - "total_return_pct": -25.1, - "trades": 273, - "transaction_cost": 285.052058974514, - "turnover_multiple": 26.392780529436376, - "underwater_pct": 97.62845849802372, - "win_rate": 27.1 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.8471, - "avg_gross_exposure_pct": 91.1529, - "avg_hold_days": 12.9, - "avg_positions": 14.746, - "blocked_fraction": 0.9696903381113907, - "cagr_pct": -23.3, - "calmar": -0.56, - "capacity_opportunities": 9139, - "end_date": "2020-12-30", - "ev_net_r": -0.09664043292646626, - "ev_without_best": { - "1": -0.14291141067073598, - "10": -0.4357220405375372, - "5": -0.29193170055663015 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 45, - "trailing_stop": 80 - }, - "gain_to_pain": -0.14243854633952827, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 41.3, - "measurement_start_equity": 6816.84, - "measurement_start_positions": 15, - "opened_positions": 277, - "peak_positions": 15, - "profit_factor": 0.879199721308239, - "sessions_at_capacity": 227, - "sessions_measured": 252, - "sharpe": -0.08, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 8862, - "skipped_min_initial_risk": 0, - "sortino": -0.10707833472629055, - "start_date": "2020-01-02", - "total_return_pct": -23.2, - "trades": 277, - "transaction_cost": 182.7044834476947, - "turnover_multiple": 26.801932192584058, - "underwater_pct": 98.41897233201581, - "win_rate": 27.1 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.8139, - "avg_gross_exposure_pct": 91.1861, - "avg_hold_days": 12.9, - "avg_positions": 14.7421, - "blocked_fraction": 0.9696569920844327, - "cagr_pct": -25.8, - "calmar": -0.62, - "capacity_opportunities": 9096, - "end_date": "2020-12-30", - "ev_net_r": -0.10598196343842431, - "ev_without_best": { - "1": -0.152309422044493, - "10": -0.445840852328564, - "5": -0.3016985800108511 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 45, - "trailing_stop": 80 - }, - "gain_to_pain": -0.1756632392260666, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 41.9, - "measurement_start_equity": 6718.46, - "measurement_start_positions": 15, - "opened_positions": 276, - "peak_positions": 15, - "profit_factor": 0.8687925002709663, - "sessions_at_capacity": 226, - "sessions_measured": 252, - "sharpe": -0.12, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 8820, - "skipped_min_initial_risk": 0, - "sortino": -0.17736893873693793, - "start_date": "2020-01-02", - "total_return_pct": -25.6, - "trades": 276, - "transaction_cost": 354.172989075607, - "turnover_multiple": 26.358197345493384, - "underwater_pct": 98.41897233201581, - "win_rate": 27.2 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.742, - "avg_gross_exposure_pct": 91.258, - "avg_hold_days": 13.0, - "avg_positions": 14.8056, - "blocked_fraction": 0.9714584422373236, - "cagr_pct": -19.0, - "calmar": -0.46, - "capacity_opportunities": 9565, - "end_date": "2020-12-30", - "ev_net_r": -0.06643917179071256, - "ev_without_best": { - "1": -0.1109485278358463, - "10": -0.40015266545242034, - "5": -0.2538196192255022 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 135, - "time": 44, - "trailing_stop": 79 - }, - "gain_to_pain": -0.09295789624183104, - "longest_underwater_sessions": 129, - "max_drawdown_pct": 41.3, - "measurement_start_equity": 7038.19, - "measurement_start_positions": 15, - "opened_positions": 273, - "peak_positions": 15, - "profit_factor": 0.9150479460110233, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": 0.01, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 9292, - "skipped_min_initial_risk": 0, - "sortino": 0.008869843244276676, - "start_date": "2020-01-02", - "total_return_pct": -18.9, - "trades": 273, - "transaction_cost": 195.40962629162638, - "turnover_multiple": 27.76418742483883, - "underwater_pct": 97.23320158102767, - "win_rate": 28.2 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.7065, - "avg_gross_exposure_pct": 91.2935, - "avg_hold_days": 13.0, - "avg_positions": 14.8056, - "blocked_fraction": 0.9714584422373236, - "cagr_pct": -21.7, - "calmar": -0.52, - "capacity_opportunities": 9565, - "end_date": "2020-12-30", - "ev_net_r": -0.07919957677654503, - "ev_without_best": { - "1": -0.12366588295176344, - "10": -0.4125517717986548, - "5": -0.2663451334471638 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 135, - "time": 44, - "trailing_stop": 79 - }, - "gain_to_pain": -0.1300766731935578, - "longest_underwater_sessions": 130, - "max_drawdown_pct": 41.9, - "measurement_start_equity": 6933.42, - "measurement_start_positions": 15, - "opened_positions": 273, - "peak_positions": 15, - "profit_factor": 0.8998106734551319, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -0.04, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 9292, - "skipped_min_initial_risk": 0, - "sortino": -0.06306597754745778, - "start_date": "2020-01-02", - "total_return_pct": -21.6, - "trades": 273, - "transaction_cost": 378.373928355412, - "turnover_multiple": 27.28624029378084, - "underwater_pct": 97.62845849802372, - "win_rate": 27.8 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.1451, - "avg_gross_exposure_pct": 91.8549, - "avg_hold_days": 12.9, - "avg_positions": 14.7143, - "blocked_fraction": 0.9701557093425606, - "cagr_pct": -18.0, - "calmar": -0.44, - "capacity_opportunities": 9248, - "end_date": "2020-12-30", - "ev_net_r": -0.06783000786840589, - "ev_without_best": { - "1": -0.11185886488787525, - "10": -0.39783210258196255, - "5": -0.2531617941891147 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 42, - "trailing_stop": 82 - }, - "gain_to_pain": -0.07610705535539368, - "longest_underwater_sessions": 114, - "max_drawdown_pct": 41.3, - "measurement_start_equity": 7112.17, - "measurement_start_positions": 15, - "opened_positions": 276, - "peak_positions": 15, - "profit_factor": 0.9136948693119091, - "sessions_at_capacity": 228, - "sessions_measured": 252, - "sharpe": 0.03, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 8972, - "skipped_min_initial_risk": 0, - "sortino": 0.039690044601408035, - "start_date": "2020-01-02", - "total_return_pct": -17.9, - "trades": 276, - "transaction_cost": 201.29673089187355, - "turnover_multiple": 28.30313826748707, - "underwater_pct": 96.44268774703558, - "win_rate": 27.5 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.1162, - "avg_gross_exposure_pct": 91.8838, - "avg_hold_days": 12.9, - "avg_positions": 14.7143, - "blocked_fraction": 0.9701557093425606, - "cagr_pct": -20.7, - "calmar": -0.49, - "capacity_opportunities": 9248, - "end_date": "2020-12-30", - "ev_net_r": -0.08059711113602465, - "ev_without_best": { - "1": -0.12458341227791152, - "10": -0.41024223382177527, - "5": -0.2656967305438594 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 42, - "trailing_stop": 82 - }, - "gain_to_pain": -0.11352360266449514, - "longest_underwater_sessions": 123, - "max_drawdown_pct": 41.9, - "measurement_start_equity": 7023.9, - "measurement_start_positions": 15, - "opened_positions": 276, - "peak_positions": 15, - "profit_factor": 0.898546150773073, - "sessions_at_capacity": 228, - "sessions_measured": 252, - "sharpe": -0.02, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 8972, - "skipped_min_initial_risk": 0, - "sortino": -0.030773015981756517, - "start_date": "2020-01-02", - "total_return_pct": -20.6, - "trades": 276, - "transaction_cost": 390.9463422464836, - "turnover_multiple": 27.829720116066827, - "underwater_pct": 97.23320158102767, - "win_rate": 27.5 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.048, - "avg_gross_exposure_pct": 91.952, - "avg_hold_days": 12.8, - "avg_positions": 14.7778, - "blocked_fraction": 0.9701284796573876, - "cagr_pct": -35.0, - "calmar": -0.69, - "capacity_opportunities": 9340, - "end_date": "2020-12-30", - "ev_net_r": -0.130599580328546, - "ev_without_best": { - "1": -0.17437909562643886, - "10": -0.4464666226485757, - "5": -0.3116350647763931 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 143, - "time": 42, - "trailing_stop": 79 - }, - "gain_to_pain": -0.25982027902313903, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 51.1, - "measurement_start_equity": 8032.1, - "measurement_start_positions": 15, - "opened_positions": 279, - "peak_positions": 15, - "profit_factor": 0.8367268430906646, - "sessions_at_capacity": 231, - "sessions_measured": 252, - "sharpe": -0.32, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 9061, - "skipped_min_initial_risk": 0, - "sortino": -0.45453464075679473, - "start_date": "2020-01-02", - "total_return_pct": -34.9, - "trades": 279, - "transaction_cost": 192.59703408880435, - "turnover_multiple": 23.97841586743247, - "underwater_pct": 98.41897233201581, - "win_rate": 27.2 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.01, - "avg_gross_exposure_pct": 91.99, - "avg_hold_days": 12.8, - "avg_positions": 14.7778, - "blocked_fraction": 0.9701284796573876, - "cagr_pct": -37.2, - "calmar": -0.72, - "capacity_opportunities": 9340, - "end_date": "2020-12-30", - "ev_net_r": -0.14336963052551238, - "ev_without_best": { - "1": -0.18710705978237704, - "10": -0.45890171040680966, - "5": -0.3241912295151207 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 143, - "time": 42, - "trailing_stop": 79 - }, - "gain_to_pain": -0.28636829312474693, - "longest_underwater_sessions": 243, - "max_drawdown_pct": 51.6, - "measurement_start_equity": 7944.62, - "measurement_start_positions": 15, - "opened_positions": 279, - "peak_positions": 15, - "profit_factor": 0.8226637974200727, - "sessions_at_capacity": 231, - "sessions_measured": 252, - "sharpe": -0.37, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 9061, - "skipped_min_initial_risk": 0, - "sortino": -0.5239209962570266, - "start_date": "2020-01-02", - "total_return_pct": -37.0, - "trades": 279, - "transaction_cost": 374.6912277505125, - "turnover_multiple": 23.581444282452306, - "underwater_pct": 98.41897233201581, - "win_rate": 27.2 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.3438, - "avg_gross_exposure_pct": 91.6562, - "avg_hold_days": 12.9, - "avg_positions": 14.7937, - "blocked_fraction": 0.9708298230834035, - "cagr_pct": -29.4, - "calmar": -0.66, - "capacity_opportunities": 9496, - "end_date": "2020-12-30", - "ev_net_r": -0.1061386970883942, - "ev_without_best": { - "1": -0.15014682886221328, - "10": -0.4188730473388928, - "5": -0.28426466891632235 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 44, - "trailing_stop": 81 - }, - "gain_to_pain": -0.21067902827969553, - "longest_underwater_sessions": 127, - "max_drawdown_pct": 44.4, - "measurement_start_equity": 6862.21, - "measurement_start_positions": 15, - "opened_positions": 277, - "peak_positions": 15, - "profit_factor": 0.8649665938744947, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": -0.21, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 9219, - "skipped_min_initial_risk": 0, - "sortino": -0.2928642556008703, - "start_date": "2020-01-02", - "total_return_pct": -29.2, - "trades": 277, - "transaction_cost": 171.1466978958176, - "turnover_multiple": 24.940463479814458, - "underwater_pct": 97.62845849802372, - "win_rate": 27.8 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.3049, - "avg_gross_exposure_pct": 91.6951, - "avg_hold_days": 12.9, - "avg_positions": 14.7937, - "blocked_fraction": 0.9708298230834035, - "cagr_pct": -31.9, - "calmar": -0.71, - "capacity_opportunities": 9496, - "end_date": "2020-12-30", - "ev_net_r": -0.11884296837082399, - "ev_without_best": { - "1": -0.16280847080290253, - "10": -0.4312983150318357, - "5": -0.2968076181073466 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 44, - "trailing_stop": 81 - }, - "gain_to_pain": -0.24157869080656869, - "longest_underwater_sessions": 127, - "max_drawdown_pct": 45.1, - "measurement_start_equity": 6775.86, - "measurement_start_positions": 15, - "opened_positions": 277, - "peak_positions": 15, - "profit_factor": 0.8504117762693961, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": -0.26, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 9219, - "skipped_min_initial_risk": 0, - "sortino": -0.3677665981441418, - "start_date": "2020-01-02", - "total_return_pct": -31.7, - "trades": 277, - "transaction_cost": 331.7766431052135, - "turnover_multiple": 24.48225340438066, - "underwater_pct": 97.62845849802372, - "win_rate": 27.4 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.8468, - "avg_gross_exposure_pct": 91.1532, - "avg_hold_days": 13.2, - "avg_positions": 14.7897, - "blocked_fraction": 0.9715246401176841, - "cagr_pct": -24.0, - "calmar": -0.59, - "capacity_opportunities": 9517, - "end_date": "2020-12-30", - "ev_net_r": -0.074469097352064, - "ev_without_best": { - "1": -0.11933789279590747, - "10": -0.40637629307124823, - "5": -0.25989417375743135 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 129, - "time": 41, - "trailing_stop": 86 - }, - "gain_to_pain": -0.1904510927780016, - "longest_underwater_sessions": 114, - "max_drawdown_pct": 40.9, - "measurement_start_equity": 8430.4, - "measurement_start_positions": 15, - "opened_positions": 271, - "peak_positions": 15, - "profit_factor": 0.9030515440619841, - "sessions_at_capacity": 236, - "sessions_measured": 252, - "sharpe": -0.1, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 9246, - "skipped_min_initial_risk": 0, - "sortino": -0.14693979789793885, - "start_date": "2020-01-02", - "total_return_pct": -23.9, - "trades": 271, - "transaction_cost": 225.65753102247513, - "turnover_multiple": 26.76712030537995, - "underwater_pct": 97.62845849802372, - "win_rate": 28.4 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.8154, - "avg_gross_exposure_pct": 91.1846, - "avg_hold_days": 13.2, - "avg_positions": 14.7897, - "blocked_fraction": 0.9715246401176841, - "cagr_pct": -26.6, - "calmar": -0.64, - "capacity_opportunities": 9517, - "end_date": "2020-12-30", - "ev_net_r": -0.0872709403264432, - "ev_without_best": { - "1": -0.13209652048647766, - "10": -0.4188201009021019, - "5": -0.2724762962368091 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 129, - "time": 41, - "trailing_stop": 86 - }, - "gain_to_pain": -0.2260174375623408, - "longest_underwater_sessions": 126, - "max_drawdown_pct": 41.5, - "measurement_start_equity": 8345.74, - "measurement_start_positions": 15, - "opened_positions": 271, - "peak_positions": 15, - "profit_factor": 0.8876098342816694, - "sessions_at_capacity": 236, - "sessions_measured": 252, - "sharpe": -0.16, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 9246, - "skipped_min_initial_risk": 0, - "sortino": -0.22103880640443682, - "start_date": "2020-01-02", - "total_return_pct": -26.5, - "trades": 271, - "transaction_cost": 438.95473710203964, - "turnover_multiple": 26.298131567844173, - "underwater_pct": 98.02371541501977, - "win_rate": 28.0 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.766, - "avg_gross_exposure_pct": 91.234, - "avg_hold_days": 12.9, - "avg_positions": 14.7817, - "blocked_fraction": 0.971209414731533, - "cagr_pct": -26.5, - "calmar": -0.58, - "capacity_opportunities": 9517, - "end_date": "2020-12-30", - "ev_net_r": -0.10309421347886527, - "ev_without_best": { - "1": -0.14757479914173902, - "10": -0.4323140212211951, - "5": -0.28698341758467083 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 138, - "time": 43, - "trailing_stop": 78 - }, - "gain_to_pain": -0.17943964852849045, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 45.4, - "measurement_start_equity": 9337.67, - "measurement_start_positions": 15, - "opened_positions": 274, - "peak_positions": 15, - "profit_factor": 0.8713601546708272, - "sessions_at_capacity": 237, - "sessions_measured": 252, - "sharpe": -0.14, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 9243, - "skipped_min_initial_risk": 0, - "sortino": -0.19336344635123962, - "start_date": "2020-01-02", - "total_return_pct": -26.3, - "trades": 274, - "transaction_cost": 239.65794096906976, - "turnover_multiple": 25.665711143044224, - "underwater_pct": 98.02371541501977, - "win_rate": 27.0 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.7365, - "avg_gross_exposure_pct": 91.2635, - "avg_hold_days": 12.9, - "avg_positions": 14.7817, - "blocked_fraction": 0.971209414731533, - "cagr_pct": -28.9, - "calmar": -0.63, - "capacity_opportunities": 9517, - "end_date": "2020-12-30", - "ev_net_r": -0.11580840276235256, - "ev_without_best": { - "1": -0.16024592695885514, - "10": -0.44467092372676925, - "5": -0.29947870753683903 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 138, - "time": 43, - "trailing_stop": 78 - }, - "gain_to_pain": -0.2105036648927135, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 46.0, - "measurement_start_equity": 9241.86, - "measurement_start_positions": 15, - "opened_positions": 274, - "peak_positions": 15, - "profit_factor": 0.8570311603396765, - "sessions_at_capacity": 237, - "sessions_measured": 252, - "sharpe": -0.19, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 9243, - "skipped_min_initial_risk": 0, - "sortino": -0.26261556619984716, - "start_date": "2020-01-02", - "total_return_pct": -28.8, - "trades": 274, - "transaction_cost": 466.48012738041814, - "turnover_multiple": 25.237350889345766, - "underwater_pct": 98.02371541501977, - "win_rate": 27.0 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.3075, - "avg_gross_exposure_pct": 91.6925, - "avg_hold_days": 12.9, - "avg_positions": 14.8175, - "blocked_fraction": 0.9711097204839383, - "cagr_pct": -26.6, - "calmar": -0.6, - "capacity_opportunities": 9588, - "end_date": "2020-12-30", - "ev_net_r": -0.08252424315126945, - "ev_without_best": { - "1": -0.1264468153093743, - "10": -0.4072745410565097, - "5": -0.2640071330513567 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 44, - "trailing_stop": 81 - }, - "gain_to_pain": -0.18038412471921883, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 44.1, - "measurement_start_equity": 8003.7, - "measurement_start_positions": 15, - "opened_positions": 277, - "peak_positions": 15, - "profit_factor": 0.8948423014267914, - "sessions_at_capacity": 242, - "sessions_measured": 252, - "sharpe": -0.14, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 9311, - "skipped_min_initial_risk": 0, - "sortino": -0.19725621896640527, - "start_date": "2020-01-02", - "total_return_pct": -26.5, - "trades": 277, - "transaction_cost": 207.2005125138261, - "turnover_multiple": 25.888090822222985, - "underwater_pct": 98.41897233201581, - "win_rate": 27.4 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.2689, - "avg_gross_exposure_pct": 91.7311, - "avg_hold_days": 12.9, - "avg_positions": 14.8175, - "blocked_fraction": 0.9711097204839383, - "cagr_pct": -29.0, - "calmar": -0.65, - "capacity_opportunities": 9588, - "end_date": "2020-12-30", - "ev_net_r": -0.09526561134886846, - "ev_without_best": { - "1": -0.13914568857434573, - "10": -0.4196636548712324, - "5": -0.2765325158608885 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 137, - "time": 44, - "trailing_stop": 81 - }, - "gain_to_pain": -0.21151885034747941, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 44.7, - "measurement_start_equity": 7924.59, - "measurement_start_positions": 15, - "opened_positions": 277, - "peak_positions": 15, - "profit_factor": 0.8799105171979902, - "sessions_at_capacity": 242, - "sessions_measured": 252, - "sharpe": -0.19, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 9311, - "skipped_min_initial_risk": 0, - "sortino": -0.26690528041820527, - "start_date": "2020-01-02", - "total_return_pct": -28.9, - "trades": 277, - "transaction_cost": 403.4650670871038, - "turnover_multiple": 25.45652627373175, - "underwater_pct": 98.41897233201581, - "win_rate": 27.4 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-13|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.7254, - "avg_gross_exposure_pct": 91.2746, - "avg_hold_days": 12.9, - "avg_positions": 14.7738, - "blocked_fraction": 0.9713058959053305, - "cagr_pct": -24.4, - "calmar": -0.56, - "capacity_opportunities": 9549, - "end_date": "2020-12-30", - "ev_net_r": -0.11383588556626316, - "ev_without_best": { - "1": -0.1583558180133398, - "10": -0.44346257482705503, - "5": -0.29792474900454824 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 138, - "time": 44, - "trailing_stop": 77 - }, - "gain_to_pain": -0.15470517588004237, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 43.6, - "measurement_start_equity": 8329.73, - "measurement_start_positions": 15, - "opened_positions": 274, - "peak_positions": 15, - "profit_factor": 0.8596361372090007, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -0.1, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 9275, - "skipped_min_initial_risk": 0, - "sortino": -0.13790813578728106, - "start_date": "2020-01-02", - "total_return_pct": -24.3, - "trades": 274, - "transaction_cost": 218.2946727473932, - "turnover_multiple": 26.20669250352571, - "underwater_pct": 98.02371541501977, - "win_rate": 27.0 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-13|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.6962, - "avg_gross_exposure_pct": 91.3038, - "avg_hold_days": 12.9, - "avg_positions": 14.7738, - "blocked_fraction": 0.9713058959053305, - "cagr_pct": -26.9, - "calmar": -0.61, - "capacity_opportunities": 9549, - "end_date": "2020-12-30", - "ev_net_r": -0.1265206422923867, - "ev_without_best": { - "1": -0.17099740546152678, - "10": -0.4557889299056683, - "5": -0.3103900593257958 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 138, - "time": 44, - "trailing_stop": 77 - }, - "gain_to_pain": -0.18743348512165278, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 44.2, - "measurement_start_equity": 8243.7, - "measurement_start_positions": 15, - "opened_positions": 274, - "peak_positions": 15, - "profit_factor": 0.8456289594224964, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -0.15, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 9275, - "skipped_min_initial_risk": 0, - "sortino": -0.20855574971230875, - "start_date": "2020-01-02", - "total_return_pct": -26.8, - "trades": 274, - "transaction_cost": 424.7622220855973, - "turnover_multiple": 25.76283841512896, - "underwater_pct": 98.02371541501977, - "win_rate": 27.0 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-14|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.5405, - "avg_gross_exposure_pct": 91.4595, - "avg_hold_days": 13.0, - "avg_positions": 14.7738, - "blocked_fraction": 0.970364822937841, - "cagr_pct": -21.6, - "calmar": -0.52, - "capacity_opportunities": 9347, - "end_date": "2020-12-30", - "ev_net_r": -0.05393617292600676, - "ev_without_best": { - "1": -0.10005242509056465, - "10": -0.39141837005016916, - "5": -0.24844243577675046 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 45, - "trailing_stop": 81 - }, - "gain_to_pain": -0.1197014772109138, - "longest_underwater_sessions": 123, - "max_drawdown_pct": 41.3, - "measurement_start_equity": 9740.23, - "measurement_start_positions": 15, - "opened_positions": 277, - "peak_positions": 15, - "profit_factor": 0.9307898860593911, - "sessions_at_capacity": 233, - "sessions_measured": 252, - "sharpe": -0.04, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 9070, - "skipped_min_initial_risk": 0, - "sortino": -0.05220556230938365, - "start_date": "2020-01-02", - "total_return_pct": -21.4, - "trades": 277, - "transaction_cost": 269.03427464731527, - "turnover_multiple": 27.620936533050582, - "underwater_pct": 97.23320158102767, - "win_rate": 28.2 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2020-seed-14|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 8.5026, - "avg_gross_exposure_pct": 91.4974, - "avg_hold_days": 13.0, - "avg_positions": 14.7738, - "blocked_fraction": 0.970364822937841, - "cagr_pct": -24.2, - "calmar": -0.58, - "capacity_opportunities": 9347, - "end_date": "2020-12-30", - "ev_net_r": -0.06680263359409067, - "ev_without_best": { - "1": -0.11282028499562892, - "10": -0.4039212521196855, - "5": -0.2610794955128627 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 136, - "time": 45, - "trailing_stop": 81 - }, - "gain_to_pain": -0.15501761633800196, - "longest_underwater_sessions": 124, - "max_drawdown_pct": 41.9, - "measurement_start_equity": 9650.71, - "measurement_start_positions": 15, - "opened_positions": 277, - "peak_positions": 15, - "profit_factor": 0.9152019921725588, - "sessions_at_capacity": 233, - "sessions_measured": 252, - "sharpe": -0.09, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 9070, - "skipped_min_initial_risk": 0, - "sortino": -0.123485395035797, - "start_date": "2020-01-02", - "total_return_pct": -24.1, - "trades": 277, - "transaction_cost": 524.1210623965217, - "turnover_multiple": 27.154533832045608, - "underwater_pct": 97.62845849802372, - "win_rate": 27.8 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.0773, - "avg_gross_exposure_pct": 96.9227, - "avg_hold_days": 12.2, - "avg_positions": 14.4325, - "blocked_fraction": 0.9592554594753041, - "cagr_pct": -38.7, - "calmar": -0.56, - "capacity_opportunities": 6823, - "end_date": "2021-12-31", - "ev_net_r": -0.3012090707973465, - "ev_without_best": { - "1": -0.37820521816165037, - "10": -0.579917742229597, - "5": -0.485792245635161 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 153, - "time": 29, - "trailing_stop": 81 - }, - "gain_to_pain": -0.39570772937667825, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.3, - "measurement_start_equity": 7725.05, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.6281704313642266, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.12, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 6545, - "skipped_min_initial_risk": 0, - "sortino": -0.2013664632527268, - "start_date": "2021-01-04", - "total_return_pct": -38.4, - "trades": 278, - "transaction_cost": 285.3829341838117, - "turnover_multiple": 36.9425355413637, - "underwater_pct": 92.09486166007905, - "win_rate": 22.7 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.0619, - "avg_gross_exposure_pct": 96.9381, - "avg_hold_days": 12.2, - "avg_positions": 14.4325, - "blocked_fraction": 0.9592554594753041, - "cagr_pct": -41.0, - "calmar": -0.58, - "capacity_opportunities": 6823, - "end_date": "2021-12-31", - "ev_net_r": -0.3167928257526371, - "ev_without_best": { - "1": -0.3937408636664253, - "10": -0.5951522245560785, - "5": -0.5011745244072878 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 153, - "time": 29, - "trailing_stop": 81 - }, - "gain_to_pain": -0.4225532169390714, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.0, - "measurement_start_equity": 7608.1, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.6142667367191549, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.16, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 6545, - "skipped_min_initial_risk": 0, - "sortino": -0.2647448033504704, - "start_date": "2021-01-04", - "total_return_pct": -40.6, - "trades": 278, - "transaction_cost": 553.1906163597232, - "turnover_multiple": 36.35537232421519, - "underwater_pct": 92.09486166007905, - "win_rate": 22.7 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.1154, - "avg_gross_exposure_pct": 96.8846, - "avg_hold_days": 12.2, - "avg_positions": 14.4325, - "blocked_fraction": 0.95932699341624, - "cagr_pct": -37.9, - "calmar": -0.55, - "capacity_opportunities": 6835, - "end_date": "2021-12-31", - "ev_net_r": -0.27432222804083584, - "ev_without_best": { - "1": -0.35122131099085624, - "10": -0.552027659071724, - "5": -0.45841296986113184 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 151, - "time": 29, - "trailing_stop": 83 - }, - "gain_to_pain": -0.3932073489348813, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.3, - "measurement_start_equity": 9745.21, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.6580215332390527, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.11, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 6557, - "skipped_min_initial_risk": 0, - "sortino": -0.1739308240639013, - "start_date": "2021-01-04", - "total_return_pct": -37.5, - "trades": 278, - "transaction_cost": 364.22297466759323, - "turnover_multiple": 37.37456398246865, - "underwater_pct": 93.2806324110672, - "win_rate": 23.4 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.1055, - "avg_gross_exposure_pct": 96.8945, - "avg_hold_days": 12.2, - "avg_positions": 14.4325, - "blocked_fraction": 0.95932699341624, - "cagr_pct": -40.2, - "calmar": -0.57, - "capacity_opportunities": 6835, - "end_date": "2021-12-31", - "ev_net_r": -0.28994562351028724, - "ev_without_best": { - "1": -0.36679674011634134, - "10": -0.567303261036029, - "5": -0.4738356151641622 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 151, - "time": 29, - "trailing_stop": 83 - }, - "gain_to_pain": -0.4209960146145322, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.0, - "measurement_start_equity": 9611.71, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.643479704512113, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.15, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 6557, - "skipped_min_initial_risk": 0, - "sortino": -0.23800237766494342, - "start_date": "2021-01-04", - "total_return_pct": -39.8, - "trades": 278, - "transaction_cost": 706.8431740411229, - "turnover_multiple": 36.7698970339889, - "underwater_pct": 93.2806324110672, - "win_rate": 23.4 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.0945, - "avg_gross_exposure_pct": 96.9055, - "avg_hold_days": 11.6, - "avg_positions": 14.0397, - "blocked_fraction": 0.9544287548138639, - "cagr_pct": -33.0, - "calmar": -0.5, - "capacity_opportunities": 6232, - "end_date": "2021-12-31", - "ev_net_r": -0.3506726637071179, - "ev_without_best": { - "1": -0.42621116693263716, - "10": -0.6434084204826609, - "5": -0.5376582832988378 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 157, - "time": 25, - "trailing_stop": 87 - }, - "gain_to_pain": -0.4333408507659466, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 66.5, - "measurement_start_equity": 7734.42, - "measurement_start_positions": 15, - "opened_positions": 284, - "peak_positions": 15, - "profit_factor": 0.5931253533314067, - "sessions_at_capacity": 131, - "sessions_measured": 252, - "sharpe": -0.06, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 5948, - "skipped_min_initial_risk": 0, - "sortino": -0.10752971176527755, - "start_date": "2021-01-04", - "total_return_pct": -32.7, - "trades": 284, - "transaction_cost": 292.23579120618984, - "turnover_multiple": 37.78380165625733, - "underwater_pct": 94.0711462450593, - "win_rate": 21.1 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.0832, - "avg_gross_exposure_pct": 96.9168, - "avg_hold_days": 11.6, - "avg_positions": 14.0278, - "blocked_fraction": 0.954281098546042, - "cagr_pct": -35.3, - "calmar": -0.53, - "capacity_opportunities": 6190, - "end_date": "2021-12-31", - "ev_net_r": -0.3641708369400784, - "ev_without_best": { - "1": -0.4399225550723719, - "10": -0.6574802184510053, - "5": -0.551592033163418 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 156, - "time": 25, - "trailing_stop": 87 - }, - "gain_to_pain": -0.46591985840820366, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 67.2, - "measurement_start_equity": 7628.52, - "measurement_start_positions": 15, - "opened_positions": 283, - "peak_positions": 15, - "profit_factor": 0.5828121712522663, - "sessions_at_capacity": 129, - "sessions_measured": 252, - "sharpe": -0.1, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 5907, - "skipped_min_initial_risk": 0, - "sortino": -0.17327758420001843, - "start_date": "2021-01-04", - "total_return_pct": -35.0, - "trades": 283, - "transaction_cost": 567.0133743818793, - "turnover_multiple": 37.16404849052498, - "underwater_pct": 94.0711462450593, - "win_rate": 21.2 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.9923, - "avg_gross_exposure_pct": 97.0077, - "avg_hold_days": 12.1, - "avg_positions": 14.4325, - "blocked_fraction": 0.9593745433289493, - "cagr_pct": -32.7, - "calmar": -0.47, - "capacity_opportunities": 6843, - "end_date": "2021-12-31", - "ev_net_r": -0.2614957849504857, - "ev_without_best": { - "1": -0.33834856305180444, - "10": -0.565147927813294, - "5": -0.46125146643522197 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 151, - "time": 29, - "trailing_stop": 83 - }, - "gain_to_pain": -0.3421711369873396, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.3, - "measurement_start_equity": 8788.68, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.6756362279113618, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.0, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 6565, - "skipped_min_initial_risk": 0, - "sortino": -0.0036619056562013546, - "start_date": "2021-01-04", - "total_return_pct": -32.4, - "trades": 278, - "transaction_cost": 356.42821409484117, - "turnover_multiple": 40.55537510693769, - "underwater_pct": 93.67588932806325, - "win_rate": 23.0 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.9839, - "avg_gross_exposure_pct": 97.0161, - "avg_hold_days": 12.1, - "avg_positions": 14.4325, - "blocked_fraction": 0.9593745433289493, - "cagr_pct": -35.2, - "calmar": -0.5, - "capacity_opportunities": 6843, - "end_date": "2021-12-31", - "ev_net_r": -0.2771394475078051, - "ev_without_best": { - "1": -0.3539443324315397, - "10": -0.580412748749146, - "5": -0.47669939226403585 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 151, - "time": 29, - "trailing_stop": 83 - }, - "gain_to_pain": -0.3753563791873465, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.0, - "measurement_start_equity": 8674.79, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.6609257741763722, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.04, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 6565, - "skipped_min_initial_risk": 0, - "sortino": -0.06904095221234906, - "start_date": "2021-01-04", - "total_return_pct": -34.9, - "trades": 278, - "transaction_cost": 691.9152705856048, - "turnover_multiple": 39.88080809942401, - "underwater_pct": 93.67588932806325, - "win_rate": 23.0 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.7189, - "avg_gross_exposure_pct": 97.2811, - "avg_hold_days": 12.1, - "avg_positions": 14.2897, - "blocked_fraction": 0.9607400084733795, - "cagr_pct": -13.7, - "calmar": -0.22, - "capacity_opportunities": 7081, - "end_date": "2021-12-31", - "ev_net_r": -0.2668967282192173, - "ev_without_best": { - "1": -0.3437690043106759, - "10": -0.5703006977777861, - "5": -0.45716520923422843 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 148, - "time": 27, - "trailing_stop": 88 - }, - "gain_to_pain": -0.06655034437359966, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 63.3, - "measurement_start_equity": 9390.62, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.674660107879892, - "sessions_at_capacity": 153, - "sessions_measured": 252, - "sharpe": 0.22, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 6803, - "skipped_min_initial_risk": 0, - "sortino": 0.38229610607382003, - "start_date": "2021-01-04", - "total_return_pct": -13.5, - "trades": 278, - "transaction_cost": 406.03972207890183, - "turnover_multiple": 43.23886197917728, - "underwater_pct": 92.09486166007905, - "win_rate": 23.0 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.6975, - "avg_gross_exposure_pct": 97.3025, - "avg_hold_days": 12.1, - "avg_positions": 14.2897, - "blocked_fraction": 0.9607400084733795, - "cagr_pct": -16.7, - "calmar": -0.26, - "capacity_opportunities": 7081, - "end_date": "2021-12-31", - "ev_net_r": -0.28264896431705894, - "ev_without_best": { - "1": -0.35947373919317355, - "10": -0.5856651772178202, - "5": -0.4727397443590337 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 148, - "time": 27, - "trailing_stop": 88 - }, - "gain_to_pain": -0.11935266177522076, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 64.1, - "measurement_start_equity": 9269.14, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.6601312081213604, - "sessions_at_capacity": 153, - "sessions_measured": 252, - "sharpe": 0.18, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 6803, - "skipped_min_initial_risk": 0, - "sortino": 0.3107792613088423, - "start_date": "2021-01-04", - "total_return_pct": -16.6, - "trades": 278, - "transaction_cost": 788.4161714556775, - "turnover_multiple": 42.529089616495035, - "underwater_pct": 92.09486166007905, - "win_rate": 23.0 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.0367, - "avg_gross_exposure_pct": 96.9633, - "avg_hold_days": 11.6, - "avg_positions": 13.9683, - "blocked_fraction": 0.9495964125560538, - "cagr_pct": -39.5, - "calmar": -0.58, - "capacity_opportunities": 5575, - "end_date": "2021-12-31", - "ev_net_r": -0.381690366471136, - "ev_without_best": { - "1": -0.4581489883125145, - "10": -0.6555543769869083, - "5": -0.5606898539552967 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 155, - "time": 24, - "trailing_stop": 87 - }, - "gain_to_pain": -0.4466585254974848, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 67.8, - "measurement_start_equity": 8029.39, - "measurement_start_positions": 15, - "opened_positions": 281, - "peak_positions": 15, - "profit_factor": 0.5562257894093643, - "sessions_at_capacity": 118, - "sessions_measured": 252, - "sharpe": -0.19, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 5294, - "skipped_min_initial_risk": 0, - "sortino": -0.31181721811166124, - "start_date": "2021-01-04", - "total_return_pct": -39.1, - "trades": 281, - "transaction_cost": 284.674096370206, - "turnover_multiple": 35.45401286650741, - "underwater_pct": 94.46640316205533, - "win_rate": 22.1 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.0268, - "avg_gross_exposure_pct": 96.9732, - "avg_hold_days": 11.6, - "avg_positions": 13.9683, - "blocked_fraction": 0.9495964125560538, - "cagr_pct": -41.7, - "calmar": -0.61, - "capacity_opportunities": 5575, - "end_date": "2021-12-31", - "ev_net_r": -0.3976188282791393, - "ev_without_best": { - "1": -0.474031087224303, - "10": -0.6711903335920716, - "5": -0.5764034002899745 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 155, - "time": 24, - "trailing_stop": 87 - }, - "gain_to_pain": -0.4731913771145745, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 68.5, - "measurement_start_equity": 7924.4, - "measurement_start_positions": 15, - "opened_positions": 281, - "peak_positions": 15, - "profit_factor": 0.5439228047435, - "sessions_at_capacity": 118, - "sessions_measured": 252, - "sharpe": -0.23, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 5294, - "skipped_min_initial_risk": 0, - "sortino": -0.37930079777967163, - "start_date": "2021-01-04", - "total_return_pct": -41.3, - "trades": 281, - "transaction_cost": 552.5524702604963, - "turnover_multiple": 34.86399413586495, - "underwater_pct": 94.86166007905138, - "win_rate": 22.1 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.9203, - "avg_gross_exposure_pct": 97.0797, - "avg_hold_days": 12.0, - "avg_positions": 14.2103, - "blocked_fraction": 0.9554655870445344, - "cagr_pct": -24.6, - "calmar": -0.36, - "capacity_opportunities": 6175, - "end_date": "2021-12-31", - "ev_net_r": -0.27891575882480585, - "ev_without_best": { - "1": -0.3566735672479432, - "10": -0.5621162311144163, - "5": -0.4635927616288968 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 149, - "time": 25, - "trailing_stop": 86 - }, - "gain_to_pain": -0.17751150410131822, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 67.5, - "measurement_start_equity": 7955.74, - "measurement_start_positions": 15, - "opened_positions": 275, - "peak_positions": 15, - "profit_factor": 0.6542314007733889, - "sessions_at_capacity": 131, - "sessions_measured": 252, - "sharpe": 0.06, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 5900, - "skipped_min_initial_risk": 0, - "sortino": 0.0968981997760566, - "start_date": "2021-01-04", - "total_return_pct": -24.3, - "trades": 275, - "transaction_cost": 335.4437337256444, - "turnover_multiple": 42.16373759394404, - "underwater_pct": 90.9090909090909, - "win_rate": 22.2 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.9063, - "avg_gross_exposure_pct": 97.0937, - "avg_hold_days": 12.0, - "avg_positions": 14.2103, - "blocked_fraction": 0.9554655870445344, - "cagr_pct": -27.4, - "calmar": -0.4, - "capacity_opportunities": 6175, - "end_date": "2021-12-31", - "ev_net_r": -0.2945841947455648, - "ev_without_best": { - "1": -0.37229367602699637, - "10": -0.5774198876331232, - "5": -0.4790940389361244 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 149, - "time": 25, - "trailing_stop": 86 - }, - "gain_to_pain": -0.21699559217685546, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 68.3, - "measurement_start_equity": 7858.06, - "measurement_start_positions": 15, - "opened_positions": 275, - "peak_positions": 15, - "profit_factor": 0.6398897118184337, - "sessions_at_capacity": 131, - "sessions_measured": 252, - "sharpe": 0.02, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 5900, - "skipped_min_initial_risk": 0, - "sortino": 0.024945382305738544, - "start_date": "2021-01-04", - "total_return_pct": -27.1, - "trades": 275, - "transaction_cost": 651.7927911698208, - "turnover_multiple": 41.47288205802837, - "underwater_pct": 90.9090909090909, - "win_rate": 22.2 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.7787, - "avg_gross_exposure_pct": 97.2213, - "avg_hold_days": 11.7, - "avg_positions": 14.2381, - "blocked_fraction": 0.9496262014951941, - "cagr_pct": -48.1, - "calmar": -0.67, - "capacity_opportunities": 5618, - "end_date": "2021-12-31", - "ev_net_r": -0.39743482713094774, - "ev_without_best": { - "1": -0.47340702066373413, - "10": -0.6572221460181065, - "5": -0.5732138026533536 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 160, - "time": 25, - "trailing_stop": 84 - }, - "gain_to_pain": -0.47366935423690687, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 71.4, - "measurement_start_equity": 8363.69, - "measurement_start_positions": 15, - "opened_positions": 283, - "peak_positions": 15, - "profit_factor": 0.5265174707239505, - "sessions_at_capacity": 120, - "sessions_measured": 252, - "sharpe": -0.38, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 5335, - "skipped_min_initial_risk": 0, - "sortino": -0.6233540274320363, - "start_date": "2021-01-04", - "total_return_pct": -47.7, - "trades": 283, - "transaction_cost": 276.1937787536147, - "turnover_multiple": 33.022957421140035, - "underwater_pct": 93.67588932806325, - "win_rate": 21.2 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.758, - "avg_gross_exposure_pct": 97.242, - "avg_hold_days": 11.7, - "avg_positions": 14.2381, - "blocked_fraction": 0.9496262014951941, - "cagr_pct": -50.0, - "calmar": -0.7, - "capacity_opportunities": 5618, - "end_date": "2021-12-31", - "ev_net_r": -0.41300912026104875, - "ev_without_best": { - "1": -0.48893402379518974, - "10": -0.6725112730628956, - "5": -0.5885665602665046 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 160, - "time": 25, - "trailing_stop": 84 - }, - "gain_to_pain": -0.4940124112220158, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 72.0, - "measurement_start_equity": 8277.52, - "measurement_start_positions": 15, - "opened_positions": 283, - "peak_positions": 15, - "profit_factor": 0.5146029588826585, - "sessions_at_capacity": 120, - "sessions_measured": 252, - "sharpe": -0.43, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 5335, - "skipped_min_initial_risk": 0, - "sortino": -0.6920954579504696, - "start_date": "2021-01-04", - "total_return_pct": -49.6, - "trades": 283, - "transaction_cost": 537.176047186544, - "turnover_multiple": 32.44788579106689, - "underwater_pct": 93.67588932806325, - "win_rate": 21.2 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.2562, - "avg_gross_exposure_pct": 96.7438, - "avg_hold_days": 12.1, - "avg_positions": 14.4325, - "blocked_fraction": 0.9592938430113802, - "cagr_pct": -42.0, - "calmar": -0.61, - "capacity_opportunities": 6854, - "end_date": "2021-12-31", - "ev_net_r": -0.3021966545437975, - "ev_without_best": { - "1": -0.37891938980875656, - "10": -0.5799059474111121, - "5": -0.48612418976078886 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 152, - "time": 29, - "trailing_stop": 83 - }, - "gain_to_pain": -0.4523692973833363, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.3, - "measurement_start_equity": 9126.72, - "measurement_start_positions": 15, - "opened_positions": 279, - "peak_positions": 15, - "profit_factor": 0.6259056158340549, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.19, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 6575, - "skipped_min_initial_risk": 0, - "sortino": -0.3010045111544082, - "start_date": "2021-01-04", - "total_return_pct": -41.6, - "trades": 279, - "transaction_cost": 320.36708027288824, - "turnover_multiple": 35.10210461950057, - "underwater_pct": 94.46640316205533, - "win_rate": 22.6 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.2426, - "avg_gross_exposure_pct": 96.7574, - "avg_hold_days": 12.1, - "avg_positions": 14.4325, - "blocked_fraction": 0.9592938430113802, - "cagr_pct": -44.1, - "calmar": -0.63, - "capacity_opportunities": 6854, - "end_date": "2021-12-31", - "ev_net_r": -0.31773393243605164, - "ev_without_best": { - "1": -0.39440856412239245, - "10": -0.5950935233139566, - "5": -0.5014598786628278 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 152, - "time": 29, - "trailing_stop": 83 - }, - "gain_to_pain": -0.4772856762597092, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.0, - "measurement_start_equity": 9038.01, - "measurement_start_positions": 15, - "opened_positions": 279, - "peak_positions": 15, - "profit_factor": 0.6120558311204211, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.23, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 6575, - "skipped_min_initial_risk": 0, - "sortino": -0.36426280011439105, - "start_date": "2021-01-04", - "total_return_pct": -43.8, - "trades": 279, - "transaction_cost": 624.2796819939633, - "turnover_multiple": 34.536346053719974, - "underwater_pct": 94.46640316205533, - "win_rate": 22.6 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.2442, - "avg_gross_exposure_pct": 96.7558, - "avg_hold_days": 12.1, - "avg_positions": 14.4325, - "blocked_fraction": 0.9591240875912409, - "cagr_pct": -43.9, - "calmar": -0.63, - "capacity_opportunities": 6850, - "end_date": "2021-12-31", - "ev_net_r": -0.3128038975245103, - "ev_without_best": { - "1": -0.3892896596988449, - "10": -0.5898774983064169, - "5": -0.4962554643039983 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 154, - "time": 29, - "trailing_stop": 82 - }, - "gain_to_pain": -0.5248478461904005, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.3, - "measurement_start_equity": 9290.86, - "measurement_start_positions": 15, - "opened_positions": 280, - "peak_positions": 15, - "profit_factor": 0.622447352862866, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.22, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 6570, - "skipped_min_initial_risk": 0, - "sortino": -0.35608613896706165, - "start_date": "2021-01-04", - "total_return_pct": -43.5, - "trades": 280, - "transaction_cost": 317.6995687041563, - "turnover_multiple": 34.194850498678946, - "underwater_pct": 94.46640316205533, - "win_rate": 22.5 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.229, - "avg_gross_exposure_pct": 96.771, - "avg_hold_days": 12.1, - "avg_positions": 14.4325, - "blocked_fraction": 0.9591240875912409, - "cagr_pct": -45.9, - "calmar": -0.66, - "capacity_opportunities": 6850, - "end_date": "2021-12-31", - "ev_net_r": -0.3284232329909467, - "ev_without_best": { - "1": -0.40486135811409235, - "10": -0.6051514661454112, - "5": -0.5116754357869873 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 154, - "time": 29, - "trailing_stop": 82 - }, - "gain_to_pain": -0.5483451676937743, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.0, - "measurement_start_equity": 9204.46, - "measurement_start_positions": 15, - "opened_positions": 280, - "peak_positions": 15, - "profit_factor": 0.608912432036352, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -0.26, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 6570, - "skipped_min_initial_risk": 0, - "sortino": -0.41898690804618866, - "start_date": "2021-01-04", - "total_return_pct": -45.6, - "trades": 280, - "transaction_cost": 619.3729550751968, - "turnover_multiple": 33.64526300702034, - "underwater_pct": 94.46640316205533, - "win_rate": 22.5 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.8799, - "avg_gross_exposure_pct": 97.1201, - "avg_hold_days": 12.1, - "avg_positions": 14.2897, - "blocked_fraction": 0.9608285190925743, - "cagr_pct": -16.2, - "calmar": -0.26, - "capacity_opportunities": 7097, - "end_date": "2021-12-31", - "ev_net_r": -0.23249084970537479, - "ev_without_best": { - "1": -0.30923891684913, - "10": -0.5358517108444263, - "5": -0.4233471561274869 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 148, - "time": 27, - "trailing_stop": 88 - }, - "gain_to_pain": -0.13360087313990762, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 63.3, - "measurement_start_equity": 11109.48, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.7071575633445721, - "sessions_at_capacity": 153, - "sessions_measured": 252, - "sharpe": 0.19, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 6819, - "skipped_min_initial_risk": 0, - "sortino": 0.3252849062109838, - "start_date": "2021-01-04", - "total_return_pct": -16.0, - "trades": 278, - "transaction_cost": 466.61899613116714, - "turnover_multiple": 42.00187552713243, - "underwater_pct": 92.4901185770751, - "win_rate": 23.4 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.8556, - "avg_gross_exposure_pct": 97.1444, - "avg_hold_days": 12.1, - "avg_positions": 14.2897, - "blocked_fraction": 0.9608285190925743, - "cagr_pct": -19.2, - "calmar": -0.3, - "capacity_opportunities": 7097, - "end_date": "2021-12-31", - "ev_net_r": -0.2481017597774044, - "ev_without_best": { - "1": -0.32480181550355636, - "10": -0.5510681711142269, - "5": -0.4387763830558725 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 148, - "time": 27, - "trailing_stop": 88 - }, - "gain_to_pain": -0.18473129925695614, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 64.1, - "measurement_start_equity": 11018.93, - "measurement_start_positions": 15, - "opened_positions": 278, - "peak_positions": 15, - "profit_factor": 0.691804839049461, - "sessions_at_capacity": 153, - "sessions_measured": 252, - "sharpe": 0.15, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 6819, - "skipped_min_initial_risk": 0, - "sortino": 0.2537356169446578, - "start_date": "2021-01-04", - "total_return_pct": -19.0, - "trades": 278, - "transaction_cost": 910.3319466675196, - "turnover_multiple": 41.30763815849268, - "underwater_pct": 93.2806324110672, - "win_rate": 23.4 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.3809, - "avg_gross_exposure_pct": 96.6191, - "avg_hold_days": 11.8, - "avg_positions": 14.2381, - "blocked_fraction": 0.9497157071783937, - "cagr_pct": -42.1, - "calmar": -0.59, - "capacity_opportunities": 5628, - "end_date": "2021-12-31", - "ev_net_r": -0.32250000438226634, - "ev_without_best": { - "1": -0.3982064715932489, - "10": -0.5934160373911764, - "5": -0.5029285336181556 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 157, - "time": 25, - "trailing_stop": 87 - }, - "gain_to_pain": -0.4316610427454517, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 71.4, - "measurement_start_equity": 9928.93, - "measurement_start_positions": 15, - "opened_positions": 283, - "peak_positions": 15, - "profit_factor": 0.6041396068397444, - "sessions_at_capacity": 120, - "sessions_measured": 252, - "sharpe": -0.24, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 5345, - "skipped_min_initial_risk": 0, - "sortino": -0.38580824945644315, - "start_date": "2021-01-04", - "total_return_pct": -41.7, - "trades": 283, - "transaction_cost": 359.20531971093175, - "turnover_multiple": 36.17764650480281, - "underwater_pct": 92.4901185770751, - "win_rate": 23.3 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 3.3643, - "avg_gross_exposure_pct": 96.6357, - "avg_hold_days": 11.8, - "avg_positions": 14.2381, - "blocked_fraction": 0.9497157071783937, - "cagr_pct": -44.3, - "calmar": -0.62, - "capacity_opportunities": 5628, - "end_date": "2021-12-31", - "ev_net_r": -0.3381138851160651, - "ev_without_best": { - "1": -0.41377320270997553, - "10": -0.6087315782248109, - "5": -0.5183785878894712 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 157, - "time": 25, - "trailing_stop": 87 - }, - "gain_to_pain": -0.45595089321062965, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 72.0, - "measurement_start_equity": 9845.47, - "measurement_start_positions": 15, - "opened_positions": 283, - "peak_positions": 15, - "profit_factor": 0.590562517223227, - "sessions_at_capacity": 120, - "sessions_measured": 252, - "sharpe": -0.28, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 5345, - "skipped_min_initial_risk": 0, - "sortino": -0.4546495253598501, - "start_date": "2021-01-04", - "total_return_pct": -43.9, - "trades": 283, - "transaction_cost": 699.761304908579, - "turnover_multiple": 35.53722193600605, - "underwater_pct": 92.4901185770751, - "win_rate": 23.3 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-13|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.407, - "avg_gross_exposure_pct": 97.593, - "avg_hold_days": 11.4, - "avg_positions": 14.0992, - "blocked_fraction": 0.9511118655576303, - "cagr_pct": -29.3, - "calmar": -0.42, - "capacity_opportunities": 5891, - "end_date": "2021-12-31", - "ev_net_r": -0.3485556039052144, - "ev_without_best": { - "1": -0.42303392917706123, - "10": -0.6330374720684422, - "5": -0.5325417161685968 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 162, - "time": 24, - "trailing_stop": 87 - }, - "gain_to_pain": -0.3128426142952769, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.7, - "measurement_start_equity": 10010.22, - "measurement_start_positions": 15, - "opened_positions": 288, - "peak_positions": 15, - "profit_factor": 0.5952358972405178, - "sessions_at_capacity": 124, - "sessions_measured": 252, - "sharpe": -0.03, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 5603, - "skipped_min_initial_risk": 0, - "sortino": -0.048606531845455214, - "start_date": "2021-01-04", - "total_return_pct": -29.0, - "trades": 288, - "transaction_cost": 427.50874908578663, - "turnover_multiple": 42.70722812143855, - "underwater_pct": 92.09486166007905, - "win_rate": 22.2 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2021-seed-13|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 2.4018, - "avg_gross_exposure_pct": 97.5982, - "avg_hold_days": 11.4, - "avg_positions": 14.0992, - "blocked_fraction": 0.9511118655576303, - "cagr_pct": -31.9, - "calmar": -0.45, - "capacity_opportunities": 5891, - "end_date": "2021-12-31", - "ev_net_r": -0.36464637395687605, - "ev_without_best": { - "1": -0.43908003266880485, - "10": -0.648864961967564, - "5": -0.5484639365453419 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 162, - "time": 24, - "trailing_stop": 87 - }, - "gain_to_pain": -0.35150560948627985, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.3, - "measurement_start_equity": 9941.56, - "measurement_start_positions": 15, - "opened_positions": 288, - "peak_positions": 15, - "profit_factor": 0.5822795393285012, - "sessions_at_capacity": 124, - "sessions_measured": 252, - "sharpe": -0.08, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 5603, - "skipped_min_initial_risk": 0, - "sortino": -0.12677219237405798, - "start_date": "2021-01-04", - "total_return_pct": -31.6, - "trades": 288, - "transaction_cost": 834.044186371069, - "turnover_multiple": 41.94734962978995, - "underwater_pct": 92.09486166007905, - "win_rate": 22.2 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.3537, - "avg_gross_exposure_pct": 97.6463, - "avg_hold_days": 10.2, - "avg_positions": 14.3056, - "blocked_fraction": 0.9595089127611852, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 8471, - "end_date": "2023-01-03", - "ev_net_r": -0.7578044101898076, - "ev_without_best": { - "1": -0.7929529654414857, - "10": -0.9508022788042737, - "5": -0.8856929808501619 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 213, - "time": 26, - "trailing_stop": 89 - }, - "gain_to_pain": -0.908358418656906, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 6043.2, - "measurement_start_positions": 15, - "opened_positions": 343, - "peak_positions": 15, - "profit_factor": 0.29949352635611903, - "sessions_at_capacity": 147, - "sessions_measured": 252, - "sharpe": -4.63, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 8128, - "skipped_min_initial_risk": 0, - "sortino": -5.03697611778612, - "start_date": "2022-01-03", - "total_return_pct": -92.4, - "trades": 343, - "transaction_cost": 102.35730456911665, - "turnover_multiple": 16.937600041222638, - "underwater_pct": 99.2094861660079, - "win_rate": 17.8 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 1.9417, - "avg_gross_exposure_pct": 98.0583, - "avg_hold_days": 9.9, - "avg_positions": 14.0873, - "blocked_fraction": 0.9620738792064014, - "cagr_pct": -92.8, - "calmar": -1.0, - "capacity_opportunities": 9123, - "end_date": "2023-01-03", - "ev_net_r": -0.8167204551658714, - "ev_without_best": { - "1": -0.8516480037427677, - "10": -0.9960057149741314, - "5": -0.9351018878434731 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 216, - "time": 22, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9371608114471204, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 5937.49, - "measurement_start_positions": 15, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.2561271591820508, - "sessions_at_capacity": 158, - "sessions_measured": 252, - "sharpe": -4.66, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 8777, - "skipped_min_initial_risk": 0, - "sortino": -5.0147222669682145, - "start_date": "2022-01-03", - "total_return_pct": -92.8, - "trades": 346, - "transaction_cost": 202.5806582491976, - "turnover_multiple": 17.05945258427362, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 1.8953, - "avg_gross_exposure_pct": 98.1047, - "avg_hold_days": 10.0, - "avg_positions": 14.2738, - "blocked_fraction": 0.9646904087414002, - "cagr_pct": -93.0, - "calmar": -1.0, - "capacity_opportunities": 9884, - "end_date": "2023-01-03", - "ev_net_r": -0.7802909704542753, - "ev_without_best": { - "1": -0.8148981326851327, - "10": -0.9734378132072812, - "5": -0.9091351376825579 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 217, - "time": 23, - "trailing_stop": 94 - }, - "gain_to_pain": -0.939442552659673, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 5128.88, - "measurement_start_positions": 14, - "opened_positions": 349, - "peak_positions": 15, - "profit_factor": 0.2811596086242914, - "sessions_at_capacity": 170, - "sessions_measured": 252, - "sharpe": -4.69, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 9535, - "skipped_min_initial_risk": 0, - "sortino": -5.024906244498515, - "start_date": "2022-01-03", - "total_return_pct": -93.0, - "trades": 349, - "transaction_cost": 84.32149870108535, - "turnover_multiple": 16.440528673138257, - "underwater_pct": 99.2094861660079, - "win_rate": 16.9 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.2076, - "avg_gross_exposure_pct": 97.7924, - "avg_hold_days": 10.1, - "avg_positions": 14.381, - "blocked_fraction": 0.9642783611282685, - "cagr_pct": -94.3, - "calmar": -1.0, - "capacity_opportunities": 9714, - "end_date": "2023-01-03", - "ev_net_r": -0.784660453054195, - "ev_without_best": { - "1": -0.8193943959932628, - "10": -0.9842698106327513, - "5": -0.9123460356092598 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 214, - "time": 24, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9196338446631657, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 94.4, - "measurement_start_equity": 4963.29, - "measurement_start_positions": 15, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.2978173891199583, - "sessions_at_capacity": 165, - "sessions_measured": 252, - "sharpe": -4.88, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 9367, - "skipped_min_initial_risk": 0, - "sortino": -5.207777153099253, - "start_date": "2022-01-03", - "total_return_pct": -94.3, - "trades": 347, - "transaction_cost": 156.12724854415106, - "turnover_multiple": 15.728201308421536, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.568, - "avg_gross_exposure_pct": 97.432, - "avg_hold_days": 10.2, - "avg_positions": 14.4008, - "blocked_fraction": 0.9607529948659441, - "cagr_pct": -93.1, - "calmar": -1.0, - "capacity_opportunities": 8765, - "end_date": "2023-01-03", - "ev_net_r": -0.754460789496814, - "ev_without_best": { - "1": -0.78949712266119, - "10": -0.959135706033575, - "5": -0.888325298179432 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 216, - "time": 27, - "trailing_stop": 86 - }, - "gain_to_pain": -0.9122603483151783, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 6375.76, - "measurement_start_positions": 14, - "opened_positions": 344, - "peak_positions": 15, - "profit_factor": 0.3070699714161193, - "sessions_at_capacity": 159, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 8421, - "skipped_min_initial_risk": 0, - "sortino": -5.142356225904458, - "start_date": "2022-01-03", - "total_return_pct": -93.1, - "trades": 344, - "transaction_cost": 111.24928171342799, - "turnover_multiple": 17.44878755057091, - "underwater_pct": 98.81422924901186, - "win_rate": 17.2 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.5671, - "avg_gross_exposure_pct": 97.4329, - "avg_hold_days": 10.2, - "avg_positions": 14.4008, - "blocked_fraction": 0.9607529948659441, - "cagr_pct": -93.3, - "calmar": -1.0, - "capacity_opportunities": 8765, - "end_date": "2023-01-03", - "ev_net_r": -0.7690812597396931, - "ev_without_best": { - "1": -0.8040735777093813, - "10": -0.973356360622983, - "5": -0.9026394738150153 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 216, - "time": 27, - "trailing_stop": 86 - }, - "gain_to_pain": -0.9142132411871303, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 93.5, - "measurement_start_equity": 6257.34, - "measurement_start_positions": 14, - "opened_positions": 344, - "peak_positions": 15, - "profit_factor": 0.3009019379963285, - "sessions_at_capacity": 159, - "sessions_measured": 252, - "sharpe": -4.82, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 8421, - "skipped_min_initial_risk": 0, - "sortino": -5.205692575662143, - "start_date": "2022-01-03", - "total_return_pct": -93.3, - "trades": 344, - "transaction_cost": 215.133104336724, - "turnover_multiple": 17.190459870865574, - "underwater_pct": 98.81422924901186, - "win_rate": 16.9 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.1919, - "avg_gross_exposure_pct": 97.8081, - "avg_hold_days": 9.9, - "avg_positions": 14.1825, - "blocked_fraction": 0.9596839781573138, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 8607, - "end_date": "2023-01-03", - "ev_net_r": -0.7894227923445493, - "ev_without_best": { - "1": -0.8242563885244009, - "10": -0.9796156192138171, - "5": -0.9148465858496724 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 219, - "time": 21, - "trailing_stop": 92 - }, - "gain_to_pain": -0.8903068549018452, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 5716.35, - "measurement_start_positions": 15, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.27292834837832713, - "sessions_at_capacity": 148, - "sessions_measured": 252, - "sharpe": -4.53, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 8260, - "skipped_min_initial_risk": 0, - "sortino": -4.955786843404864, - "start_date": "2022-01-03", - "total_return_pct": -91.7, - "trades": 347, - "transaction_cost": 102.43292077311037, - "turnover_multiple": 17.91928779257924, - "underwater_pct": 98.81422924901186, - "win_rate": 17.0 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.1881, - "avg_gross_exposure_pct": 97.8119, - "avg_hold_days": 10.0, - "avg_positions": 14.1746, - "blocked_fraction": 0.959720605355064, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 8590, - "end_date": "2023-01-03", - "ev_net_r": -0.8026738832795902, - "ev_without_best": { - "1": -0.8375607171553667, - "10": -0.9930152889208851, - "5": -0.9281215688929738 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 218, - "time": 21, - "trailing_stop": 92 - }, - "gain_to_pain": -0.892524203348907, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 5620.1, - "measurement_start_positions": 15, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.2680917872146144, - "sessions_at_capacity": 146, - "sessions_measured": 252, - "sharpe": -4.59, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 8244, - "skipped_min_initial_risk": 0, - "sortino": -5.010562645604685, - "start_date": "2022-01-03", - "total_return_pct": -92.1, - "trades": 346, - "transaction_cost": 198.49541989892612, - "turnover_multiple": 17.65942064188592, - "underwater_pct": 98.81422924901186, - "win_rate": 17.1 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.7807, - "avg_gross_exposure_pct": 97.2193, - "avg_hold_days": 10.2, - "avg_positions": 14.4206, - "blocked_fraction": 0.9617650327887074, - "cagr_pct": -93.2, - "calmar": -1.0, - "capacity_opportunities": 8997, - "end_date": "2023-01-03", - "ev_net_r": -0.7546729293842929, - "ev_without_best": { - "1": -0.7897098810323057, - "10": -0.9593541974146907, - "5": -0.8885405669738057 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 215, - "time": 27, - "trailing_stop": 87 - }, - "gain_to_pain": -0.9135790693899128, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 4697.91, - "measurement_start_positions": 15, - "opened_positions": 344, - "peak_positions": 15, - "profit_factor": 0.307010153981707, - "sessions_at_capacity": 164, - "sessions_measured": 252, - "sharpe": -4.78, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 8653, - "skipped_min_initial_risk": 0, - "sortino": -5.168860032836206, - "start_date": "2022-01-03", - "total_return_pct": -93.2, - "trades": 344, - "transaction_cost": 80.85853625866207, - "turnover_multiple": 17.211597552669605, - "underwater_pct": 98.81422924901186, - "win_rate": 17.2 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.7861, - "avg_gross_exposure_pct": 97.2139, - "avg_hold_days": 10.2, - "avg_positions": 14.4206, - "blocked_fraction": 0.9617650327887074, - "cagr_pct": -93.5, - "calmar": -1.0, - "capacity_opportunities": 8997, - "end_date": "2023-01-03", - "ev_net_r": -0.7692957643127623, - "ev_without_best": { - "1": -0.8042887076602143, - "10": -0.9735772874886589, - "5": -0.9028571421723478 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 215, - "time": 27, - "trailing_stop": 87 - }, - "gain_to_pain": -0.9155224651861786, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 93.7, - "measurement_start_equity": 4620.15, - "measurement_start_positions": 15, - "opened_positions": 344, - "peak_positions": 15, - "profit_factor": 0.3008432779047533, - "sessions_at_capacity": 164, - "sessions_measured": 252, - "sharpe": -4.85, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 8653, - "skipped_min_initial_risk": 0, - "sortino": -5.234604439930666, - "start_date": "2022-01-03", - "total_return_pct": -93.5, - "trades": 344, - "transaction_cost": 156.5098657507214, - "turnover_multiple": 16.93774723231079, - "underwater_pct": 98.81422924901186, - "win_rate": 16.9 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.5296, - "avg_gross_exposure_pct": 97.4704, - "avg_hold_days": 10.0, - "avg_positions": 14.5079, - "blocked_fraction": 0.9625730994152046, - "cagr_pct": -93.3, - "calmar": -1.0, - "capacity_opportunities": 9405, - "end_date": "2023-01-03", - "ev_net_r": -0.771367811596318, - "ev_without_best": { - "1": -0.8056537640107923, - "10": -0.9540459996560745, - "5": -0.8877387595153828 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 222, - "time": 24, - "trailing_stop": 91 - }, - "gain_to_pain": -0.9454146063473526, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 5279.67, - "measurement_start_positions": 15, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.2845153602765385, - "sessions_at_capacity": 160, - "sessions_measured": 252, - "sharpe": -4.69, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 9053, - "skipped_min_initial_risk": 0, - "sortino": -5.031077015420535, - "start_date": "2022-01-03", - "total_return_pct": -93.3, - "trades": 352, - "transaction_cost": 86.74069092320222, - "turnover_multiple": 16.429187983946385, - "underwater_pct": 98.81422924901186, - "win_rate": 18.8 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.5252, - "avg_gross_exposure_pct": 97.4748, - "avg_hold_days": 10.0, - "avg_positions": 14.4881, - "blocked_fraction": 0.9624584361257106, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9323, - "end_date": "2023-01-03", - "ev_net_r": -0.7846143582842733, - "ev_without_best": { - "1": -0.8190495965712291, - "10": -0.9679906483837597, - "5": -0.901494795480098 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 220, - "time": 24, - "trailing_stop": 91 - }, - "gain_to_pain": -0.9471215213147689, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 93.7, - "measurement_start_equity": 5190.24, - "measurement_start_positions": 15, - "opened_positions": 350, - "peak_positions": 15, - "profit_factor": 0.2799363244689381, - "sessions_at_capacity": 158, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 8973, - "skipped_min_initial_risk": 0, - "sortino": -5.0836322115776245, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 350, - "transaction_cost": 167.80207862150493, - "turnover_multiple": 16.165156006418293, - "underwater_pct": 98.81422924901186, - "win_rate": 18.6 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.5231, - "avg_gross_exposure_pct": 97.4769, - "avg_hold_days": 10.1, - "avg_positions": 14.4841, - "blocked_fraction": 0.9643184830257926, - "cagr_pct": -92.5, - "calmar": -1.0, - "capacity_opportunities": 9809, - "end_date": "2023-01-03", - "ev_net_r": -0.7627849182977018, - "ev_without_best": { - "1": -0.7972427589973632, - "10": -0.9520213729559667, - "5": -0.8860232989891836 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 218, - "time": 20, - "trailing_stop": 97 - }, - "gain_to_pain": -0.9262843608133715, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 6592.68, - "measurement_start_positions": 15, - "opened_positions": 350, - "peak_positions": 15, - "profit_factor": 0.2979238898525645, - "sessions_at_capacity": 171, - "sessions_measured": 252, - "sharpe": -4.65, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 9459, - "skipped_min_initial_risk": 0, - "sortino": -5.052669444858345, - "start_date": "2022-01-03", - "total_return_pct": -92.5, - "trades": 350, - "transaction_cost": 114.02579226268186, - "turnover_multiple": 17.295817825631133, - "underwater_pct": 99.2094861660079, - "win_rate": 18.3 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.5211, - "avg_gross_exposure_pct": 97.4789, - "avg_hold_days": 10.1, - "avg_positions": 14.4841, - "blocked_fraction": 0.9643184830257926, - "cagr_pct": -92.9, - "calmar": -1.0, - "capacity_opportunities": 9809, - "end_date": "2023-01-03", - "ev_net_r": -0.7774806425720843, - "ev_without_best": { - "1": -0.8118954404128733, - "10": -0.9663609538176297, - "5": -0.900543881956783 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 218, - "time": 20, - "trailing_stop": 97 - }, - "gain_to_pain": -0.9278693438626956, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 6491.48, - "measurement_start_positions": 15, - "opened_positions": 350, - "peak_positions": 15, - "profit_factor": 0.29177503529084103, - "sessions_at_capacity": 171, - "sessions_measured": 252, - "sharpe": -4.71, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 9459, - "skipped_min_initial_risk": 0, - "sortino": -5.1104310560643045, - "start_date": "2022-01-03", - "total_return_pct": -92.8, - "trades": 350, - "transaction_cost": 221.18185693144054, - "turnover_multiple": 17.036319678366148, - "underwater_pct": 99.2094861660079, - "win_rate": 18.0 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.1144, - "avg_gross_exposure_pct": 97.8856, - "avg_hold_days": 10.1, - "avg_positions": 14.4008, - "blocked_fraction": 0.9642046626779451, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 9694, - "end_date": "2023-01-03", - "ev_net_r": -0.7647922375817913, - "ev_without_best": { - "1": -0.799554647187184, - "10": -0.9542541874551316, - "5": -0.8898559352570494 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 217, - "time": 24, - "trailing_stop": 91 - }, - "gain_to_pain": -0.905364275674689, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 6143.56, - "measurement_start_positions": 14, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.2907311210562157, - "sessions_at_capacity": 167, - "sessions_measured": 252, - "sharpe": -4.52, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 9347, - "skipped_min_initial_risk": 0, - "sortino": -4.938707082543909, - "start_date": "2022-01-03", - "total_return_pct": -91.8, - "trades": 347, - "transaction_cost": 109.76742389610894, - "turnover_multiple": 17.86707119261616, - "underwater_pct": 98.81422924901186, - "win_rate": 17.0 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.0215, - "avg_gross_exposure_pct": 97.9785, - "avg_hold_days": 10.0, - "avg_positions": 14.4286, - "blocked_fraction": 0.9632398753894081, - "cagr_pct": -92.5, - "calmar": -1.0, - "capacity_opportunities": 9630, - "end_date": "2023-01-03", - "ev_net_r": -0.7912320623941985, - "ev_without_best": { - "1": -0.8252958467178743, - "10": -0.9768143126460043, - "5": -0.9136402334249633 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 223, - "time": 23, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9093422907458756, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 6056.89, - "measurement_start_positions": 14, - "opened_positions": 354, - "peak_positions": 15, - "profit_factor": 0.2758552900758481, - "sessions_at_capacity": 167, - "sessions_measured": 252, - "sharpe": -4.65, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 9276, - "skipped_min_initial_risk": 0, - "sortino": -5.064652391704969, - "start_date": "2022-01-03", - "total_return_pct": -92.5, - "trades": 354, - "transaction_cost": 213.40190841439346, - "turnover_multiple": 17.616458976008598, - "underwater_pct": 98.81422924901186, - "win_rate": 17.2 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.4903, - "avg_gross_exposure_pct": 97.5097, - "avg_hold_days": 10.1, - "avg_positions": 14.3889, - "blocked_fraction": 0.9650659418101278, - "cagr_pct": -93.5, - "calmar": -1.0, - "capacity_opportunities": 9933, - "end_date": "2023-01-03", - "ev_net_r": -0.8123695251050098, - "ev_without_best": { - "1": -0.8472694413217414, - "10": -0.9987025939154534, - "5": -0.9336545112135655 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 213, - "time": 25, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9385108058952137, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.5, - "measurement_start_equity": 5973.58, - "measurement_start_positions": 15, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.27115127517579707, - "sessions_at_capacity": 169, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 9586, - "skipped_min_initial_risk": 0, - "sortino": -5.137082842858742, - "start_date": "2022-01-03", - "total_return_pct": -93.4, - "trades": 347, - "transaction_cost": 96.34768927033303, - "turnover_multiple": 16.128969440491804, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.4872, - "avg_gross_exposure_pct": 97.5128, - "avg_hold_days": 10.1, - "avg_positions": 14.3889, - "blocked_fraction": 0.9650659418101278, - "cagr_pct": -93.7, - "calmar": -1.0, - "capacity_opportunities": 9933, - "end_date": "2023-01-03", - "ev_net_r": -0.8269528716801926, - "ev_without_best": { - "1": -0.8618090470430351, - "10": -1.012942081556665, - "5": -0.9480513355441551 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 213, - "time": 25, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9403981267260422, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.7, - "measurement_start_equity": 5882.59, - "measurement_start_positions": 15, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.2655023899144488, - "sessions_at_capacity": 169, - "sessions_measured": 252, - "sharpe": -4.86, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 9586, - "skipped_min_initial_risk": 0, - "sortino": -5.191410918922801, - "start_date": "2022-01-03", - "total_return_pct": -93.7, - "trades": 347, - "transaction_cost": 186.91951497158254, - "turnover_multiple": 15.88751850558874, - "underwater_pct": 99.2094861660079, - "win_rate": 17.6 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.026, - "avg_gross_exposure_pct": 97.974, - "avg_hold_days": 10.0, - "avg_positions": 14.1667, - "blocked_fraction": 0.9602376599634369, - "cagr_pct": -92.7, - "calmar": -1.0, - "capacity_opportunities": 8752, - "end_date": "2023-01-03", - "ev_net_r": -0.7729193021518626, - "ev_without_best": { - "1": -0.8076049528378452, - "10": -0.9710059515305145, - "5": -0.9020316496300469 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 217, - "time": 23, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9052773768365966, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 5051.83, - "measurement_start_positions": 15, - "opened_positions": 348, - "peak_positions": 15, - "profit_factor": 0.297721855071483, - "sessions_at_capacity": 144, - "sessions_measured": 252, - "sharpe": -4.54, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 8404, - "skipped_min_initial_risk": 0, - "sortino": -4.908234869041259, - "start_date": "2022-01-03", - "total_return_pct": -92.7, - "trades": 348, - "transaction_cost": 89.23695938427457, - "turnover_multiple": 17.664283909845455, - "underwater_pct": 99.2094861660079, - "win_rate": 16.7 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.0217, - "avg_gross_exposure_pct": 97.9783, - "avg_hold_days": 10.0, - "avg_positions": 14.1667, - "blocked_fraction": 0.9602376599634369, - "cagr_pct": -93.0, - "calmar": -1.0, - "capacity_opportunities": 8752, - "end_date": "2023-01-03", - "ev_net_r": -0.7874764872271391, - "ev_without_best": { - "1": -0.8221184477201952, - "10": -0.9851637300693744, - "5": -0.9163510046911466 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 217, - "time": 23, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9066174704363451, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 4977.25, - "measurement_start_positions": 15, - "opened_positions": 348, - "peak_positions": 15, - "profit_factor": 0.29190319557407957, - "sessions_at_capacity": 144, - "sessions_measured": 252, - "sharpe": -4.61, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 8404, - "skipped_min_initial_risk": 0, - "sortino": -4.9702920828147334, - "start_date": "2022-01-03", - "total_return_pct": -93.0, - "trades": 348, - "transaction_cost": 173.19580193362032, - "turnover_multiple": 17.39874448074944, - "underwater_pct": 99.2094861660079, - "win_rate": 16.4 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.3266, - "avg_gross_exposure_pct": 97.6734, - "avg_hold_days": 10.0, - "avg_positions": 14.5079, - "blocked_fraction": 0.9630325814536341, - "cagr_pct": -93.4, - "calmar": -1.0, - "capacity_opportunities": 9576, - "end_date": "2023-01-03", - "ev_net_r": -0.7808975010610028, - "ev_without_best": { - "1": -0.8150161950750116, - "10": -0.9660361969547684, - "5": -0.9027608035471976 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 220, - "time": 20, - "trailing_stop": 99 - }, - "gain_to_pain": -0.9327862120446844, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.5, - "measurement_start_equity": 5607.17, - "measurement_start_positions": 15, - "opened_positions": 354, - "peak_positions": 15, - "profit_factor": 0.2901016059926925, - "sessions_at_capacity": 168, - "sessions_measured": 252, - "sharpe": -4.77, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 9222, - "skipped_min_initial_risk": 0, - "sortino": -5.136709280742915, - "start_date": "2022-01-03", - "total_return_pct": -93.3, - "trades": 354, - "transaction_cost": 92.09726629150167, - "turnover_multiple": 16.424910657515582, - "underwater_pct": 99.2094861660079, - "win_rate": 18.1 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.3218, - "avg_gross_exposure_pct": 97.6782, - "avg_hold_days": 10.0, - "avg_positions": 14.5079, - "blocked_fraction": 0.9630325814536341, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9576, - "end_date": "2023-01-03", - "ev_net_r": -0.7955753103403019, - "ev_without_best": { - "1": -0.8296513984825219, - "10": -0.9803612385569039, - "5": -0.9172388003870485 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 220, - "time": 20, - "trailing_stop": 99 - }, - "gain_to_pain": -0.934522727709359, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5528.52, - "measurement_start_positions": 15, - "opened_positions": 354, - "peak_positions": 15, - "profit_factor": 0.28414385931794556, - "sessions_at_capacity": 168, - "sessions_measured": 252, - "sharpe": -4.83, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 9222, - "skipped_min_initial_risk": 0, - "sortino": -5.193896917774029, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 354, - "transaction_cost": 178.8336399717942, - "turnover_multiple": 16.173735463722135, - "underwater_pct": 99.2094861660079, - "win_rate": 17.8 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.8241, - "avg_gross_exposure_pct": 97.1759, - "avg_hold_days": 9.9, - "avg_positions": 14.4167, - "blocked_fraction": 0.9625198517734251, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 9445, - "end_date": "2023-01-03", - "ev_net_r": -0.7965345772380372, - "ev_without_best": { - "1": -0.8306975689182698, - "10": -0.9810983900127362, - "5": -0.9186219066035591 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 222, - "time": 21, - "trailing_stop": 96 - }, - "gain_to_pain": -0.9240545188471755, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 6787.65, - "measurement_start_positions": 15, - "opened_positions": 354, - "peak_positions": 15, - "profit_factor": 0.2781545741003165, - "sessions_at_capacity": 164, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 9091, - "skipped_min_initial_risk": 0, - "sortino": -5.166394380995472, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 354, - "transaction_cost": 112.97129116332924, - "turnover_multiple": 16.64365298200839, - "underwater_pct": 99.2094861660079, - "win_rate": 17.5 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.837, - "avg_gross_exposure_pct": 97.163, - "avg_hold_days": 9.9, - "avg_positions": 14.4167, - "blocked_fraction": 0.9625198517734251, - "cagr_pct": -93.9, - "calmar": -1.0, - "capacity_opportunities": 9445, - "end_date": "2023-01-03", - "ev_net_r": -0.8111340567626586, - "ev_without_best": { - "1": -0.8452542206737803, - "10": -0.9953461345790438, - "5": -0.9330204514859431 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 222, - "time": 21, - "trailing_stop": 96 - }, - "gain_to_pain": -0.9257947873435827, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 6702.01, - "measurement_start_positions": 15, - "opened_positions": 354, - "peak_positions": 15, - "profit_factor": 0.27235109599077173, - "sessions_at_capacity": 164, - "sessions_measured": 252, - "sharpe": -4.87, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 9091, - "skipped_min_initial_risk": 0, - "sortino": -5.2250792428932495, - "start_date": "2022-01-03", - "total_return_pct": -93.9, - "trades": 354, - "transaction_cost": 219.6384964003038, - "turnover_multiple": 16.386016762158203, - "underwater_pct": 99.2094861660079, - "win_rate": 17.2 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-13|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.1167, - "avg_gross_exposure_pct": 97.8833, - "avg_hold_days": 10.0, - "avg_positions": 14.1587, - "blocked_fraction": 0.9600694444444444, - "cagr_pct": -93.3, - "calmar": -1.0, - "capacity_opportunities": 8640, - "end_date": "2023-01-03", - "ev_net_r": -0.7653283950310109, - "ev_without_best": { - "1": -0.8002944702662294, - "10": -0.9649623604601926, - "5": -0.8954683381175195 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 218, - "time": 24, - "trailing_stop": 88 - }, - "gain_to_pain": -0.914537244282261, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.5, - "measurement_start_equity": 5928.44, - "measurement_start_positions": 15, - "opened_positions": 345, - "peak_positions": 15, - "profit_factor": 0.3029252796506568, - "sessions_at_capacity": 141, - "sessions_measured": 252, - "sharpe": -4.62, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 8295, - "skipped_min_initial_risk": 0, - "sortino": -4.978379763216331, - "start_date": "2022-01-03", - "total_return_pct": -93.2, - "trades": 345, - "transaction_cost": 101.03218917011856, - "turnover_multiple": 17.041951874374803, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-13|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.115, - "avg_gross_exposure_pct": 97.885, - "avg_hold_days": 10.0, - "avg_positions": 14.1587, - "blocked_fraction": 0.9600694444444444, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 8640, - "end_date": "2023-01-03", - "ev_net_r": -0.7798503919808268, - "ev_without_best": { - "1": -0.8147722937129318, - "10": -0.9790803237068341, - "5": -0.9097498890806003 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 218, - "time": 24, - "trailing_stop": 88 - }, - "gain_to_pain": -0.9168568560439613, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 5851.93, - "measurement_start_positions": 15, - "opened_positions": 345, - "peak_positions": 15, - "profit_factor": 0.29696686398705624, - "sessions_at_capacity": 141, - "sessions_measured": 252, - "sharpe": -4.7, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 8295, - "skipped_min_initial_risk": 0, - "sortino": -5.044865799000936, - "start_date": "2022-01-03", - "total_return_pct": -93.6, - "trades": 345, - "transaction_cost": 196.169013373283, - "turnover_multiple": 16.76105262479925, - "underwater_pct": 99.2094861660079, - "win_rate": 16.8 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-14|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.4184, - "avg_gross_exposure_pct": 97.5816, - "avg_hold_days": 10.2, - "avg_positions": 14.1627, - "blocked_fraction": 0.9599336178283546, - "cagr_pct": -92.2, - "calmar": -1.0, - "capacity_opportunities": 8436, - "end_date": "2023-01-03", - "ev_net_r": -0.7589966720180963, - "ev_without_best": { - "1": -0.7946702570563818, - "10": -0.9549729307586454, - "5": -0.8888233933164184 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 211, - "time": 25, - "trailing_stop": 87 - }, - "gain_to_pain": -0.905354750878512, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 7860.03, - "measurement_start_positions": 15, - "opened_positions": 338, - "peak_positions": 15, - "profit_factor": 0.29874514227920973, - "sessions_at_capacity": 146, - "sessions_measured": 252, - "sharpe": -4.61, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 8098, - "skipped_min_initial_risk": 0, - "sortino": -5.023787253481016, - "start_date": "2022-01-03", - "total_return_pct": -92.1, - "trades": 338, - "transaction_cost": 133.60387062130107, - "turnover_multiple": 16.99788303877989, - "underwater_pct": 98.81422924901186, - "win_rate": 17.8 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2022-seed-14|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 2.3039, - "avg_gross_exposure_pct": 97.6961, - "avg_hold_days": 10.1, - "avg_positions": 14.1746, - "blocked_fraction": 0.9611817244933013, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 8733, - "end_date": "2023-01-03", - "ev_net_r": -0.7734787834341788, - "ev_without_best": { - "1": -0.8090017496687867, - "10": -0.9684712811285985, - "5": -0.9025849383425018 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 212, - "time": 25, - "trailing_stop": 87 - }, - "gain_to_pain": -0.9071883415248502, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 7775.35, - "measurement_start_positions": 15, - "opened_positions": 339, - "peak_positions": 15, - "profit_factor": 0.29255184741277623, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -4.69, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 8394, - "skipped_min_initial_risk": 0, - "sortino": -5.0981768005867485, - "start_date": "2022-01-03", - "total_return_pct": -92.4, - "trades": 339, - "transaction_cost": 261.1660498017966, - "turnover_multiple": 16.79448833826108, - "underwater_pct": 98.81422924901186, - "win_rate": 17.4 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 24.1194, - "avg_gross_exposure_pct": 75.8806, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.9815423976608187, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 21888, - "end_date": "2024-01-03", - "ev_net_r": -0.8074917086839428, - "ev_without_best": { - "1": -0.8643242290181808, - "10": -1.0397205091511998, - "5": -0.9681148463725605 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 243, - "time": 23, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9530445257995169, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2408.17, - "measurement_start_positions": 15, - "opened_positions": 404, - "peak_positions": 15, - "profit_factor": 0.2992527741767493, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.11, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 21484, - "skipped_min_initial_risk": 0, - "sortino": -5.171183438613409, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 404, - "transaction_cost": 30.025544366639593, - "turnover_multiple": 12.468199656436045, - "underwater_pct": 98.02371541501977, - "win_rate": 17.8 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.7931, - "avg_gross_exposure_pct": 76.2069, - "avg_hold_days": 8.8, - "avg_positions": 14.9683, - "blocked_fraction": 0.9810461425219672, - "cagr_pct": -98.1, - "calmar": -1.0, - "capacity_opportunities": 21737, - "end_date": "2024-01-03", - "ev_net_r": -0.8434659371749496, - "ev_without_best": { - "1": -0.8992184476080172, - "10": -1.048584486553381, - "5": -0.9864048738027982 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 250, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9735500246329377, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.3, - "measurement_start_equity": 2281.98, - "measurement_start_positions": 15, - "opened_positions": 412, - "peak_positions": 15, - "profit_factor": 0.2785821635762014, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -4.47, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 21325, - "skipped_min_initial_risk": 0, - "sortino": -5.478198083919588, - "start_date": "2023-01-03", - "total_return_pct": -98.1, - "trades": 412, - "transaction_cost": 54.098314741252196, - "turnover_multiple": 11.853371795820339, - "underwater_pct": 98.02371541501977, - "win_rate": 17.2 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 2.9693, - "avg_gross_exposure_pct": 97.0307, - "avg_hold_days": 10.3, - "avg_positions": 11.6706, - "blocked_fraction": 0.9728795245813074, - "cagr_pct": -77.3, - "calmar": -0.96, - "capacity_opportunities": 9255, - "end_date": "2024-01-03", - "ev_net_r": -0.7642459826498412, - "ev_without_best": { - "1": -0.8566949665804406, - "10": -1.0942007954113822, - "5": -1.0190526937226747 - }, - "exit_reasons": { - "open_at_end": 1, - "stop": 140, - "time": 19, - "trailing_stop": 91 - }, - "gain_to_pain": -0.8942773681178874, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 80.8, - "measurement_start_equity": 2003.96, - "measurement_start_positions": 15, - "opened_positions": 251, - "peak_positions": 15, - "profit_factor": 0.34003050025029524, - "sessions_at_capacity": 110, - "sessions_measured": 252, - "sharpe": -2.42, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 9004, - "skipped_min_initial_risk": 0, - "sortino": -3.584045895257708, - "start_date": "2023-01-03", - "total_return_pct": -77.3, - "trades": 251, - "transaction_cost": 19.78698444520785, - "turnover_multiple": 9.873941817804672, - "underwater_pct": 97.62845849802372, - "win_rate": 19.5 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 2.8768, - "avg_gross_exposure_pct": 97.1232, - "avg_hold_days": 10.3, - "avg_positions": 11.6349, - "blocked_fraction": 0.9730898087106884, - "cagr_pct": -76.9, - "calmar": -0.96, - "capacity_opportunities": 9253, - "end_date": "2024-01-03", - "ev_net_r": -0.730607752131903, - "ev_without_best": { - "1": -0.8235221447459897, - "10": -1.0612067969813874, - "5": -0.986429810544315 - }, - "exit_reasons": { - "open_at_end": 1, - "stop": 139, - "time": 19, - "trailing_stop": 90 - }, - "gain_to_pain": -0.894685485807836, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 80.4, - "measurement_start_equity": 1968.1, - "measurement_start_positions": 15, - "opened_positions": 249, - "peak_positions": 15, - "profit_factor": 0.3509220133731699, - "sessions_at_capacity": 110, - "sessions_measured": 252, - "sharpe": -2.43, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 9004, - "skipped_min_initial_risk": 0, - "sortino": -3.60290863981815, - "start_date": "2023-01-03", - "total_return_pct": -76.9, - "trades": 249, - "transaction_cost": 38.5137137265426, - "turnover_multiple": 9.784491064108176, - "underwater_pct": 97.62845849802372, - "win_rate": 19.7 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 2.629, - "avg_gross_exposure_pct": 97.371, - "avg_hold_days": 10.0, - "avg_positions": 11.8413, - "blocked_fraction": 0.9759859610233675, - "cagr_pct": -77.4, - "calmar": -0.93, - "capacity_opportunities": 10827, - "end_date": "2024-01-03", - "ev_net_r": -0.7384364292373752, - "ev_without_best": { - "1": -0.8275732494274809, - "10": -1.08143074741337, - "5": -0.9973469290729224 - }, - "exit_reasons": { - "open_at_end": 2, - "stop": 149, - "time": 18, - "trailing_stop": 91 - }, - "gain_to_pain": -0.8215240451505167, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 83.2, - "measurement_start_equity": 2683.28, - "measurement_start_positions": 15, - "opened_positions": 260, - "peak_positions": 15, - "profit_factor": 0.371721890468096, - "sessions_at_capacity": 126, - "sessions_measured": 252, - "sharpe": -2.14, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 10567, - "skipped_min_initial_risk": 0, - "sortino": -3.135954390913345, - "start_date": "2023-01-03", - "total_return_pct": -77.4, - "trades": 260, - "transaction_cost": 31.79804626976719, - "turnover_multiple": 11.850439115473296, - "underwater_pct": 97.23320158102767, - "win_rate": 20.4 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 2.4418, - "avg_gross_exposure_pct": 97.5582, - "avg_hold_days": 10.0, - "avg_positions": 11.5913, - "blocked_fraction": 0.9765384973466158, - "cagr_pct": -77.6, - "calmar": -0.93, - "capacity_opportunities": 10741, - "end_date": "2024-01-03", - "ev_net_r": -0.7352982934283886, - "ev_without_best": { - "1": -0.8271208428689864, - "10": -1.0888801829390795, - "5": -1.002139843867238 - }, - "exit_reasons": { - "open_at_end": 1, - "stop": 146, - "time": 18, - "trailing_stop": 87 - }, - "gain_to_pain": -0.8244997664881306, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 83.2, - "measurement_start_equity": 2640.83, - "measurement_start_positions": 15, - "opened_positions": 252, - "peak_positions": 15, - "profit_factor": 0.3725786347197002, - "sessions_at_capacity": 125, - "sessions_measured": 252, - "sharpe": -2.22, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 10489, - "skipped_min_initial_risk": 0, - "sortino": -3.2652595780924987, - "start_date": "2023-01-03", - "total_return_pct": -77.6, - "trades": 252, - "transaction_cost": 61.61907552528706, - "turnover_multiple": 11.666611543584226, - "underwater_pct": 97.23320158102767, - "win_rate": 20.2 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 24.0718, - "avg_gross_exposure_pct": 75.9282, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.981407884518752, - "cagr_pct": -97.8, - "calmar": -1.0, - "capacity_opportunities": 21891, - "end_date": "2024-01-03", - "ev_net_r": -0.8117849162018671, - "ev_without_best": { - "1": -0.8682080662073249, - "10": -1.042366980331032, - "5": -0.9712627718619369 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 245, - "time": 23, - "trailing_stop": 124 - }, - "gain_to_pain": -0.980079486260431, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2636.45, - "measurement_start_positions": 15, - "opened_positions": 407, - "peak_positions": 15, - "profit_factor": 0.29659618839831503, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.18, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 21484, - "skipped_min_initial_risk": 0, - "sortino": -5.243216345807922, - "start_date": "2023-01-03", - "total_return_pct": -97.8, - "trades": 407, - "transaction_cost": 30.950190330809132, - "turnover_multiple": 11.739342802180634, - "underwater_pct": 98.41897233201581, - "win_rate": 17.7 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.9514, - "avg_gross_exposure_pct": 76.0486, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.9814070351758793, - "cagr_pct": -98.1, - "calmar": -1.0, - "capacity_opportunities": 21890, - "end_date": "2024-01-03", - "ev_net_r": -0.8383147195396883, - "ev_without_best": { - "1": -0.8947411495159334, - "10": -1.0502858082809838, - "5": -0.9863879186441484 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 245, - "time": 23, - "trailing_stop": 124 - }, - "gain_to_pain": -0.9815537250979806, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.3, - "measurement_start_equity": 2589.32, - "measurement_start_positions": 15, - "opened_positions": 407, - "peak_positions": 15, - "profit_factor": 0.2774189257169112, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.34, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 21483, - "skipped_min_initial_risk": 0, - "sortino": -5.403969306435218, - "start_date": "2023-01-03", - "total_return_pct": -98.1, - "trades": 407, - "transaction_cost": 60.15604573518594, - "turnover_multiple": 11.616186051779218, - "underwater_pct": 98.41897233201581, - "win_rate": 17.4 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 26.8132, - "avg_gross_exposure_pct": 73.1868, - "avg_hold_days": 8.9, - "avg_positions": 14.9841, - "blocked_fraction": 0.9815964928303955, - "cagr_pct": -97.5, - "calmar": -1.0, - "capacity_opportunities": 21898, - "end_date": "2024-01-03", - "ev_net_r": -0.7989717159237562, - "ev_without_best": { - "1": -0.8559244166748451, - "10": -1.027202978312847, - "5": -0.9628034061244216 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 241, - "time": 23, - "trailing_stop": 124 - }, - "gain_to_pain": -0.9802051473488498, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 97.8, - "measurement_start_equity": 2548.59, - "measurement_start_positions": 15, - "opened_positions": 403, - "peak_positions": 15, - "profit_factor": 0.2987136326779991, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -3.99, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 21495, - "skipped_min_initial_risk": 0, - "sortino": -5.1442069174160645, - "start_date": "2023-01-03", - "total_return_pct": -97.5, - "trades": 403, - "transaction_cost": 29.851863165472633, - "turnover_multiple": 11.713089655641994, - "underwater_pct": 98.41897233201581, - "win_rate": 18.1 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 25.6219, - "avg_gross_exposure_pct": 74.3781, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.9817359937902379, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 21901, - "end_date": "2024-01-03", - "ev_net_r": -0.8232648198743578, - "ev_without_best": { - "1": -0.880643468171827, - "10": -1.0581477373088897, - "5": -0.9857401921778354 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 240, - "time": 23, - "trailing_stop": 122 - }, - "gain_to_pain": -0.9815070745649322, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 97.9, - "measurement_start_equity": 2500.33, - "measurement_start_positions": 15, - "opened_positions": 400, - "peak_positions": 15, - "profit_factor": 0.2944796482103277, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.04, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 21501, - "skipped_min_initial_risk": 0, - "sortino": -5.152077051349524, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 400, - "transaction_cost": 57.97117131416147, - "turnover_multiple": 11.592704025900874, - "underwater_pct": 98.41897233201581, - "win_rate": 17.8 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 25.2771, - "avg_gross_exposure_pct": 74.7229, - "avg_hold_days": 9.0, - "avg_positions": 14.9841, - "blocked_fraction": 0.9814510233918129, - "cagr_pct": -97.5, - "calmar": -0.99, - "capacity_opportunities": 21888, - "end_date": "2024-01-03", - "ev_net_r": -0.7924771583789363, - "ev_without_best": { - "1": -0.8489919513280546, - "10": -1.018583709233067, - "5": -0.9547734015383179 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 244, - "time": 23, - "trailing_stop": 124 - }, - "gain_to_pain": -0.9482219217787474, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 3002.52, - "measurement_start_positions": 15, - "opened_positions": 406, - "peak_positions": 15, - "profit_factor": 0.30104209616554717, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.08, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 21482, - "skipped_min_initial_risk": 0, - "sortino": -5.173858205904873, - "start_date": "2023-01-03", - "total_return_pct": -97.5, - "trades": 406, - "transaction_cost": 37.78489666349248, - "turnover_multiple": 12.58439466298059, - "underwater_pct": 98.02371541501977, - "win_rate": 18.2 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 25.1565, - "avg_gross_exposure_pct": 74.8435, - "avg_hold_days": 9.0, - "avg_positions": 14.9841, - "blocked_fraction": 0.9814501759035044, - "cagr_pct": -97.6, - "calmar": -0.99, - "capacity_opportunities": 21887, - "end_date": "2024-01-03", - "ev_net_r": -0.8017782665864356, - "ev_without_best": { - "1": -0.8582538076170585, - "10": -1.0277642424817923, - "5": -0.9639878240154283 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 244, - "time": 23, - "trailing_stop": 124 - }, - "gain_to_pain": -0.949575426647476, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2957.4, - "measurement_start_positions": 15, - "opened_positions": 406, - "peak_positions": 15, - "profit_factor": 0.29753473940948294, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.12, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 21481, - "skipped_min_initial_risk": 0, - "sortino": -5.211521297899532, - "start_date": "2023-01-03", - "total_return_pct": -97.6, - "trades": 406, - "transaction_cost": 73.710768031833, - "turnover_multiple": 12.46208967874366, - "underwater_pct": 98.02371541501977, - "win_rate": 18.0 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 22.8116, - "avg_gross_exposure_pct": 77.1884, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.9815973332115622, - "cagr_pct": -97.6, - "calmar": -1.0, - "capacity_opportunities": 21899, - "end_date": "2024-01-03", - "ev_net_r": -0.8210406066655478, - "ev_without_best": { - "1": -0.8780482051548004, - "10": -1.0460633313687533, - "5": -0.9814268200715854 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 243, - "time": 23, - "trailing_stop": 122 - }, - "gain_to_pain": -0.9312368294957548, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2303.39, - "measurement_start_positions": 15, - "opened_positions": 403, - "peak_positions": 15, - "profit_factor": 0.2899475794220577, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.06, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 21496, - "skipped_min_initial_risk": 0, - "sortino": -5.094478834203697, - "start_date": "2023-01-03", - "total_return_pct": -97.6, - "trades": 403, - "transaction_cost": 29.585797179840505, - "turnover_multiple": 12.844458463326012, - "underwater_pct": 98.02371541501977, - "win_rate": 17.6 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 22.7001, - "avg_gross_exposure_pct": 77.2999, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.9815948118377786, - "cagr_pct": -97.6, - "calmar": -1.0, - "capacity_opportunities": 21896, - "end_date": "2024-01-03", - "ev_net_r": -0.8262808730108643, - "ev_without_best": { - "1": -0.8832388250601845, - "10": -1.0537892202254024, - "5": -0.989205128030101 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 244, - "time": 23, - "trailing_stop": 121 - }, - "gain_to_pain": -0.9321082292731175, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2269.05, - "measurement_start_positions": 15, - "opened_positions": 403, - "peak_positions": 15, - "profit_factor": 0.28952435417795097, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.06, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 21493, - "skipped_min_initial_risk": 0, - "sortino": -5.106479757215595, - "start_date": "2023-01-03", - "total_return_pct": -97.6, - "trades": 403, - "transaction_cost": 57.73209587263146, - "turnover_multiple": 12.721644713124755, - "underwater_pct": 98.02371541501977, - "win_rate": 17.4 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.7631, - "avg_gross_exposure_pct": 76.2369, - "avg_hold_days": 8.9, - "avg_positions": 14.9841, - "blocked_fraction": 0.9814129789468877, - "cagr_pct": -97.5, - "calmar": -0.99, - "capacity_opportunities": 21897, - "end_date": "2024-01-03", - "ev_net_r": -0.8084544793145547, - "ev_without_best": { - "1": -0.864869426273492, - "10": -1.0258875761699975, - "5": -0.9671297240049985 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 244, - "time": 23, - "trailing_stop": 125 - }, - "gain_to_pain": -0.9329424319057195, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2543.12, - "measurement_start_positions": 15, - "opened_positions": 407, - "peak_positions": 15, - "profit_factor": 0.2895920741253135, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.05, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 21490, - "skipped_min_initial_risk": 0, - "sortino": -5.125889425680817, - "start_date": "2023-01-03", - "total_return_pct": -97.5, - "trades": 407, - "transaction_cost": 32.74202771810807, - "turnover_multiple": 12.874747443340492, - "underwater_pct": 98.02371541501977, - "win_rate": 17.7 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 22.5766, - "avg_gross_exposure_pct": 77.4234, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.9815525114155251, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 21900, - "end_date": "2024-01-03", - "ev_net_r": -0.8327646444755037, - "ev_without_best": { - "1": -0.8895973504191547, - "10": -1.0571540590003508, - "5": -0.992689665798334 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 243, - "time": 23, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9356100561363172, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.2, - "measurement_start_equity": 2502.49, - "measurement_start_positions": 15, - "opened_positions": 404, - "peak_positions": 15, - "profit_factor": 0.2854930214709726, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.1, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 21496, - "skipped_min_initial_risk": 0, - "sortino": -5.134645360181403, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 404, - "transaction_cost": 63.776911968790365, - "turnover_multiple": 12.742690673846921, - "underwater_pct": 98.02371541501977, - "win_rate": 17.3 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.8201, - "avg_gross_exposure_pct": 76.1799, - "avg_hold_days": 9.0, - "avg_positions": 14.9841, - "blocked_fraction": 0.9816463498150938, - "cagr_pct": -97.1, - "calmar": -0.99, - "capacity_opportunities": 21903, - "end_date": "2024-01-03", - "ev_net_r": -0.782647826451919, - "ev_without_best": { - "1": -0.8397018459343776, - "10": -1.012517925494271, - "5": -0.9481410880461595 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 239, - "time": 22, - "trailing_stop": 126 - }, - "gain_to_pain": -0.9258558001825088, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 97.8, - "measurement_start_equity": 2420.02, - "measurement_start_positions": 15, - "opened_positions": 402, - "peak_positions": 15, - "profit_factor": 0.3099451081072954, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -3.76, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 21501, - "skipped_min_initial_risk": 0, - "sortino": -4.866524834919053, - "start_date": "2023-01-03", - "total_return_pct": -97.0, - "trades": 402, - "transaction_cost": 33.09005402732933, - "turnover_multiple": 13.673463040524181, - "underwater_pct": 97.23320158102767, - "win_rate": 18.2 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.4235, - "avg_gross_exposure_pct": 76.5765, - "avg_hold_days": 9.1, - "avg_positions": 14.9563, - "blocked_fraction": 0.98145645995434, - "cagr_pct": -98.0, - "calmar": -1.0, - "capacity_opportunities": 21463, - "end_date": "2024-01-03", - "ev_net_r": -0.8520026874250036, - "ev_without_best": { - "1": -0.9097427844986581, - "10": -1.0707286457698277, - "5": -1.0051073586923416 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 235, - "time": 23, - "trailing_stop": 125 - }, - "gain_to_pain": -0.9521285652460134, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.4, - "measurement_start_equity": 2495.07, - "measurement_start_positions": 15, - "opened_positions": 398, - "peak_positions": 15, - "profit_factor": 0.2715922388226265, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": -4.23, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 21065, - "skipped_min_initial_risk": 0, - "sortino": -5.260784275336946, - "start_date": "2023-01-03", - "total_return_pct": -98.0, - "trades": 398, - "transaction_cost": 63.58172715975588, - "turnover_multiple": 12.741471613973932, - "underwater_pct": 97.62845849802372, - "win_rate": 17.8 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 22.2303, - "avg_gross_exposure_pct": 77.7697, - "avg_hold_days": 9.1, - "avg_positions": 14.9683, - "blocked_fraction": 0.9818499287782015, - "cagr_pct": -97.4, - "calmar": -0.99, - "capacity_opportunities": 21763, - "end_date": "2024-01-03", - "ev_net_r": -0.809415631964557, - "ev_without_best": { - "1": -0.8675512401320153, - "10": -1.0471231296708046, - "5": -0.9737701231290737 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 233, - "time": 23, - "trailing_stop": 124 - }, - "gain_to_pain": -0.9072643633428357, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2336.07, - "measurement_start_positions": 15, - "opened_positions": 395, - "peak_positions": 15, - "profit_factor": 0.2956695106778793, - "sessions_at_capacity": 247, - "sessions_measured": 252, - "sharpe": -3.99, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 21368, - "skipped_min_initial_risk": 0, - "sortino": -4.96752693667761, - "start_date": "2023-01-03", - "total_return_pct": -97.4, - "trades": 395, - "transaction_cost": 32.324999825449005, - "turnover_multiple": 13.837342128210627, - "underwater_pct": 96.44268774703558, - "win_rate": 18.0 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 22.5992, - "avg_gross_exposure_pct": 77.4008, - "avg_hold_days": 9.1, - "avg_positions": 14.9563, - "blocked_fraction": 0.9815462043897666, - "cagr_pct": -97.7, - "calmar": -0.99, - "capacity_opportunities": 21459, - "end_date": "2024-01-03", - "ev_net_r": -0.8313441557966784, - "ev_without_best": { - "1": -0.8893243077121531, - "10": -1.0713981050046648, - "5": -0.9980803756817866 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 236, - "time": 23, - "trailing_stop": 122 - }, - "gain_to_pain": -0.910472833585868, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.3, - "measurement_start_equity": 2298.15, - "measurement_start_positions": 15, - "opened_positions": 396, - "peak_positions": 15, - "profit_factor": 0.2904489217355775, - "sessions_at_capacity": 244, - "sessions_measured": 252, - "sharpe": -4.03, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 21063, - "skipped_min_initial_risk": 0, - "sortino": -5.022364857352416, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 396, - "transaction_cost": 62.1980429789035, - "turnover_multiple": 13.53219828533897, - "underwater_pct": 96.44268774703558, - "win_rate": 17.9 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.8493, - "avg_gross_exposure_pct": 76.1507, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.981407884518752, - "cagr_pct": -97.8, - "calmar": -1.0, - "capacity_opportunities": 21891, - "end_date": "2024-01-03", - "ev_net_r": -0.816944204976299, - "ev_without_best": { - "1": -0.8733800625895758, - "10": -1.0402208389052012, - "5": -0.975683585392112 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 245, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9753861277044473, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2722.66, - "measurement_start_positions": 15, - "opened_positions": 407, - "peak_positions": 15, - "profit_factor": 0.2941336661340125, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.24, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 21484, - "skipped_min_initial_risk": 0, - "sortino": -5.251498645921309, - "start_date": "2023-01-03", - "total_return_pct": -97.8, - "trades": 407, - "transaction_cost": 32.55521213207277, - "turnover_multiple": 11.957134615439594, - "underwater_pct": 98.02371541501977, - "win_rate": 17.7 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.7819, - "avg_gross_exposure_pct": 76.2181, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.981407884518752, - "cagr_pct": -97.9, - "calmar": -1.0, - "capacity_opportunities": 21891, - "end_date": "2024-01-03", - "ev_net_r": -0.8262860202929875, - "ev_without_best": { - "1": -0.8826828229311865, - "10": -1.0494495275804785, - "5": -0.984936991404671 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 245, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.976409992594065, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2679.2, - "measurement_start_positions": 15, - "opened_positions": 407, - "peak_positions": 15, - "profit_factor": 0.2907453321734496, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.28, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 21484, - "skipped_min_initial_risk": 0, - "sortino": -5.2890133941227315, - "start_date": "2023-01-03", - "total_return_pct": -97.9, - "trades": 407, - "transaction_cost": 63.44230422538996, - "turnover_multiple": 11.839785052513804, - "underwater_pct": 98.02371541501977, - "win_rate": 17.4 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 24.9492, - "avg_gross_exposure_pct": 75.0508, - "avg_hold_days": 8.9, - "avg_positions": 14.9841, - "blocked_fraction": 0.9812682748538012, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 21888, - "end_date": "2024-01-03", - "ev_net_r": -0.8021553117022915, - "ev_without_best": { - "1": -0.8581410557064878, - "10": -1.018863129187843, - "5": -0.9595774167084572 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 246, - "time": 24, - "trailing_stop": 125 - }, - "gain_to_pain": -0.9714814837792611, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2821.04, - "measurement_start_positions": 15, - "opened_positions": 410, - "peak_positions": 15, - "profit_factor": 0.29492476024679914, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.22, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 21478, - "skipped_min_initial_risk": 0, - "sortino": -5.271087004511865, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 410, - "transaction_cost": 34.08325369695675, - "turnover_multiple": 12.081804475284558, - "underwater_pct": 98.02371541501977, - "win_rate": 17.8 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 23.7602, - "avg_gross_exposure_pct": 76.2398, - "avg_hold_days": 9.0, - "avg_positions": 14.9722, - "blocked_fraction": 0.981407884518752, - "cagr_pct": -97.9, - "calmar": -1.0, - "capacity_opportunities": 21891, - "end_date": "2024-01-03", - "ev_net_r": -0.8262860202929875, - "ev_without_best": { - "1": -0.8826828229311865, - "10": -1.0494495275804785, - "5": -0.9849369914046707 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 245, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.972991178624707, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2780.01, - "measurement_start_positions": 15, - "opened_positions": 407, - "peak_positions": 15, - "profit_factor": 0.29074533217344967, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.27, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 21484, - "skipped_min_initial_risk": 0, - "sortino": -5.276974336421097, - "start_date": "2023-01-03", - "total_return_pct": -97.9, - "trades": 407, - "transaction_cost": 66.5033087120109, - "turnover_multiple": 11.960983721643249, - "underwater_pct": 98.02371541501977, - "win_rate": 17.4 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-13|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 25.4678, - "avg_gross_exposure_pct": 74.5322, - "avg_hold_days": 8.9, - "avg_positions": 14.9841, - "blocked_fraction": 0.9813605007081182, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 21889, - "end_date": "2024-01-03", - "ev_net_r": -0.7996108401803088, - "ev_without_best": { - "1": -0.8558654466328747, - "10": -1.0173437102280494, - "5": -0.9577826272023612 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 246, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9693078102302333, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 3403.68, - "measurement_start_positions": 15, - "opened_positions": 408, - "peak_positions": 15, - "profit_factor": 0.29697554079947697, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.2, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 21481, - "skipped_min_initial_risk": 0, - "sortino": -5.2542365978794985, - "start_date": "2023-01-03", - "total_return_pct": -97.6, - "trades": 408, - "transaction_cost": 40.89638621041218, - "turnover_multiple": 12.015344042451755, - "underwater_pct": 98.02371541501977, - "win_rate": 18.1 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-13|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 25.3815, - "avg_gross_exposure_pct": 74.6185, - "avg_hold_days": 8.9, - "avg_positions": 14.9841, - "blocked_fraction": 0.9813605007081182, - "cagr_pct": -97.8, - "calmar": -1.0, - "capacity_opportunities": 21889, - "end_date": "2024-01-03", - "ev_net_r": -0.808858274518619, - "ev_without_best": { - "1": -0.8650736900599814, - "10": -1.0264791406868135, - "5": -0.9669386657048527 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 246, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9701749825830466, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 3357.92, - "measurement_start_positions": 15, - "opened_positions": 408, - "peak_positions": 15, - "profit_factor": 0.2935170327280708, - "sessions_at_capacity": 248, - "sessions_measured": 252, - "sharpe": -4.24, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 21481, - "skipped_min_initial_risk": 0, - "sortino": -5.29062175229299, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 408, - "transaction_cost": 79.94956433434858, - "turnover_multiple": 11.904626127833387, - "underwater_pct": 98.02371541501977, - "win_rate": 17.9 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-14|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 25.8086, - "avg_gross_exposure_pct": 74.1914, - "avg_hold_days": 9.0, - "avg_positions": 14.9881, - "blocked_fraction": 0.9815987246640856, - "cagr_pct": -97.6, - "calmar": -1.0, - "capacity_opportunities": 21955, - "end_date": "2024-01-03", - "ev_net_r": -0.7951687034957162, - "ev_without_best": { - "1": -0.8519706456533085, - "10": -1.0149993149478858, - "5": -0.9548705067199372 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 242, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9729537524092157, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 97.9, - "measurement_start_equity": 4552.49, - "measurement_start_positions": 15, - "opened_positions": 404, - "peak_positions": 15, - "profit_factor": 0.2978972893082547, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.14, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 21551, - "skipped_min_initial_risk": 0, - "sortino": -5.1834879139367, - "start_date": "2023-01-03", - "total_return_pct": -97.6, - "trades": 404, - "transaction_cost": 54.05214939604826, - "turnover_multiple": 11.87309568962222, - "underwater_pct": 98.02371541501977, - "win_rate": 18.1 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2023-seed-14|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 25.7256, - "avg_gross_exposure_pct": 74.2744, - "avg_hold_days": 9.0, - "avg_positions": 14.9881, - "blocked_fraction": 0.9815987246640856, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 21955, - "end_date": "2024-01-03", - "ev_net_r": -0.8043539422621926, - "ev_without_best": { - "1": -0.8611161501854632, - "10": -1.024069834171779, - "5": -0.9639626540084834 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 242, - "time": 24, - "trailing_stop": 123 - }, - "gain_to_pain": -0.9740101111253319, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.0, - "measurement_start_equity": 4510.84, - "measurement_start_positions": 15, - "opened_positions": 404, - "peak_positions": 15, - "profit_factor": 0.294434961535015, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.18, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 21551, - "skipped_min_initial_risk": 0, - "sortino": -5.21865872489952, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 404, - "transaction_cost": 106.06932458717844, - "turnover_multiple": 11.757158820439034, - "underwater_pct": 98.02371541501977, - "win_rate": 17.8 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.9509, - "avg_gross_exposure_pct": 84.0491, - "avg_hold_days": 9.7, - "avg_positions": 14.9206, - "blocked_fraction": 0.9842901901946075, - "cagr_pct": -90.7, - "calmar": -0.98, - "capacity_opportunities": 22661, - "end_date": "2024-12-31", - "ev_net_r": -0.6341739883957753, - "ev_without_best": { - "1": -0.6914877261054838, - "10": -0.9067409870352351, - "5": -0.8257456660065066 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 206, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.8666643921736967, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 12086.61, - "measurement_start_positions": 15, - "opened_positions": 356, - "peak_positions": 15, - "profit_factor": 0.38938887800414185, - "sessions_at_capacity": 237, - "sessions_measured": 252, - "sharpe": -2.96, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 22305, - "skipped_min_initial_risk": 0, - "sortino": -3.7292491477631655, - "start_date": "2024-01-02", - "total_return_pct": -90.7, - "trades": 356, - "transaction_cost": 163.2729836877159, - "turnover_multiple": 13.508583770611933, - "underwater_pct": 99.2094861660079, - "win_rate": 19.1 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.8979, - "avg_gross_exposure_pct": 84.1021, - "avg_hold_days": 9.8, - "avg_positions": 14.9325, - "blocked_fraction": 0.9846120218579235, - "cagr_pct": -90.9, - "calmar": -0.98, - "capacity_opportunities": 22875, - "end_date": "2024-12-31", - "ev_net_r": -0.6418204695809936, - "ev_without_best": { - "1": -0.6997324235180301, - "10": -0.9172277505000677, - "5": -0.8354139286223837 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.8668546101511231, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 11801.03, - "measurement_start_positions": 15, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.3895908145060991, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -2.97, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 22523, - "skipped_min_initial_risk": 0, - "sortino": -3.7488032531618685, - "start_date": "2024-01-02", - "total_return_pct": -90.9, - "trades": 352, - "transaction_cost": 314.85362296262514, - "turnover_multiple": 13.340090778628014, - "underwater_pct": 99.2094861660079, - "win_rate": 18.5 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.4146, - "avg_gross_exposure_pct": 82.5854, - "avg_hold_days": 10.2, - "avg_positions": 14.996, - "blocked_fraction": 0.9858891886283462, - "cagr_pct": -86.7, - "calmar": -0.97, - "capacity_opportunities": 24095, - "end_date": "2024-12-31", - "ev_net_r": -0.5666366193676913, - "ev_without_best": { - "1": -0.6378587670689402, - "10": -0.8721856840466907, - "5": -0.7811582484901871 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 27, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8808175308124027, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 9623.62, - "measurement_start_positions": 15, - "opened_positions": 340, - "peak_positions": 15, - "profit_factor": 0.44556727736151175, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -2.46, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 23755, - "skipped_min_initial_risk": 0, - "sortino": -3.2038362670893163, - "start_date": "2024-01-02", - "total_return_pct": -86.6, - "trades": 340, - "transaction_cost": 155.79526719979188, - "turnover_multiple": 16.188842369066098, - "underwater_pct": 98.41897233201581, - "win_rate": 20.3 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.2436, - "avg_gross_exposure_pct": 82.7564, - "avg_hold_days": 10.3, - "avg_positions": 14.9881, - "blocked_fraction": 0.9858346255395835, - "cagr_pct": -86.9, - "calmar": -0.97, - "capacity_opportunities": 23861, - "end_date": "2024-12-31", - "ev_net_r": -0.5753258328544179, - "ev_without_best": { - "1": -0.646916939756011, - "10": -0.8824195139453941, - "5": -0.7909282234470415 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 182, - "time": 26, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8807866300966042, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 9398.5, - "measurement_start_positions": 15, - "opened_positions": 338, - "peak_positions": 15, - "profit_factor": 0.4426797242480864, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -2.48, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 23523, - "skipped_min_initial_risk": 0, - "sortino": -3.227007111335494, - "start_date": "2024-01-02", - "total_return_pct": -86.8, - "trades": 338, - "transaction_cost": 300.6723441157611, - "turnover_multiple": 15.995762308653571, - "underwater_pct": 98.41897233201581, - "win_rate": 19.5 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.9998, - "avg_gross_exposure_pct": 84.0002, - "avg_hold_days": 9.8, - "avg_positions": 14.9325, - "blocked_fraction": 0.9846120218579235, - "cagr_pct": -90.7, - "calmar": -0.98, - "capacity_opportunities": 22875, - "end_date": "2024-12-31", - "ev_net_r": -0.632560162883913, - "ev_without_best": { - "1": -0.6905224508082283, - "10": -0.9082678917556513, - "5": -0.8263169055750006 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.8634828076768769, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 9711.11, - "measurement_start_positions": 15, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.3943251393610339, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -2.94, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 22523, - "skipped_min_initial_risk": 0, - "sortino": -3.7165666779694337, - "start_date": "2024-01-02", - "total_return_pct": -90.6, - "trades": 352, - "transaction_cost": 131.0028632490037, - "turnover_multiple": 13.489998903215357, - "underwater_pct": 99.2094861660079, - "win_rate": 19.3 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.8979, - "avg_gross_exposure_pct": 84.1021, - "avg_hold_days": 9.8, - "avg_positions": 14.9325, - "blocked_fraction": 0.9846120218579235, - "cagr_pct": -90.9, - "calmar": -0.98, - "capacity_opportunities": 22875, - "end_date": "2024-12-31", - "ev_net_r": -0.6418204695809936, - "ev_without_best": { - "1": -0.6997324235180301, - "10": -0.9172277505000677, - "5": -0.8354139286223837 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.8668519375606106, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 9493.97, - "measurement_start_positions": 15, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.3895908145060991, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -2.97, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 22523, - "skipped_min_initial_risk": 0, - "sortino": -3.7488094444447375, - "start_date": "2024-01-02", - "total_return_pct": -90.9, - "trades": 352, - "transaction_cost": 253.30060672455474, - "turnover_multiple": 13.340078319425633, - "underwater_pct": 99.2094861660079, - "win_rate": 18.5 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.9443, - "avg_gross_exposure_pct": 84.0557, - "avg_hold_days": 9.7, - "avg_positions": 14.9167, - "blocked_fraction": 0.9843336275375111, - "cagr_pct": -90.7, - "calmar": -0.98, - "capacity_opportunities": 22660, - "end_date": "2024-12-31", - "ev_net_r": -0.6331197528435729, - "ev_without_best": { - "1": -0.6905924157006189, - "10": -0.9064462432022137, - "5": -0.8252237175967321 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 205, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.86666013557529, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 11071.96, - "measurement_start_positions": 15, - "opened_positions": 355, - "peak_positions": 15, - "profit_factor": 0.39045380706094746, - "sessions_at_capacity": 237, - "sessions_measured": 252, - "sharpe": -2.96, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 22305, - "skipped_min_initial_risk": 0, - "sortino": -3.7283245642978384, - "start_date": "2024-01-02", - "total_return_pct": -90.7, - "trades": 355, - "transaction_cost": 149.63236982094207, - "turnover_multiple": 13.51453309269019, - "underwater_pct": 99.2094861660079, - "win_rate": 19.2 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.8913, - "avg_gross_exposure_pct": 84.1087, - "avg_hold_days": 9.8, - "avg_positions": 14.9325, - "blocked_fraction": 0.9846120218579235, - "cagr_pct": -90.9, - "calmar": -0.98, - "capacity_opportunities": 22875, - "end_date": "2024-12-31", - "ev_net_r": -0.6418204695809936, - "ev_without_best": { - "1": -0.6997324235180301, - "10": -0.9172277505000677, - "5": -0.8354139286223837 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.866829744540507, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 10843.2, - "measurement_start_positions": 15, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.3895908145060991, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -2.97, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 22523, - "skipped_min_initial_risk": 0, - "sortino": -3.7480297371353535, - "start_date": "2024-01-02", - "total_return_pct": -90.8, - "trades": 352, - "transaction_cost": 289.4239811085451, - "turnover_multiple": 13.345874885114407, - "underwater_pct": 99.2094861660079, - "win_rate": 18.5 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.9509, - "avg_gross_exposure_pct": 84.0491, - "avg_hold_days": 9.7, - "avg_positions": 14.9206, - "blocked_fraction": 0.9842901901946075, - "cagr_pct": -90.7, - "calmar": -0.98, - "capacity_opportunities": 22661, - "end_date": "2024-12-31", - "ev_net_r": -0.6341739883957753, - "ev_without_best": { - "1": -0.6914877261054838, - "10": -0.9067409870352351, - "5": -0.8257456660065066 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 206, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.8666626455502052, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 12046.59, - "measurement_start_positions": 15, - "opened_positions": 356, - "peak_positions": 15, - "profit_factor": 0.38938887800414185, - "sessions_at_capacity": 237, - "sessions_measured": 252, - "sharpe": -2.96, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 22305, - "skipped_min_initial_risk": 0, - "sortino": -3.7292675239399062, - "start_date": "2024-01-02", - "total_return_pct": -90.7, - "trades": 356, - "transaction_cost": 162.73236276382244, - "turnover_multiple": 13.508583156214533, - "underwater_pct": 99.2094861660079, - "win_rate": 19.1 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 15.8979, - "avg_gross_exposure_pct": 84.1021, - "avg_hold_days": 9.8, - "avg_positions": 14.9325, - "blocked_fraction": 0.9846120218579235, - "cagr_pct": -90.9, - "calmar": -0.98, - "capacity_opportunities": 22875, - "end_date": "2024-12-31", - "ev_net_r": -0.6418204695809936, - "ev_without_best": { - "1": -0.6997324235180301, - "10": -0.9172277505000677, - "5": -0.8354139286223837 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 27, - "trailing_stop": 108 - }, - "gain_to_pain": -0.8668531904168453, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 11790.25, - "measurement_start_positions": 15, - "opened_positions": 352, - "peak_positions": 15, - "profit_factor": 0.3895908145060991, - "sessions_at_capacity": 239, - "sessions_measured": 252, - "sharpe": -2.97, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 22523, - "skipped_min_initial_risk": 0, - "sortino": -3.7488070476270936, - "start_date": "2024-01-02", - "total_return_pct": -90.9, - "trades": 352, - "transaction_cost": 314.5660180242259, - "turnover_multiple": 13.340091093243396, - "underwater_pct": 99.2094861660079, - "win_rate": 18.5 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.4146, - "avg_gross_exposure_pct": 82.5854, - "avg_hold_days": 10.2, - "avg_positions": 14.996, - "blocked_fraction": 0.9858891886283462, - "cagr_pct": -86.7, - "calmar": -0.97, - "capacity_opportunities": 24095, - "end_date": "2024-12-31", - "ev_net_r": -0.5666366193676914, - "ev_without_best": { - "1": -0.6378587670689402, - "10": -0.8721856840466907, - "5": -0.7811582484901873 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 27, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8808194354096938, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 11294.96, - "measurement_start_positions": 15, - "opened_positions": 340, - "peak_positions": 15, - "profit_factor": 0.4455672773615117, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -2.46, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 23755, - "skipped_min_initial_risk": 0, - "sortino": -3.2038311793562215, - "start_date": "2024-01-02", - "total_return_pct": -86.6, - "trades": 340, - "transaction_cost": 182.8524116337968, - "turnover_multiple": 16.18884986169024, - "underwater_pct": 98.41897233201581, - "win_rate": 20.3 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.2436, - "avg_gross_exposure_pct": 82.7564, - "avg_hold_days": 10.3, - "avg_positions": 14.9881, - "blocked_fraction": 0.9858346255395835, - "cagr_pct": -86.9, - "calmar": -0.97, - "capacity_opportunities": 23861, - "end_date": "2024-12-31", - "ev_net_r": -0.5753258328544177, - "ev_without_best": { - "1": -0.6469169397560108, - "10": -0.8824195139453941, - "5": -0.7909282234470414 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 182, - "time": 26, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8807904125988931, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 11050.89, - "measurement_start_positions": 15, - "opened_positions": 338, - "peak_positions": 15, - "profit_factor": 0.4426797242480864, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -2.48, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 23523, - "skipped_min_initial_risk": 0, - "sortino": -3.22701665712104, - "start_date": "2024-01-02", - "total_return_pct": -86.8, - "trades": 338, - "transaction_cost": 353.5349245854555, - "turnover_multiple": 15.995767064257066, - "underwater_pct": 98.41897233201581, - "win_rate": 19.5 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.3891, - "avg_gross_exposure_pct": 82.6109, - "avg_hold_days": 9.8, - "avg_positions": 14.9206, - "blocked_fraction": 0.9841120658789831, - "cagr_pct": -91.3, - "calmar": -0.98, - "capacity_opportunities": 22344, - "end_date": "2024-12-31", - "ev_net_r": -0.6519280643786541, - "ev_without_best": { - "1": -0.7094538580592457, - "10": -0.9500931407982119, - "5": -0.8663415348316702 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 200, - "time": 30, - "trailing_stop": 110 - }, - "gain_to_pain": -0.887349390765865, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 18791.12, - "measurement_start_positions": 15, - "opened_positions": 355, - "peak_positions": 15, - "profit_factor": 0.3951675810044017, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -2.93, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 21989, - "skipped_min_initial_risk": 0, - "sortino": -3.67289319819074, - "start_date": "2024-01-02", - "total_return_pct": -91.2, - "trades": 355, - "transaction_cost": 245.64878996449707, - "turnover_multiple": 13.072599715423939, - "underwater_pct": 99.2094861660079, - "win_rate": 19.7 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.305, - "avg_gross_exposure_pct": 82.695, - "avg_hold_days": 9.7, - "avg_positions": 14.8849, - "blocked_fraction": 0.9835012478047879, - "cagr_pct": -91.9, - "calmar": -0.98, - "capacity_opportunities": 21638, - "end_date": "2024-12-31", - "ev_net_r": -0.6664320238054138, - "ev_without_best": { - "1": -0.7235997411821674, - "10": -0.962660335854209, - "5": -0.879474978320934 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 202, - "time": 30, - "trailing_stop": 110 - }, - "gain_to_pain": -0.9112412916664332, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 18443.12, - "measurement_start_positions": 15, - "opened_positions": 357, - "peak_positions": 15, - "profit_factor": 0.3847925853892771, - "sessions_at_capacity": 228, - "sessions_measured": 252, - "sharpe": -3.06, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 21281, - "skipped_min_initial_risk": 0, - "sortino": -3.7904822023429166, - "start_date": "2024-01-02", - "total_return_pct": -91.8, - "trades": 357, - "transaction_cost": 477.3865141927252, - "turnover_multiple": 12.942130024440694, - "underwater_pct": 99.2094861660079, - "win_rate": 18.8 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.4146, - "avg_gross_exposure_pct": 82.5854, - "avg_hold_days": 10.2, - "avg_positions": 14.996, - "blocked_fraction": 0.9858891886283462, - "cagr_pct": -86.7, - "calmar": -0.97, - "capacity_opportunities": 24095, - "end_date": "2024-12-31", - "ev_net_r": -0.5666366193676913, - "ev_without_best": { - "1": -0.6378587670689402, - "10": -0.8721856840466907, - "5": -0.7811582484901871 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 27, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8808182093981671, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 11393.7, - "measurement_start_positions": 15, - "opened_positions": 340, - "peak_positions": 15, - "profit_factor": 0.4455672773615117, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -2.46, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 23755, - "skipped_min_initial_risk": 0, - "sortino": -3.203829274789846, - "start_date": "2024-01-02", - "total_return_pct": -86.6, - "trades": 340, - "transaction_cost": 184.45089184880578, - "turnover_multiple": 16.18884926308449, - "underwater_pct": 98.41897233201581, - "win_rate": 20.3 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.2436, - "avg_gross_exposure_pct": 82.7564, - "avg_hold_days": 10.3, - "avg_positions": 14.9881, - "blocked_fraction": 0.9858346255395835, - "cagr_pct": -86.9, - "calmar": -0.97, - "capacity_opportunities": 23861, - "end_date": "2024-12-31", - "ev_net_r": -0.5753258328544177, - "ev_without_best": { - "1": -0.6469169397560108, - "10": -0.8824195139453941, - "5": -0.7909282234470415 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 182, - "time": 26, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8807901131562751, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 11163.68, - "measurement_start_positions": 15, - "opened_positions": 338, - "peak_positions": 15, - "profit_factor": 0.4426797242480864, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -2.48, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 23523, - "skipped_min_initial_risk": 0, - "sortino": -3.226999770068276, - "start_date": "2024-01-02", - "total_return_pct": -86.8, - "trades": 338, - "transaction_cost": 357.14330854256633, - "turnover_multiple": 15.995769698816444, - "underwater_pct": 98.41897233201581, - "win_rate": 19.5 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.4146, - "avg_gross_exposure_pct": 82.5854, - "avg_hold_days": 10.2, - "avg_positions": 14.996, - "blocked_fraction": 0.9858891886283462, - "cagr_pct": -86.7, - "calmar": -0.97, - "capacity_opportunities": 24095, - "end_date": "2024-12-31", - "ev_net_r": -0.5666366193676913, - "ev_without_best": { - "1": -0.6378587670689402, - "10": -0.8721856840466907, - "5": -0.7811582484901871 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 27, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8808191485564005, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 11093.57, - "measurement_start_positions": 15, - "opened_positions": 340, - "peak_positions": 15, - "profit_factor": 0.4455672773615117, - "sessions_at_capacity": 251, - "sessions_measured": 252, - "sharpe": -2.46, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 23755, - "skipped_min_initial_risk": 0, - "sortino": -3.2038379328292366, - "start_date": "2024-01-02", - "total_return_pct": -86.6, - "trades": 340, - "transaction_cost": 179.59213260012504, - "turnover_multiple": 16.188849270354364, - "underwater_pct": 98.41897233201581, - "win_rate": 20.3 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.2436, - "avg_gross_exposure_pct": 82.7564, - "avg_hold_days": 10.3, - "avg_positions": 14.9881, - "blocked_fraction": 0.9858346255395835, - "cagr_pct": -86.9, - "calmar": -0.97, - "capacity_opportunities": 23861, - "end_date": "2024-12-31", - "ev_net_r": -0.5753258328544177, - "ev_without_best": { - "1": -0.6469169397560108, - "10": -0.8824195139453941, - "5": -0.7909282234470415 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 182, - "time": 26, - "trailing_stop": 115 - }, - "gain_to_pain": -0.8807915647132976, - "longest_underwater_sessions": 197, - "max_drawdown_pct": 89.2, - "measurement_start_equity": 10871.79, - "measurement_start_positions": 15, - "opened_positions": 338, - "peak_positions": 15, - "profit_factor": 0.4426797242480864, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -2.48, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 23523, - "skipped_min_initial_risk": 0, - "sortino": -3.2270103605466334, - "start_date": "2024-01-02", - "total_return_pct": -86.8, - "trades": 338, - "transaction_cost": 347.80514646501456, - "turnover_multiple": 15.995762724676181, - "underwater_pct": 98.41897233201581, - "win_rate": 19.5 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 16.3748, - "avg_gross_exposure_pct": 83.6252, - "avg_hold_days": 10.0, - "avg_positions": 14.9405, - "blocked_fraction": 0.984871604830623, - "cagr_pct": -87.0, - "calmar": -0.97, - "capacity_opportunities": 22937, - "end_date": "2024-12-31", - "ev_net_r": -0.5921372242084223, - "ev_without_best": { - "1": -0.6619921625771047, - "10": -0.8982100930535538, - "5": -0.807342305173865 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 187, - "time": 28, - "trailing_stop": 118 - }, - "gain_to_pain": -0.8104786542262528, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 89.8, - "measurement_start_equity": 15419.7, - "measurement_start_positions": 15, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.4324927086786789, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -2.33, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 22590, - "skipped_min_initial_risk": 0, - "sortino": -2.966963922180809, - "start_date": "2024-01-02", - "total_return_pct": -86.9, - "trades": 347, - "transaction_cost": 249.2685077679799, - "turnover_multiple": 16.165587382892006, - "underwater_pct": 99.2094861660079, - "win_rate": 20.5 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 16.2966, - "avg_gross_exposure_pct": 83.7034, - "avg_hold_days": 10.1, - "avg_positions": 14.9246, - "blocked_fraction": 0.9847978910369068, - "cagr_pct": -87.3, - "calmar": -0.97, - "capacity_opportunities": 22760, - "end_date": "2024-12-31", - "ev_net_r": -0.600970435489388, - "ev_without_best": { - "1": -0.6709757909342339, - "10": -0.9076585754990718, - "5": -0.8166212196906051 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 187, - "time": 28, - "trailing_stop": 117 - }, - "gain_to_pain": -0.8132155344708454, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 15185.07, - "measurement_start_positions": 15, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.42830851065744246, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": -2.35, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 22414, - "skipped_min_initial_risk": 0, - "sortino": -2.998455611895383, - "start_date": "2024-01-02", - "total_return_pct": -87.2, - "trades": 346, - "transaction_cost": 485.0156838787505, - "turnover_multiple": 15.970149754948464, - "underwater_pct": 99.2094861660079, - "win_rate": 19.7 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.5103, - "avg_gross_exposure_pct": 82.4897, - "avg_hold_days": 9.7, - "avg_positions": 14.9206, - "blocked_fraction": 0.9839727805882617, - "cagr_pct": -91.3, - "calmar": -0.98, - "capacity_opportunities": 22337, - "end_date": "2024-12-31", - "ev_net_r": -0.6425258265098743, - "ev_without_best": { - "1": -0.6995418733587836, - "10": -0.9378503350905053, - "5": -0.8549839099920603 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 204, - "time": 29, - "trailing_stop": 110 - }, - "gain_to_pain": -0.8747978326159133, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 17289.41, - "measurement_start_positions": 15, - "opened_positions": 358, - "peak_positions": 15, - "profit_factor": 0.40189421161140065, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -2.91, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 21979, - "skipped_min_initial_risk": 0, - "sortino": -3.64053930854314, - "start_date": "2024-01-02", - "total_return_pct": -91.2, - "trades": 358, - "transaction_cost": 226.92228732278542, - "turnover_multiple": 13.124929498622881, - "underwater_pct": 99.2094861660079, - "win_rate": 19.6 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.4262, - "avg_gross_exposure_pct": 82.5738, - "avg_hold_days": 9.6, - "avg_positions": 14.8849, - "blocked_fraction": 0.9833572188063427, - "cagr_pct": -91.9, - "calmar": -0.98, - "capacity_opportunities": 21631, - "end_date": "2024-12-31", - "ev_net_r": -0.6570054937199103, - "ev_without_best": { - "1": -0.7136692286949486, - "10": -0.9504253765201299, - "5": -0.8681153172101516 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 206, - "time": 29, - "trailing_stop": 110 - }, - "gain_to_pain": -0.8987298904594314, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 17038.49, - "measurement_start_positions": 15, - "opened_positions": 360, - "peak_positions": 15, - "profit_factor": 0.39149032641477033, - "sessions_at_capacity": 228, - "sessions_measured": 252, - "sharpe": -3.04, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 21271, - "skipped_min_initial_risk": 0, - "sortino": -3.7573951417860214, - "start_date": "2024-01-02", - "total_return_pct": -91.8, - "trades": 360, - "transaction_cost": 442.76739205095697, - "turnover_multiple": 12.993152328960985, - "underwater_pct": 99.2094861660079, - "win_rate": 18.6 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.5103, - "avg_gross_exposure_pct": 82.4897, - "avg_hold_days": 9.7, - "avg_positions": 14.9206, - "blocked_fraction": 0.9839727805882617, - "cagr_pct": -91.3, - "calmar": -0.98, - "capacity_opportunities": 22337, - "end_date": "2024-12-31", - "ev_net_r": -0.6425258265098743, - "ev_without_best": { - "1": -0.6995418733587836, - "10": -0.9378503350905053, - "5": -0.8549839099920605 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 204, - "time": 29, - "trailing_stop": 110 - }, - "gain_to_pain": -0.8747979058561466, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 16438.46, - "measurement_start_positions": 15, - "opened_positions": 358, - "peak_positions": 15, - "profit_factor": 0.4018942116114006, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -2.91, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 21979, - "skipped_min_initial_risk": 0, - "sortino": -3.64052846032527, - "start_date": "2024-01-02", - "total_return_pct": -91.2, - "trades": 358, - "transaction_cost": 215.7536285313597, - "turnover_multiple": 13.124929496519728, - "underwater_pct": 99.2094861660079, - "win_rate": 19.6 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.4262, - "avg_gross_exposure_pct": 82.5738, - "avg_hold_days": 9.6, - "avg_positions": 14.8849, - "blocked_fraction": 0.9833572188063427, - "cagr_pct": -91.9, - "calmar": -0.98, - "capacity_opportunities": 21631, - "end_date": "2024-12-31", - "ev_net_r": -0.6570054937199103, - "ev_without_best": { - "1": -0.7136692286949486, - "10": -0.9504253765201299, - "5": -0.8681153172101516 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 206, - "time": 29, - "trailing_stop": 110 - }, - "gain_to_pain": -0.8987271371472131, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 16180.05, - "measurement_start_positions": 15, - "opened_positions": 360, - "peak_positions": 15, - "profit_factor": 0.39149032641477033, - "sessions_at_capacity": 228, - "sessions_measured": 252, - "sharpe": -3.04, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 21271, - "skipped_min_initial_risk": 0, - "sortino": -3.757388696697466, - "start_date": "2024-01-02", - "total_return_pct": -91.8, - "trades": 360, - "transaction_cost": 420.4597745284677, - "turnover_multiple": 12.993154363814318, - "underwater_pct": 99.2094861660079, - "win_rate": 18.6 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-13|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.5103, - "avg_gross_exposure_pct": 82.4897, - "avg_hold_days": 9.7, - "avg_positions": 14.9206, - "blocked_fraction": 0.9839727805882617, - "cagr_pct": -91.3, - "calmar": -0.98, - "capacity_opportunities": 22337, - "end_date": "2024-12-31", - "ev_net_r": -0.6425258265098743, - "ev_without_best": { - "1": -0.6995418733587836, - "10": -0.9378503350905053, - "5": -0.8549839099920605 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 204, - "time": 29, - "trailing_stop": 110 - }, - "gain_to_pain": -0.8747963136632113, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 16600.0, - "measurement_start_positions": 15, - "opened_positions": 358, - "peak_positions": 15, - "profit_factor": 0.40189421161140065, - "sessions_at_capacity": 234, - "sessions_measured": 252, - "sharpe": -2.91, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 21979, - "skipped_min_initial_risk": 0, - "sortino": -3.6405410155228695, - "start_date": "2024-01-02", - "total_return_pct": -91.2, - "trades": 358, - "transaction_cost": 217.87383331450556, - "turnover_multiple": 13.1249297177413, - "underwater_pct": 99.2094861660079, - "win_rate": 19.6 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-13|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 17.4262, - "avg_gross_exposure_pct": 82.5738, - "avg_hold_days": 9.6, - "avg_positions": 14.8849, - "blocked_fraction": 0.9833572188063427, - "cagr_pct": -91.9, - "calmar": -0.98, - "capacity_opportunities": 21631, - "end_date": "2024-12-31", - "ev_net_r": -0.6570054937199103, - "ev_without_best": { - "1": -0.7136692286949486, - "10": -0.95042537652013, - "5": -0.8681153172101516 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 206, - "time": 29, - "trailing_stop": 110 - }, - "gain_to_pain": -0.8987256241171241, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 16369.27, - "measurement_start_positions": 15, - "opened_positions": 360, - "peak_positions": 15, - "profit_factor": 0.39149032641477033, - "sessions_at_capacity": 228, - "sessions_measured": 252, - "sharpe": -3.04, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 21271, - "skipped_min_initial_risk": 0, - "sortino": -3.757377434040323, - "start_date": "2024-01-02", - "total_return_pct": -91.8, - "trades": 360, - "transaction_cost": 425.3768722594039, - "turnover_multiple": 12.99315339839235, - "underwater_pct": 99.2094861660079, - "win_rate": 18.6 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-14|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 16.3754, - "avg_gross_exposure_pct": 83.6246, - "avg_hold_days": 10.0, - "avg_positions": 14.9405, - "blocked_fraction": 0.984871604830623, - "cagr_pct": -87.0, - "calmar": -0.97, - "capacity_opportunities": 22937, - "end_date": "2024-12-31", - "ev_net_r": -0.5921372242084223, - "ev_without_best": { - "1": -0.6619921625771046, - "10": -0.8982100930535538, - "5": -0.807342305173865 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 187, - "time": 28, - "trailing_stop": 118 - }, - "gain_to_pain": -0.8104758210272491, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 89.8, - "measurement_start_equity": 17025.78, - "measurement_start_positions": 15, - "opened_positions": 347, - "peak_positions": 15, - "profit_factor": 0.4324927086786789, - "sessions_at_capacity": 240, - "sessions_measured": 252, - "sharpe": -2.33, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 22590, - "skipped_min_initial_risk": 0, - "sortino": -2.9669700001282733, - "start_date": "2024-01-02", - "total_return_pct": -86.9, - "trades": 347, - "transaction_cost": 275.2302091209495, - "turnover_multiple": 16.165497799275542, - "underwater_pct": 99.2094861660079, - "win_rate": 20.5 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2024-seed-14|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 16.2972, - "avg_gross_exposure_pct": 83.7028, - "avg_hold_days": 10.1, - "avg_positions": 14.9246, - "blocked_fraction": 0.9847978910369068, - "cagr_pct": -87.3, - "calmar": -0.97, - "capacity_opportunities": 22760, - "end_date": "2024-12-31", - "ev_net_r": -0.600970435489388, - "ev_without_best": { - "1": -0.6709757909342339, - "10": -0.9076585754990718, - "5": -0.8166212196906051 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 187, - "time": 28, - "trailing_stop": 117 - }, - "gain_to_pain": -0.8132135968275882, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 16794.57, - "measurement_start_positions": 15, - "opened_positions": 346, - "peak_positions": 15, - "profit_factor": 0.42830851065744246, - "sessions_at_capacity": 238, - "sessions_measured": 252, - "sharpe": -2.35, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 22414, - "skipped_min_initial_risk": 0, - "sortino": -2.998475111315109, - "start_date": "2024-01-02", - "total_return_pct": -87.2, - "trades": 346, - "transaction_cost": 536.4207651908682, - "turnover_multiple": 15.970065479225374, - "underwater_pct": 99.2094861660079, - "win_rate": 19.7 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.2139, - "avg_gross_exposure_pct": 61.7861, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875028663150653, - "cagr_pct": -92.5, - "calmar": -0.99, - "capacity_opportunities": 26166, - "end_date": "2026-01-05", - "ev_net_r": -0.7141798436842985, - "ev_without_best": { - "1": -0.7378936282434164, - "10": -0.8493389039826562, - "5": -0.7952181260469199 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 188, - "time": 41, - "trailing_stop": 83 - }, - "gain_to_pain": -0.951382114155931, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 2689.48, - "measurement_start_positions": 15, - "opened_positions": 327, - "peak_positions": 15, - "profit_factor": 0.23004595667330544, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.93, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 25839, - "skipped_min_initial_risk": 0, - "sortino": -5.433697517228179, - "start_date": "2025-01-02", - "total_return_pct": -92.6, - "trades": 327, - "transaction_cost": 22.332948768891324, - "turnover_multiple": 8.303816637004672, - "underwater_pct": 99.2094861660079, - "win_rate": 16.8 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.1465, - "avg_gross_exposure_pct": 61.8535, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875028663150653, - "cagr_pct": -92.7, - "calmar": -0.99, - "capacity_opportunities": 26166, - "end_date": "2026-01-05", - "ev_net_r": -0.7222400959808444, - "ev_without_best": { - "1": -0.7459275435822217, - "10": -0.8571251156579353, - "5": -0.80311124474462 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 188, - "time": 41, - "trailing_stop": 83 - }, - "gain_to_pain": -0.9522066997413833, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 2639.76, - "measurement_start_positions": 15, - "opened_positions": 327, - "peak_positions": 15, - "profit_factor": 0.22663134863213416, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.97, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 25839, - "skipped_min_initial_risk": 0, - "sortino": -5.474696592293149, - "start_date": "2025-01-02", - "total_return_pct": -92.8, - "trades": 327, - "transaction_cost": 43.438788416906554, - "turnover_multiple": 8.227791241799737, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 9.0062, - "avg_gross_exposure_pct": 90.9938, - "avg_hold_days": 12.5, - "avg_positions": 13.7024, - "blocked_fraction": 0.9842499354505552, - "cagr_pct": -78.5, - "calmar": -0.99, - "capacity_opportunities": 15492, - "end_date": "2026-01-05", - "ev_net_r": -0.7432986155196373, - "ev_without_best": { - "1": -0.7752320004501219, - "10": -0.9386592547193976, - "5": -0.868978392058732 - }, - "exit_reasons": { - "open_at_end": 6, - "stop": 141, - "time": 33, - "trailing_stop": 64 - }, - "gain_to_pain": -0.9925695784949353, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 79.0, - "measurement_start_equity": 2173.67, - "measurement_start_positions": 15, - "opened_positions": 244, - "peak_positions": 15, - "profit_factor": 0.2274723491924077, - "sessions_at_capacity": 149, - "sessions_measured": 252, - "sharpe": -4.35, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 15248, - "skipped_min_initial_risk": 0, - "sortino": -4.886967774821696, - "start_date": "2025-01-02", - "total_return_pct": -78.8, - "trades": 244, - "transaction_cost": 14.109692974415788, - "turnover_multiple": 6.491184482656423, - "underwater_pct": 99.2094861660079, - "win_rate": 14.8 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 8.7455, - "avg_gross_exposure_pct": 91.2545, - "avg_hold_days": 12.7, - "avg_positions": 13.496, - "blocked_fraction": 0.9844109715187792, - "cagr_pct": -77.9, - "calmar": -0.99, - "capacity_opportunities": 15203, - "end_date": "2026-01-05", - "ev_net_r": -0.7509100071753557, - "ev_without_best": { - "1": -0.7837522861128282, - "10": -0.928851275441697, - "5": -0.8638777458802225 - }, - "exit_reasons": { - "open_at_end": 7, - "stop": 134, - "time": 31, - "trailing_stop": 65 - }, - "gain_to_pain": -0.9985699171060456, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 78.3, - "measurement_start_equity": 2138.1, - "measurement_start_positions": 15, - "opened_positions": 237, - "peak_positions": 15, - "profit_factor": 0.20410194508805227, - "sessions_at_capacity": 146, - "sessions_measured": 252, - "sharpe": -4.33, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 14966, - "skipped_min_initial_risk": 0, - "sortino": -4.897625621546191, - "start_date": "2025-01-02", - "total_return_pct": -78.1, - "trades": 237, - "transaction_cost": 27.175485205973235, - "turnover_multiple": 6.355054769649042, - "underwater_pct": 99.2094861660079, - "win_rate": 13.9 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 39.7778, - "avg_gross_exposure_pct": 60.2222, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875774023392707, - "cagr_pct": -91.7, - "calmar": -0.99, - "capacity_opportunities": 26162, - "end_date": "2026-01-05", - "ev_net_r": -0.7011290616709998, - "ev_without_best": { - "1": -0.7249489474248858, - "10": -0.8367319641930516, - "5": -0.7824699148294296 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 187, - "time": 42, - "trailing_stop": 81 - }, - "gain_to_pain": -0.9512839435523397, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 1493.81, - "measurement_start_positions": 15, - "opened_positions": 325, - "peak_positions": 15, - "profit_factor": 0.23479804105039387, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.71, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 25837, - "skipped_min_initial_risk": 0, - "sortino": -5.224820130096108, - "start_date": "2025-01-02", - "total_return_pct": -91.9, - "trades": 325, - "transaction_cost": 12.364589547448928, - "turnover_multiple": 8.277217013843078, - "underwater_pct": 99.2094861660079, - "win_rate": 17.2 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.9308, - "avg_gross_exposure_pct": 61.0692, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875014333218668, - "cagr_pct": -92.6, - "calmar": -0.99, - "capacity_opportunities": 26163, - "end_date": "2026-01-05", - "ev_net_r": -0.7243617950863914, - "ev_without_best": { - "1": -0.7480557509672336, - "10": -0.8593137453346352, - "5": -0.8052658894884519 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 189, - "time": 42, - "trailing_stop": 81 - }, - "gain_to_pain": -0.9501536445045634, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.5, - "measurement_start_equity": 1464.34, - "measurement_start_positions": 15, - "opened_positions": 327, - "peak_positions": 15, - "profit_factor": 0.22602670372105416, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.87, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 25836, - "skipped_min_initial_risk": 0, - "sortino": -5.374856629892401, - "start_date": "2025-01-02", - "total_return_pct": -92.7, - "trades": 327, - "transaction_cost": 24.128499546306248, - "turnover_multiple": 8.238694410555693, - "underwater_pct": 99.2094861660079, - "win_rate": 16.2 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.6426, - "avg_gross_exposure_pct": 61.3574, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9877279504530336, - "cagr_pct": -90.9, - "calmar": -0.98, - "capacity_opportunities": 26157, - "end_date": "2026-01-05", - "ev_net_r": -0.6983662148542505, - "ev_without_best": { - "1": -0.7224752152837579, - "10": -0.8356243686364977, - "5": -0.7806929831346742 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 42, - "trailing_stop": 81 - }, - "gain_to_pain": -0.9495733932828976, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 1469.14, - "measurement_start_positions": 15, - "opened_positions": 321, - "peak_positions": 15, - "profit_factor": 0.23763814733964064, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.21, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 25836, - "skipped_min_initial_risk": 0, - "sortino": -4.822010971559966, - "start_date": "2025-01-02", - "total_return_pct": -91.1, - "trades": 321, - "transaction_cost": 13.494174766558322, - "turnover_multiple": 9.185084312290403, - "underwater_pct": 98.81422924901186, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.5772, - "avg_gross_exposure_pct": 61.4228, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9877279504530336, - "cagr_pct": -91.2, - "calmar": -0.98, - "capacity_opportunities": 26157, - "end_date": "2026-01-05", - "ev_net_r": -0.7063519122349184, - "ev_without_best": { - "1": -0.7304338489046157, - "10": -0.8433283411743993, - "5": -0.788507193827343 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 42, - "trailing_stop": 81 - }, - "gain_to_pain": -0.9504500228600027, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 1443.43, - "measurement_start_positions": 15, - "opened_positions": 321, - "peak_positions": 15, - "profit_factor": 0.23411421072994376, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.25, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 25836, - "skipped_min_initial_risk": 0, - "sortino": -4.862620349758327, - "start_date": "2025-01-02", - "total_return_pct": -91.3, - "trades": 321, - "transaction_cost": 26.278160511784037, - "turnover_multiple": 9.102679212633808, - "underwater_pct": 98.81422924901186, - "win_rate": 16.8 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.6663, - "avg_gross_exposure_pct": 61.3337, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875372734918572, - "cagr_pct": -91.9, - "calmar": -0.99, - "capacity_opportunities": 26158, - "end_date": "2026-01-05", - "ev_net_r": -0.7007713586122702, - "ev_without_best": { - "1": -0.7245168517851944, - "10": -0.8359338183080267, - "5": -0.7818532417755224 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 186, - "time": 41, - "trailing_stop": 84 - }, - "gain_to_pain": -0.9516565702396825, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 1687.3, - "measurement_start_positions": 15, - "opened_positions": 326, - "peak_positions": 15, - "profit_factor": 0.23423212333198923, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 25832, - "skipped_min_initial_risk": 0, - "sortino": -5.270331459130298, - "start_date": "2025-01-02", - "total_return_pct": -92.0, - "trades": 326, - "transaction_cost": 14.347550520247593, - "turnover_multiple": 8.503259953919038, - "underwater_pct": 99.60474308300395, - "win_rate": 16.9 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.601, - "avg_gross_exposure_pct": 61.399, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875372734918572, - "cagr_pct": -92.1, - "calmar": -0.99, - "capacity_opportunities": 26158, - "end_date": "2026-01-05", - "ev_net_r": -0.708727125139846, - "ev_without_best": { - "1": -0.732445878823563, - "10": -0.8436113704855037, - "5": -0.789639726534646 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 186, - "time": 41, - "trailing_stop": 84 - }, - "gain_to_pain": -0.9524693463371022, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 1655.09, - "measurement_start_positions": 15, - "opened_positions": 326, - "peak_positions": 15, - "profit_factor": 0.2307577913706383, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.8, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 25832, - "skipped_min_initial_risk": 0, - "sortino": -5.311339642490924, - "start_date": "2025-01-02", - "total_return_pct": -92.3, - "trades": 326, - "transaction_cost": 27.891911342600114, - "turnover_multiple": 8.426101101027774, - "underwater_pct": 99.60474308300395, - "win_rate": 16.6 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.1773, - "avg_gross_exposure_pct": 61.8227, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9876604523227384, - "cagr_pct": -89.9, - "calmar": -0.99, - "capacity_opportunities": 26176, - "end_date": "2026-01-05", - "ev_net_r": -0.6204976761945756, - "ev_without_best": { - "1": -0.7007783352882585, - "10": -0.8294947034583577, - "5": -0.7750051767517993 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 185, - "time": 40, - "trailing_stop": 83 - }, - "gain_to_pain": -0.887688912997113, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 2896.41, - "measurement_start_positions": 15, - "opened_positions": 323, - "peak_positions": 15, - "profit_factor": 0.3235590185238411, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.01, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 25853, - "skipped_min_initial_risk": 0, - "sortino": -4.63624493634564, - "start_date": "2025-01-02", - "total_return_pct": -90.1, - "trades": 323, - "transaction_cost": 29.112754079031177, - "turnover_multiple": 10.05132356228268, - "underwater_pct": 99.60474308300395, - "win_rate": 18.0 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.1101, - "avg_gross_exposure_pct": 61.8899, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9876604523227384, - "cagr_pct": -90.2, - "calmar": -0.99, - "capacity_opportunities": 26176, - "end_date": "2026-01-05", - "ev_net_r": -0.6285750631046129, - "ev_without_best": { - "1": -0.7087851653985074, - "10": -0.8372895354896918, - "5": -0.7829081250077854 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 185, - "time": 40, - "trailing_stop": 83 - }, - "gain_to_pain": -0.8902599063331061, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.2, - "measurement_start_equity": 2855.52, - "measurement_start_positions": 15, - "opened_positions": 323, - "peak_positions": 15, - "profit_factor": 0.31941510063137096, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.06, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 25853, - "skipped_min_initial_risk": 0, - "sortino": -4.678451810928173, - "start_date": "2025-01-02", - "total_return_pct": -90.3, - "trades": 323, - "transaction_cost": 56.84594078778371, - "turnover_multiple": 9.953693335676814, - "underwater_pct": 99.60474308300395, - "win_rate": 17.6 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 37.8153, - "avg_gross_exposure_pct": 62.1847, - "avg_hold_days": 11.0, - "avg_positions": 15.0, - "blocked_fraction": 0.9874148879198225, - "cagr_pct": -93.1, - "calmar": -0.98, - "capacity_opportunities": 26142, - "end_date": "2026-01-05", - "ev_net_r": -0.7575847478742936, - "ev_without_best": { - "1": -0.7812862682110693, - "10": -0.8921382005338397, - "5": -0.8387926226943987 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 195, - "time": 39, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9530598087666934, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 94.7, - "measurement_start_equity": 3788.78, - "measurement_start_positions": 15, - "opened_positions": 329, - "peak_positions": 15, - "profit_factor": 0.21079480352616958, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.79, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 25813, - "skipped_min_initial_risk": 0, - "sortino": -5.281612550772606, - "start_date": "2025-01-02", - "total_return_pct": -93.2, - "trades": 329, - "transaction_cost": 31.772517925736548, - "turnover_multiple": 8.385949547278159, - "underwater_pct": 98.81422924901186, - "win_rate": 15.8 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 37.7439, - "avg_gross_exposure_pct": 62.2561, - "avg_hold_days": 11.0, - "avg_positions": 15.0, - "blocked_fraction": 0.9874148879198225, - "cagr_pct": -93.3, - "calmar": -0.98, - "capacity_opportunities": 26142, - "end_date": "2026-01-05", - "ev_net_r": -0.7656097517957666, - "ev_without_best": { - "1": -0.7892849883014493, - "10": -0.8998624012333685, - "5": -0.8466509807495024 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 195, - "time": 39, - "trailing_stop": 80 - }, - "gain_to_pain": -0.95381054370313, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 94.8, - "measurement_start_equity": 3729.95, - "measurement_start_positions": 15, - "opened_positions": 329, - "peak_positions": 15, - "profit_factor": 0.20769424407832227, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.84, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 25813, - "skipped_min_initial_risk": 0, - "sortino": -5.32026371130412, - "start_date": "2025-01-02", - "total_return_pct": -93.4, - "trades": 329, - "transaction_cost": 62.00304804231397, - "turnover_multiple": 8.311511956234531, - "underwater_pct": 98.81422924901186, - "win_rate": 15.5 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-08|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.1772, - "avg_gross_exposure_pct": 61.8228, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9876604523227384, - "cagr_pct": -89.9, - "calmar": -0.99, - "capacity_opportunities": 26176, - "end_date": "2026-01-05", - "ev_net_r": -0.6204976761945756, - "ev_without_best": { - "1": -0.7007783352882585, - "10": -0.8294947034583575, - "5": -0.7750051767517993 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 185, - "time": 40, - "trailing_stop": 83 - }, - "gain_to_pain": -0.8876637251056329, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 2840.28, - "measurement_start_positions": 15, - "opened_positions": 323, - "peak_positions": 15, - "profit_factor": 0.3235590185238411, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.01, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 25853, - "skipped_min_initial_risk": 0, - "sortino": -4.636214472627495, - "start_date": "2025-01-02", - "total_return_pct": -90.1, - "trades": 323, - "transaction_cost": 28.549026634249614, - "turnover_multiple": 10.051483175690288, - "underwater_pct": 99.60474308300395, - "win_rate": 18.0 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-08|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.11, - "avg_gross_exposure_pct": 61.89, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9876604523227384, - "cagr_pct": -90.2, - "calmar": -0.99, - "capacity_opportunities": 26176, - "end_date": "2026-01-05", - "ev_net_r": -0.6285750631046129, - "ev_without_best": { - "1": -0.7087851653985074, - "10": -0.8372895354896918, - "5": -0.7829081250077853 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 185, - "time": 40, - "trailing_stop": 83 - }, - "gain_to_pain": -0.8902438225724735, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.2, - "measurement_start_equity": 2799.97, - "measurement_start_positions": 15, - "opened_positions": 323, - "peak_positions": 15, - "profit_factor": 0.31941510063137096, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.06, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 25853, - "skipped_min_initial_risk": 0, - "sortino": -4.678421026100705, - "start_date": "2025-01-02", - "total_return_pct": -90.3, - "trades": 323, - "transaction_cost": 55.74115524748665, - "turnover_multiple": 9.953884371526597, - "underwater_pct": 99.60474308300395, - "win_rate": 17.6 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-09|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.8464, - "avg_gross_exposure_pct": 61.1536, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9875755027142747, - "cagr_pct": -91.7, - "calmar": -0.98, - "capacity_opportunities": 26158, - "end_date": "2026-01-05", - "ev_net_r": -0.7107859809245994, - "ev_without_best": { - "1": -0.7346356719848238, - "10": -0.8466954523118451, - "5": -0.7922777234463668 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 186, - "time": 42, - "trailing_stop": 82 - }, - "gain_to_pain": -0.9496979680866695, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 3159.0, - "measurement_start_positions": 15, - "opened_positions": 325, - "peak_positions": 15, - "profit_factor": 0.23240097232087154, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.41, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 25833, - "skipped_min_initial_risk": 0, - "sortino": -5.027496970716156, - "start_date": "2025-01-02", - "total_return_pct": -91.9, - "trades": 325, - "transaction_cost": 26.962197517432017, - "turnover_multiple": 8.535041949171262, - "underwater_pct": 98.81422924901186, - "win_rate": 16.9 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-09|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.7805, - "avg_gross_exposure_pct": 61.2195, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9875755027142747, - "cagr_pct": -92.0, - "calmar": -0.98, - "capacity_opportunities": 26158, - "end_date": "2026-01-05", - "ev_net_r": -0.7186822704164857, - "ev_without_best": { - "1": -0.7425049558871173, - "10": -0.8543107560736101, - "5": -0.8000032728355919 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 186, - "time": 42, - "trailing_stop": 82 - }, - "gain_to_pain": -0.9505484990157939, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 3115.29, - "measurement_start_positions": 15, - "opened_positions": 325, - "peak_positions": 15, - "profit_factor": 0.22901218002417623, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.46, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 25833, - "skipped_min_initial_risk": 0, - "sortino": -5.066842816653888, - "start_date": "2025-01-02", - "total_return_pct": -92.1, - "trades": 325, - "transaction_cost": 52.6948131583208, - "turnover_multiple": 8.45744909114734, - "underwater_pct": 98.81422924901186, - "win_rate": 16.6 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-10|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.2042, - "avg_gross_exposure_pct": 61.7958, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875028663150653, - "cagr_pct": -92.5, - "calmar": -0.99, - "capacity_opportunities": 26166, - "end_date": "2026-01-05", - "ev_net_r": -0.7141798436842985, - "ev_without_best": { - "1": -0.7378936282434164, - "10": -0.8493389039826562, - "5": -0.7952181260469199 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 188, - "time": 41, - "trailing_stop": 83 - }, - "gain_to_pain": -0.9513995590933807, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 3176.22, - "measurement_start_positions": 15, - "opened_positions": 327, - "peak_positions": 15, - "profit_factor": 0.23004595667330538, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.92, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 25839, - "skipped_min_initial_risk": 0, - "sortino": -5.43224858914149, - "start_date": "2025-01-02", - "total_return_pct": -92.6, - "trades": 327, - "transaction_cost": 26.362415783957985, - "turnover_multiple": 8.299933815654454, - "underwater_pct": 99.2094861660079, - "win_rate": 16.8 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-10|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.1367, - "avg_gross_exposure_pct": 61.8633, - "avg_hold_days": 11.1, - "avg_positions": 15.0, - "blocked_fraction": 0.9875028663150653, - "cagr_pct": -92.7, - "calmar": -0.99, - "capacity_opportunities": 26166, - "end_date": "2026-01-05", - "ev_net_r": -0.7222400959808444, - "ev_without_best": { - "1": -0.7459275435822217, - "10": -0.8571251156579353, - "5": -0.80311124474462 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 188, - "time": 41, - "trailing_stop": 83 - }, - "gain_to_pain": -0.952191799801553, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 3138.52, - "measurement_start_positions": 15, - "opened_positions": 327, - "peak_positions": 15, - "profit_factor": 0.2266313486321341, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.97, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 25839, - "skipped_min_initial_risk": 0, - "sortino": -5.472832496998345, - "start_date": "2025-01-02", - "total_return_pct": -92.8, - "trades": 327, - "transaction_cost": 51.62167817177475, - "turnover_multiple": 8.223888675518198, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-11|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.2122, - "avg_gross_exposure_pct": 61.7878, - "avg_hold_days": 11.4, - "avg_positions": 14.9881, - "blocked_fraction": 0.98779734321903, - "cagr_pct": -90.5, - "calmar": -0.97, - "capacity_opportunities": 25896, - "end_date": "2026-01-05", - "ev_net_r": -0.696638256301221, - "ev_without_best": { - "1": -0.7211244536945205, - "10": -0.8504623693076262, - "5": -0.789106828240518 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 179, - "time": 40, - "trailing_stop": 83 - }, - "gain_to_pain": -0.9596085039735409, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 3161.79, - "measurement_start_positions": 15, - "opened_positions": 316, - "peak_positions": 15, - "profit_factor": 0.24458706403093972, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.22, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 25580, - "skipped_min_initial_risk": 0, - "sortino": -4.765144367456942, - "start_date": "2025-01-02", - "total_return_pct": -90.7, - "trades": 316, - "transaction_cost": 30.10644673509145, - "turnover_multiple": 9.521962791675428, - "underwater_pct": 98.41897233201581, - "win_rate": 16.1 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-11|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.1459, - "avg_gross_exposure_pct": 61.8541, - "avg_hold_days": 11.4, - "avg_positions": 14.9881, - "blocked_fraction": 0.98779734321903, - "cagr_pct": -90.8, - "calmar": -0.97, - "capacity_opportunities": 25896, - "end_date": "2026-01-05", - "ev_net_r": -0.704712645756972, - "ev_without_best": { - "1": -0.7291716313691153, - "10": -0.8582238586621338, - "5": -0.7970565407104524 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 179, - "time": 40, - "trailing_stop": 83 - }, - "gain_to_pain": -0.9607109232528744, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 3124.25, - "measurement_start_positions": 15, - "opened_positions": 316, - "peak_positions": 15, - "profit_factor": 0.24107434572224978, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.26, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 25580, - "skipped_min_initial_risk": 0, - "sortino": -4.806361653927321, - "start_date": "2025-01-02", - "total_return_pct": -90.9, - "trades": 316, - "transaction_cost": 58.94765570542463, - "turnover_multiple": 9.433889046239038, - "underwater_pct": 98.41897233201581, - "win_rate": 15.8 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-12|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.2853, - "avg_gross_exposure_pct": 61.7147, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9877312337563063, - "cagr_pct": -91.8, - "calmar": -0.99, - "capacity_opportunities": 26164, - "end_date": "2026-01-05", - "ev_net_r": -0.7019982876501998, - "ev_without_best": { - "1": -0.7261186383071945, - "10": -0.839373228339069, - "5": -0.7843825254368882 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 41, - "trailing_stop": 82 - }, - "gain_to_pain": -0.949885991894165, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 4093.93, - "measurement_start_positions": 15, - "opened_positions": 321, - "peak_positions": 15, - "profit_factor": 0.23643429476478817, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.78, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 25843, - "skipped_min_initial_risk": 0, - "sortino": -5.289630195154789, - "start_date": "2025-01-02", - "total_return_pct": -92.0, - "trades": 321, - "transaction_cost": 35.342783984144596, - "turnover_multiple": 8.63297222574509, - "underwater_pct": 99.2094861660079, - "win_rate": 17.1 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-12|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.2186, - "avg_gross_exposure_pct": 61.7814, - "avg_hold_days": 11.2, - "avg_positions": 15.0, - "blocked_fraction": 0.9877312337563063, - "cagr_pct": -92.0, - "calmar": -0.99, - "capacity_opportunities": 26164, - "end_date": "2026-01-05", - "ev_net_r": -0.7100990644819567, - "ev_without_best": { - "1": -0.7341927110024259, - "10": -0.8471959806319532, - "5": -0.792313636458037 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 183, - "time": 41, - "trailing_stop": 82 - }, - "gain_to_pain": -0.9507360862550547, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 4052.75, - "measurement_start_positions": 15, - "opened_positions": 321, - "peak_positions": 15, - "profit_factor": 0.2329087576068458, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.82, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 25843, - "skipped_min_initial_risk": 0, - "sortino": -5.330825750852587, - "start_date": "2025-01-02", - "total_return_pct": -92.2, - "trades": 321, - "transaction_cost": 69.33199445731643, - "turnover_multiple": 8.553697422406566, - "underwater_pct": 99.2094861660079, - "win_rate": 16.8 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-13|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.9288, - "avg_gross_exposure_pct": 61.0712, - "avg_hold_days": 11.3, - "avg_positions": 15.0, - "blocked_fraction": 0.9877302958489412, - "cagr_pct": -91.9, - "calmar": -0.99, - "capacity_opportunities": 26162, - "end_date": "2026-01-05", - "ev_net_r": -0.7258244824440722, - "ev_without_best": { - "1": -0.7500192899597977, - "10": -0.8632794152145606, - "5": -0.8079104498618183 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 182, - "time": 42, - "trailing_stop": 82 - }, - "gain_to_pain": -0.9499705688669269, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 5112.79, - "measurement_start_positions": 15, - "opened_positions": 321, - "peak_positions": 15, - "profit_factor": 0.22539201377791757, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.91, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 25841, - "skipped_min_initial_risk": 0, - "sortino": -5.4691342389003905, - "start_date": "2025-01-02", - "total_return_pct": -92.1, - "trades": 321, - "transaction_cost": 43.586545167577796, - "turnover_multiple": 8.52500203755245, - "underwater_pct": 99.2094861660079, - "win_rate": 16.5 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-13|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.8639, - "avg_gross_exposure_pct": 61.1361, - "avg_hold_days": 11.3, - "avg_positions": 15.0, - "blocked_fraction": 0.9877302958489412, - "cagr_pct": -92.2, - "calmar": -0.99, - "capacity_opportunities": 26162, - "end_date": "2026-01-05", - "ev_net_r": -0.7338129007594135, - "ev_without_best": { - "1": -0.7579806530182497, - "10": -0.8709872944194824, - "5": -0.8157285054071557 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 182, - "time": 42, - "trailing_stop": 82 - }, - "gain_to_pain": -0.9508285360703334, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 5064.42, - "measurement_start_positions": 15, - "opened_positions": 321, - "peak_positions": 15, - "profit_factor": 0.22209104039663827, - "sessions_at_capacity": 252, - "sessions_measured": 252, - "sharpe": -4.96, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 25841, - "skipped_min_initial_risk": 0, - "sortino": -5.509492030288976, - "start_date": "2025-01-02", - "total_return_pct": -92.3, - "trades": 321, - "transaction_cost": 85.57855394686125, - "turnover_multiple": 8.44899849803741, - "underwater_pct": 99.2094861660079, - "win_rate": 16.2 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-14|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.8795, - "avg_gross_exposure_pct": 61.1205, - "avg_hold_days": 12.0, - "avg_positions": 14.9881, - "blocked_fraction": 0.9883994296065056, - "cagr_pct": -90.5, - "calmar": -0.98, - "capacity_opportunities": 25947, - "end_date": "2026-01-05", - "ev_net_r": -0.7257508585695954, - "ev_without_best": { - "1": -0.7515584078401211, - "10": -0.8783827464038944, - "5": -0.8226762115219874 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 167, - "time": 40, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9674493260495399, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 92.4, - "measurement_start_equity": 4388.51, - "measurement_start_positions": 15, - "opened_positions": 301, - "peak_positions": 15, - "profit_factor": 0.22174739399966023, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.41, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 25646, - "skipped_min_initial_risk": 0, - "sortino": -4.976883628211829, - "start_date": "2025-01-02", - "total_return_pct": -90.7, - "trades": 301, - "transaction_cost": 40.05247090708846, - "turnover_multiple": 9.126667344289624, - "underwater_pct": 98.41897233201581, - "win_rate": 15.9 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - }, - { - "arm_id": "cap15_incumbent", - "cell_id": "cap15_incumbent|warm_book|warm-2025-seed-14|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 38.8149, - "avg_gross_exposure_pct": 61.1851, - "avg_hold_days": 12.0, - "avg_positions": 14.9881, - "blocked_fraction": 0.9883994296065056, - "cagr_pct": -90.8, - "calmar": -0.98, - "capacity_opportunities": 25947, - "end_date": "2026-01-05", - "ev_net_r": -0.7336287508303112, - "ev_without_best": { - "1": -0.7594070727399729, - "10": -0.8860041744153084, - "5": -0.8304209433936796 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 167, - "time": 40, - "trailing_stop": 80 - }, - "gain_to_pain": -0.9683295354445296, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 4346.49, - "measurement_start_positions": 15, - "opened_positions": 301, - "peak_positions": 15, - "profit_factor": 0.21854757465583227, - "sessions_at_capacity": 249, - "sessions_measured": 252, - "sharpe": -4.46, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 25646, - "skipped_min_initial_risk": 0, - "sortino": -5.014985661549071, - "start_date": "2025-01-02", - "total_return_pct": -90.9, - "trades": 301, - "transaction_cost": 78.64253654065654, - "turnover_multiple": 9.046671744402556, - "underwater_pct": 98.41897233201581, - "win_rate": 15.6 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 0.5528, - "avg_gross_exposure_pct": 99.4472, - "avg_hold_days": 14.1, - "avg_positions": 13.6825, - "blocked_fraction": 0.0, - "cagr_pct": -55.3, - "calmar": -0.55, - "capacity_opportunities": 243, - "end_date": "2020-01-31", - "ev_net_r": -0.34229720544250075, - "ev_without_best": { - "1": -0.3775176040566779, - "10": -0.6168744531195153, - "5": -0.497981706607269 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 122, - "time": 40, - "trailing_stop": 69 - }, - "gain_to_pain": -0.8140633741706946, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 243, - "peak_positions": 18, - "profit_factor": 0.5955786531215422, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6572, - "sortino": 274.9708676650171, - "start_date": "2019-02-01", - "total_return_pct": -55.2, - "trades": 243, - "transaction_cost": 235.55274248232638, - "turnover_multiple": 23.55527424823264, - "underwater_pct": 97.23320158102767, - "win_rate": 24.3 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "metrics": { - "avg_cash_pct": 0.4725, - "avg_gross_exposure_pct": 99.5275, - "avg_hold_days": 13.5, - "avg_positions": 13.6111, - "blocked_fraction": 0.0, - "cagr_pct": -65.4, - "calmar": -0.65, - "capacity_opportunities": 253, - "end_date": "2020-01-31", - "ev_net_r": -0.45655236106437574, - "ev_without_best": { - "1": -0.49066988332779704, - "10": -0.7118122758387272, - "5": -0.605401831428802 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 133, - "time": 36, - "trailing_stop": 72 - }, - "gain_to_pain": -0.9434977116574607, - "longest_underwater_sessions": 184, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 253, - "peak_positions": 18, - "profit_factor": 0.4913313280358919, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6565, - "sortino": 273.97297498304454, - "start_date": "2019-02-01", - "total_return_pct": -65.2, - "trades": 253, - "transaction_cost": 466.35091387775344, - "turnover_multiple": 23.31754569388767, - "underwater_pct": 97.23320158102767, - "win_rate": 22.9 - }, - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 0.5026, - "avg_gross_exposure_pct": 99.4974, - "avg_hold_days": 12.1, - "avg_positions": 13.9722, - "blocked_fraction": 0.0, - "cagr_pct": -69.5, - "calmar": -0.7, - "capacity_opportunities": 280, - "end_date": "2020-02-28", - "ev_net_r": -0.4306526031516643, - "ev_without_best": { - "1": -0.49389399007293217, - "10": -0.750698727364579, - "5": -0.638625286010005 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 157, - "time": 34, - "trailing_stop": 72 - }, - "gain_to_pain": -0.8721515127948768, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 280, - "peak_positions": 19, - "profit_factor": 0.5243112995465409, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6003, - "sortino": 279.58489904213724, - "start_date": "2019-03-01", - "total_return_pct": -69.4, - "trades": 280, - "transaction_cost": 222.1551092779862, - "turnover_multiple": 22.21551092779862, - "underwater_pct": 97.23320158102767, - "win_rate": 19.6 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "metrics": { - "avg_cash_pct": 0.5057, - "avg_gross_exposure_pct": 99.4943, - "avg_hold_days": 12.7, - "avg_positions": 14.2976, - "blocked_fraction": 0.0, - "cagr_pct": -75.7, - "calmar": -0.76, - "capacity_opportunities": 273, - "end_date": "2020-02-28", - "ev_net_r": -0.544062542536911, - "ev_without_best": { - "1": -0.5925115561242911, - "10": -0.7731316911463983, - "5": -0.6942858992392421 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 144, - "time": 32, - "trailing_stop": 80 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 273, - "peak_positions": 20, - "profit_factor": 0.39528068470384453, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 5947, - "sortino": 278.73372521863456, - "start_date": "2019-03-01", - "total_return_pct": -75.5, - "trades": 273, - "transaction_cost": 413.11942211092554, - "turnover_multiple": 20.65597110554628, - "underwater_pct": 97.23320158102767, - "win_rate": 20.9 - }, - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 1.9685, - "avg_gross_exposure_pct": 98.0315, - "avg_hold_days": 11.8, - "avg_positions": 13.9444, - "blocked_fraction": 0.0, - "cagr_pct": -70.8, - "calmar": -0.71, - "capacity_opportunities": 284, - "end_date": "2020-03-30", - "ev_net_r": -0.4511266537255943, - "ev_without_best": { - "1": -0.5135465159220877, - "10": -0.7229456358823693, - "5": -0.6322154313270004 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 162, - "time": 31, - "trailing_stop": 72 - }, - "gain_to_pain": -0.8157765626306969, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 19, - "profit_factor": 0.4786326926931005, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 5592, - "sortino": 346.68375569303964, - "start_date": "2019-04-01", - "total_return_pct": -70.7, - "trades": 284, - "transaction_cost": 220.04316331236575, - "turnover_multiple": 22.004316331236573, - "underwater_pct": 95.25691699604744, - "win_rate": 21.1 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "metrics": { - "avg_cash_pct": 1.9851, - "avg_gross_exposure_pct": 98.0149, - "avg_hold_days": 11.7, - "avg_positions": 13.746, - "blocked_fraction": 0.0, - "cagr_pct": -70.2, - "calmar": -0.7, - "capacity_opportunities": 283, - "end_date": "2020-03-30", - "ev_net_r": -0.4317329101444415, - "ev_without_best": { - "1": -0.49415137885827254, - "10": -0.7041363950661539, - "5": -0.6092547980016788 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 162, - "time": 28, - "trailing_stop": 74 - }, - "gain_to_pain": -0.8126399681678611, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 283, - "peak_positions": 20, - "profit_factor": 0.5064506130546194, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2019-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 5576, - "sortino": 347.7892055300459, - "start_date": "2019-04-01", - "total_return_pct": -70.0, - "trades": 283, - "transaction_cost": 444.51883820943306, - "turnover_multiple": 22.225941910471654, - "underwater_pct": 95.25691699604744, - "win_rate": 21.9 - }, - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 1.9782, - "avg_gross_exposure_pct": 98.0218, - "avg_hold_days": 11.9, - "avg_positions": 14.1706, - "blocked_fraction": 0.0, - "cagr_pct": -77.4, - "calmar": -0.96, - "capacity_opportunities": 284, - "end_date": "2020-04-29", - "ev_net_r": -0.5292000829905987, - "ev_without_best": { - "1": -0.5628327745587178, - "10": -0.7542912357934515, - "5": -0.6680501737264476 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 168, - "time": 29, - "trailing_stop": 68 - }, - "gain_to_pain": -0.8499644742971801, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 81.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 20, - "profit_factor": 0.4277980801555247, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.22, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6013, - "sortino": -3.7603366224875745, - "start_date": "2019-05-01", - "total_return_pct": -77.3, - "trades": 284, - "transaction_cost": 163.16700522200773, - "turnover_multiple": 16.316700522200772, - "underwater_pct": 98.81422924901186, - "win_rate": 22.9 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "metrics": { - "avg_cash_pct": 2.0062, - "avg_gross_exposure_pct": 97.9938, - "avg_hold_days": 12.1, - "avg_positions": 14.127, - "blocked_fraction": 0.0, - "cagr_pct": -74.3, - "calmar": -0.94, - "capacity_opportunities": 280, - "end_date": "2020-04-29", - "ev_net_r": -0.49381716158901584, - "ev_without_best": { - "1": -0.5408705175561107, - "10": -0.7398551396391377, - "5": -0.6473267873480494 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 164, - "time": 29, - "trailing_stop": 68 - }, - "gain_to_pain": -0.8044549189314204, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 78.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 280, - "peak_positions": 20, - "profit_factor": 0.4678208683672412, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.81, - "simulation_start_date": "2019-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6000, - "sortino": -3.347449273051478, - "start_date": "2019-05-01", - "total_return_pct": -74.2, - "trades": 280, - "transaction_cost": 334.0412803064803, - "turnover_multiple": 16.702064015324012, - "underwater_pct": 98.81422924901186, - "win_rate": 23.6 - }, - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 2.4436, - "avg_gross_exposure_pct": 97.5564, - "avg_hold_days": 12.7, - "avg_positions": 14.2262, - "blocked_fraction": 0.0, - "cagr_pct": -57.2, - "calmar": -0.83, - "capacity_opportunities": 280, - "end_date": "2020-06-01", - "ev_net_r": -0.2954130868326906, - "ev_without_best": { - "1": -0.3286743079393287, - "10": -0.5570016265952425, - "5": -0.44521345716661015 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 148, - "time": 35, - "trailing_stop": 76 - }, - "gain_to_pain": -0.6404748938726781, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 69.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 280, - "peak_positions": 23, - "profit_factor": 0.6344278089719916, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.84, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6745, - "sortino": -2.3533568152035125, - "start_date": "2019-06-03", - "total_return_pct": -57.1, - "trades": 280, - "transaction_cost": 209.39257702508363, - "turnover_multiple": 20.93925770250836, - "underwater_pct": 98.02371541501977, - "win_rate": 25.7 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "metrics": { - "avg_cash_pct": 2.2696, - "avg_gross_exposure_pct": 97.7304, - "avg_hold_days": 13.1, - "avg_positions": 14.3333, - "blocked_fraction": 0.0, - "cagr_pct": -49.4, - "calmar": -0.78, - "capacity_opportunities": 275, - "end_date": "2020-06-01", - "ev_net_r": -0.23983958834926444, - "ev_without_best": { - "1": -0.3033801535153418, - "10": -0.5415221571605165, - "5": -0.42838722945999386 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 143, - "time": 35, - "trailing_stop": 76 - }, - "gain_to_pain": -0.5217242859867893, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 63.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 275, - "peak_positions": 23, - "profit_factor": 0.703254781368445, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.29, - "simulation_start_date": "2019-06-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6742, - "sortino": -1.7684738689805568, - "start_date": "2019-06-03", - "total_return_pct": -49.2, - "trades": 275, - "transaction_cost": 430.38947731377425, - "turnover_multiple": 21.519473865688713, - "underwater_pct": 98.02371541501977, - "win_rate": 27.6 - }, - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 2.0601, - "avg_gross_exposure_pct": 97.9399, - "avg_hold_days": 13.2, - "avg_positions": 14.8651, - "blocked_fraction": 0.0, - "cagr_pct": -34.8, - "calmar": -0.58, - "capacity_opportunities": 283, - "end_date": "2020-06-29", - "ev_net_r": -0.124972682848177, - "ev_without_best": { - "1": -0.16227291709231637, - "10": -0.40018819238556813, - "5": -0.2840294664826255 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 142, - "time": 45, - "trailing_stop": 74 - }, - "gain_to_pain": -0.29720671998911047, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 60.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 283, - "peak_positions": 23, - "profit_factor": 0.8377407859873371, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.72, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7332, - "sortino": -0.9994994335331969, - "start_date": "2019-07-01", - "total_return_pct": -34.7, - "trades": 283, - "transaction_cost": 227.52421324755355, - "turnover_multiple": 22.752421324755357, - "underwater_pct": 98.81422924901186, - "win_rate": 30.0 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "metrics": { - "avg_cash_pct": 2.1256, - "avg_gross_exposure_pct": 97.8744, - "avg_hold_days": 13.1, - "avg_positions": 15.5714, - "blocked_fraction": 0.0, - "cagr_pct": -35.4, - "calmar": -0.58, - "capacity_opportunities": 282, - "end_date": "2020-06-29", - "ev_net_r": -0.10469090211908101, - "ev_without_best": { - "1": -0.166167650052444, - "10": -0.4234716708604009, - "5": -0.3085036424015961 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 140, - "time": 42, - "trailing_stop": 79 - }, - "gain_to_pain": -0.329727692013366, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 60.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 282, - "peak_positions": 24, - "profit_factor": 0.8652356330101617, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.72, - "simulation_start_date": "2019-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7303, - "sortino": -1.0055030058250827, - "start_date": "2019-07-01", - "total_return_pct": -35.3, - "trades": 282, - "transaction_cost": 446.08668531112886, - "turnover_multiple": 22.30433426555644, - "underwater_pct": 98.81422924901186, - "win_rate": 29.8 - }, - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 2.1994, - "avg_gross_exposure_pct": 97.8006, - "avg_hold_days": 13.5, - "avg_positions": 16.8452, - "blocked_fraction": 0.0, - "cagr_pct": -35.8, - "calmar": -0.59, - "capacity_opportunities": 296, - "end_date": "2020-07-30", - "ev_net_r": -0.10260139160241177, - "ev_without_best": { - "1": -0.1613006991938846, - "10": -0.40305888361482733, - "5": -0.2930652199752609 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 145, - "time": 49, - "trailing_stop": 83 - }, - "gain_to_pain": -0.2860075593769011, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 61.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 296, - "peak_positions": 24, - "profit_factor": 0.8587473972635993, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.72, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7684, - "sortino": -1.0850822561122515, - "start_date": "2019-08-01", - "total_return_pct": -35.7, - "trades": 296, - "transaction_cost": 219.94073450335603, - "turnover_multiple": 21.994073450335605, - "underwater_pct": 99.60474308300395, - "win_rate": 28.4 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "metrics": { - "avg_cash_pct": 2.1252, - "avg_gross_exposure_pct": 97.8748, - "avg_hold_days": 13.4, - "avg_positions": 16.7619, - "blocked_fraction": 0.0, - "cagr_pct": -28.7, - "calmar": -0.46, - "capacity_opportunities": 296, - "end_date": "2020-07-30", - "ev_net_r": -0.07934656462394053, - "ev_without_best": { - "1": -0.137819858968957, - "10": -0.40807616166904404, - "5": -0.2834824661249918 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 147, - "time": 48, - "trailing_stop": 81 - }, - "gain_to_pain": -0.1563892828705123, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 62.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 296, - "peak_positions": 23, - "profit_factor": 0.8943343438672515, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.5, - "simulation_start_date": "2019-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7705, - "sortino": -0.7560438472325928, - "start_date": "2019-08-01", - "total_return_pct": -28.7, - "trades": 296, - "transaction_cost": 436.75919346655127, - "turnover_multiple": 21.837959673327564, - "underwater_pct": 99.60474308300395, - "win_rate": 26.7 - }, - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 2.4874, - "avg_gross_exposure_pct": 97.5126, - "avg_hold_days": 13.3, - "avg_positions": 16.2024, - "blocked_fraction": 0.0, - "cagr_pct": -25.1, - "calmar": -0.5, - "capacity_opportunities": 305, - "end_date": "2020-08-31", - "ev_net_r": -0.032254446142956146, - "ev_without_best": { - "1": -0.08898454086014375, - "10": -0.33397627083524994, - "5": -0.22381993925431554 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 144, - "time": 53, - "trailing_stop": 92 - }, - "gain_to_pain": -0.14500760743510024, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 50.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 305, - "peak_positions": 23, - "profit_factor": 0.9529856650346992, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.35, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8145, - "sortino": -0.537312424007727, - "start_date": "2019-09-03", - "total_return_pct": -25.0, - "trades": 305, - "transaction_cost": 277.52115532476995, - "turnover_multiple": 27.752115532476996, - "underwater_pct": 98.81422924901186, - "win_rate": 27.9 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "metrics": { - "avg_cash_pct": 2.266, - "avg_gross_exposure_pct": 97.734, - "avg_hold_days": 13.1, - "avg_positions": 16.496, - "blocked_fraction": 0.0, - "cagr_pct": -32.4, - "calmar": -0.63, - "capacity_opportunities": 315, - "end_date": "2020-08-31", - "ev_net_r": -0.07269648866742554, - "ev_without_best": { - "1": -0.12761041145667185, - "10": -0.36438518450981094, - "5": -0.2582627656251718 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 159, - "time": 50, - "trailing_stop": 89 - }, - "gain_to_pain": -0.2191433713690903, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 51.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 315, - "peak_positions": 23, - "profit_factor": 0.899430225021454, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.55, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8125, - "sortino": -0.8176112873011335, - "start_date": "2019-09-03", - "total_return_pct": -32.2, - "trades": 315, - "transaction_cost": 551.4444756386645, - "turnover_multiple": 27.57222378193322, - "underwater_pct": 98.81422924901186, - "win_rate": 27.0 - }, - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 2.0916, - "avg_gross_exposure_pct": 97.9084, - "avg_hold_days": 13.7, - "avg_positions": 16.3214, - "blocked_fraction": 0.0, - "cagr_pct": -12.0, - "calmar": -0.27, - "capacity_opportunities": 298, - "end_date": "2020-09-29", - "ev_net_r": -0.027243456581448548, - "ev_without_best": { - "1": -0.07000908917765535, - "10": -0.3226990435949148, - "5": -0.21035393211771347 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 137, - "time": 46, - "trailing_stop": 98 - }, - "gain_to_pain": -0.041475240842333665, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 43.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 298, - "peak_positions": 23, - "profit_factor": 0.9595047937675819, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.01, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8039, - "sortino": -0.02073111844278167, - "start_date": "2019-10-01", - "total_return_pct": -11.9, - "trades": 298, - "transaction_cost": 317.92615573810576, - "turnover_multiple": 31.792615573810572, - "underwater_pct": 96.83794466403161, - "win_rate": 30.9 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "metrics": { - "avg_cash_pct": 2.0737, - "avg_gross_exposure_pct": 97.9263, - "avg_hold_days": 13.6, - "avg_positions": 16.1786, - "blocked_fraction": 0.0, - "cagr_pct": -20.1, - "calmar": -0.49, - "capacity_opportunities": 299, - "end_date": "2020-09-29", - "ev_net_r": -0.05518949664921931, - "ev_without_best": { - "1": -0.09777090151458738, - "10": -0.34082194491471474, - "5": -0.2376995795516935 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 147, - "time": 45, - "trailing_stop": 90 - }, - "gain_to_pain": -0.145403108421821, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 41.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 299, - "peak_positions": 23, - "profit_factor": 0.9209243276168222, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.23, - "simulation_start_date": "2019-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8070, - "sortino": -0.34136881405642133, - "start_date": "2019-10-01", - "total_return_pct": -20.0, - "trades": 299, - "transaction_cost": 613.9788741996598, - "turnover_multiple": 30.69894370998299, - "underwater_pct": 96.83794466403161, - "win_rate": 30.4 - }, - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 2.1629, - "avg_gross_exposure_pct": 97.8371, - "avg_hold_days": 13.9, - "avg_positions": 17.2024, - "blocked_fraction": 0.0, - "cagr_pct": -12.8, - "calmar": -0.3, - "capacity_opportunities": 310, - "end_date": "2020-10-30", - "ev_net_r": 0.014557985175445907, - "ev_without_best": { - "1": -0.04110265030256903, - "10": -0.29070281608019327, - "5": -0.17876037009717752 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 138, - "time": 56, - "trailing_stop": 97 - }, - "gain_to_pain": -0.006082611321549016, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 42.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 310, - "peak_positions": 23, - "profit_factor": 1.0216311675326302, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.03, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8582, - "sortino": 0.04551164760347079, - "start_date": "2019-11-01", - "total_return_pct": -12.8, - "trades": 310, - "transaction_cost": 369.3159862944719, - "turnover_multiple": 36.93159862944719, - "underwater_pct": 94.86166007905138, - "win_rate": 30.3 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "metrics": { - "avg_cash_pct": 2.172, - "avg_gross_exposure_pct": 97.828, - "avg_hold_days": 14.0, - "avg_positions": 17.1865, - "blocked_fraction": 0.0, - "cagr_pct": -16.6, - "calmar": -0.38, - "capacity_opportunities": 309, - "end_date": "2020-10-30", - "ev_net_r": -0.0004067158717993574, - "ev_without_best": { - "1": -0.05615568334916207, - "10": -0.3062868267930942, - "5": -0.19412037343045124 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 139, - "time": 56, - "trailing_stop": 97 - }, - "gain_to_pain": -0.05525295171986784, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 43.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 309, - "peak_positions": 23, - "profit_factor": 0.9994067847309963, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.04, - "simulation_start_date": "2019-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8588, - "sortino": -0.06364213780070853, - "start_date": "2019-11-01", - "total_return_pct": -16.5, - "trades": 309, - "transaction_cost": 726.6586278394491, - "turnover_multiple": 36.33293139197245, - "underwater_pct": 95.25691699604744, - "win_rate": 30.1 - }, - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 2.1882, - "avg_gross_exposure_pct": 97.8118, - "avg_hold_days": 14.8, - "avg_positions": 17.7579, - "blocked_fraction": 0.0, - "cagr_pct": 21.8, - "calmar": 0.53, - "capacity_opportunities": 300, - "end_date": "2020-11-30", - "ev_net_r": 0.08892219046163537, - "ev_without_best": { - "1": 0.04895167714382924, - "10": -0.20430465760444905, - "5": -0.07893128179389315 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 136, - "time": 53, - "trailing_stop": 90 - }, - "gain_to_pain": 0.5424996185302912, - "longest_underwater_sessions": 93, - "max_drawdown_pct": 41.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 300, - "peak_positions": 23, - "profit_factor": 1.1362725200558432, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.64, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8816, - "sortino": 0.9340005186837506, - "start_date": "2019-12-02", - "total_return_pct": 21.7, - "trades": 300, - "transaction_cost": 328.92015825292054, - "turnover_multiple": 32.892015825292056, - "underwater_pct": 92.4901185770751, - "win_rate": 34.3 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2019-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "metrics": { - "avg_cash_pct": 2.2229, - "avg_gross_exposure_pct": 97.7771, - "avg_hold_days": 14.9, - "avg_positions": 18.1706, - "blocked_fraction": 0.0, - "cagr_pct": -0.3, - "calmar": -0.01, - "capacity_opportunities": 306, - "end_date": "2020-11-30", - "ev_net_r": 0.02539759369673558, - "ev_without_best": { - "1": -0.013914662398956642, - "10": -0.262137410522236, - "5": -0.1397414964409045 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 133, - "time": 54, - "trailing_stop": 99 - }, - "gain_to_pain": 0.2135289419366755, - "longest_underwater_sessions": 93, - "max_drawdown_pct": 45.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 306, - "peak_positions": 24, - "profit_factor": 1.0383039637204956, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.28, - "simulation_start_date": "2019-12-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8800, - "sortino": 0.38831280693305126, - "start_date": "2019-12-02", - "total_return_pct": -0.3, - "trades": 306, - "transaction_cost": 621.3022690409348, - "turnover_multiple": 31.065113452046738, - "underwater_pct": 93.2806324110672, - "win_rate": 32.7 - }, - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0393, - "avg_gross_exposure_pct": 97.9607, - "avg_hold_days": 13.9, - "avg_positions": 17.9921, - "blocked_fraction": 0.0, - "cagr_pct": -15.1, - "calmar": -0.32, - "capacity_opportunities": 324, - "end_date": "2020-12-30", - "ev_net_r": 0.009778651327805895, - "ev_without_best": { - "1": -0.028468938037630037, - "10": -0.2854331255471105, - "5": -0.15549399769700864 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 147, - "time": 56, - "trailing_stop": 105 - }, - "gain_to_pain": 0.022709319616365662, - "longest_underwater_sessions": 115, - "max_drawdown_pct": 47.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 324, - "peak_positions": 23, - "profit_factor": 1.0145498352977596, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.02, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9081, - "sortino": -0.0352687195905234, - "start_date": "2020-01-02", - "total_return_pct": -15.0, - "trades": 324, - "transaction_cost": 296.4376922142079, - "turnover_multiple": 29.64376922142079, - "underwater_pct": 96.44268774703558, - "win_rate": 31.5 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0323, - "avg_gross_exposure_pct": 97.9677, - "avg_hold_days": 14.0, - "avg_positions": 17.9444, - "blocked_fraction": 0.0, - "cagr_pct": -18.7, - "calmar": -0.39, - "capacity_opportunities": 322, - "end_date": "2020-12-30", - "ev_net_r": -0.004675093507573375, - "ev_without_best": { - "1": -0.04313075043057843, - "10": -0.3015297976395841, - "5": -0.170829705575322 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 146, - "time": 56, - "trailing_stop": 105 - }, - "gain_to_pain": -0.020792845118808346, - "longest_underwater_sessions": 116, - "max_drawdown_pct": 47.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 322, - "peak_positions": 23, - "profit_factor": 0.9931418152784454, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.1, - "simulation_start_date": "2020-01-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9089, - "sortino": -0.1444097562677137, - "start_date": "2020-01-02", - "total_return_pct": -18.6, - "trades": 322, - "transaction_cost": 582.2142669072298, - "turnover_multiple": 29.11071334536149, - "underwater_pct": 96.83794466403161, - "win_rate": 31.4 - }, - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 1.9573, - "avg_gross_exposure_pct": 98.0427, - "avg_hold_days": 14.8, - "avg_positions": 18.5794, - "blocked_fraction": 0.0, - "cagr_pct": 72.4, - "calmar": 1.76, - "capacity_opportunities": 316, - "end_date": "2021-02-01", - "ev_net_r": 0.2946069911925717, - "ev_without_best": { - "1": 0.15734669298024892, - "10": -0.12067580263502269, - "5": 0.0109670386980942 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 133, - "time": 68, - "trailing_stop": 95 - }, - "gain_to_pain": 1.119179901055791, - "longest_underwater_sessions": 119, - "max_drawdown_pct": 41.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 316, - "peak_positions": 23, - "profit_factor": 1.4762493898337785, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 1.21, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9550, - "sortino": 1.815887493149694, - "start_date": "2020-02-03", - "total_return_pct": 72.0, - "trades": 316, - "transaction_cost": 339.5034172315981, - "turnover_multiple": 33.95034172315981, - "underwater_pct": 94.0711462450593, - "win_rate": 35.8 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "metrics": { - "avg_cash_pct": 1.9569, - "avg_gross_exposure_pct": 98.0431, - "avg_hold_days": 14.8, - "avg_positions": 18.4921, - "blocked_fraction": 0.0, - "cagr_pct": 48.1, - "calmar": 1.14, - "capacity_opportunities": 313, - "end_date": "2021-02-01", - "ev_net_r": 0.19824584510401735, - "ev_without_best": { - "1": 0.11957515688141399, - "10": -0.14698229003172164, - "5": -0.01939307013352098 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 136, - "time": 68, - "trailing_stop": 91 - }, - "gain_to_pain": 0.804145150268491, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 42.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 313, - "peak_positions": 23, - "profit_factor": 1.3071106723193653, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.96, - "simulation_start_date": "2020-02-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9569, - "sortino": 1.3783801697504192, - "start_date": "2020-02-03", - "total_return_pct": 47.9, - "trades": 313, - "transaction_cost": 641.783602516207, - "turnover_multiple": 32.089180125810344, - "underwater_pct": 94.46640316205533, - "win_rate": 34.2 - }, - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 1.7559, - "avg_gross_exposure_pct": 98.2441, - "avg_hold_days": 14.7, - "avg_positions": 18.619, - "blocked_fraction": 0.0, - "cagr_pct": 53.3, - "calmar": 1.22, - "capacity_opportunities": 318, - "end_date": "2021-03-01", - "ev_net_r": 0.1978356329990825, - "ev_without_best": { - "1": 0.1253331944742965, - "10": -0.14724288369482516, - "5": -0.019016908123595723 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 141, - "time": 66, - "trailing_stop": 92 - }, - "gain_to_pain": 0.9145266881962415, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 43.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 318, - "peak_positions": 23, - "profit_factor": 1.2921208388729937, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 1.03, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10295, - "sortino": 1.5204481672591847, - "start_date": "2020-03-02", - "total_return_pct": 53.0, - "trades": 318, - "transaction_cost": 352.7202115978643, - "turnover_multiple": 35.272021159786426, - "underwater_pct": 91.699604743083, - "win_rate": 33.6 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "metrics": { - "avg_cash_pct": 1.7871, - "avg_gross_exposure_pct": 98.2129, - "avg_hold_days": 14.8, - "avg_positions": 18.7063, - "blocked_fraction": 0.0, - "cagr_pct": 45.7, - "calmar": 1.0, - "capacity_opportunities": 317, - "end_date": "2021-03-01", - "ev_net_r": 0.2597781363316484, - "ev_without_best": { - "1": 0.16868603051442205, - "10": -0.15252777536090562, - "5": -0.017101782768717568 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 135, - "time": 70, - "trailing_stop": 93 - }, - "gain_to_pain": 0.799564099266193, - "longest_underwater_sessions": 137, - "max_drawdown_pct": 45.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 24, - "profit_factor": 1.3773876916086918, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.91, - "simulation_start_date": "2020-03-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10256, - "sortino": 1.321917505767337, - "start_date": "2020-03-02", - "total_return_pct": 45.5, - "trades": 317, - "transaction_cost": 714.6383875848469, - "turnover_multiple": 35.73191937924235, - "underwater_pct": 93.2806324110672, - "win_rate": 35.0 - }, - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 0.3891, - "avg_gross_exposure_pct": 99.6109, - "avg_hold_days": 15.6, - "avg_positions": 18.2421, - "blocked_fraction": 0.0, - "cagr_pct": 30.1, - "calmar": 0.66, - "capacity_opportunities": 293, - "end_date": "2021-03-31", - "ev_net_r": 0.14483155486473423, - "ev_without_best": { - "1": 0.06594019496579068, - "10": -0.2533448252858113, - "5": -0.12298732047036236 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 121, - "time": 57, - "trailing_stop": 96 - }, - "gain_to_pain": 0.8103213380673948, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 45.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 293, - "peak_positions": 23, - "profit_factor": 1.2110407557560565, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.71, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10723, - "sortino": 1.132562408678355, - "start_date": "2020-04-01", - "total_return_pct": 30.0, - "trades": 293, - "transaction_cost": 338.321092299632, - "turnover_multiple": 33.8321092299632, - "underwater_pct": 89.72332015810277, - "win_rate": 32.4 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "metrics": { - "avg_cash_pct": 0.4082, - "avg_gross_exposure_pct": 99.5918, - "avg_hold_days": 15.7, - "avg_positions": 18.2024, - "blocked_fraction": 0.0, - "cagr_pct": 38.4, - "calmar": 0.86, - "capacity_opportunities": 291, - "end_date": "2021-03-31", - "ev_net_r": 0.17901914786442286, - "ev_without_best": { - "1": 0.09431403951031303, - "10": -0.1963093382921654, - "5": -0.06063379790518638 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 124, - "time": 54, - "trailing_stop": 95 - }, - "gain_to_pain": 0.8476740001687558, - "longest_underwater_sessions": 129, - "max_drawdown_pct": 44.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 291, - "peak_positions": 21, - "profit_factor": 1.2597234002660134, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.84, - "simulation_start_date": "2020-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10680, - "sortino": 1.1759233212148843, - "start_date": "2020-04-01", - "total_return_pct": 38.3, - "trades": 291, - "transaction_cost": 750.3704921957074, - "turnover_multiple": 37.518524609785366, - "underwater_pct": 89.72332015810277, - "win_rate": 34.4 - }, - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 0.182, - "avg_gross_exposure_pct": 99.818, - "avg_hold_days": 15.7, - "avg_positions": 18.3294, - "blocked_fraction": 0.0, - "cagr_pct": 69.9, - "calmar": 1.57, - "capacity_opportunities": 294, - "end_date": "2021-04-30", - "ev_net_r": 0.2689991783791815, - "ev_without_best": { - "1": 0.1853554005395903, - "10": -0.1356269217465582, - "5": -0.0026018142323602274 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 125, - "time": 53, - "trailing_stop": 101 - }, - "gain_to_pain": 1.851386885224604, - "longest_underwater_sessions": 125, - "max_drawdown_pct": 44.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 294, - "peak_positions": 22, - "profit_factor": 1.4098063445407192, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 1.05, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10284, - "sortino": 1.702370048247392, - "start_date": "2020-05-01", - "total_return_pct": 69.6, - "trades": 294, - "transaction_cost": 377.3921233601746, - "turnover_multiple": 37.73921233601746, - "underwater_pct": 89.32806324110672, - "win_rate": 34.4 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "metrics": { - "avg_cash_pct": 0.2117, - "avg_gross_exposure_pct": 99.7883, - "avg_hold_days": 15.6, - "avg_positions": 18.3413, - "blocked_fraction": 0.0, - "cagr_pct": 32.8, - "calmar": 0.69, - "capacity_opportunities": 295, - "end_date": "2021-04-30", - "ev_net_r": 0.1997845619649451, - "ev_without_best": { - "1": 0.11630253472483858, - "10": -0.20594325398390773, - "5": -0.07162462162148824 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 127, - "time": 53, - "trailing_stop": 102 - }, - "gain_to_pain": 0.9092280832174493, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 47.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 295, - "peak_positions": 23, - "profit_factor": 1.2937208555024158, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.77, - "simulation_start_date": "2020-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10317, - "sortino": 1.1081021472371324, - "start_date": "2020-05-01", - "total_return_pct": 32.6, - "trades": 295, - "transaction_cost": 709.6171874200809, - "turnover_multiple": 35.480859371004044, - "underwater_pct": 91.699604743083, - "win_rate": 33.6 - }, - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 0.2346, - "avg_gross_exposure_pct": 99.7654, - "avg_hold_days": 14.2, - "avg_positions": 17.4246, - "blocked_fraction": 0.0, - "cagr_pct": 95.8, - "calmar": 2.08, - "capacity_opportunities": 309, - "end_date": "2021-05-28", - "ev_net_r": 0.3618500753266177, - "ev_without_best": { - "1": 0.2877615734758721, - "10": -0.0633807989595798, - "5": 0.09809986714627916 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 142, - "time": 48, - "trailing_stop": 104 - }, - "gain_to_pain": 1.9770237078851407, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 46.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 309, - "peak_positions": 22, - "profit_factor": 1.5357035209148118, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 1.2, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9977, - "sortino": 1.9606315491520998, - "start_date": "2020-06-01", - "total_return_pct": 94.2, - "trades": 309, - "transaction_cost": 483.82362454702445, - "turnover_multiple": 48.382362454702445, - "underwater_pct": 89.32806324110672, - "win_rate": 30.4 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "metrics": { - "avg_cash_pct": 0.2753, - "avg_gross_exposure_pct": 99.7247, - "avg_hold_days": 14.2, - "avg_positions": 17.6389, - "blocked_fraction": 0.0, - "cagr_pct": 35.7, - "calmar": 0.74, - "capacity_opportunities": 313, - "end_date": "2021-05-28", - "ev_net_r": 0.17977490412151284, - "ev_without_best": { - "1": 0.10615568437368011, - "10": -0.1997575582357007, - "5": -0.07632882845152511 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 145, - "time": 50, - "trailing_stop": 102 - }, - "gain_to_pain": 0.8603398521453942, - "longest_underwater_sessions": 129, - "max_drawdown_pct": 47.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 313, - "peak_positions": 22, - "profit_factor": 1.257000899519371, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.76, - "simulation_start_date": "2020-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10023, - "sortino": 1.2067400462401479, - "start_date": "2020-06-01", - "total_return_pct": 35.2, - "trades": 313, - "transaction_cost": 814.9395360612955, - "turnover_multiple": 40.746976803064776, - "underwater_pct": 90.51383399209486, - "win_rate": 28.4 - }, - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 0.2413, - "avg_gross_exposure_pct": 99.7587, - "avg_hold_days": 14.4, - "avg_positions": 18.0397, - "blocked_fraction": 0.0, - "cagr_pct": 36.8, - "calmar": 0.76, - "capacity_opportunities": 314, - "end_date": "2021-06-30", - "ev_net_r": 0.21569654955525983, - "ev_without_best": { - "1": 0.13722712611812202, - "10": -0.18928956424510004, - "5": -0.06332644694392464 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 147, - "time": 53, - "trailing_stop": 99 - }, - "gain_to_pain": 0.896338035837457, - "longest_underwater_sessions": 125, - "max_drawdown_pct": 48.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 314, - "peak_positions": 22, - "profit_factor": 1.3226053532665045, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.79, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10498, - "sortino": 1.2055071461173412, - "start_date": "2020-07-01", - "total_return_pct": 36.7, - "trades": 314, - "transaction_cost": 371.34731869835207, - "turnover_multiple": 37.13473186983521, - "underwater_pct": 92.4901185770751, - "win_rate": 31.5 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "metrics": { - "avg_cash_pct": 0.247, - "avg_gross_exposure_pct": 99.753, - "avg_hold_days": 14.3, - "avg_positions": 17.8214, - "blocked_fraction": 0.0, - "cagr_pct": 25.9, - "calmar": 0.54, - "capacity_opportunities": 314, - "end_date": "2021-06-30", - "ev_net_r": 0.20022726425170248, - "ev_without_best": { - "1": 0.12181425049354093, - "10": -0.2045343472725602, - "5": -0.07860617938487142 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 150, - "time": 53, - "trailing_stop": 97 - }, - "gain_to_pain": 0.7069057160506971, - "longest_underwater_sessions": 128, - "max_drawdown_pct": 48.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 314, - "peak_positions": 22, - "profit_factor": 1.293991791921662, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.68, - "simulation_start_date": "2020-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10532, - "sortino": 1.0358578259616813, - "start_date": "2020-07-01", - "total_return_pct": 25.8, - "trades": 314, - "transaction_cost": 736.6941831946812, - "turnover_multiple": 36.834709159734054, - "underwater_pct": 92.4901185770751, - "win_rate": 31.8 - }, - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 0.3331, - "avg_gross_exposure_pct": 99.6669, - "avg_hold_days": 14.0, - "avg_positions": 17.6429, - "blocked_fraction": 0.0, - "cagr_pct": -24.7, - "calmar": -0.53, - "capacity_opportunities": 317, - "end_date": "2021-08-02", - "ev_net_r": -0.011566384073527296, - "ev_without_best": { - "1": -0.08046292650455697, - "10": -0.34522522092043445, - "5": -0.23537276914712776 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 153, - "time": 52, - "trailing_stop": 100 - }, - "gain_to_pain": -0.1394509847928683, - "longest_underwater_sessions": 118, - "max_drawdown_pct": 46.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 22, - "profit_factor": 0.983820428268053, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.01, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10018, - "sortino": -0.021440979908694067, - "start_date": "2020-08-03", - "total_return_pct": -24.6, - "trades": 317, - "transaction_cost": 301.3869417649437, - "turnover_multiple": 30.138694176494372, - "underwater_pct": 95.65217391304348, - "win_rate": 27.8 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "metrics": { - "avg_cash_pct": 0.3301, - "avg_gross_exposure_pct": 99.6699, - "avg_hold_days": 14.0, - "avg_positions": 17.6429, - "blocked_fraction": 0.0, - "cagr_pct": -27.3, - "calmar": -0.58, - "capacity_opportunities": 317, - "end_date": "2021-08-02", - "ev_net_r": -0.024115887621277865, - "ev_without_best": { - "1": -0.09295450205353202, - "10": -0.3575077997848695, - "5": -0.24774459529911938 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 153, - "time": 52, - "trailing_stop": 100 - }, - "gain_to_pain": -0.17319452103584598, - "longest_underwater_sessions": 118, - "max_drawdown_pct": 47.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 317, - "peak_positions": 22, - "profit_factor": 0.9666510879276587, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.06, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10018, - "sortino": -0.08975564749146735, - "start_date": "2020-08-03", - "total_return_pct": -27.3, - "trades": 317, - "transaction_cost": 592.2355146582173, - "turnover_multiple": 29.611775732910864, - "underwater_pct": 95.65217391304348, - "win_rate": 27.8 - }, - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 0.3473, - "avg_gross_exposure_pct": 99.6527, - "avg_hold_days": 13.5, - "avg_positions": 16.6151, - "blocked_fraction": 0.0, - "cagr_pct": -21.4, - "calmar": -0.42, - "capacity_opportunities": 309, - "end_date": "2021-08-31", - "ev_net_r": -0.03746333626295203, - "ev_without_best": { - "1": -0.11284831022924817, - "10": -0.3773828580896661, - "5": -0.272140971311048 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 156, - "time": 52, - "trailing_stop": 87 - }, - "gain_to_pain": -0.26635926035954005, - "longest_underwater_sessions": 114, - "max_drawdown_pct": 50.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 309, - "peak_positions": 23, - "profit_factor": 0.9481004488665198, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.19, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10072, - "sortino": 0.29589629526575684, - "start_date": "2020-09-01", - "total_return_pct": -21.4, - "trades": 309, - "transaction_cost": 346.8122309681336, - "turnover_multiple": 34.681223096813355, - "underwater_pct": 96.44268774703558, - "win_rate": 29.8 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "metrics": { - "avg_cash_pct": 0.2838, - "avg_gross_exposure_pct": 99.7162, - "avg_hold_days": 13.7, - "avg_positions": 16.7579, - "blocked_fraction": 0.0, - "cagr_pct": -8.2, - "calmar": -0.16, - "capacity_opportunities": 307, - "end_date": "2021-08-31", - "ev_net_r": 0.051034493131598656, - "ev_without_best": { - "1": -0.02444896102628935, - "10": -0.2985718433019405, - "5": -0.18618401051267405 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 151, - "time": 55, - "trailing_stop": 87 - }, - "gain_to_pain": 0.004714764099786815, - "longest_underwater_sessions": 62, - "max_drawdown_pct": 51.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 307, - "peak_positions": 22, - "profit_factor": 1.070606424993339, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.35, - "simulation_start_date": "2020-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10036, - "sortino": 0.5516572559733018, - "start_date": "2020-09-01", - "total_return_pct": -8.2, - "trades": 307, - "transaction_cost": 727.9663587485572, - "turnover_multiple": 36.398317937427855, - "underwater_pct": 95.25691699604744, - "win_rate": 31.3 - }, - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 0.2695, - "avg_gross_exposure_pct": 99.7305, - "avg_hold_days": 13.6, - "avg_positions": 16.1865, - "blocked_fraction": 0.0, - "cagr_pct": 15.1, - "calmar": 0.31, - "capacity_opportunities": 299, - "end_date": "2021-09-30", - "ev_net_r": 0.16167601932792325, - "ev_without_best": { - "1": 0.08442960111977449, - "10": -0.24792191436437336, - "5": -0.11286308766568087 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 145, - "time": 48, - "trailing_stop": 91 - }, - "gain_to_pain": 0.5075410917313751, - "longest_underwater_sessions": 80, - "max_drawdown_pct": 48.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 299, - "peak_positions": 22, - "profit_factor": 1.2230537346510324, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.58, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10582, - "sortino": 0.9501645798171708, - "start_date": "2020-10-01", - "total_return_pct": 15.1, - "trades": 299, - "transaction_cost": 434.78388169628096, - "turnover_multiple": 43.4783881696281, - "underwater_pct": 92.4901185770751, - "win_rate": 28.4 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "metrics": { - "avg_cash_pct": 0.2602, - "avg_gross_exposure_pct": 99.7398, - "avg_hold_days": 13.6, - "avg_positions": 16.2143, - "blocked_fraction": 0.0, - "cagr_pct": 14.5, - "calmar": 0.3, - "capacity_opportunities": 300, - "end_date": "2021-09-30", - "ev_net_r": 0.14882874877430533, - "ev_without_best": { - "1": 0.07190519453794739, - "10": -0.25901177444855855, - "5": -0.1245321551328967 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 146, - "time": 48, - "trailing_stop": 92 - }, - "gain_to_pain": 0.5040323873032378, - "longest_underwater_sessions": 80, - "max_drawdown_pct": 48.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 300, - "peak_positions": 22, - "profit_factor": 1.2026565689832787, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.58, - "simulation_start_date": "2020-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10575, - "sortino": 0.9424915029395586, - "start_date": "2020-10-01", - "total_return_pct": 14.5, - "trades": 300, - "transaction_cost": 855.9577861704387, - "turnover_multiple": 42.79788930852193, - "underwater_pct": 92.4901185770751, - "win_rate": 27.3 - }, - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 0.2195, - "avg_gross_exposure_pct": 99.7805, - "avg_hold_days": 14.0, - "avg_positions": 15.4603, - "blocked_fraction": 0.0, - "cagr_pct": 9.3, - "calmar": 0.16, - "capacity_opportunities": 278, - "end_date": "2021-11-01", - "ev_net_r": 0.12845915767952876, - "ev_without_best": { - "1": 0.053014159154491605, - "10": -0.2591678446610667, - "5": -0.11793257892572562 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 133, - "time": 41, - "trailing_stop": 92 - }, - "gain_to_pain": 0.36093116455073176, - "longest_underwater_sessions": 179, - "max_drawdown_pct": 58.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 278, - "peak_positions": 21, - "profit_factor": 1.188829478886499, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.47, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10584, - "sortino": 0.7293270894144913, - "start_date": "2020-11-02", - "total_return_pct": 9.3, - "trades": 278, - "transaction_cost": 452.3889212307824, - "turnover_multiple": 45.23889212307824, - "underwater_pct": 85.37549407114624, - "win_rate": 28.4 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "metrics": { - "avg_cash_pct": 0.2302, - "avg_gross_exposure_pct": 99.7698, - "avg_hold_days": 14.0, - "avg_positions": 15.5397, - "blocked_fraction": 0.0, - "cagr_pct": 1.9, - "calmar": 0.03, - "capacity_opportunities": 279, - "end_date": "2021-11-01", - "ev_net_r": 0.08590489755544195, - "ev_without_best": { - "1": 0.01068220410648063, - "10": -0.3009493716129238, - "5": -0.15990256039807 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 134, - "time": 42, - "trailing_stop": 90 - }, - "gain_to_pain": 0.21653309485854302, - "longest_underwater_sessions": 179, - "max_drawdown_pct": 59.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 279, - "peak_positions": 21, - "profit_factor": 1.1232973251261127, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.37, - "simulation_start_date": "2020-11-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10590, - "sortino": 0.5695022558309046, - "start_date": "2020-11-02", - "total_return_pct": 1.9, - "trades": 279, - "transaction_cost": 887.2364018967776, - "turnover_multiple": 44.361820094838876, - "underwater_pct": 85.7707509881423, - "win_rate": 28.0 - }, - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 0.2817, - "avg_gross_exposure_pct": 99.7183, - "avg_hold_days": 13.2, - "avg_positions": 15.7421, - "blocked_fraction": 0.0, - "cagr_pct": -35.4, - "calmar": -0.56, - "capacity_opportunities": 300, - "end_date": "2021-11-30", - "ev_net_r": -0.13760108326743167, - "ev_without_best": { - "1": -0.20838477835901112, - "10": -0.43605491395130597, - "5": -0.34761999060514565 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 153, - "time": 41, - "trailing_stop": 92 - }, - "gain_to_pain": -0.3671798707805861, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 63.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 300, - "peak_positions": 20, - "profit_factor": 0.8162523318052007, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.34, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10558, - "sortino": -0.5080150143881996, - "start_date": "2020-12-01", - "total_return_pct": -35.3, - "trades": 300, - "transaction_cost": 383.83549989061527, - "turnover_multiple": 38.38354998906152, - "underwater_pct": 93.2806324110672, - "win_rate": 25.7 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2020-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "metrics": { - "avg_cash_pct": 0.2774, - "avg_gross_exposure_pct": 99.7226, - "avg_hold_days": 13.2, - "avg_positions": 15.0833, - "blocked_fraction": 0.0, - "cagr_pct": -29.4, - "calmar": -0.49, - "capacity_opportunities": 287, - "end_date": "2021-11-30", - "ev_net_r": -0.07660246069340221, - "ev_without_best": { - "1": -0.15028923040340253, - "10": -0.4244339193743753, - "5": -0.3088940658697931 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 147, - "time": 40, - "trailing_stop": 87 - }, - "gain_to_pain": -0.29003690819591016, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 60.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 287, - "peak_positions": 20, - "profit_factor": 0.9000005876652414, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.11, - "simulation_start_date": "2020-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10657, - "sortino": -0.16426096198265194, - "start_date": "2020-12-01", - "total_return_pct": -29.3, - "trades": 287, - "transaction_cost": 762.8417740861207, - "turnover_multiple": 38.14208870430604, - "underwater_pct": 93.67588932806325, - "win_rate": 25.4 - }, - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2841, - "avg_gross_exposure_pct": 99.7159, - "avg_hold_days": 12.5, - "avg_positions": 15.1984, - "blocked_fraction": 0.0, - "cagr_pct": -36.9, - "calmar": -0.56, - "capacity_opportunities": 305, - "end_date": "2021-12-31", - "ev_net_r": -0.071157107804643, - "ev_without_best": { - "1": -0.13234838036176888, - "10": -0.40831235820800754, - "5": -0.2727038484661237 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 161, - "time": 32, - "trailing_stop": 97 - }, - "gain_to_pain": -0.528984321447305, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 65.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 305, - "peak_positions": 23, - "profit_factor": 0.9083919575861155, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.25, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9879, - "sortino": -0.375710193946947, - "start_date": "2021-01-04", - "total_return_pct": -36.6, - "trades": 305, - "transaction_cost": 369.1108817868038, - "turnover_multiple": 36.91108817868038, - "underwater_pct": 94.46640316205533, - "win_rate": 24.9 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2879, - "avg_gross_exposure_pct": 99.7121, - "avg_hold_days": 12.3, - "avg_positions": 15.4127, - "blocked_fraction": 0.0, - "cagr_pct": -52.5, - "calmar": -0.73, - "capacity_opportunities": 315, - "end_date": "2021-12-31", - "ev_net_r": -0.1863500672574298, - "ev_without_best": { - "1": -0.245871906748604, - "10": -0.4749169456428518, - "5": -0.36961214942156406 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 175, - "time": 34, - "trailing_stop": 92 - }, - "gain_to_pain": -0.654125962805778, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 71.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 315, - "peak_positions": 23, - "profit_factor": 0.7629704893797952, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.71, - "simulation_start_date": "2021-01-04", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9855, - "sortino": -1.0570874823916925, - "start_date": "2021-01-04", - "total_return_pct": -52.1, - "trades": 315, - "transaction_cost": 719.94966188979, - "turnover_multiple": 35.997483094489496, - "underwater_pct": 94.46640316205533, - "win_rate": 23.5 - }, - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 0.451, - "avg_gross_exposure_pct": 99.549, - "avg_hold_days": 11.6, - "avg_positions": 13.3968, - "blocked_fraction": 0.0, - "cagr_pct": -71.4, - "calmar": -0.93, - "capacity_opportunities": 291, - "end_date": "2022-01-28", - "ev_net_r": -0.41349246612474405, - "ev_without_best": { - "1": -0.48742424617729424, - "10": -0.691743514828205, - "5": -0.6046773456016997 - }, - "exit_reasons": { - "open_at_end": 8, - "stop": 164, - "time": 26, - "trailing_stop": 93 - }, - "gain_to_pain": -0.8915222004779652, - "longest_underwater_sessions": 240, - "max_drawdown_pct": 76.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 291, - "peak_positions": 18, - "profit_factor": 0.5173096554560702, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.42, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9324, - "sortino": -1.997615502321207, - "start_date": "2021-02-01", - "total_return_pct": -70.9, - "trades": 291, - "transaction_cost": 263.5889610552232, - "turnover_multiple": 26.35889610552232, - "underwater_pct": 96.44268774703558, - "win_rate": 21.0 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "metrics": { - "avg_cash_pct": 0.3278, - "avg_gross_exposure_pct": 99.6722, - "avg_hold_days": 11.4, - "avg_positions": 13.8016, - "blocked_fraction": 0.0, - "cagr_pct": -72.4, - "calmar": -0.93, - "capacity_opportunities": 304, - "end_date": "2022-01-28", - "ev_net_r": -0.40126174292079064, - "ev_without_best": { - "1": -0.4718857542055677, - "10": -0.646841180562217, - "5": -0.565276662029546 - }, - "exit_reasons": { - "open_at_end": 8, - "stop": 172, - "time": 26, - "trailing_stop": 98 - }, - "gain_to_pain": -0.889305825273772, - "longest_underwater_sessions": 159, - "max_drawdown_pct": 77.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 304, - "peak_positions": 18, - "profit_factor": 0.5165384306073663, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.59, - "simulation_start_date": "2021-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9287, - "sortino": -2.2494848563959193, - "start_date": "2021-02-01", - "total_return_pct": -72.0, - "trades": 304, - "transaction_cost": 534.7259983491307, - "turnover_multiple": 26.73629991745653, - "underwater_pct": 96.04743083003953, - "win_rate": 21.1 - }, - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 0.5152, - "avg_gross_exposure_pct": 99.4848, - "avg_hold_days": 11.8, - "avg_positions": 14.0913, - "blocked_fraction": 0.0, - "cagr_pct": -75.9, - "calmar": -0.95, - "capacity_opportunities": 301, - "end_date": "2022-02-25", - "ev_net_r": -0.4653498610442715, - "ev_without_best": { - "1": -0.5369901064114685, - "10": -0.7070250241213927, - "5": -0.6345414070713917 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 169, - "time": 32, - "trailing_stop": 89 - }, - "gain_to_pain": -0.9279585735142204, - "longest_underwater_sessions": 178, - "max_drawdown_pct": 79.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 301, - "peak_positions": 21, - "profit_factor": 0.44267275309287785, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.62, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8750, - "sortino": -2.333552799989702, - "start_date": "2021-03-01", - "total_return_pct": -75.5, - "trades": 301, - "transaction_cost": 249.5267504363901, - "turnover_multiple": 24.95267504363901, - "underwater_pct": 99.2094861660079, - "win_rate": 19.6 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "metrics": { - "avg_cash_pct": 0.4148, - "avg_gross_exposure_pct": 99.5852, - "avg_hold_days": 11.8, - "avg_positions": 14.3214, - "blocked_fraction": 0.0, - "cagr_pct": -71.5, - "calmar": -0.95, - "capacity_opportunities": 306, - "end_date": "2022-02-25", - "ev_net_r": -0.38748520131415143, - "ev_without_best": { - "1": -0.45760093533933455, - "10": -0.6524419173762577, - "5": -0.5739600571394744 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 175, - "time": 34, - "trailing_stop": 85 - }, - "gain_to_pain": -0.9216020187590296, - "longest_underwater_sessions": 178, - "max_drawdown_pct": 75.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 306, - "peak_positions": 21, - "profit_factor": 0.5306736109995969, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.28, - "simulation_start_date": "2021-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8760, - "sortino": -1.8670291399193715, - "start_date": "2021-03-01", - "total_return_pct": -71.1, - "trades": 306, - "transaction_cost": 537.7238203673403, - "turnover_multiple": 26.88619101836702, - "underwater_pct": 99.2094861660079, - "win_rate": 20.9 - }, - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 0.3611, - "avg_gross_exposure_pct": 99.6389, - "avg_hold_days": 11.8, - "avg_positions": 12.9643, - "blocked_fraction": 0.0, - "cagr_pct": -69.5, - "calmar": -0.86, - "capacity_opportunities": 275, - "end_date": "2022-03-30", - "ev_net_r": -0.39069110834130083, - "ev_without_best": { - "1": -0.46885685599625015, - "10": -0.6716934773737285, - "5": -0.5881165106939295 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 155, - "time": 24, - "trailing_stop": 84 - }, - "gain_to_pain": -0.8409215527361646, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 81.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 275, - "peak_positions": 16, - "profit_factor": 0.5481372148825754, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.42, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9391, - "sortino": -1.987043494623601, - "start_date": "2021-04-01", - "total_return_pct": -69.3, - "trades": 275, - "transaction_cost": 254.3755639746776, - "turnover_multiple": 25.43755639746776, - "underwater_pct": 98.02371541501977, - "win_rate": 19.6 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "metrics": { - "avg_cash_pct": 0.2736, - "avg_gross_exposure_pct": 99.7264, - "avg_hold_days": 11.8, - "avg_positions": 12.8532, - "blocked_fraction": 0.0, - "cagr_pct": -69.5, - "calmar": -0.86, - "capacity_opportunities": 274, - "end_date": "2022-03-30", - "ev_net_r": -0.3866226213954628, - "ev_without_best": { - "1": -0.464953889885434, - "10": -0.6749063916499891, - "5": -0.5852388587590734 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 152, - "time": 25, - "trailing_stop": 84 - }, - "gain_to_pain": -0.8642025122373637, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 80.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 274, - "peak_positions": 16, - "profit_factor": 0.5609010168477673, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.42, - "simulation_start_date": "2021-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9386, - "sortino": -1.9832620134179786, - "start_date": "2021-04-01", - "total_return_pct": -69.2, - "trades": 274, - "transaction_cost": 502.990643943581, - "turnover_multiple": 25.14953219717905, - "underwater_pct": 98.41897233201581, - "win_rate": 20.8 - }, - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 0.4086, - "avg_gross_exposure_pct": 99.5914, - "avg_hold_days": 11.1, - "avg_positions": 12.9127, - "blocked_fraction": 0.0, - "cagr_pct": -74.8, - "calmar": -0.91, - "capacity_opportunities": 291, - "end_date": "2022-04-29", - "ev_net_r": -0.449470555754815, - "ev_without_best": { - "1": -0.4898583903811561, - "10": -0.6888319614567623, - "5": -0.5909759600388306 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 164, - "time": 27, - "trailing_stop": 87 - }, - "gain_to_pain": -0.7855034040625961, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 82.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 291, - "peak_positions": 18, - "profit_factor": 0.4863472730536826, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.67, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9358, - "sortino": -2.346201053343394, - "start_date": "2021-05-03", - "total_return_pct": -74.4, - "trades": 291, - "transaction_cost": 264.3489600090303, - "turnover_multiple": 26.43489600090303, - "underwater_pct": 98.41897233201581, - "win_rate": 19.9 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "metrics": { - "avg_cash_pct": 0.5311, - "avg_gross_exposure_pct": 99.4689, - "avg_hold_days": 11.0, - "avg_positions": 12.8294, - "blocked_fraction": 0.0, - "cagr_pct": -77.8, - "calmar": -0.92, - "capacity_opportunities": 294, - "end_date": "2022-04-29", - "ev_net_r": -0.5006109674159168, - "ev_without_best": { - "1": -0.540658389843491, - "10": -0.7293550159425698, - "5": -0.6403374725935803 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 170, - "time": 27, - "trailing_stop": 84 - }, - "gain_to_pain": -0.8375938819084104, - "longest_underwater_sessions": 222, - "max_drawdown_pct": 84.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 294, - "peak_positions": 18, - "profit_factor": 0.436725306593176, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.84, - "simulation_start_date": "2021-05-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9376, - "sortino": -2.567090431299992, - "start_date": "2021-05-03", - "total_return_pct": -77.4, - "trades": 294, - "transaction_cost": 520.6906443918562, - "turnover_multiple": 26.03453221959281, - "underwater_pct": 98.41897233201581, - "win_rate": 19.4 - }, - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 0.4143, - "avg_gross_exposure_pct": 99.5857, - "avg_hold_days": 11.3, - "avg_positions": 12.631, - "blocked_fraction": 0.0, - "cagr_pct": -79.5, - "calmar": -0.95, - "capacity_opportunities": 280, - "end_date": "2022-05-27", - "ev_net_r": -0.5768803116846225, - "ev_without_best": { - "1": -0.6418442208419457, - "10": -0.8681251300757744, - "5": -0.7712492939839117 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 165, - "time": 22, - "trailing_stop": 83 - }, - "gain_to_pain": -0.8995560264542786, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 83.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 280, - "peak_positions": 17, - "profit_factor": 0.42908645685935665, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.91, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9126, - "sortino": -2.5653746892256577, - "start_date": "2021-06-01", - "total_return_pct": -79.1, - "trades": 280, - "transaction_cost": 244.64539826987001, - "turnover_multiple": 24.464539826987004, - "underwater_pct": 98.81422924901186, - "win_rate": 19.6 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "metrics": { - "avg_cash_pct": 0.5637, - "avg_gross_exposure_pct": 99.4363, - "avg_hold_days": 11.2, - "avg_positions": 12.6508, - "blocked_fraction": 0.0, - "cagr_pct": -79.6, - "calmar": -0.95, - "capacity_opportunities": 284, - "end_date": "2022-05-27", - "ev_net_r": -0.5285026842878251, - "ev_without_best": { - "1": -0.5922830935989144, - "10": -0.8024524134463167, - "5": -0.7113315788837655 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 162, - "time": 23, - "trailing_stop": 84 - }, - "gain_to_pain": -0.9175418404758521, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 84.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 284, - "peak_positions": 16, - "profit_factor": 0.44611458665745984, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -1.94, - "simulation_start_date": "2021-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9129, - "sortino": -2.622814077590651, - "start_date": "2021-06-01", - "total_return_pct": -79.1, - "trades": 284, - "transaction_cost": 476.8446804388705, - "turnover_multiple": 23.842234021943526, - "underwater_pct": 98.81422924901186, - "win_rate": 20.4 - }, - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 0.481, - "avg_gross_exposure_pct": 99.519, - "avg_hold_days": 10.5, - "avg_positions": 11.8294, - "blocked_fraction": 0.0, - "cagr_pct": -78.1, - "calmar": -0.97, - "capacity_opportunities": 282, - "end_date": "2022-06-30", - "ev_net_r": -0.5362949533956195, - "ev_without_best": { - "1": -0.5880149312179366, - "10": -0.8722725161317212, - "5": -0.7520235790378711 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 173, - "time": 22, - "trailing_stop": 75 - }, - "gain_to_pain": -0.8572422008356975, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 80.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 282, - "peak_positions": 16, - "profit_factor": 0.483337553198513, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.61, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8495, - "sortino": -3.192361153193916, - "start_date": "2021-07-01", - "total_return_pct": -78.0, - "trades": 282, - "transaction_cost": 251.40227491552804, - "turnover_multiple": 25.140227491552803, - "underwater_pct": 98.41897233201581, - "win_rate": 18.4 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "metrics": { - "avg_cash_pct": 0.4135, - "avg_gross_exposure_pct": 99.5865, - "avg_hold_days": 10.9, - "avg_positions": 12.4762, - "blocked_fraction": 0.0, - "cagr_pct": -80.2, - "calmar": -0.97, - "capacity_opportunities": 288, - "end_date": "2022-06-30", - "ev_net_r": -0.5108102656244999, - "ev_without_best": { - "1": -0.5612831563617976, - "10": -0.8285649973804045, - "5": -0.7239803139365713 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 175, - "time": 22, - "trailing_stop": 78 - }, - "gain_to_pain": -0.9226695696941546, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 82.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 288, - "peak_positions": 17, - "profit_factor": 0.48422212133391723, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.85, - "simulation_start_date": "2021-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8434, - "sortino": -3.3977024991397116, - "start_date": "2021-07-01", - "total_return_pct": -80.1, - "trades": 288, - "transaction_cost": 482.26451686840613, - "turnover_multiple": 24.113225843420306, - "underwater_pct": 98.81422924901186, - "win_rate": 18.1 - }, - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 0.5262, - "avg_gross_exposure_pct": 99.4738, - "avg_hold_days": 11.1, - "avg_positions": 13.0754, - "blocked_fraction": 0.0, - "cagr_pct": -88.4, - "calmar": -1.0, - "capacity_opportunities": 295, - "end_date": "2022-08-01", - "ev_net_r": -0.7246848784692732, - "ev_without_best": { - "1": -0.7654593218854411, - "10": -0.938636885381252, - "5": -0.8681892685636259 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 179, - "time": 22, - "trailing_stop": 77 - }, - "gain_to_pain": -0.8832688278779718, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 295, - "peak_positions": 17, - "profit_factor": 0.2959528420972064, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.2, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9478, - "sortino": -4.603411457893062, - "start_date": "2021-08-02", - "total_return_pct": -88.3, - "trades": 295, - "transaction_cost": 169.72404746440841, - "turnover_multiple": 16.97240474644084, - "underwater_pct": 99.60474308300395, - "win_rate": 16.3 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "metrics": { - "avg_cash_pct": 0.5227, - "avg_gross_exposure_pct": 99.4773, - "avg_hold_days": 11.2, - "avg_positions": 13.0357, - "blocked_fraction": 0.0, - "cagr_pct": -88.3, - "calmar": -1.0, - "capacity_opportunities": 293, - "end_date": "2022-08-01", - "ev_net_r": -0.7271357709020863, - "ev_without_best": { - "1": -0.7680961119115568, - "10": -0.9418647345022163, - "5": -0.8711908840020947 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 177, - "time": 21, - "trailing_stop": 79 - }, - "gain_to_pain": -0.8836273313698035, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 293, - "peak_positions": 18, - "profit_factor": 0.30032210874307286, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.19, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9475, - "sortino": -4.602335149690363, - "start_date": "2021-08-02", - "total_return_pct": -88.2, - "trades": 293, - "transaction_cost": 333.600150193287, - "turnover_multiple": 16.68000750966435, - "underwater_pct": 99.60474308300395, - "win_rate": 17.1 - }, - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 0.4319, - "avg_gross_exposure_pct": 99.5681, - "avg_hold_days": 11.0, - "avg_positions": 13.1151, - "blocked_fraction": 0.0, - "cagr_pct": -81.9, - "calmar": -1.0, - "capacity_opportunities": 298, - "end_date": "2022-08-31", - "ev_net_r": -0.5827555122673816, - "ev_without_best": { - "1": -0.6226402159648614, - "10": -0.7846390548543729, - "5": -0.711867983989936 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 173, - "time": 22, - "trailing_stop": 86 - }, - "gain_to_pain": -0.8628370127589081, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 82.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 298, - "peak_positions": 17, - "profit_factor": 0.3662795712881832, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.27, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10503, - "sortino": -3.7570867664582295, - "start_date": "2021-09-01", - "total_return_pct": -81.8, - "trades": 298, - "transaction_cost": 196.68166879555503, - "turnover_multiple": 19.668166879555503, - "underwater_pct": 98.02371541501977, - "win_rate": 19.1 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "metrics": { - "avg_cash_pct": 0.4609, - "avg_gross_exposure_pct": 99.5391, - "avg_hold_days": 11.3, - "avg_positions": 13.381, - "blocked_fraction": 0.0, - "cagr_pct": -81.7, - "calmar": -1.0, - "capacity_opportunities": 298, - "end_date": "2022-08-31", - "ev_net_r": -0.5578021106751808, - "ev_without_best": { - "1": -0.5975027366500578, - "10": -0.7613578632934312, - "5": -0.6892710887639879 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 172, - "time": 22, - "trailing_stop": 87 - }, - "gain_to_pain": -0.8636050547136765, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 81.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 298, - "peak_positions": 18, - "profit_factor": 0.37480065857248057, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.34, - "simulation_start_date": "2021-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10475, - "sortino": -3.838652608863504, - "start_date": "2021-09-01", - "total_return_pct": -81.6, - "trades": 298, - "transaction_cost": 387.19121348686576, - "turnover_multiple": 19.35956067434329, - "underwater_pct": 98.02371541501977, - "win_rate": 17.4 - }, - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 0.4489, - "avg_gross_exposure_pct": 99.5511, - "avg_hold_days": 11.3, - "avg_positions": 13.2302, - "blocked_fraction": 0.0, - "cagr_pct": -78.9, - "calmar": -0.97, - "capacity_opportunities": 293, - "end_date": "2022-09-30", - "ev_net_r": -0.5133749618365683, - "ev_without_best": { - "1": -0.5593333188593587, - "10": -0.7278767850611872, - "5": -0.6490368845941207 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 166, - "time": 24, - "trailing_stop": 89 - }, - "gain_to_pain": -0.9019734700480966, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 81.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 293, - "peak_positions": 18, - "profit_factor": 0.4304242412418952, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.77, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10178, - "sortino": -3.420485376656336, - "start_date": "2021-10-01", - "total_return_pct": -78.7, - "trades": 293, - "transaction_cost": 191.35778853254354, - "turnover_multiple": 19.135778853254354, - "underwater_pct": 99.2094861660079, - "win_rate": 20.5 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "metrics": { - "avg_cash_pct": 0.4395, - "avg_gross_exposure_pct": 99.5605, - "avg_hold_days": 11.3, - "avg_positions": 13.2302, - "blocked_fraction": 0.0, - "cagr_pct": -79.8, - "calmar": -0.97, - "capacity_opportunities": 293, - "end_date": "2022-09-30", - "ev_net_r": -0.5306048548688078, - "ev_without_best": { - "1": -0.5763581549558081, - "10": -0.7446015611161815, - "5": -0.665811046182176 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 166, - "time": 24, - "trailing_stop": 89 - }, - "gain_to_pain": -0.9086655806113143, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 81.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 293, - "peak_positions": 18, - "profit_factor": 0.41917975031662025, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.86, - "simulation_start_date": "2021-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10178, - "sortino": -3.5119154512556796, - "start_date": "2021-10-01", - "total_return_pct": -79.7, - "trades": 293, - "transaction_cost": 376.8969862019842, - "turnover_multiple": 18.844849310099207, - "underwater_pct": 99.2094861660079, - "win_rate": 20.1 - }, - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 0.5403, - "avg_gross_exposure_pct": 99.4597, - "avg_hold_days": 10.5, - "avg_positions": 13.9802, - "blocked_fraction": 0.0, - "cagr_pct": -88.4, - "calmar": -1.0, - "capacity_opportunities": 327, - "end_date": "2022-10-31", - "ev_net_r": -0.695684028243663, - "ev_without_best": { - "1": -0.732367112642828, - "10": -0.8849538087005849, - "5": -0.8196116718177229 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 204, - "time": 22, - "trailing_stop": 86 - }, - "gain_to_pain": -0.8740220873317031, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 88.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 327, - "peak_positions": 21, - "profit_factor": 0.3197133254302855, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.61, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10535, - "sortino": -4.107742874161231, - "start_date": "2021-11-01", - "total_return_pct": -88.3, - "trades": 327, - "transaction_cost": 190.3621582485518, - "turnover_multiple": 19.036215824855176, - "underwater_pct": 99.60474308300395, - "win_rate": 19.3 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "metrics": { - "avg_cash_pct": 0.5705, - "avg_gross_exposure_pct": 99.4295, - "avg_hold_days": 10.6, - "avg_positions": 13.5754, - "blocked_fraction": 0.0, - "cagr_pct": -86.9, - "calmar": -1.0, - "capacity_opportunities": 314, - "end_date": "2022-10-31", - "ev_net_r": -0.6392389770439845, - "ev_without_best": { - "1": -0.6771703597305894, - "10": -0.840146589154308, - "5": -0.7656884963133019 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 187, - "time": 20, - "trailing_stop": 91 - }, - "gain_to_pain": -0.8933155511265777, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 86.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 314, - "peak_positions": 18, - "profit_factor": 0.36782169673598386, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.32, - "simulation_start_date": "2021-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10556, - "sortino": -3.7971420444804247, - "start_date": "2021-11-01", - "total_return_pct": -86.8, - "trades": 314, - "transaction_cost": 377.8925769297284, - "turnover_multiple": 18.89462884648642, - "underwater_pct": 99.60474308300395, - "win_rate": 19.4 - }, - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 0.4503, - "avg_gross_exposure_pct": 99.5497, - "avg_hold_days": 10.5, - "avg_positions": 13.746, - "blocked_fraction": 0.0, - "cagr_pct": -89.2, - "calmar": -1.0, - "capacity_opportunities": 329, - "end_date": "2022-11-30", - "ev_net_r": -0.6951872003326067, - "ev_without_best": { - "1": -0.7316450926686333, - "10": -0.869251146831956, - "5": -0.8001132960658184 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 190, - "time": 20, - "trailing_stop": 101 - }, - "gain_to_pain": -0.9312089940488, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 89.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 329, - "peak_positions": 19, - "profit_factor": 0.3053550367992808, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.32, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11157, - "sortino": -4.681569684698233, - "start_date": "2021-12-01", - "total_return_pct": -89.1, - "trades": 329, - "transaction_cost": 191.82430259403515, - "turnover_multiple": 19.182430259403517, - "underwater_pct": 99.60474308300395, - "win_rate": 17.9 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2021-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "metrics": { - "avg_cash_pct": 0.4357, - "avg_gross_exposure_pct": 99.5643, - "avg_hold_days": 10.4, - "avg_positions": 13.6706, - "blocked_fraction": 0.0, - "cagr_pct": -89.9, - "calmar": -1.0, - "capacity_opportunities": 330, - "end_date": "2022-11-30", - "ev_net_r": -0.7251209919070317, - "ev_without_best": { - "1": -0.7614687268485829, - "10": -0.898791776084473, - "5": -0.8296904644511163 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 194, - "time": 20, - "trailing_stop": 100 - }, - "gain_to_pain": -0.9333199510549648, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 330, - "peak_positions": 17, - "profit_factor": 0.29697599762811494, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.56, - "simulation_start_date": "2021-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11159, - "sortino": -4.942582115726068, - "start_date": "2021-12-01", - "total_return_pct": -89.8, - "trades": 330, - "transaction_cost": 377.38731683228684, - "turnover_multiple": 18.869365841614343, - "underwater_pct": 99.60474308300395, - "win_rate": 18.2 - }, - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3192, - "avg_gross_exposure_pct": 99.6808, - "avg_hold_days": 10.3, - "avg_positions": 13.8135, - "blocked_fraction": 0.0, - "cagr_pct": -89.8, - "calmar": -1.0, - "capacity_opportunities": 336, - "end_date": "2023-01-03", - "ev_net_r": -0.7002266049190562, - "ev_without_best": { - "1": -0.7359377335483193, - "10": -0.8811433739964339, - "5": -0.8114240254519566 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 198, - "time": 24, - "trailing_stop": 92 - }, - "gain_to_pain": -0.8947826033164927, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 90.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 336, - "peak_positions": 22, - "profit_factor": 0.32544098484430495, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.99, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11857, - "sortino": -4.423022515066912, - "start_date": "2022-01-03", - "total_return_pct": -89.8, - "trades": 336, - "transaction_cost": 193.6162325771028, - "turnover_multiple": 19.36162325771028, - "underwater_pct": 98.41897233201581, - "win_rate": 19.3 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3392, - "avg_gross_exposure_pct": 99.6608, - "avg_hold_days": 10.1, - "avg_positions": 14.3929, - "blocked_fraction": 0.0, - "cagr_pct": -90.8, - "calmar": -1.0, - "capacity_opportunities": 347, - "end_date": "2023-01-03", - "ev_net_r": -0.6968979037535749, - "ev_without_best": { - "1": -0.7313781977062248, - "10": -0.8748318497746486, - "5": -0.8123578399820625 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 204, - "time": 25, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9092396181335044, - "longest_underwater_sessions": 244, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 347, - "peak_positions": 24, - "profit_factor": 0.30880816308659353, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.11, - "simulation_start_date": "2022-01-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11856, - "sortino": -4.5914523849992745, - "start_date": "2022-01-03", - "total_return_pct": -90.8, - "trades": 347, - "transaction_cost": 367.1861196869367, - "turnover_multiple": 18.359305984346836, - "underwater_pct": 98.81422924901186, - "win_rate": 19.9 - }, - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 0.3128, - "avg_gross_exposure_pct": 99.6872, - "avg_hold_days": 10.7, - "avg_positions": 15.7976, - "blocked_fraction": 0.0, - "cagr_pct": -87.3, - "calmar": -0.96, - "capacity_opportunities": 358, - "end_date": "2023-02-01", - "ev_net_r": -0.5702075095393252, - "ev_without_best": { - "1": -0.6537105491245266, - "10": -0.8375332126845, - "5": -0.7577790132987376 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 210, - "time": 26, - "trailing_stop": 99 - }, - "gain_to_pain": -0.7865932493281325, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 358, - "peak_positions": 27, - "profit_factor": 0.44888791846198484, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.28, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 13390, - "sortino": -4.126207666359542, - "start_date": "2022-02-01", - "total_return_pct": -87.3, - "trades": 358, - "transaction_cost": 180.17012101033026, - "turnover_multiple": 18.017012101033025, - "underwater_pct": 99.60474308300395, - "win_rate": 21.8 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "metrics": { - "avg_cash_pct": 0.3874, - "avg_gross_exposure_pct": 99.6126, - "avg_hold_days": 10.5, - "avg_positions": 15.2421, - "blocked_fraction": 0.0, - "cagr_pct": -86.3, - "calmar": -0.94, - "capacity_opportunities": 364, - "end_date": "2023-02-01", - "ev_net_r": -0.5019339378814546, - "ev_without_best": { - "1": -0.5837795629776238, - "10": -0.7768631551266688, - "5": -0.6923845030365748 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 208, - "time": 24, - "trailing_stop": 106 - }, - "gain_to_pain": -0.72347032730439, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 364, - "peak_positions": 30, - "profit_factor": 0.5017881787493091, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.05, - "simulation_start_date": "2022-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 13391, - "sortino": -3.7964306005089297, - "start_date": "2022-02-01", - "total_return_pct": -86.3, - "trades": 364, - "transaction_cost": 360.23968802129394, - "turnover_multiple": 18.011984401064694, - "underwater_pct": 99.60474308300395, - "win_rate": 21.7 - }, - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 0.2814, - "avg_gross_exposure_pct": 99.7186, - "avg_hold_days": 10.6, - "avg_positions": 16.6944, - "blocked_fraction": 0.0, - "cagr_pct": -85.9, - "calmar": -0.95, - "capacity_opportunities": 393, - "end_date": "2023-03-01", - "ev_net_r": -0.5159855956355928, - "ev_without_best": { - "1": -0.5736692680377601, - "10": -0.762936398918485, - "5": -0.6669479689610367 - }, - "exit_reasons": { - "open_at_end": 25, - "stop": 214, - "time": 28, - "trailing_stop": 126 - }, - "gain_to_pain": -0.7845087139939377, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 393, - "peak_positions": 30, - "profit_factor": 0.4904745979463146, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.94, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 14253, - "sortino": -3.717115317858825, - "start_date": "2022-03-01", - "total_return_pct": -85.9, - "trades": 393, - "transaction_cost": 199.91283282820507, - "turnover_multiple": 19.991283282820508, - "underwater_pct": 97.23320158102767, - "win_rate": 23.2 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "metrics": { - "avg_cash_pct": 0.3083, - "avg_gross_exposure_pct": 99.6917, - "avg_hold_days": 10.6, - "avg_positions": 16.3413, - "blocked_fraction": 0.0, - "cagr_pct": -86.1, - "calmar": -0.94, - "capacity_opportunities": 386, - "end_date": "2023-03-01", - "ev_net_r": -0.5306001854428286, - "ev_without_best": { - "1": -0.5893051621603835, - "10": -0.7601514045604778, - "5": -0.6732385269496947 - }, - "exit_reasons": { - "open_at_end": 27, - "stop": 215, - "time": 29, - "trailing_stop": 115 - }, - "gain_to_pain": -0.7922544065869843, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 91.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 386, - "peak_positions": 28, - "profit_factor": 0.4660621482345244, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.97, - "simulation_start_date": "2022-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 14316, - "sortino": -3.742718915181238, - "start_date": "2022-03-01", - "total_return_pct": -86.1, - "trades": 386, - "transaction_cost": 392.28079277234804, - "turnover_multiple": 19.614039638617403, - "underwater_pct": 96.83794466403161, - "win_rate": 21.2 - }, - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 0.2549, - "avg_gross_exposure_pct": 99.7451, - "avg_hold_days": 10.9, - "avg_positions": 17.2579, - "blocked_fraction": 0.0, - "cagr_pct": -86.2, - "calmar": -0.97, - "capacity_opportunities": 397, - "end_date": "2023-04-03", - "ev_net_r": -0.509996334259742, - "ev_without_best": { - "1": -0.5670822189068978, - "10": -0.7322697686627716, - "5": -0.6454737761418586 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 221, - "time": 34, - "trailing_stop": 116 - }, - "gain_to_pain": -0.8486345243572245, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 397, - "peak_positions": 29, - "profit_factor": 0.47006690860969147, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.7, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 14435, - "sortino": -3.4845560433241327, - "start_date": "2022-04-01", - "total_return_pct": -86.3, - "trades": 397, - "transaction_cost": 171.4046523307363, - "turnover_multiple": 17.14046523307363, - "underwater_pct": 99.2094861660079, - "win_rate": 21.2 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "metrics": { - "avg_cash_pct": 0.2387, - "avg_gross_exposure_pct": 99.7613, - "avg_hold_days": 11.1, - "avg_positions": 17.4841, - "blocked_fraction": 0.0, - "cagr_pct": -87.2, - "calmar": -0.98, - "capacity_opportunities": 396, - "end_date": "2023-04-03", - "ev_net_r": -0.5283058761656102, - "ev_without_best": { - "1": -0.5855188425630315, - "10": -0.7511589039871492, - "5": -0.6641073509066646 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 217, - "time": 36, - "trailing_stop": 119 - }, - "gain_to_pain": -0.8749465919689076, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 396, - "peak_positions": 30, - "profit_factor": 0.4634741425773977, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.77, - "simulation_start_date": "2022-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 14432, - "sortino": -3.530972580487844, - "start_date": "2022-04-01", - "total_return_pct": -87.3, - "trades": 396, - "transaction_cost": 339.11832068165074, - "turnover_multiple": 16.955916034082538, - "underwater_pct": 99.2094861660079, - "win_rate": 20.7 - }, - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 0.2895, - "avg_gross_exposure_pct": 99.7105, - "avg_hold_days": 10.7, - "avg_positions": 17.5238, - "blocked_fraction": 0.0, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 412, - "end_date": "2023-05-02", - "ev_net_r": -0.6251383597122121, - "ev_without_best": { - "1": -0.6804209688259011, - "10": -0.8347192307191202, - "5": -0.757037296677942 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 232, - "time": 34, - "trailing_stop": 122 - }, - "gain_to_pain": -0.8754195752680786, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 412, - "peak_positions": 30, - "profit_factor": 0.3963031140947728, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.58, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 15378, - "sortino": -4.358232674251407, - "start_date": "2022-05-02", - "total_return_pct": -92.4, - "trades": 412, - "transaction_cost": 158.76970503758244, - "turnover_multiple": 15.876970503758244, - "underwater_pct": 98.81422924901186, - "win_rate": 19.9 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "metrics": { - "avg_cash_pct": 0.2896, - "avg_gross_exposure_pct": 99.7104, - "avg_hold_days": 10.7, - "avg_positions": 17.3135, - "blocked_fraction": 0.0, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 406, - "end_date": "2023-05-02", - "ev_net_r": -0.6164388782042218, - "ev_without_best": { - "1": -0.6724567911153825, - "10": -0.8287990405729517, - "5": -0.7499526977402452 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 228, - "time": 33, - "trailing_stop": 123 - }, - "gain_to_pain": -0.8770432716917129, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 406, - "peak_positions": 29, - "profit_factor": 0.4124885078825444, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.59, - "simulation_start_date": "2022-05-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 15401, - "sortino": -4.331874283624431, - "start_date": "2022-05-02", - "total_return_pct": -92.4, - "trades": 406, - "transaction_cost": 312.16854743471185, - "turnover_multiple": 15.60842737173559, - "underwater_pct": 98.81422924901186, - "win_rate": 19.7 - }, - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 0.2554, - "avg_gross_exposure_pct": 99.7446, - "avg_hold_days": 10.6, - "avg_positions": 18.4524, - "blocked_fraction": 0.0, - "cagr_pct": -94.2, - "calmar": -1.0, - "capacity_opportunities": 416, - "end_date": "2023-06-01", - "ev_net_r": -0.6345946439945406, - "ev_without_best": { - "1": -0.6893671949102238, - "10": -0.8519352012553935, - "5": -0.770763225650309 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 232, - "time": 36, - "trailing_stop": 131 - }, - "gain_to_pain": -0.8691918740070944, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 94.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 416, - "peak_positions": 28, - "profit_factor": 0.38288060839664795, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.01, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 16832, - "sortino": -4.783659638101384, - "start_date": "2022-06-01", - "total_return_pct": -94.2, - "trades": 416, - "transaction_cost": 146.87579175497936, - "turnover_multiple": 14.687579175497936, - "underwater_pct": 98.81422924901186, - "win_rate": 20.0 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "metrics": { - "avg_cash_pct": 0.2493, - "avg_gross_exposure_pct": 99.7507, - "avg_hold_days": 11.0, - "avg_positions": 18.5159, - "blocked_fraction": 0.0, - "cagr_pct": -92.1, - "calmar": -1.0, - "capacity_opportunities": 402, - "end_date": "2023-06-01", - "ev_net_r": -0.6278970418571074, - "ev_without_best": { - "1": -0.6845023109161422, - "10": -0.8315759842571963, - "5": -0.7594094911181227 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 217, - "time": 34, - "trailing_stop": 132 - }, - "gain_to_pain": -0.887329206570424, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 92.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 402, - "peak_positions": 27, - "profit_factor": 0.36995047967713385, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.65, - "simulation_start_date": "2022-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 16834, - "sortino": -4.504908726867925, - "start_date": "2022-06-01", - "total_return_pct": -92.1, - "trades": 402, - "transaction_cost": 293.65384018136996, - "turnover_multiple": 14.682692009068496, - "underwater_pct": 98.81422924901186, - "win_rate": 20.4 - }, - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 0.2043, - "avg_gross_exposure_pct": 99.7957, - "avg_hold_days": 11.2, - "avg_positions": 19.4206, - "blocked_fraction": 0.0, - "cagr_pct": -92.3, - "calmar": -0.99, - "capacity_opportunities": 414, - "end_date": "2023-07-03", - "ev_net_r": -0.5979211546543111, - "ev_without_best": { - "1": -0.6528701501522972, - "10": -0.8260267447340227, - "5": -0.735833375711242 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 230, - "time": 42, - "trailing_stop": 119 - }, - "gain_to_pain": -0.8578905497278707, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 414, - "peak_positions": 28, - "profit_factor": 0.4139229174822906, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.18, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18323, - "sortino": -4.010435611012597, - "start_date": "2022-07-01", - "total_return_pct": -92.4, - "trades": 414, - "transaction_cost": 175.80535226918713, - "turnover_multiple": 17.58053522691871, - "underwater_pct": 96.44268774703558, - "win_rate": 22.2 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "metrics": { - "avg_cash_pct": 0.1973, - "avg_gross_exposure_pct": 99.8027, - "avg_hold_days": 11.0, - "avg_positions": 18.8175, - "blocked_fraction": 0.0, - "cagr_pct": -93.7, - "calmar": -0.99, - "capacity_opportunities": 410, - "end_date": "2023-07-03", - "ev_net_r": -0.6392567574361286, - "ev_without_best": { - "1": -0.6947826073340552, - "10": -0.8633334071677342, - "5": -0.7769571795844599 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 233, - "time": 38, - "trailing_stop": 120 - }, - "gain_to_pain": -0.8858563349010046, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 94.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 410, - "peak_positions": 28, - "profit_factor": 0.3958475892526274, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.68, - "simulation_start_date": "2022-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18354, - "sortino": -4.503412144993817, - "start_date": "2022-07-01", - "total_return_pct": -93.8, - "trades": 410, - "transaction_cost": 338.12383841470046, - "turnover_multiple": 16.906191920735022, - "underwater_pct": 96.44268774703558, - "win_rate": 21.0 - }, - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 0.1711, - "avg_gross_exposure_pct": 99.8289, - "avg_hold_days": 10.5, - "avg_positions": 20.6151, - "blocked_fraction": 0.0, - "cagr_pct": -96.1, - "calmar": -1.0, - "capacity_opportunities": 491, - "end_date": "2023-08-01", - "ev_net_r": -0.6305319819494775, - "ev_without_best": { - "1": -0.6769126880065457, - "10": -0.8258658926948428, - "5": -0.757488659297956 - }, - "exit_reasons": { - "open_at_end": 32, - "stop": 257, - "time": 39, - "trailing_stop": 163 - }, - "gain_to_pain": -0.8656620944137277, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 491, - "peak_positions": 33, - "profit_factor": 0.37898862623765006, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.79, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18648, - "sortino": -4.770480901214569, - "start_date": "2022-08-01", - "total_return_pct": -96.1, - "trades": 491, - "transaction_cost": 134.8518020547895, - "turnover_multiple": 13.485180205478947, - "underwater_pct": 99.60474308300395, - "win_rate": 21.0 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "metrics": { - "avg_cash_pct": 0.2084, - "avg_gross_exposure_pct": 99.7916, - "avg_hold_days": 10.7, - "avg_positions": 20.4167, - "blocked_fraction": 0.0, - "cagr_pct": -96.9, - "calmar": -1.0, - "capacity_opportunities": 479, - "end_date": "2023-08-01", - "ev_net_r": -0.6575543834139461, - "ev_without_best": { - "1": -0.7051032751173557, - "10": -0.853159481664905, - "5": -0.7877835137070733 - }, - "exit_reasons": { - "open_at_end": 33, - "stop": 252, - "time": 42, - "trailing_stop": 152 - }, - "gain_to_pain": -0.9248370088732114, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 97.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 479, - "peak_positions": 33, - "profit_factor": 0.3485314828441647, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.8, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18699, - "sortino": -4.761968930273479, - "start_date": "2022-08-01", - "total_return_pct": -96.9, - "trades": 479, - "transaction_cost": 258.5986493167336, - "turnover_multiple": 12.92993246583668, - "underwater_pct": 99.60474308300395, - "win_rate": 19.6 - }, - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 0.1728, - "avg_gross_exposure_pct": 99.8272, - "avg_hold_days": 10.6, - "avg_positions": 21.5, - "blocked_fraction": 0.0, - "cagr_pct": -97.0, - "calmar": -1.0, - "capacity_opportunities": 510, - "end_date": "2023-09-01", - "ev_net_r": -0.6457001102742749, - "ev_without_best": { - "1": -0.6903793128210102, - "10": -0.854852404157764, - "5": -0.7812825988593107 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 281, - "time": 42, - "trailing_stop": 167 - }, - "gain_to_pain": -0.8879748765157198, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 97.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 510, - "peak_positions": 33, - "profit_factor": 0.37793693858453065, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.77, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18199, - "sortino": -4.799570805594605, - "start_date": "2022-09-01", - "total_return_pct": -97.0, - "trades": 510, - "transaction_cost": 124.08513599876942, - "turnover_multiple": 12.408513599876942, - "underwater_pct": 98.81422924901186, - "win_rate": 19.2 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "metrics": { - "avg_cash_pct": 0.2102, - "avg_gross_exposure_pct": 99.7898, - "avg_hold_days": 10.8, - "avg_positions": 22.0595, - "blocked_fraction": 0.0, - "cagr_pct": -96.6, - "calmar": -1.0, - "capacity_opportunities": 511, - "end_date": "2023-09-01", - "ev_net_r": -0.634047094193628, - "ev_without_best": { - "1": -0.6785664333014897, - "10": -0.836296053938198, - "5": -0.7668223679996738 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 280, - "time": 42, - "trailing_stop": 169 - }, - "gain_to_pain": -0.9358739411428612, - "longest_underwater_sessions": 245, - "max_drawdown_pct": 96.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 511, - "peak_positions": 33, - "profit_factor": 0.38943001254923537, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.48, - "simulation_start_date": "2022-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18181, - "sortino": -4.487946111932262, - "start_date": "2022-09-01", - "total_return_pct": -96.6, - "trades": 511, - "transaction_cost": 243.94765758555553, - "turnover_multiple": 12.197382879277775, - "underwater_pct": 98.81422924901186, - "win_rate": 19.8 - }, - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 0.1602, - "avg_gross_exposure_pct": 99.8398, - "avg_hold_days": 11.0, - "avg_positions": 22.9167, - "blocked_fraction": 0.0, - "cagr_pct": -93.3, - "calmar": -1.0, - "capacity_opportunities": 523, - "end_date": "2023-10-03", - "ev_net_r": -0.4999634040336536, - "ev_without_best": { - "1": -0.5432507170414077, - "10": -0.7168488563902767, - "5": -0.6441156504688995 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 273, - "time": 51, - "trailing_stop": 178 - }, - "gain_to_pain": -0.8821312839200188, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 523, - "peak_positions": 33, - "profit_factor": 0.47811799686217266, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.01, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18673, - "sortino": -3.946314387311612, - "start_date": "2022-10-03", - "total_return_pct": -93.2, - "trades": 523, - "transaction_cost": 178.58086523721366, - "turnover_multiple": 17.858086523721365, - "underwater_pct": 98.81422924901186, - "win_rate": 20.8 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "metrics": { - "avg_cash_pct": 0.179, - "avg_gross_exposure_pct": 99.821, - "avg_hold_days": 10.7, - "avg_positions": 22.869, - "blocked_fraction": 0.0, - "cagr_pct": -96.7, - "calmar": -1.0, - "capacity_opportunities": 536, - "end_date": "2023-10-03", - "ev_net_r": -0.6149531537865728, - "ev_without_best": { - "1": -0.6573564603372315, - "10": -0.7961004940194137, - "5": -0.7327003406580788 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 299, - "time": 49, - "trailing_stop": 169 - }, - "gain_to_pain": -0.9243877777536572, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 96.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 536, - "peak_positions": 33, - "profit_factor": 0.3800880875619253, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.43, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18667, - "sortino": -5.144174166388434, - "start_date": "2022-10-03", - "total_return_pct": -96.6, - "trades": 536, - "transaction_cost": 339.22318332678805, - "turnover_multiple": 16.961159166339403, - "underwater_pct": 98.81422924901186, - "win_rate": 19.2 - }, - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 0.1777, - "avg_gross_exposure_pct": 99.8223, - "avg_hold_days": 10.5, - "avg_positions": 23.0159, - "blocked_fraction": 0.0, - "cagr_pct": -96.8, - "calmar": -1.0, - "capacity_opportunities": 553, - "end_date": "2023-11-01", - "ev_net_r": -0.6208803736155225, - "ev_without_best": { - "1": -0.6620341677452861, - "10": -0.8279468377976578, - "5": -0.7567971091388606 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 302, - "time": 42, - "trailing_stop": 189 - }, - "gain_to_pain": -0.8786031705314582, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 96.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 553, - "peak_positions": 32, - "profit_factor": 0.38860279269705755, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.97, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18486, - "sortino": -5.0700141198411, - "start_date": "2022-11-01", - "total_return_pct": -96.8, - "trades": 553, - "transaction_cost": 149.18346616252612, - "turnover_multiple": 14.918346616252613, - "underwater_pct": 99.2094861660079, - "win_rate": 18.6 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "metrics": { - "avg_cash_pct": 0.129, - "avg_gross_exposure_pct": 99.871, - "avg_hold_days": 11.0, - "avg_positions": 23.3452, - "blocked_fraction": 0.0, - "cagr_pct": -97.6, - "calmar": -1.0, - "capacity_opportunities": 532, - "end_date": "2023-11-01", - "ev_net_r": -0.6793083357416089, - "ev_without_best": { - "1": -0.7221522607633744, - "10": -0.8766189425024087, - "5": -0.804965152900616 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 283, - "time": 43, - "trailing_stop": 187 - }, - "gain_to_pain": -0.8894128066673249, - "longest_underwater_sessions": 247, - "max_drawdown_pct": 97.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 532, - "peak_positions": 35, - "profit_factor": 0.3539340671373079, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.19, - "simulation_start_date": "2022-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 18494, - "sortino": -5.258541316150929, - "start_date": "2022-11-01", - "total_return_pct": -97.6, - "trades": 532, - "transaction_cost": 294.6959954220211, - "turnover_multiple": 14.734799771101054, - "underwater_pct": 99.2094861660079, - "win_rate": 19.4 - }, - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 0.1215, - "avg_gross_exposure_pct": 99.8785, - "avg_hold_days": 10.5, - "avg_positions": 23.4722, - "blocked_fraction": 0.0, - "cagr_pct": -84.0, - "calmar": -0.87, - "capacity_opportunities": 563, - "end_date": "2023-12-01", - "ev_net_r": 0.37335957552653587, - "ev_without_best": { - "1": -0.6710225864714497, - "10": -0.8350494809802101, - "5": -0.7720508708701467 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 306, - "time": 44, - "trailing_stop": 191 - }, - "gain_to_pain": 0.18361016862919124, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 97.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 563, - "peak_positions": 33, - "profit_factor": 1.3729916899972485, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.54, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 19157, - "sortino": 6.940768483623645, - "start_date": "2022-12-01", - "total_return_pct": -84.0, - "trades": 563, - "transaction_cost": 177.72990945605216, - "turnover_multiple": 17.772990945605216, - "underwater_pct": 97.23320158102767, - "win_rate": 18.3 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2022-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "metrics": { - "avg_cash_pct": 0.1398, - "avg_gross_exposure_pct": 99.8602, - "avg_hold_days": 10.5, - "avg_positions": 23.3095, - "blocked_fraction": 0.0, - "cagr_pct": -81.9, - "calmar": -0.85, - "capacity_opportunities": 559, - "end_date": "2023-12-01", - "ev_net_r": 0.40446742700232385, - "ev_without_best": { - "1": -0.6462900450772012, - "10": -0.829341286689508, - "5": -0.764312508628178 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 300, - "time": 41, - "trailing_stop": 197 - }, - "gain_to_pain": 0.1689159667490771, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 96.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 559, - "peak_positions": 32, - "profit_factor": 1.4033464457695528, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.56, - "simulation_start_date": "2022-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 19150, - "sortino": 7.199509270975012, - "start_date": "2022-12-01", - "total_return_pct": -81.9, - "trades": 559, - "transaction_cost": 359.61747337537355, - "turnover_multiple": 17.98087366876868, - "underwater_pct": 97.62845849802372, - "win_rate": 18.6 - }, - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1714, - "avg_gross_exposure_pct": 99.8286, - "avg_hold_days": 10.2, - "avg_positions": 23.504, - "blocked_fraction": 0.0, - "cagr_pct": -85.8, - "calmar": -0.89, - "capacity_opportunities": 577, - "end_date": "2024-01-03", - "ev_net_r": 0.3593445998813147, - "ev_without_best": { - "1": -0.6596776050119373, - "10": -0.8324236603300665, - "5": -0.7645762033252069 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 309, - "time": 42, - "trailing_stop": 203 - }, - "gain_to_pain": 0.1713577929200718, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 96.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 577, - "peak_positions": 32, - "profit_factor": 1.35631700385353, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.53, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20773, - "sortino": 6.440452715108003, - "start_date": "2023-01-03", - "total_return_pct": -85.8, - "trades": 577, - "transaction_cost": 180.1488729174559, - "turnover_multiple": 18.01488729174559, - "underwater_pct": 96.83794466403161, - "win_rate": 18.9 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1173, - "avg_gross_exposure_pct": 99.8827, - "avg_hold_days": 10.1, - "avg_positions": 23.5754, - "blocked_fraction": 0.0, - "cagr_pct": -88.2, - "calmar": -0.91, - "capacity_opportunities": 583, - "end_date": "2024-01-03", - "ev_net_r": 0.34108441734073774, - "ev_without_best": { - "1": -0.6664517552194625, - "10": -0.8291477449906691, - "5": -0.7658988157481242 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 313, - "time": 48, - "trailing_stop": 196 - }, - "gain_to_pain": 0.18608274285026072, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 97.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 583, - "peak_positions": 32, - "profit_factor": 1.337997472024526, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.5, - "simulation_start_date": "2023-01-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20773, - "sortino": 5.886631760547535, - "start_date": "2023-01-03", - "total_return_pct": -88.2, - "trades": 583, - "transaction_cost": 351.1491611043911, - "turnover_multiple": 17.557458055219556, - "underwater_pct": 96.83794466403161, - "win_rate": 19.2 - }, - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 0.0931, - "avg_gross_exposure_pct": 99.9069, - "avg_hold_days": 10.3, - "avg_positions": 23.9762, - "blocked_fraction": 0.0, - "cagr_pct": -87.8, - "calmar": -0.91, - "capacity_opportunities": 585, - "end_date": "2024-02-01", - "ev_net_r": 0.3311102349696532, - "ev_without_best": { - "1": -0.6740011081526498, - "10": -0.8320517621820918, - "5": -0.7721207995272139 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 319, - "time": 46, - "trailing_stop": 197 - }, - "gain_to_pain": 0.21261105737359884, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 585, - "peak_positions": 32, - "profit_factor": 1.3351350394227315, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.5, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20758, - "sortino": 6.0370632259826875, - "start_date": "2023-02-01", - "total_return_pct": -87.8, - "trades": 585, - "transaction_cost": 136.1036579026788, - "turnover_multiple": 13.610365790267883, - "underwater_pct": 99.60474308300395, - "win_rate": 17.1 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "metrics": { - "avg_cash_pct": 0.1256, - "avg_gross_exposure_pct": 99.8744, - "avg_hold_days": 9.9, - "avg_positions": 23.6071, - "blocked_fraction": 0.0, - "cagr_pct": -89.9, - "calmar": -0.93, - "capacity_opportunities": 596, - "end_date": "2024-02-01", - "ev_net_r": 0.27324204658587575, - "ev_without_best": { - "1": -0.7123947513986477, - "10": -0.867813693454212, - "5": -0.8088131044543805 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 333, - "time": 43, - "trailing_stop": 198 - }, - "gain_to_pain": 0.08234087053181112, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 97.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 596, - "peak_positions": 32, - "profit_factor": 1.267043317047359, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.48, - "simulation_start_date": "2023-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20788, - "sortino": 5.691047528153489, - "start_date": "2023-02-01", - "total_return_pct": -89.9, - "trades": 596, - "transaction_cost": 257.9485266319868, - "turnover_multiple": 12.89742633159934, - "underwater_pct": 99.60474308300395, - "win_rate": 17.4 - }, - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 0.1211, - "avg_gross_exposure_pct": 99.8789, - "avg_hold_days": 10.0, - "avg_positions": 23.6865, - "blocked_fraction": 0.0, - "cagr_pct": -88.1, - "calmar": -0.92, - "capacity_opportunities": 595, - "end_date": "2024-02-29", - "ev_net_r": 0.30635757159312943, - "ev_without_best": { - "1": -0.6818743762971086, - "10": -0.8350265613758366, - "5": -0.7846290054787435 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 339, - "time": 45, - "trailing_stop": 187 - }, - "gain_to_pain": -0.016332904841600753, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 95.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 595, - "peak_positions": 34, - "profit_factor": 1.3045733130825046, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.47, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21229, - "sortino": 5.399328208934261, - "start_date": "2023-03-01", - "total_return_pct": -88.1, - "trades": 595, - "transaction_cost": 130.76097783868985, - "turnover_multiple": 13.076097783868986, - "underwater_pct": 99.60474308300395, - "win_rate": 17.0 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "metrics": { - "avg_cash_pct": 0.1094, - "avg_gross_exposure_pct": 99.8906, - "avg_hold_days": 10.3, - "avg_positions": 23.9444, - "blocked_fraction": 0.0, - "cagr_pct": -89.2, - "calmar": -0.92, - "capacity_opportunities": 584, - "end_date": "2024-02-29", - "ev_net_r": 0.2855364341071992, - "ev_without_best": { - "1": -0.720366825606815, - "10": -0.8744721276154366, - "5": -0.825184949362085 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 324, - "time": 45, - "trailing_stop": 189 - }, - "gain_to_pain": 0.00041599097692390666, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 584, - "peak_positions": 34, - "profit_factor": 1.2776327349304815, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.48, - "simulation_start_date": "2023-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21231, - "sortino": 5.799975638445267, - "start_date": "2023-03-01", - "total_return_pct": -89.2, - "trades": 584, - "transaction_cost": 253.17365419316653, - "turnover_multiple": 12.658682709658326, - "underwater_pct": 99.60474308300395, - "win_rate": 17.0 - }, - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 0.0982, - "avg_gross_exposure_pct": 99.9018, - "avg_hold_days": 10.3, - "avg_positions": 24.3214, - "blocked_fraction": 0.0, - "cagr_pct": -86.4, - "calmar": -0.9, - "capacity_opportunities": 593, - "end_date": "2024-04-03", - "ev_net_r": 0.31904686069857263, - "ev_without_best": { - "1": -0.672502274027265, - "10": -0.8184728849215548, - "5": -0.7636624482709683 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 327, - "time": 53, - "trailing_stop": 187 - }, - "gain_to_pain": 0.1889877528083304, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 593, - "peak_positions": 34, - "profit_factor": 1.3244504986033232, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.52, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22269, - "sortino": 6.598702784894108, - "start_date": "2023-04-03", - "total_return_pct": -86.4, - "trades": 593, - "transaction_cost": 113.62353423413609, - "turnover_multiple": 11.362353423413609, - "underwater_pct": 99.60474308300395, - "win_rate": 17.5 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "metrics": { - "avg_cash_pct": 0.1302, - "avg_gross_exposure_pct": 99.8698, - "avg_hold_days": 10.1, - "avg_positions": 24.2659, - "blocked_fraction": 0.0, - "cagr_pct": -86.3, - "calmar": -0.9, - "capacity_opportunities": 602, - "end_date": "2024-04-03", - "ev_net_r": 0.3905397913652066, - "ev_without_best": { - "1": -0.5850618676298218, - "10": -0.7900735899015479, - "5": -0.7130586625948919 - }, - "exit_reasons": { - "open_at_end": 25, - "stop": 333, - "time": 54, - "trailing_stop": 190 - }, - "gain_to_pain": 0.21532575913439445, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 602, - "peak_positions": 33, - "profit_factor": 1.396176158722027, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.53, - "simulation_start_date": "2023-04-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22215, - "sortino": 6.4538109609727075, - "start_date": "2023-04-03", - "total_return_pct": -86.4, - "trades": 602, - "transaction_cost": 229.88123243090223, - "turnover_multiple": 11.49406162154511, - "underwater_pct": 99.60474308300395, - "win_rate": 18.9 - }, - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 0.1201, - "avg_gross_exposure_pct": 99.8799, - "avg_hold_days": 10.2, - "avg_positions": 23.6548, - "blocked_fraction": 0.0, - "cagr_pct": -80.2, - "calmar": -0.89, - "capacity_opportunities": 580, - "end_date": "2024-04-30", - "ev_net_r": 0.3893949824295877, - "ev_without_best": { - "1": -0.6242954141782961, - "10": -0.7871382283844016, - "5": -0.7278671378646557 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 318, - "time": 48, - "trailing_stop": 191 - }, - "gain_to_pain": 0.1380895671871236, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 90.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 580, - "peak_positions": 35, - "profit_factor": 1.4128004828315093, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.57, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22108, - "sortino": 7.2536939944269845, - "start_date": "2023-05-01", - "total_return_pct": -80.2, - "trades": 580, - "transaction_cost": 176.01865658402255, - "turnover_multiple": 17.601865658402254, - "underwater_pct": 99.60474308300395, - "win_rate": 17.8 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "metrics": { - "avg_cash_pct": 0.1203, - "avg_gross_exposure_pct": 99.8797, - "avg_hold_days": 10.3, - "avg_positions": 23.6944, - "blocked_fraction": 0.0, - "cagr_pct": -81.6, - "calmar": -0.89, - "capacity_opportunities": 578, - "end_date": "2024-04-30", - "ev_net_r": 0.41530859038718726, - "ev_without_best": { - "1": -0.600829760144858, - "10": -0.7907418699346268, - "5": -0.7232345487332302 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 317, - "time": 48, - "trailing_stop": 190 - }, - "gain_to_pain": 0.27826208155612187, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 578, - "peak_positions": 35, - "profit_factor": 1.43896130209144, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.56, - "simulation_start_date": "2023-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22098, - "sortino": 7.28275172715898, - "start_date": "2023-05-01", - "total_return_pct": -81.6, - "trades": 578, - "transaction_cost": 331.0147375799839, - "turnover_multiple": 16.550736878999196, - "underwater_pct": 99.60474308300395, - "win_rate": 17.0 - }, - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 0.0873, - "avg_gross_exposure_pct": 99.9127, - "avg_hold_days": 10.4, - "avg_positions": 23.4008, - "blocked_fraction": 0.0, - "cagr_pct": -81.8, - "calmar": -0.94, - "capacity_opportunities": 565, - "end_date": "2024-05-31", - "ev_net_r": 0.3854520129598689, - "ev_without_best": { - "1": -0.6552052257022494, - "10": -0.7959261932460262, - "5": -0.7467621198689247 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 307, - "time": 50, - "trailing_stop": 185 - }, - "gain_to_pain": 0.194378868801795, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 87.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 565, - "peak_positions": 32, - "profit_factor": 1.401282897636246, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.55, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22229, - "sortino": 7.47749639638453, - "start_date": "2023-06-01", - "total_return_pct": -81.8, - "trades": 565, - "transaction_cost": 220.10487514492638, - "turnover_multiple": 22.010487514492638, - "underwater_pct": 99.2094861660079, - "win_rate": 18.8 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "metrics": { - "avg_cash_pct": 0.1145, - "avg_gross_exposure_pct": 99.8855, - "avg_hold_days": 10.5, - "avg_positions": 23.9286, - "blocked_fraction": 0.0, - "cagr_pct": -81.6, - "calmar": -0.92, - "capacity_opportunities": 574, - "end_date": "2024-05-31", - "ev_net_r": 0.37824021571654454, - "ev_without_best": { - "1": -0.6450562880036314, - "10": -0.7845738876843177, - "5": -0.7349672583257594 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 313, - "time": 55, - "trailing_stop": 185 - }, - "gain_to_pain": 0.14446041887898223, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 88.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 574, - "peak_positions": 32, - "profit_factor": 1.3920592295596321, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.56, - "simulation_start_date": "2023-06-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22191, - "sortino": 7.752102691180116, - "start_date": "2023-06-01", - "total_return_pct": -81.6, - "trades": 574, - "transaction_cost": 420.7128263161187, - "turnover_multiple": 21.035641315805933, - "underwater_pct": 99.2094861660079, - "win_rate": 19.9 - }, - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 0.0944, - "avg_gross_exposure_pct": 99.9056, - "avg_hold_days": 10.0, - "avg_positions": 23.7063, - "blocked_fraction": 0.0, - "cagr_pct": -51.5, - "calmar": -0.59, - "capacity_opportunities": 595, - "end_date": "2024-07-02", - "ev_net_r": 0.5380911176806739, - "ev_without_best": { - "1": -0.4497507063946019, - "10": -0.7105522118840123, - "5": -0.6141601145442313 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 329, - "time": 48, - "trailing_stop": 194 - }, - "gain_to_pain": 0.6845535998654376, - "longest_underwater_sessions": 161, - "max_drawdown_pct": 87.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 595, - "peak_positions": 34, - "profit_factor": 1.5628484369575284, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.69, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21447, - "sortino": 8.88823054742531, - "start_date": "2023-07-03", - "total_return_pct": -51.4, - "trades": 595, - "transaction_cost": 592.3673635642804, - "turnover_multiple": 59.23673635642803, - "underwater_pct": 97.62845849802372, - "win_rate": 19.7 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "metrics": { - "avg_cash_pct": 0.088, - "avg_gross_exposure_pct": 99.912, - "avg_hold_days": 10.3, - "avg_positions": 23.8294, - "blocked_fraction": 0.0, - "cagr_pct": -46.0, - "calmar": -0.52, - "capacity_opportunities": 578, - "end_date": "2024-07-02", - "ev_net_r": 0.5091433879246758, - "ev_without_best": { - "1": -0.5068323373083441, - "10": -0.7352721623266469, - "5": -0.6512019847158894 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 314, - "time": 45, - "trailing_stop": 193 - }, - "gain_to_pain": 0.7737539169769586, - "longest_underwater_sessions": 161, - "max_drawdown_pct": 87.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 578, - "peak_positions": 34, - "profit_factor": 1.53208315577453, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.7, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21480, - "sortino": 9.074583856652467, - "start_date": "2023-07-03", - "total_return_pct": -45.9, - "trades": 578, - "transaction_cost": 1220.0223747565499, - "turnover_multiple": 61.0011187378275, - "underwater_pct": 97.62845849802372, - "win_rate": 19.6 - }, - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 0.0945, - "avg_gross_exposure_pct": 99.9055, - "avg_hold_days": 10.1, - "avg_positions": 22.9127, - "blocked_fraction": 0.0, - "cagr_pct": -68.2, - "calmar": -0.79, - "capacity_opportunities": 566, - "end_date": "2024-07-31", - "ev_net_r": 0.5136204298840303, - "ev_without_best": { - "1": -0.5249680908035989, - "10": -0.7336379830883419, - "5": -0.6594437706493416 - }, - "exit_reasons": { - "open_at_end": 25, - "stop": 309, - "time": 48, - "trailing_stop": 184 - }, - "gain_to_pain": 0.6055876432110224, - "longest_underwater_sessions": 181, - "max_drawdown_pct": 86.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 566, - "peak_positions": 30, - "profit_factor": 1.5400689364066675, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.62, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21609, - "sortino": 8.435573757665884, - "start_date": "2023-08-01", - "total_return_pct": -68.1, - "trades": 566, - "transaction_cost": 400.39736253991765, - "turnover_multiple": 40.03973625399176, - "underwater_pct": 97.23320158102767, - "win_rate": 19.1 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "metrics": { - "avg_cash_pct": 0.1014, - "avg_gross_exposure_pct": 99.8986, - "avg_hold_days": 9.9, - "avg_positions": 22.9405, - "blocked_fraction": 0.0, - "cagr_pct": -76.4, - "calmar": -0.85, - "capacity_opportunities": 580, - "end_date": "2024-07-31", - "ev_net_r": 0.4707112219290412, - "ev_without_best": { - "1": -0.5418214648161199, - "10": -0.7444773748228333, - "5": -0.6722061366385285 - }, - "exit_reasons": { - "open_at_end": 28, - "stop": 323, - "time": 48, - "trailing_stop": 181 - }, - "gain_to_pain": 0.45417078144186684, - "longest_underwater_sessions": 181, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 580, - "peak_positions": 32, - "profit_factor": 1.4955972707818064, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.59, - "simulation_start_date": "2023-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21518, - "sortino": 7.708786421022825, - "start_date": "2023-08-01", - "total_return_pct": -76.3, - "trades": 580, - "transaction_cost": 760.7556803702975, - "turnover_multiple": 38.03778401851487, - "underwater_pct": 97.23320158102767, - "win_rate": 19.5 - }, - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 0.1053, - "avg_gross_exposure_pct": 99.8947, - "avg_hold_days": 10.3, - "avg_positions": 22.4484, - "blocked_fraction": 0.0, - "cagr_pct": -75.4, - "calmar": -0.83, - "capacity_opportunities": 543, - "end_date": "2024-09-03", - "ev_net_r": 0.4466543419492544, - "ev_without_best": { - "1": -0.6361306770109769, - "10": -0.8044948641670133, - "5": -0.7377322403447999 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 300, - "time": 54, - "trailing_stop": 168 - }, - "gain_to_pain": 0.260510236165525, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 90.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 543, - "peak_positions": 30, - "profit_factor": 1.4481241521702861, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.58, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21846, - "sortino": 7.2269173146887, - "start_date": "2023-09-01", - "total_return_pct": -75.7, - "trades": 543, - "transaction_cost": 377.36445768225434, - "turnover_multiple": 37.73644576822543, - "underwater_pct": 98.81422924901186, - "win_rate": 17.5 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "metrics": { - "avg_cash_pct": 0.1181, - "avg_gross_exposure_pct": 99.8819, - "avg_hold_days": 10.0, - "avg_positions": 22.1548, - "blocked_fraction": 0.0, - "cagr_pct": -79.7, - "calmar": -0.86, - "capacity_opportunities": 551, - "end_date": "2024-09-03", - "ev_net_r": 0.43887508488544125, - "ev_without_best": { - "1": -0.6271035728645438, - "10": -0.8398524272235793, - "5": -0.7438522637080404 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 301, - "time": 47, - "trailing_stop": 182 - }, - "gain_to_pain": 0.21552168138257438, - "longest_underwater_sessions": 204, - "max_drawdown_pct": 92.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 551, - "peak_positions": 32, - "profit_factor": 1.4302820748935, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.55, - "simulation_start_date": "2023-09-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21808, - "sortino": 6.5962609343474226, - "start_date": "2023-09-01", - "total_return_pct": -79.9, - "trades": 551, - "transaction_cost": 760.0784597808771, - "turnover_multiple": 38.00392298904385, - "underwater_pct": 98.81422924901186, - "win_rate": 16.3 - }, - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 0.0938, - "avg_gross_exposure_pct": 99.9062, - "avg_hold_days": 10.3, - "avg_positions": 22.369, - "blocked_fraction": 0.0, - "cagr_pct": -96.5, - "calmar": -1.0, - "capacity_opportunities": 537, - "end_date": "2024-10-01", - "ev_net_r": -0.6264790133554085, - "ev_without_best": { - "1": -0.6723177984568769, - "10": -0.847844233644436, - "5": -0.7834974843147674 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 305, - "time": 49, - "trailing_stop": 163 - }, - "gain_to_pain": -0.9655950798129366, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 537, - "peak_positions": 32, - "profit_factor": 0.3778298004931973, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.01, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22376, - "sortino": -4.747131845689133, - "start_date": "2023-10-02", - "total_return_pct": -96.5, - "trades": 537, - "transaction_cost": 106.05570971420234, - "turnover_multiple": 10.605570971420233, - "underwater_pct": 99.60474308300395, - "win_rate": 16.4 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "metrics": { - "avg_cash_pct": 0.1014, - "avg_gross_exposure_pct": 99.8986, - "avg_hold_days": 10.0, - "avg_positions": 22.2103, - "blocked_fraction": 0.0, - "cagr_pct": -80.3, - "calmar": -0.85, - "capacity_opportunities": 550, - "end_date": "2024-10-01", - "ev_net_r": 0.41462459004872104, - "ev_without_best": { - "1": -0.6533399131522418, - "10": -0.8453005356554281, - "5": -0.7661809471474528 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 313, - "time": 53, - "trailing_stop": 164 - }, - "gain_to_pain": 0.20197905661674057, - "longest_underwater_sessions": 224, - "max_drawdown_pct": 94.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 550, - "peak_positions": 33, - "profit_factor": 1.410949937874028, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.57, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22377, - "sortino": 6.966370228672649, - "start_date": "2023-10-02", - "total_return_pct": -80.3, - "trades": 550, - "transaction_cost": 929.1795690445335, - "turnover_multiple": 46.458978452226674, - "underwater_pct": 99.2094861660079, - "win_rate": 16.9 - }, - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 0.0751, - "avg_gross_exposure_pct": 99.9249, - "avg_hold_days": 10.5, - "avg_positions": 22.6151, - "blocked_fraction": 0.0, - "cagr_pct": -62.1, - "calmar": -0.65, - "capacity_opportunities": 531, - "end_date": "2024-10-31", - "ev_net_r": 0.5192103516095627, - "ev_without_best": { - "1": -0.5879536564409751, - "10": -0.7807802896870345, - "5": -0.6953179047771764 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 300, - "time": 55, - "trailing_stop": 157 - }, - "gain_to_pain": 0.5446637819471492, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 95.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 531, - "peak_positions": 30, - "profit_factor": 1.524838349660971, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.64, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23733, - "sortino": 8.045210036209363, - "start_date": "2023-11-01", - "total_return_pct": -62.1, - "trades": 531, - "transaction_cost": 935.1700723179765, - "turnover_multiple": 93.51700723179765, - "underwater_pct": 99.2094861660079, - "win_rate": 17.3 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "metrics": { - "avg_cash_pct": 0.0883, - "avg_gross_exposure_pct": 99.9117, - "avg_hold_days": 10.5, - "avg_positions": 22.4603, - "blocked_fraction": 0.0, - "cagr_pct": -59.4, - "calmar": -0.63, - "capacity_opportunities": 531, - "end_date": "2024-10-31", - "ev_net_r": 0.5320313690848241, - "ev_without_best": { - "1": -0.5739971318176146, - "10": -0.7628378057119106, - "5": -0.6810652488228734 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 299, - "time": 54, - "trailing_stop": 157 - }, - "gain_to_pain": 0.5744523462409542, - "longest_underwater_sessions": 246, - "max_drawdown_pct": 94.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 531, - "peak_positions": 29, - "profit_factor": 1.5446963492412575, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.65, - "simulation_start_date": "2023-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23720, - "sortino": 8.19574359630382, - "start_date": "2023-11-01", - "total_return_pct": -59.4, - "trades": 531, - "transaction_cost": 1851.4805154722083, - "turnover_multiple": 92.5740257736104, - "underwater_pct": 99.2094861660079, - "win_rate": 18.3 - }, - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 0.0952, - "avg_gross_exposure_pct": 99.9048, - "avg_hold_days": 11.0, - "avg_positions": 22.3175, - "blocked_fraction": 0.0, - "cagr_pct": -89.8, - "calmar": -0.98, - "capacity_opportunities": 501, - "end_date": "2024-12-02", - "ev_net_r": -0.46011396234177016, - "ev_without_best": { - "1": -0.5114100281042916, - "10": -0.7311746736788874, - "5": -0.6442465755998562 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 271, - "time": 49, - "trailing_stop": 164 - }, - "gain_to_pain": -0.9048420332920273, - "longest_underwater_sessions": 188, - "max_drawdown_pct": 91.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 501, - "peak_positions": 31, - "profit_factor": 0.5208067518823631, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.43, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23625, - "sortino": -3.2054898165242163, - "start_date": "2023-12-01", - "total_return_pct": -89.9, - "trades": 501, - "transaction_cost": 229.76548623180906, - "turnover_multiple": 22.976548623180904, - "underwater_pct": 98.41897233201581, - "win_rate": 19.4 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2023-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "metrics": { - "avg_cash_pct": 0.0856, - "avg_gross_exposure_pct": 99.9144, - "avg_hold_days": 11.1, - "avg_positions": 22.7063, - "blocked_fraction": 0.0, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 504, - "end_date": "2024-12-02", - "ev_net_r": -0.5173066791101393, - "ev_without_best": { - "1": -0.5591345717827775, - "10": -0.7546578028116606, - "5": -0.6852386869322882 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 263, - "time": 53, - "trailing_stop": 171 - }, - "gain_to_pain": -0.9489649629431519, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 504, - "peak_positions": 33, - "profit_factor": 0.45184465747671637, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.89, - "simulation_start_date": "2023-12-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23596, - "sortino": -3.722919358611956, - "start_date": "2023-12-01", - "total_return_pct": -92.5, - "trades": 504, - "transaction_cost": 393.8779714556376, - "turnover_multiple": 19.693898572781876, - "underwater_pct": 99.60474308300395, - "win_rate": 19.8 - }, - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.075, - "avg_gross_exposure_pct": 99.925, - "avg_hold_days": 11.0, - "avg_positions": 21.9643, - "blocked_fraction": 0.0, - "cagr_pct": -90.6, - "calmar": -0.97, - "capacity_opportunities": 492, - "end_date": "2024-12-31", - "ev_net_r": -0.4913681117054576, - "ev_without_best": { - "1": -0.5229647467805093, - "10": -0.7119692639008345, - "5": -0.629567322708349 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 262, - "time": 55, - "trailing_stop": 157 - }, - "gain_to_pain": -0.8520645176510214, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 492, - "peak_positions": 32, - "profit_factor": 0.4722616494336996, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.78, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23100, - "sortino": -3.6121800056978373, - "start_date": "2024-01-02", - "total_return_pct": -90.5, - "trades": 492, - "transaction_cost": 184.77376595691638, - "turnover_multiple": 18.477376595691638, - "underwater_pct": 98.41897233201581, - "win_rate": 20.1 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0772, - "avg_gross_exposure_pct": 99.9228, - "avg_hold_days": 11.0, - "avg_positions": 21.4921, - "blocked_fraction": 0.0, - "cagr_pct": -92.8, - "calmar": -0.99, - "capacity_opportunities": 481, - "end_date": "2024-12-31", - "ev_net_r": -0.5785047998820219, - "ev_without_best": { - "1": -0.6070336293262206, - "10": -0.7817894450676741, - "5": -0.707302218907263 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 256, - "time": 49, - "trailing_stop": 162 - }, - "gain_to_pain": -0.9271413616597636, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 481, - "peak_positions": 30, - "profit_factor": 0.4005346093571291, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.28, - "simulation_start_date": "2024-01-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23114, - "sortino": -4.061191675022956, - "start_date": "2024-01-02", - "total_return_pct": -92.8, - "trades": 481, - "transaction_cost": 354.11093520249887, - "turnover_multiple": 17.705546760124943, - "underwater_pct": 98.41897233201581, - "win_rate": 18.5 - }, - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 0.0861, - "avg_gross_exposure_pct": 99.9139, - "avg_hold_days": 11.0, - "avg_positions": 21.2381, - "blocked_fraction": 0.0, - "cagr_pct": -88.9, - "calmar": -0.97, - "capacity_opportunities": 470, - "end_date": "2025-02-03", - "ev_net_r": -0.4445413789855113, - "ev_without_best": { - "1": -0.53526355537907, - "10": -0.7316478811657607, - "5": -0.6557151448288289 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 246, - "time": 43, - "trailing_stop": 160 - }, - "gain_to_pain": -0.9162748717262992, - "longest_underwater_sessions": 220, - "max_drawdown_pct": 91.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 470, - "peak_positions": 31, - "profit_factor": 0.5193270716416512, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.83, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23228, - "sortino": -3.5686018392227914, - "start_date": "2024-02-01", - "total_return_pct": -89.1, - "trades": 470, - "transaction_cost": 197.73106573208085, - "turnover_multiple": 19.773106573208082, - "underwater_pct": 94.86166007905138, - "win_rate": 20.0 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "metrics": { - "avg_cash_pct": 0.1109, - "avg_gross_exposure_pct": 99.8891, - "avg_hold_days": 10.9, - "avg_positions": 20.0159, - "blocked_fraction": 0.0, - "cagr_pct": -89.1, - "calmar": -0.96, - "capacity_opportunities": 446, - "end_date": "2025-02-03", - "ev_net_r": -0.42699384228715825, - "ev_without_best": { - "1": -0.5224673682321902, - "10": -0.7878230518769874, - "5": -0.7040271191366538 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 238, - "time": 35, - "trailing_stop": 154 - }, - "gain_to_pain": -0.7871944725463137, - "longest_underwater_sessions": 220, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 446, - "peak_positions": 30, - "profit_factor": 0.5435456397187329, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.55, - "simulation_start_date": "2024-02-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23350, - "sortino": -3.2870622392679274, - "start_date": "2024-02-01", - "total_return_pct": -89.3, - "trades": 446, - "transaction_cost": 376.5921640108286, - "turnover_multiple": 18.82960820054143, - "underwater_pct": 95.65217391304348, - "win_rate": 18.2 - }, - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 0.09, - "avg_gross_exposure_pct": 99.91, - "avg_hold_days": 11.7, - "avg_positions": 21.0952, - "blocked_fraction": 0.0, - "cagr_pct": -92.8, - "calmar": -0.99, - "capacity_opportunities": 440, - "end_date": "2025-03-04", - "ev_net_r": -0.643105798906017, - "ev_without_best": { - "1": -0.67614629975563, - "10": -0.8412470598200634, - "5": -0.7855551482762151 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 229, - "time": 46, - "trailing_stop": 148 - }, - "gain_to_pain": -0.9712146759069452, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 440, - "peak_positions": 30, - "profit_factor": 0.308653811785985, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.26, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22778, - "sortino": -4.212749354007997, - "start_date": "2024-03-01", - "total_return_pct": -93.0, - "trades": 440, - "transaction_cost": 122.28454909381949, - "turnover_multiple": 12.228454909381949, - "underwater_pct": 98.41897233201581, - "win_rate": 16.4 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "metrics": { - "avg_cash_pct": 0.1098, - "avg_gross_exposure_pct": 99.8902, - "avg_hold_days": 11.2, - "avg_positions": 19.3452, - "blocked_fraction": 0.0, - "cagr_pct": -93.1, - "calmar": -0.99, - "capacity_opportunities": 420, - "end_date": "2025-03-04", - "ev_net_r": -0.6618020104370043, - "ev_without_best": { - "1": -0.6946830017109192, - "10": -0.8689224027292382, - "5": -0.8138950436829646 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 224, - "time": 39, - "trailing_stop": 144 - }, - "gain_to_pain": -0.9986231948637083, - "longest_underwater_sessions": 238, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 420, - "peak_positions": 29, - "profit_factor": 0.30052297130230765, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.51, - "simulation_start_date": "2024-03-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22928, - "sortino": -4.426089150335322, - "start_date": "2024-03-01", - "total_return_pct": -93.2, - "trades": 420, - "transaction_cost": 246.16256858073314, - "turnover_multiple": 12.308128429036655, - "underwater_pct": 98.41897233201581, - "win_rate": 15.7 - }, - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 0.1049, - "avg_gross_exposure_pct": 99.8951, - "avg_hold_days": 11.2, - "avg_positions": 18.2262, - "blocked_fraction": 0.0, - "cagr_pct": -92.5, - "calmar": -1.0, - "capacity_opportunities": 393, - "end_date": "2025-04-01", - "ev_net_r": -0.6642115845793388, - "ev_without_best": { - "1": -0.7012674153412097, - "10": -0.8760526087039173, - "5": -0.8220833803269955 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 215, - "time": 38, - "trailing_stop": 129 - }, - "gain_to_pain": -0.9628724786946472, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 393, - "peak_positions": 32, - "profit_factor": 0.3145718056053404, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.42, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22231, - "sortino": -4.074506821540321, - "start_date": "2024-04-01", - "total_return_pct": -92.4, - "trades": 393, - "transaction_cost": 113.16327612405196, - "turnover_multiple": 11.316327612405196, - "underwater_pct": 99.60474308300395, - "win_rate": 17.0 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "metrics": { - "avg_cash_pct": 0.1108, - "avg_gross_exposure_pct": 99.8892, - "avg_hold_days": 11.6, - "avg_positions": 19.0833, - "blocked_fraction": 0.0, - "cagr_pct": -91.9, - "calmar": -1.0, - "capacity_opportunities": 399, - "end_date": "2025-04-01", - "ev_net_r": -0.6336905453549978, - "ev_without_best": { - "1": -0.6700612921188712, - "10": -0.8601780145334382, - "5": -0.8007966604239688 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 211, - "time": 41, - "trailing_stop": 135 - }, - "gain_to_pain": -0.9280668746413564, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 91.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 399, - "peak_positions": 32, - "profit_factor": 0.3431793710474725, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.27, - "simulation_start_date": "2024-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22108, - "sortino": -3.9943855960745465, - "start_date": "2024-04-01", - "total_return_pct": -91.9, - "trades": 399, - "transaction_cost": 225.7777255235847, - "turnover_multiple": 11.288886276179236, - "underwater_pct": 99.60474308300395, - "win_rate": 16.0 - }, - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 0.1028, - "avg_gross_exposure_pct": 99.8972, - "avg_hold_days": 11.7, - "avg_positions": 17.1032, - "blocked_fraction": 0.0, - "cagr_pct": -87.6, - "calmar": -1.0, - "capacity_opportunities": 351, - "end_date": "2025-05-02", - "ev_net_r": -0.6060502826670254, - "ev_without_best": { - "1": -0.6474537560300799, - "10": -0.8580876848166442, - "5": -0.7962670696622786 - }, - "exit_reasons": { - "open_at_end": 7, - "stop": 188, - "time": 31, - "trailing_stop": 125 - }, - "gain_to_pain": -0.9228768439598296, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 351, - "peak_positions": 29, - "profit_factor": 0.3633718474300409, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.02, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22405, - "sortino": -3.7851665703337503, - "start_date": "2024-05-01", - "total_return_pct": -87.7, - "trades": 351, - "transaction_cost": 126.05043297062575, - "turnover_multiple": 12.605043297062576, - "underwater_pct": 99.2094861660079, - "win_rate": 15.4 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "metrics": { - "avg_cash_pct": 0.1101, - "avg_gross_exposure_pct": 99.8899, - "avg_hold_days": 11.2, - "avg_positions": 17.254, - "blocked_fraction": 0.0, - "cagr_pct": -88.0, - "calmar": -0.99, - "capacity_opportunities": 368, - "end_date": "2025-05-02", - "ev_net_r": -0.5281720123124706, - "ev_without_best": { - "1": -0.6830401770447782, - "10": -0.8839522726444549, - "5": -0.8250742619603357 - }, - "exit_reasons": { - "open_at_end": 9, - "stop": 203, - "time": 34, - "trailing_stop": 122 - }, - "gain_to_pain": -0.9479884408550281, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 368, - "peak_positions": 28, - "profit_factor": 0.4499569123782738, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.54, - "simulation_start_date": "2024-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 22399, - "sortino": -3.5136735256278278, - "start_date": "2024-05-01", - "total_return_pct": -88.0, - "trades": 368, - "transaction_cost": 270.7393486725699, - "turnover_multiple": 13.536967433628496, - "underwater_pct": 99.2094861660079, - "win_rate": 14.7 - }, - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 0.0943, - "avg_gross_exposure_pct": 99.9057, - "avg_hold_days": 11.5, - "avg_positions": 15.2421, - "blocked_fraction": 0.0, - "cagr_pct": -88.3, - "calmar": -0.99, - "capacity_opportunities": 314, - "end_date": "2025-06-04", - "ev_net_r": -0.7019591287233506, - "ev_without_best": { - "1": -0.7654057043666171, - "10": -0.944437712990329, - "5": -0.8896985521418755 - }, - "exit_reasons": { - "open_at_end": 5, - "stop": 164, - "time": 35, - "trailing_stop": 110 - }, - "gain_to_pain": -0.9733131173665112, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 89.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 314, - "peak_positions": 27, - "profit_factor": 0.2914761581952396, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.82, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23786, - "sortino": -3.502313936567781, - "start_date": "2024-06-03", - "total_return_pct": -88.3, - "trades": 314, - "transaction_cost": 101.86572256670173, - "turnover_multiple": 10.186572256670173, - "underwater_pct": 98.81422924901186, - "win_rate": 15.3 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "metrics": { - "avg_cash_pct": 0.1145, - "avg_gross_exposure_pct": 99.8855, - "avg_hold_days": 11.8, - "avg_positions": 17.3532, - "blocked_fraction": 0.0, - "cagr_pct": -87.7, - "calmar": -0.99, - "capacity_opportunities": 352, - "end_date": "2025-06-04", - "ev_net_r": -0.6415018623470968, - "ev_without_best": { - "1": -0.6827650205494151, - "10": -0.8850312124526016, - "5": -0.8210043645603677 - }, - "exit_reasons": { - "open_at_end": 8, - "stop": 191, - "time": 43, - "trailing_stop": 110 - }, - "gain_to_pain": -0.9349621181921494, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 88.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 352, - "peak_positions": 27, - "profit_factor": 0.3265489005014451, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.71, - "simulation_start_date": "2024-06-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23564, - "sortino": -3.51185861425673, - "start_date": "2024-06-03", - "total_return_pct": -87.8, - "trades": 352, - "transaction_cost": 221.30519264208823, - "turnover_multiple": 11.06525963210441, - "underwater_pct": 98.81422924901186, - "win_rate": 14.5 - }, - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 0.0989, - "avg_gross_exposure_pct": 99.9011, - "avg_hold_days": 11.3, - "avg_positions": 27.4286, - "blocked_fraction": 0.0, - "cagr_pct": -97.1, - "calmar": -1.0, - "capacity_opportunities": 612, - "end_date": "2025-07-02", - "ev_net_r": -0.4715363499718642, - "ev_without_best": { - "1": -0.5645772350691085, - "10": -0.7509815699763789, - "5": -0.6920099280005134 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 322, - "time": 68, - "trailing_stop": 200 - }, - "gain_to_pain": -0.8455618680420034, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 97.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 612, - "peak_positions": 37, - "profit_factor": 0.46769718694175816, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.04, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23256, - "sortino": -4.15766436417944, - "start_date": "2024-07-01", - "total_return_pct": -97.1, - "trades": 612, - "transaction_cost": 120.74060440706297, - "turnover_multiple": 12.074060440706297, - "underwater_pct": 99.2094861660079, - "win_rate": 18.3 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "metrics": { - "avg_cash_pct": 0.1298, - "avg_gross_exposure_pct": 99.8702, - "avg_hold_days": 11.5, - "avg_positions": 27.5516, - "blocked_fraction": 0.0, - "cagr_pct": -97.2, - "calmar": -1.0, - "capacity_opportunities": 600, - "end_date": "2025-07-02", - "ev_net_r": -0.49737767092933266, - "ev_without_best": { - "1": -0.565421261921424, - "10": -0.7317003638966328, - "5": -0.6856172489474214 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 303, - "time": 70, - "trailing_stop": 203 - }, - "gain_to_pain": -0.9813809598956796, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 97.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 600, - "peak_positions": 38, - "profit_factor": 0.42466267073656555, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.31, - "simulation_start_date": "2024-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23223, - "sortino": -4.224095735461177, - "start_date": "2024-07-01", - "total_return_pct": -97.2, - "trades": 600, - "transaction_cost": 219.69860407044266, - "turnover_multiple": 10.984930203522133, - "underwater_pct": 99.60474308300395, - "win_rate": 19.2 - }, - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 0.0991, - "avg_gross_exposure_pct": 99.9009, - "avg_hold_days": 11.5, - "avg_positions": 26.8492, - "blocked_fraction": 0.0, - "cagr_pct": -96.9, - "calmar": -1.0, - "capacity_opportunities": 587, - "end_date": "2025-08-04", - "ev_net_r": -0.5381472410427809, - "ev_without_best": { - "1": -0.5773746793281831, - "10": -0.7133932397274145, - "5": -0.6658944841217358 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 297, - "time": 71, - "trailing_stop": 198 - }, - "gain_to_pain": -0.8920878175735297, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 96.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 587, - "peak_positions": 38, - "profit_factor": 0.3699130552300144, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.59, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23990, - "sortino": -4.421108235888398, - "start_date": "2024-08-01", - "total_return_pct": -96.9, - "trades": 587, - "transaction_cost": 109.82077339182482, - "turnover_multiple": 10.982077339182482, - "underwater_pct": 99.2094861660079, - "win_rate": 17.7 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "metrics": { - "avg_cash_pct": 0.1249, - "avg_gross_exposure_pct": 99.8751, - "avg_hold_days": 10.9, - "avg_positions": 26.1548, - "blocked_fraction": 0.0, - "cagr_pct": -97.8, - "calmar": -1.0, - "capacity_opportunities": 605, - "end_date": "2025-08-04", - "ev_net_r": -0.58928216159689, - "ev_without_best": { - "1": -0.6273798828069435, - "10": -0.7625809478811855, - "5": -0.7091580976559752 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 327, - "time": 65, - "trailing_stop": 189 - }, - "gain_to_pain": -0.9709096264771705, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 97.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 605, - "peak_positions": 36, - "profit_factor": 0.3388481981591457, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.91, - "simulation_start_date": "2024-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23976, - "sortino": -4.7375152636436475, - "start_date": "2024-08-01", - "total_return_pct": -97.8, - "trades": 605, - "transaction_cost": 211.72377445067298, - "turnover_multiple": 10.586188722533649, - "underwater_pct": 99.2094861660079, - "win_rate": 17.2 - }, - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 0.1159, - "avg_gross_exposure_pct": 99.8841, - "avg_hold_days": 11.4, - "avg_positions": 27.4722, - "blocked_fraction": 0.0, - "cagr_pct": -97.5, - "calmar": -1.0, - "capacity_opportunities": 603, - "end_date": "2025-09-04", - "ev_net_r": -0.5379566697384831, - "ev_without_best": { - "1": -0.5820170680283729, - "10": -0.7518690686900434, - "5": -0.6896159089747826 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 321, - "time": 64, - "trailing_stop": 192 - }, - "gain_to_pain": -0.9677647387351527, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 97.5, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 603, - "peak_positions": 40, - "profit_factor": 0.38950713689047983, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.68, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24437, - "sortino": -4.532137160393956, - "start_date": "2024-09-03", - "total_return_pct": -97.5, - "trades": 603, - "transaction_cost": 96.21994162276297, - "turnover_multiple": 9.621994162276296, - "underwater_pct": 99.60474308300395, - "win_rate": 17.6 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "metrics": { - "avg_cash_pct": 0.1154, - "avg_gross_exposure_pct": 99.8846, - "avg_hold_days": 11.7, - "avg_positions": 27.3254, - "blocked_fraction": 0.0, - "cagr_pct": -97.0, - "calmar": -1.0, - "capacity_opportunities": 588, - "end_date": "2025-09-04", - "ev_net_r": -0.533234900232133, - "ev_without_best": { - "1": -0.6009454736304635, - "10": -0.7741511787617931, - "5": -0.7226202856902486 - }, - "exit_reasons": { - "open_at_end": 25, - "stop": 307, - "time": 62, - "trailing_stop": 194 - }, - "gain_to_pain": -0.7789481237436414, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 97.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 588, - "peak_positions": 37, - "profit_factor": 0.40380691688242704, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.6, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24484, - "sortino": -4.441203881743502, - "start_date": "2024-09-03", - "total_return_pct": -97.1, - "trades": 588, - "transaction_cost": 209.11273372487753, - "turnover_multiple": 10.455636686243876, - "underwater_pct": 99.60474308300395, - "win_rate": 18.5 - }, - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 0.1081, - "avg_gross_exposure_pct": 99.8919, - "avg_hold_days": 12.0, - "avg_positions": 28.0159, - "blocked_fraction": 0.0, - "cagr_pct": -93.7, - "calmar": -1.0, - "capacity_opportunities": 585, - "end_date": "2025-10-02", - "ev_net_r": -0.37908250309361724, - "ev_without_best": { - "1": -0.4469506207494031, - "10": -0.6797414066359034, - "5": -0.595325393761139 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 287, - "time": 74, - "trailing_stop": 202 - }, - "gain_to_pain": -0.7351348115956445, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 585, - "peak_positions": 39, - "profit_factor": 0.5444118774083119, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.83, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 25290, - "sortino": -3.8770833655774455, - "start_date": "2024-10-01", - "total_return_pct": -93.7, - "trades": 585, - "transaction_cost": 129.3542884127806, - "turnover_multiple": 12.935428841278059, - "underwater_pct": 99.60474308300395, - "win_rate": 20.2 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "metrics": { - "avg_cash_pct": 0.0945, - "avg_gross_exposure_pct": 99.9055, - "avg_hold_days": 12.0, - "avg_positions": 28.1984, - "blocked_fraction": 0.0, - "cagr_pct": -95.8, - "calmar": -1.0, - "capacity_opportunities": 589, - "end_date": "2025-10-02", - "ev_net_r": -0.455806182062321, - "ev_without_best": { - "1": -0.5232699199307737, - "10": -0.7174496623200177, - "5": -0.6494804366257069 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 297, - "time": 69, - "trailing_stop": 201 - }, - "gain_to_pain": -0.7711394812779251, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 95.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 589, - "peak_positions": 40, - "profit_factor": 0.46828532445200166, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.56, - "simulation_start_date": "2024-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 25315, - "sortino": -4.591223546746173, - "start_date": "2024-10-01", - "total_return_pct": -95.9, - "trades": 589, - "transaction_cost": 249.58372919104926, - "turnover_multiple": 12.479186459552464, - "underwater_pct": 99.60474308300395, - "win_rate": 19.0 - }, - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 0.1025, - "avg_gross_exposure_pct": 99.8975, - "avg_hold_days": 11.5, - "avg_positions": 27.0516, - "blocked_fraction": 0.0, - "cagr_pct": -96.5, - "calmar": -1.0, - "capacity_opportunities": 589, - "end_date": "2025-11-04", - "ev_net_r": -0.5463576950880519, - "ev_without_best": { - "1": -0.5854656700698392, - "10": -0.6848159934570232, - "5": -0.6449490071238312 - }, - "exit_reasons": { - "open_at_end": 27, - "stop": 304, - "time": 71, - "trailing_stop": 187 - }, - "gain_to_pain": -0.9270753565849709, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 96.8, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 589, - "peak_positions": 36, - "profit_factor": 0.33821726450013956, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.56, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 25532, - "sortino": -5.313054767116275, - "start_date": "2024-11-01", - "total_return_pct": -96.6, - "trades": 589, - "transaction_cost": 122.76672358697154, - "turnover_multiple": 12.276672358697153, - "underwater_pct": 99.2094861660079, - "win_rate": 19.0 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "metrics": { - "avg_cash_pct": 0.152, - "avg_gross_exposure_pct": 99.848, - "avg_hold_days": 11.8, - "avg_positions": 27.3532, - "blocked_fraction": 0.0, - "cagr_pct": -95.4, - "calmar": -0.99, - "capacity_opportunities": 581, - "end_date": "2025-11-04", - "ev_net_r": -0.49313016473288446, - "ev_without_best": { - "1": -0.5326385640673814, - "10": -0.6789443433534783, - "5": -0.6209464026352879 - }, - "exit_reasons": { - "open_at_end": 26, - "stop": 305, - "time": 76, - "trailing_stop": 174 - }, - "gain_to_pain": -0.7968614338245502, - "longest_underwater_sessions": 208, - "max_drawdown_pct": 96.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 581, - "peak_positions": 37, - "profit_factor": 0.40811309265844725, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.69, - "simulation_start_date": "2024-11-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 25454, - "sortino": -4.637043153755701, - "start_date": "2024-11-01", - "total_return_pct": -95.5, - "trades": 581, - "transaction_cost": 290.531083735399, - "turnover_multiple": 14.52655418676995, - "underwater_pct": 98.81422924901186, - "win_rate": 18.9 - }, - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 0.1168, - "avg_gross_exposure_pct": 99.8832, - "avg_hold_days": 12.0, - "avg_positions": 28.3333, - "blocked_fraction": 0.0, - "cagr_pct": -88.5, - "calmar": -0.94, - "capacity_opportunities": 592, - "end_date": "2025-12-03", - "ev_net_r": -0.3241503425666724, - "ev_without_best": { - "1": -0.36866904551648944, - "10": -0.5692425417264719, - "5": -0.4879834404557952 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 305, - "time": 77, - "trailing_stop": 186 - }, - "gain_to_pain": -0.7554627668663061, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 93.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 592, - "peak_positions": 41, - "profit_factor": 0.5935304856761372, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.22, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24560, - "sortino": -3.05918541995598, - "start_date": "2024-12-02", - "total_return_pct": -88.6, - "trades": 592, - "transaction_cost": 217.6192749001149, - "turnover_multiple": 21.761927490011487, - "underwater_pct": 95.65217391304348, - "win_rate": 21.1 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2024-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "metrics": { - "avg_cash_pct": 0.0855, - "avg_gross_exposure_pct": 99.9145, - "avg_hold_days": 12.1, - "avg_positions": 27.9563, - "blocked_fraction": 0.0, - "cagr_pct": -90.1, - "calmar": -0.95, - "capacity_opportunities": 578, - "end_date": "2025-12-03", - "ev_net_r": -0.3462123478515278, - "ev_without_best": { - "1": -0.38567153987427805, - "10": -0.5804474190483093, - "5": -0.497752084156566 - }, - "exit_reasons": { - "open_at_end": 28, - "stop": 291, - "time": 77, - "trailing_stop": 182 - }, - "gain_to_pain": -0.7811457616665743, - "longest_underwater_sessions": 228, - "max_drawdown_pct": 94.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 578, - "peak_positions": 41, - "profit_factor": 0.5674983576049799, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.73, - "simulation_start_date": "2024-12-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24633, - "sortino": -3.5567362716924467, - "start_date": "2024-12-02", - "total_return_pct": -90.2, - "trades": 578, - "transaction_cost": 409.6944263778949, - "turnover_multiple": 20.484721318894746, - "underwater_pct": 95.65217391304348, - "win_rate": 22.3 - }, - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1146, - "avg_gross_exposure_pct": 99.8854, - "avg_hold_days": 12.1, - "avg_positions": 27.0198, - "blocked_fraction": 0.0, - "cagr_pct": -97.4, - "calmar": -0.99, - "capacity_opportunities": 561, - "end_date": "2026-01-05", - "ev_net_r": -0.6342439481505637, - "ev_without_best": { - "1": -0.675464261619052, - "10": -0.7663516188348871, - "5": -0.7257061368558307 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 317, - "time": 78, - "trailing_stop": 148 - }, - "gain_to_pain": -0.9632877336983896, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 98.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 561, - "peak_positions": 39, - "profit_factor": 0.27795582438147143, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -5.16, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24574, - "sortino": -5.75114661558807, - "start_date": "2025-01-02", - "total_return_pct": -97.5, - "trades": 561, - "transaction_cost": 108.28146022336401, - "turnover_multiple": 10.8281460223364, - "underwater_pct": 98.41897233201581, - "win_rate": 16.2 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1396, - "avg_gross_exposure_pct": 99.8604, - "avg_hold_days": 12.1, - "avg_positions": 27.4405, - "blocked_fraction": 0.0, - "cagr_pct": -97.3, - "calmar": -0.99, - "capacity_opportunities": 571, - "end_date": "2026-01-05", - "ev_net_r": -0.6073600250232774, - "ev_without_best": { - "1": -0.6477619574343276, - "10": -0.742064154146842, - "5": -0.7004198575331173 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 319, - "time": 82, - "trailing_stop": 152 - }, - "gain_to_pain": -0.9525111934177963, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 97.9, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 571, - "peak_positions": 39, - "profit_factor": 0.2995740833861147, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.68, - "simulation_start_date": "2025-01-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24475, - "sortino": -5.434772811592316, - "start_date": "2025-01-02", - "total_return_pct": -97.4, - "trades": 571, - "transaction_cost": 219.0841818309556, - "turnover_multiple": 10.954209091547781, - "underwater_pct": 98.41897233201581, - "win_rate": 17.2 - }, - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 0.1004, - "avg_gross_exposure_pct": 99.8996, - "avg_hold_days": 11.4, - "avg_positions": 26.2778, - "blocked_fraction": 0.0, - "cagr_pct": -96.7, - "calmar": -1.0, - "capacity_opportunities": 577, - "end_date": "2026-02-03", - "ev_net_r": -0.531803409479333, - "ev_without_best": { - "1": -0.621298014164, - "10": -0.8017530320887052, - "5": -0.7445220592397954 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 331, - "time": 68, - "trailing_stop": 159 - }, - "gain_to_pain": -0.950993389941993, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 577, - "peak_positions": 36, - "profit_factor": 0.4067251745444951, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.26, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24572, - "sortino": 1.2468151787359008, - "start_date": "2025-02-03", - "total_return_pct": -96.7, - "trades": 577, - "transaction_cost": 110.42628358884473, - "turnover_multiple": 11.042628358884473, - "underwater_pct": 99.60474308300395, - "win_rate": 15.3 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "metrics": { - "avg_cash_pct": 0.0983, - "avg_gross_exposure_pct": 99.9017, - "avg_hold_days": 11.4, - "avg_positions": 25.6429, - "blocked_fraction": 0.0, - "cagr_pct": -97.1, - "calmar": -1.0, - "capacity_opportunities": 564, - "end_date": "2026-02-03", - "ev_net_r": -0.5788284795220615, - "ev_without_best": { - "1": -0.6703718759398694, - "10": -0.8169825577572856, - "5": -0.7629245651611022 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 325, - "time": 66, - "trailing_stop": 153 - }, - "gain_to_pain": -0.9775044680590329, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 97.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 564, - "peak_positions": 36, - "profit_factor": 0.36204797587183324, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.02, - "simulation_start_date": "2025-02-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24619, - "sortino": 0.07902384025067687, - "start_date": "2025-02-03", - "total_return_pct": -97.1, - "trades": 564, - "transaction_cost": 206.54181118409267, - "turnover_multiple": 10.327090559204633, - "underwater_pct": 99.60474308300395, - "win_rate": 14.9 - }, - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 0.102, - "avg_gross_exposure_pct": 99.898, - "avg_hold_days": 11.1, - "avg_positions": 24.0913, - "blocked_fraction": 0.0, - "cagr_pct": -98.1, - "calmar": -1.0, - "capacity_opportunities": 543, - "end_date": "2026-03-03", - "ev_net_r": -0.667113032972886, - "ev_without_best": { - "1": -0.7124291642827739, - "10": -0.8243676574717124, - "5": -0.7798049436016308 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 302, - "time": 57, - "trailing_stop": 162 - }, - "gain_to_pain": -0.981776095943101, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 543, - "peak_positions": 31, - "profit_factor": 0.2686743532909142, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.04, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24532, - "sortino": -0.16926151785806084, - "start_date": "2025-03-03", - "total_return_pct": -98.1, - "trades": 543, - "transaction_cost": 96.57712520905045, - "turnover_multiple": 9.657712520905044, - "underwater_pct": 99.60474308300395, - "win_rate": 15.3 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "metrics": { - "avg_cash_pct": 0.1009, - "avg_gross_exposure_pct": 99.8991, - "avg_hold_days": 11.1, - "avg_positions": 24.1032, - "blocked_fraction": 0.0, - "cagr_pct": -97.6, - "calmar": -1.0, - "capacity_opportunities": 547, - "end_date": "2026-03-03", - "ev_net_r": -0.6599914988841925, - "ev_without_best": { - "1": -0.7049104969238079, - "10": -0.8157867126535996, - "5": -0.7701287699263151 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 310, - "time": 59, - "trailing_stop": 156 - }, - "gain_to_pain": -0.9748352376699346, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 97.6, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 547, - "peak_positions": 30, - "profit_factor": 0.2777986159322552, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.01, - "simulation_start_date": "2025-03-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24516, - "sortino": 0.04001532283208989, - "start_date": "2025-03-03", - "total_return_pct": -97.6, - "trades": 547, - "transaction_cost": 191.88407377004003, - "turnover_multiple": 9.594203688502002, - "underwater_pct": 99.60474308300395, - "win_rate": 15.9 - }, - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 0.1197, - "avg_gross_exposure_pct": 99.8803, - "avg_hold_days": 11.6, - "avg_positions": 24.8016, - "blocked_fraction": 0.0, - "cagr_pct": -95.0, - "calmar": -0.99, - "capacity_opportunities": 535, - "end_date": "2026-04-01", - "ev_net_r": -0.5205979446283961, - "ev_without_best": { - "1": -0.5702365233651069, - "10": -0.7201437994838494, - "5": -0.6667781922476961 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 294, - "time": 66, - "trailing_stop": 153 - }, - "gain_to_pain": -0.9066724822690596, - "longest_underwater_sessions": 201, - "max_drawdown_pct": 95.7, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 535, - "peak_positions": 31, - "profit_factor": 0.39119319409476067, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.33, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24980, - "sortino": 1.6128568152604765, - "start_date": "2025-04-01", - "total_return_pct": -95.0, - "trades": 535, - "transaction_cost": 168.65247937116922, - "turnover_multiple": 16.865247937116923, - "underwater_pct": 98.81422924901186, - "win_rate": 17.6 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "metrics": { - "avg_cash_pct": 0.1192, - "avg_gross_exposure_pct": 99.8808, - "avg_hold_days": 11.2, - "avg_positions": 23.9167, - "blocked_fraction": 0.0, - "cagr_pct": -96.2, - "calmar": -1.0, - "capacity_opportunities": 537, - "end_date": "2026-04-01", - "ev_net_r": -0.5941912158802968, - "ev_without_best": { - "1": -0.6371313887630498, - "10": -0.7584535652293913, - "5": -0.7075397915969109 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 296, - "time": 59, - "trailing_stop": 159 - }, - "gain_to_pain": -0.919308436561393, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 96.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 537, - "peak_positions": 31, - "profit_factor": 0.3146643729929377, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.27, - "simulation_start_date": "2025-04-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 25048, - "sortino": 1.3306988275322273, - "start_date": "2025-04-01", - "total_return_pct": -96.2, - "trades": 537, - "transaction_cost": 294.6762271372222, - "turnover_multiple": 14.733811356861109, - "underwater_pct": 99.60474308300395, - "win_rate": 17.3 - }, - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 0.1133, - "avg_gross_exposure_pct": 99.8867, - "avg_hold_days": 11.0, - "avg_positions": 23.3571, - "blocked_fraction": 0.0, - "cagr_pct": -95.5, - "calmar": -0.99, - "capacity_opportunities": 534, - "end_date": "2026-05-01", - "ev_net_r": -0.5668402656187872, - "ev_without_best": { - "1": -0.6226238575010931, - "10": -0.7508995928743041, - "5": -0.6946436046574043 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 307, - "time": 66, - "trailing_stop": 139 - }, - "gain_to_pain": -0.9718479582240294, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 96.4, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 534, - "peak_positions": 31, - "profit_factor": 0.35903167502533534, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.18, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 26020, - "sortino": -0.5272268038471063, - "start_date": "2025-05-01", - "total_return_pct": -95.4, - "trades": 534, - "transaction_cost": 180.96383289693102, - "turnover_multiple": 18.096383289693105, - "underwater_pct": 97.62845849802372, - "win_rate": 18.4 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "metrics": { - "avg_cash_pct": 0.1326, - "avg_gross_exposure_pct": 99.8674, - "avg_hold_days": 11.5, - "avg_positions": 23.7341, - "blocked_fraction": 0.0, - "cagr_pct": -95.1, - "calmar": -0.99, - "capacity_opportunities": 520, - "end_date": "2026-05-01", - "ev_net_r": -0.5785345462285708, - "ev_without_best": { - "1": -0.6357753500227507, - "10": -0.7599191489569619, - "5": -0.7088653035300029 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 283, - "time": 66, - "trailing_stop": 148 - }, - "gain_to_pain": -0.9796578071612161, - "longest_underwater_sessions": 218, - "max_drawdown_pct": 96.0, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 520, - "peak_positions": 31, - "profit_factor": 0.3444026904599837, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.35, - "simulation_start_date": "2025-05-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 26052, - "sortino": 1.7332137156297278, - "start_date": "2025-05-01", - "total_return_pct": -95.0, - "trades": 520, - "transaction_cost": 360.6268332829456, - "turnover_multiple": 18.03134166414728, - "underwater_pct": 97.23320158102767, - "win_rate": 18.5 - }, - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 0.1263, - "avg_gross_exposure_pct": 99.8737, - "avg_hold_days": 11.2, - "avg_positions": 23.7659, - "blocked_fraction": 0.0, - "cagr_pct": -97.1, - "calmar": -1.0, - "capacity_opportunities": 535, - "end_date": "2026-06-02", - "ev_net_r": -0.6914613295719524, - "ev_without_best": { - "1": -0.7121026577151474, - "10": -0.8067120887127891, - "5": -0.7661936816756695 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 301, - "time": 60, - "trailing_stop": 151 - }, - "gain_to_pain": -0.9944682399056937, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 97.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 535, - "peak_positions": 31, - "profit_factor": 0.23388619938799166, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.02, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 25381, - "sortino": 0.08895727319211087, - "start_date": "2025-06-02", - "total_return_pct": -97.1, - "trades": 535, - "transaction_cost": 113.79794532326301, - "turnover_multiple": 11.3797945323263, - "underwater_pct": 98.41897233201581, - "win_rate": 16.6 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "metrics": { - "avg_cash_pct": 0.1056, - "avg_gross_exposure_pct": 99.8944, - "avg_hold_days": 11.3, - "avg_positions": 23.2659, - "blocked_fraction": 0.0, - "cagr_pct": -97.0, - "calmar": -1.0, - "capacity_opportunities": 519, - "end_date": "2026-06-02", - "ev_net_r": -0.687407402221347, - "ev_without_best": { - "1": -0.7086526366129677, - "10": -0.8076001988395295, - "5": -0.7656343060327494 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 294, - "time": 61, - "trailing_stop": 143 - }, - "gain_to_pain": -0.9748407943363058, - "longest_underwater_sessions": 242, - "max_drawdown_pct": 97.2, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 519, - "peak_positions": 31, - "profit_factor": 0.25390345235015255, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.04, - "simulation_start_date": "2025-06-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 25411, - "sortino": 0.15033543081984696, - "start_date": "2025-06-02", - "total_return_pct": -97.0, - "trades": 519, - "transaction_cost": 225.59813896175092, - "turnover_multiple": 11.279906948087547, - "underwater_pct": 98.41897233201581, - "win_rate": 17.5 - }, - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 0.1001, - "avg_gross_exposure_pct": 99.8999, - "avg_hold_days": 11.2, - "avg_positions": 23.9643, - "blocked_fraction": 0.0, - "cagr_pct": -97.3, - "calmar": -1.0, - "capacity_opportunities": 537, - "end_date": "2026-07-01", - "ev_net_r": -0.6488944776018631, - "ev_without_best": { - "1": -0.6693793700953259, - "10": -0.7718339202080419, - "5": -0.7308697776566604 - }, - "exit_reasons": { - "open_at_end": 27, - "stop": 308, - "time": 60, - "trailing_stop": 142 - }, - "gain_to_pain": -0.992113610357977, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 97.3, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 537, - "peak_positions": 32, - "profit_factor": 0.26379122636754654, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.0, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24821, - "sortino": -0.0071396246617660124, - "start_date": "2025-07-01", - "total_return_pct": -97.3, - "trades": 537, - "transaction_cost": 116.40307118222141, - "turnover_multiple": 11.640307118222141, - "underwater_pct": 99.2094861660079, - "win_rate": 15.8 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|empty_book|empty-2025-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "metrics": { - "avg_cash_pct": 0.1352, - "avg_gross_exposure_pct": 99.8648, - "avg_hold_days": 11.2, - "avg_positions": 23.7619, - "blocked_fraction": 0.0, - "cagr_pct": -97.9, - "calmar": -1.0, - "capacity_opportunities": 535, - "end_date": "2026-07-01", - "ev_net_r": -0.6964021634659314, - "ev_without_best": { - "1": -0.7156009034024422, - "10": -0.8310309256528194, - "5": -0.7814088232367697 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 313, - "time": 62, - "trailing_stop": 138 - }, - "gain_to_pain": -0.9680601603361388, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 10000.0, - "measurement_start_positions": 0, - "opened_positions": 535, - "peak_positions": 31, - "profit_factor": 0.25631064557345823, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.02, - "simulation_start_date": "2025-07-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24812, - "sortino": -0.07186623803068379, - "start_date": "2025-07-01", - "total_return_pct": -97.9, - "trades": 535, - "transaction_cost": 225.6253209398284, - "turnover_multiple": 11.281266046991421, - "underwater_pct": 99.60474308300395, - "win_rate": 15.0 - }, - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-01|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.6457, - "avg_gross_exposure_pct": 99.3543, - "avg_hold_days": 13.7, - "avg_positions": 13.1944, - "blocked_fraction": 0.0, - "cagr_pct": -60.0, - "calmar": -0.6, - "capacity_opportunities": 226, - "end_date": "2019-12-31", - "ev_net_r": -0.4683497607275085, - "ev_without_best": { - "1": -0.5041740084885764, - "10": -0.7147779495340638, - "5": -0.621736699454735 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 119, - "time": 33, - "trailing_stop": 58 - }, - "gain_to_pain": -0.769823801033036, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4351.84, - "measurement_start_positions": 8, - "opened_positions": 226, - "peak_positions": 17, - "profit_factor": 0.47163750955219164, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7030, - "sortino": 280.88581768026194, - "start_date": "2019-01-02", - "total_return_pct": -59.8, - "trades": 226, - "transaction_cost": 90.14232161177041, - "turnover_multiple": 20.713611164879776, - "underwater_pct": 96.83794466403161, - "win_rate": 25.2 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-01|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.506, - "avg_gross_exposure_pct": 99.494, - "avg_hold_days": 13.4, - "avg_positions": 13.6468, - "blocked_fraction": 0.0, - "cagr_pct": -61.9, - "calmar": -0.62, - "capacity_opportunities": 240, - "end_date": "2019-12-31", - "ev_net_r": -0.44904444777837255, - "ev_without_best": { - "1": -0.5227654507697294, - "10": -0.7583358149138721, - "5": -0.6547615497875624 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 128, - "time": 34, - "trailing_stop": 61 - }, - "gain_to_pain": -0.746505952560988, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4261.42, - "measurement_start_positions": 8, - "opened_positions": 240, - "peak_positions": 18, - "profit_factor": 0.5025009584021974, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6999, - "sortino": 280.60392426280174, - "start_date": "2019-01-02", - "total_return_pct": -61.6, - "trades": 240, - "transaction_cost": 178.16315888096187, - "turnover_multiple": 20.904200815803403, - "underwater_pct": 96.83794466403161, - "win_rate": 22.9 - }, - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-02|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4505, - "avg_gross_exposure_pct": 99.5495, - "avg_hold_days": 13.6, - "avg_positions": 13.5278, - "blocked_fraction": 0.0, - "cagr_pct": -66.2, - "calmar": -0.66, - "capacity_opportunities": 231, - "end_date": "2019-12-31", - "ev_net_r": -0.5130074949622156, - "ev_without_best": { - "1": -0.5498943777753144, - "10": -0.7645370924903611, - "5": -0.6631223550904933 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 119, - "time": 35, - "trailing_stop": 60 - }, - "gain_to_pain": -0.8964350289098239, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4204.11, - "measurement_start_positions": 10, - "opened_positions": 231, - "peak_positions": 17, - "profit_factor": 0.44226510274173625, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7031, - "sortino": 278.86849825238085, - "start_date": "2019-01-02", - "total_return_pct": -66.0, - "trades": 231, - "transaction_cost": 80.96056035236559, - "turnover_multiple": 19.257479074611652, - "underwater_pct": 97.23320158102767, - "win_rate": 22.9 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-02|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4469, - "avg_gross_exposure_pct": 99.5531, - "avg_hold_days": 13.6, - "avg_positions": 13.5278, - "blocked_fraction": 0.0, - "cagr_pct": -67.4, - "calmar": -0.68, - "capacity_opportunities": 231, - "end_date": "2019-12-31", - "ev_net_r": -0.5285829110079588, - "ev_without_best": { - "1": -0.5654376078870728, - "10": -0.7797052952865859, - "5": -0.6784653459463833 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 119, - "time": 35, - "trailing_stop": 60 - }, - "gain_to_pain": -0.9068005638394403, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4116.36, - "measurement_start_positions": 10, - "opened_positions": 231, - "peak_positions": 17, - "profit_factor": 0.43247376628440704, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7031, - "sortino": 279.29642703761226, - "start_date": "2019-01-02", - "total_return_pct": -67.2, - "trades": 231, - "transaction_cost": 156.0177552848124, - "turnover_multiple": 18.950936663072767, - "underwater_pct": 97.23320158102767, - "win_rate": 22.9 - }, - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-03|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5807, - "avg_gross_exposure_pct": 99.4193, - "avg_hold_days": 13.5, - "avg_positions": 13.1944, - "blocked_fraction": 0.0, - "cagr_pct": -63.9, - "calmar": -0.64, - "capacity_opportunities": 236, - "end_date": "2019-12-31", - "ev_net_r": -0.48747903732841047, - "ev_without_best": { - "1": -0.5218602501915645, - "10": -0.751938045941365, - "5": -0.6378436179762094 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 131, - "time": 35, - "trailing_stop": 55 - }, - "gain_to_pain": -0.8181514125890867, - "longest_underwater_sessions": 164, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4232.34, - "measurement_start_positions": 9, - "opened_positions": 236, - "peak_positions": 17, - "profit_factor": 0.4764743710614554, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7015, - "sortino": 274.6433839492882, - "start_date": "2019-01-02", - "total_return_pct": -63.7, - "trades": 236, - "transaction_cost": 80.71838309898378, - "turnover_multiple": 19.071809707864627, - "underwater_pct": 98.02371541501977, - "win_rate": 22.5 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-03|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4354, - "avg_gross_exposure_pct": 99.5646, - "avg_hold_days": 13.3, - "avg_positions": 13.3929, - "blocked_fraction": 0.0, - "cagr_pct": -71.0, - "calmar": -0.71, - "capacity_opportunities": 237, - "end_date": "2019-12-31", - "ev_net_r": -0.55375239794962, - "ev_without_best": { - "1": -0.5883829629163048, - "10": -0.8031073068288236, - "5": -0.7069964115676088 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 129, - "time": 33, - "trailing_stop": 58 - }, - "gain_to_pain": -0.9090023504349782, - "longest_underwater_sessions": 164, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4041.38, - "measurement_start_positions": 8, - "opened_positions": 237, - "peak_positions": 17, - "profit_factor": 0.4048025443471971, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7036, - "sortino": 278.6545470686512, - "start_date": "2019-01-02", - "total_return_pct": -70.8, - "trades": 237, - "transaction_cost": 155.6873795610886, - "turnover_multiple": 19.261660566574857, - "underwater_pct": 97.62845849802372, - "win_rate": 21.9 - }, - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-04|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.427, - "avg_gross_exposure_pct": 99.573, - "avg_hold_days": 13.8, - "avg_positions": 14.0317, - "blocked_fraction": 0.0, - "cagr_pct": -69.3, - "calmar": -0.69, - "capacity_opportunities": 245, - "end_date": "2019-12-31", - "ev_net_r": -0.4730705048328208, - "ev_without_best": { - "1": -0.5061245068424339, - "10": -0.7237886520447737, - "5": -0.6239754729184938 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 136, - "time": 36, - "trailing_stop": 57 - }, - "gain_to_pain": -0.8814601428638709, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4587.73, - "measurement_start_positions": 10, - "opened_positions": 245, - "peak_positions": 18, - "profit_factor": 0.4809976081585123, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6920, - "sortino": 278.51080231247346, - "start_date": "2019-01-02", - "total_return_pct": -69.1, - "trades": 245, - "transaction_cost": 88.06615471001184, - "turnover_multiple": 19.196019536897737, - "underwater_pct": 97.62845849802372, - "win_rate": 24.1 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-04|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5411, - "avg_gross_exposure_pct": 99.4589, - "avg_hold_days": 13.3, - "avg_positions": 13.6508, - "blocked_fraction": 0.0, - "cagr_pct": -65.9, - "calmar": -0.66, - "capacity_opportunities": 246, - "end_date": "2019-12-31", - "ev_net_r": -0.4873680154791471, - "ev_without_best": { - "1": -0.5441435359779853, - "10": -0.7457826308493591, - "5": -0.6552563395777384 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 135, - "time": 35, - "trailing_stop": 60 - }, - "gain_to_pain": -0.8453828047381379, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4511.08, - "measurement_start_positions": 9, - "opened_positions": 246, - "peak_positions": 17, - "profit_factor": 0.4682809000454907, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6952, - "sortino": 281.2911159030821, - "start_date": "2019-01-02", - "total_return_pct": -65.6, - "trades": 246, - "transaction_cost": 188.74696002116013, - "turnover_multiple": 20.92037383743584, - "underwater_pct": 95.25691699604744, - "win_rate": 24.4 - }, - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-05|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5194, - "avg_gross_exposure_pct": 99.4806, - "avg_hold_days": 13.5, - "avg_positions": 13.3532, - "blocked_fraction": 0.0, - "cagr_pct": -65.9, - "calmar": -0.66, - "capacity_opportunities": 237, - "end_date": "2019-12-31", - "ev_net_r": -0.4236503400524531, - "ev_without_best": { - "1": -0.49838485144200617, - "10": -0.723744521196876, - "5": -0.6206812792918692 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 126, - "time": 31, - "trailing_stop": 65 - }, - "gain_to_pain": -0.7650991264534059, - "longest_underwater_sessions": 164, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4723.31, - "measurement_start_positions": 9, - "opened_positions": 237, - "peak_positions": 18, - "profit_factor": 0.5330884494294025, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6965, - "sortino": 278.76003013844525, - "start_date": "2019-01-02", - "total_return_pct": -65.7, - "trades": 237, - "transaction_cost": 91.6236581715775, - "turnover_multiple": 19.39818859477305, - "underwater_pct": 97.23320158102767, - "win_rate": 22.8 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-05|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4033, - "avg_gross_exposure_pct": 99.5967, - "avg_hold_days": 14.1, - "avg_positions": 13.6468, - "blocked_fraction": 0.0, - "cagr_pct": -63.4, - "calmar": -0.63, - "capacity_opportunities": 228, - "end_date": "2019-12-31", - "ev_net_r": -0.45004153381850687, - "ev_without_best": { - "1": -0.48537112460643556, - "10": -0.7235015098235806, - "5": -0.608174199214056 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 113, - "time": 38, - "trailing_stop": 60 - }, - "gain_to_pain": -0.8643054011493961, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4535.3, - "measurement_start_positions": 8, - "opened_positions": 228, - "peak_positions": 17, - "profit_factor": 0.4924950226438285, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-07-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7007, - "sortino": 281.69898775689677, - "start_date": "2019-01-02", - "total_return_pct": -63.2, - "trades": 228, - "transaction_cost": 179.9602697159713, - "turnover_multiple": 19.839952121796934, - "underwater_pct": 97.23320158102767, - "win_rate": 25.4 - }, - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-06|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5395, - "avg_gross_exposure_pct": 99.4605, - "avg_hold_days": 13.8, - "avg_positions": 13.3373, - "blocked_fraction": 0.0, - "cagr_pct": -57.7, - "calmar": -0.58, - "capacity_opportunities": 233, - "end_date": "2019-12-31", - "ev_net_r": -0.3972934366827548, - "ev_without_best": { - "1": -0.47320286678863765, - "10": -0.6989068274543765, - "5": -0.5898586932125028 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 123, - "time": 37, - "trailing_stop": 56 - }, - "gain_to_pain": -0.7112005496628792, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4301.17, - "measurement_start_positions": 8, - "opened_positions": 233, - "peak_positions": 17, - "profit_factor": 0.5519406685944073, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6982, - "sortino": 275.44585345431227, - "start_date": "2019-01-02", - "total_return_pct": -57.5, - "trades": 233, - "transaction_cost": 92.49484558892796, - "turnover_multiple": 21.504577961096157, - "underwater_pct": 96.44268774703558, - "win_rate": 24.9 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-06|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.493, - "avg_gross_exposure_pct": 99.507, - "avg_hold_days": 14.0, - "avg_positions": 13.3492, - "blocked_fraction": 0.0, - "cagr_pct": -61.6, - "calmar": -0.62, - "capacity_opportunities": 230, - "end_date": "2019-12-31", - "ev_net_r": -0.4565478070390875, - "ev_without_best": { - "1": -0.5335208335639565, - "10": -0.7417156206523532, - "5": -0.649085918152011 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 123, - "time": 36, - "trailing_stop": 56 - }, - "gain_to_pain": -0.8019158286672269, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4221.7, - "measurement_start_positions": 8, - "opened_positions": 230, - "peak_positions": 17, - "profit_factor": 0.49894111823749027, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6966, - "sortino": 275.56671324174414, - "start_date": "2019-01-02", - "total_return_pct": -61.4, - "trades": 230, - "transaction_cost": 178.60686100894677, - "turnover_multiple": 21.153428833046732, - "underwater_pct": 96.83794466403161, - "win_rate": 23.9 - }, - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-07|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4584, - "avg_gross_exposure_pct": 99.5416, - "avg_hold_days": 13.7, - "avg_positions": 13.6825, - "blocked_fraction": 0.0, - "cagr_pct": -65.0, - "calmar": -0.65, - "capacity_opportunities": 240, - "end_date": "2019-12-31", - "ev_net_r": -0.42170769832660127, - "ev_without_best": { - "1": -0.45574830892310386, - "10": -0.6741977341871883, - "5": -0.5710405057646588 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 129, - "time": 38, - "trailing_stop": 57 - }, - "gain_to_pain": -0.8779315130124373, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4372.79, - "measurement_start_positions": 9, - "opened_positions": 240, - "peak_positions": 17, - "profit_factor": 0.5144305438164326, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6922, - "sortino": 273.3453586463607, - "start_date": "2019-01-02", - "total_return_pct": -64.8, - "trades": 240, - "transaction_cost": 88.88827972964248, - "turnover_multiple": 20.327589417658398, - "underwater_pct": 96.83794466403161, - "win_rate": 24.6 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-07|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5703, - "avg_gross_exposure_pct": 99.4297, - "avg_hold_days": 13.5, - "avg_positions": 13.5992, - "blocked_fraction": 0.0, - "cagr_pct": -57.8, - "calmar": -0.58, - "capacity_opportunities": 237, - "end_date": "2019-12-31", - "ev_net_r": -0.4341131816513927, - "ev_without_best": { - "1": -0.5087080479598982, - "10": -0.7408948586080157, - "5": -0.6302101890508423 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 126, - "time": 35, - "trailing_stop": 62 - }, - "gain_to_pain": -0.7106910762621153, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4476.03, - "measurement_start_positions": 12, - "opened_positions": 237, - "peak_positions": 18, - "profit_factor": 0.530330603976109, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-13", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6984, - "sortino": 278.25248601697575, - "start_date": "2019-01-02", - "total_return_pct": -57.6, - "trades": 237, - "transaction_cost": 197.33614943144505, - "turnover_multiple": 22.043658044231723, - "underwater_pct": 97.23320158102767, - "win_rate": 21.9 - }, - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-08|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.422, - "avg_gross_exposure_pct": 99.578, - "avg_hold_days": 13.6, - "avg_positions": 13.5119, - "blocked_fraction": 0.0, - "cagr_pct": -70.7, - "calmar": -0.71, - "capacity_opportunities": 238, - "end_date": "2019-12-31", - "ev_net_r": -0.5527565958693328, - "ev_without_best": { - "1": -0.5871231046515358, - "10": -0.7913284275483057, - "5": -0.7032312993987155 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 129, - "time": 34, - "trailing_stop": 59 - }, - "gain_to_pain": -0.9139836602882898, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5026.04, - "measurement_start_positions": 9, - "opened_positions": 238, - "peak_positions": 18, - "profit_factor": 0.39075356050221177, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6995, - "sortino": 280.7866504094801, - "start_date": "2019-01-02", - "total_return_pct": -70.5, - "trades": 238, - "transaction_cost": 94.92074482784457, - "turnover_multiple": 18.885791762072042, - "underwater_pct": 97.23320158102767, - "win_rate": 22.7 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-08|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4746, - "avg_gross_exposure_pct": 99.5254, - "avg_hold_days": 13.1, - "avg_positions": 13.0516, - "blocked_fraction": 0.0, - "cagr_pct": -68.6, - "calmar": -0.69, - "capacity_opportunities": 240, - "end_date": "2019-12-31", - "ev_net_r": -0.5617576747335448, - "ev_without_best": { - "1": -0.5957808264062427, - "10": -0.7936573514647034, - "5": -0.7018748300228755 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 140, - "time": 32, - "trailing_stop": 52 - }, - "gain_to_pain": -0.8975342501525698, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5178.3, - "measurement_start_positions": 8, - "opened_positions": 240, - "peak_positions": 17, - "profit_factor": 0.41089370520809465, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-20", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7007, - "sortino": 275.81568077455125, - "start_date": "2019-01-02", - "total_return_pct": -68.4, - "trades": 240, - "transaction_cost": 215.97947892931083, - "turnover_multiple": 20.854284121170156, - "underwater_pct": 96.44268774703558, - "win_rate": 21.7 - }, - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-09|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4658, - "avg_gross_exposure_pct": 99.5342, - "avg_hold_days": 13.9, - "avg_positions": 13.9008, - "blocked_fraction": 0.0, - "cagr_pct": -63.1, - "calmar": -0.63, - "capacity_opportunities": 236, - "end_date": "2019-12-31", - "ev_net_r": -0.41907209606701173, - "ev_without_best": { - "1": -0.457277069765548, - "10": -0.704249569065789, - "5": -0.5886297209443943 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 123, - "time": 34, - "trailing_stop": 62 - }, - "gain_to_pain": -0.8169839544586388, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4230.71, - "measurement_start_positions": 8, - "opened_positions": 236, - "peak_positions": 18, - "profit_factor": 0.5253955600489794, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6985, - "sortino": 284.0912149938973, - "start_date": "2019-01-02", - "total_return_pct": -62.9, - "trades": 236, - "transaction_cost": 78.1595588849081, - "turnover_multiple": 18.474336195321374, - "underwater_pct": 97.23320158102767, - "win_rate": 22.9 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-09|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.3504, - "avg_gross_exposure_pct": 99.6496, - "avg_hold_days": 13.5, - "avg_positions": 13.6349, - "blocked_fraction": 0.0, - "cagr_pct": -66.6, - "calmar": -0.67, - "capacity_opportunities": 243, - "end_date": "2019-12-31", - "ev_net_r": -0.4567396660838835, - "ev_without_best": { - "1": -0.5295785707666926, - "10": -0.7333098098136237, - "5": -0.6418471665931437 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 131, - "time": 34, - "trailing_stop": 62 - }, - "gain_to_pain": -0.8080910988740042, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4301.0, - "measurement_start_positions": 8, - "opened_positions": 243, - "peak_positions": 18, - "profit_factor": 0.49064881269498656, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-08-27", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6934, - "sortino": 278.7618267577115, - "start_date": "2019-01-02", - "total_return_pct": -66.4, - "trades": 243, - "transaction_cost": 171.57374476167942, - "turnover_multiple": 19.945796879990635, - "underwater_pct": 97.23320158102767, - "win_rate": 23.5 - }, - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-10|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4516, - "avg_gross_exposure_pct": 99.5484, - "avg_hold_days": 13.7, - "avg_positions": 13.5595, - "blocked_fraction": 0.0, - "cagr_pct": -52.5, - "calmar": -0.53, - "capacity_opportunities": 237, - "end_date": "2019-12-31", - "ev_net_r": -0.36532995829596876, - "ev_without_best": { - "1": -0.4398173494238418, - "10": -0.6235974819076431, - "5": -0.5331412036913862 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 127, - "time": 36, - "trailing_stop": 58 - }, - "gain_to_pain": -0.6367417404183509, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.8, - "measurement_start_equity": 3924.27, - "measurement_start_positions": 9, - "opened_positions": 237, - "peak_positions": 17, - "profit_factor": 0.5584578617855002, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6916, - "sortino": 274.6208881177595, - "start_date": "2019-01-02", - "total_return_pct": -52.3, - "trades": 237, - "transaction_cost": 91.11232432691918, - "turnover_multiple": 23.21764922569527, - "underwater_pct": 95.25691699604744, - "win_rate": 24.9 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-10|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.3942, - "avg_gross_exposure_pct": 99.6058, - "avg_hold_days": 13.5, - "avg_positions": 13.631, - "blocked_fraction": 0.0, - "cagr_pct": -71.3, - "calmar": -0.71, - "capacity_opportunities": 244, - "end_date": "2019-12-31", - "ev_net_r": -0.4937092933294942, - "ev_without_best": { - "1": -0.5268923586314317, - "10": -0.7230886621015796, - "5": -0.6362746526044116 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 135, - "time": 32, - "trailing_stop": 61 - }, - "gain_to_pain": -0.959216038188382, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 3993.39, - "measurement_start_positions": 8, - "opened_positions": 244, - "peak_positions": 17, - "profit_factor": 0.45207237319713517, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-04", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6972, - "sortino": 275.3357579747806, - "start_date": "2019-01-02", - "total_return_pct": -71.1, - "trades": 244, - "transaction_cost": 154.555045925944, - "turnover_multiple": 19.351358861261236, - "underwater_pct": 97.62845849802372, - "win_rate": 23.4 - }, - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-11|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4435, - "avg_gross_exposure_pct": 99.5565, - "avg_hold_days": 13.4, - "avg_positions": 14.1468, - "blocked_fraction": 0.0, - "cagr_pct": -61.2, - "calmar": -0.61, - "capacity_opportunities": 246, - "end_date": "2019-12-31", - "ev_net_r": -0.3971127256689799, - "ev_without_best": { - "1": -0.433668682602686, - "10": -0.6636357097902605, - "5": -0.5580692151186878 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 130, - "time": 38, - "trailing_stop": 61 - }, - "gain_to_pain": -0.8376118081541984, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4721.47, - "measurement_start_positions": 10, - "opened_positions": 246, - "peak_positions": 18, - "profit_factor": 0.5533077940092693, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6917, - "sortino": 273.1351040083859, - "start_date": "2019-01-02", - "total_return_pct": -61.0, - "trades": 246, - "transaction_cost": 106.3338760698091, - "turnover_multiple": 22.521349509752067, - "underwater_pct": 95.65217391304348, - "win_rate": 24.8 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-11|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5419, - "avg_gross_exposure_pct": 99.4581, - "avg_hold_days": 14.1, - "avg_positions": 13.5476, - "blocked_fraction": 0.0, - "cagr_pct": -57.9, - "calmar": -0.58, - "capacity_opportunities": 230, - "end_date": "2019-12-31", - "ev_net_r": -0.3659339498740032, - "ev_without_best": { - "1": -0.44251128269946133, - "10": -0.679455710574853, - "5": -0.5677574666251893 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 117, - "time": 40, - "trailing_stop": 58 - }, - "gain_to_pain": -0.6946032404020129, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4672.58, - "measurement_start_positions": 10, - "opened_positions": 230, - "peak_positions": 17, - "profit_factor": 0.5954218300057117, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-10", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6956, - "sortino": 277.6433572301657, - "start_date": "2019-01-02", - "total_return_pct": -57.7, - "trades": 230, - "transaction_cost": 187.2290321910097, - "turnover_multiple": 20.03486641117003, - "underwater_pct": 97.23320158102767, - "win_rate": 24.8 - }, - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-12|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5456, - "avg_gross_exposure_pct": 99.4544, - "avg_hold_days": 13.4, - "avg_positions": 13.7024, - "blocked_fraction": 0.0, - "cagr_pct": -62.7, - "calmar": -0.63, - "capacity_opportunities": 247, - "end_date": "2019-12-31", - "ev_net_r": -0.39475647173289563, - "ev_without_best": { - "1": -0.4663355401053142, - "10": -0.6916308068924624, - "5": -0.5786584769164583 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 141, - "time": 37, - "trailing_stop": 53 - }, - "gain_to_pain": -0.7843478016824732, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4902.26, - "measurement_start_positions": 9, - "opened_positions": 247, - "peak_positions": 18, - "profit_factor": 0.5583104302337303, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6973, - "sortino": 280.03016626952507, - "start_date": "2019-01-02", - "total_return_pct": -62.5, - "trades": 247, - "transaction_cost": 98.23530204278838, - "turnover_multiple": 20.03877844969226, - "underwater_pct": 97.23320158102767, - "win_rate": 23.1 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-12|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5124, - "avg_gross_exposure_pct": 99.4876, - "avg_hold_days": 13.1, - "avg_positions": 13.5754, - "blocked_fraction": 0.0, - "cagr_pct": -65.7, - "calmar": -0.66, - "capacity_opportunities": 248, - "end_date": "2019-12-31", - "ev_net_r": -0.3729387296971654, - "ev_without_best": { - "1": -0.4439638875791617, - "10": -0.6847960884725829, - "5": -0.5665441242659652 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 139, - "time": 37, - "trailing_stop": 55 - }, - "gain_to_pain": -0.8731496032741186, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4951.54, - "measurement_start_positions": 9, - "opened_positions": 248, - "peak_positions": 18, - "profit_factor": 0.5909108454963441, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-17", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6957, - "sortino": 279.12903191022724, - "start_date": "2019-01-02", - "total_return_pct": -65.5, - "trades": 248, - "transaction_cost": 212.14089657163206, - "turnover_multiple": 21.42170885942879, - "underwater_pct": 96.44268774703558, - "win_rate": 23.4 - }, - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-13|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.5247, - "avg_gross_exposure_pct": 99.4753, - "avg_hold_days": 13.4, - "avg_positions": 13.5873, - "blocked_fraction": 0.0, - "cagr_pct": -67.6, - "calmar": -0.68, - "capacity_opportunities": 243, - "end_date": "2019-12-31", - "ev_net_r": -0.4697819776030583, - "ev_without_best": { - "1": -0.5428541938240712, - "10": -0.7435757812832665, - "5": -0.6510307055486433 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 133, - "time": 38, - "trailing_stop": 56 - }, - "gain_to_pain": -0.8662375245093479, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4765.71, - "measurement_start_positions": 9, - "opened_positions": 243, - "peak_positions": 18, - "profit_factor": 0.4857080001430468, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6964, - "sortino": 278.1059638129328, - "start_date": "2019-01-02", - "total_return_pct": -67.4, - "trades": 243, - "transaction_cost": 95.2158230531296, - "turnover_multiple": 19.97935733670945, - "underwater_pct": 97.23320158102767, - "win_rate": 21.8 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-13|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.498, - "avg_gross_exposure_pct": 99.502, - "avg_hold_days": 13.9, - "avg_positions": 13.9722, - "blocked_fraction": 0.0, - "cagr_pct": -63.8, - "calmar": -0.64, - "capacity_opportunities": 242, - "end_date": "2019-12-31", - "ev_net_r": -0.39286724394153655, - "ev_without_best": { - "1": -0.46574335394609034, - "10": -0.6848469793954164, - "5": -0.5843690117836189 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 131, - "time": 40, - "trailing_stop": 56 - }, - "gain_to_pain": -0.8170568735228457, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 4705.73, - "measurement_start_positions": 9, - "opened_positions": 242, - "peak_positions": 18, - "profit_factor": 0.5561978778774664, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-09-24", - "skipped_book_full": 0, - "skipped_min_initial_risk": 6961, - "sortino": 277.58455570582254, - "start_date": "2019-01-02", - "total_return_pct": -63.6, - "trades": 242, - "transaction_cost": 188.85820394804566, - "turnover_multiple": 20.066833833225203, - "underwater_pct": 97.23320158102767, - "win_rate": 24.4 - }, - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-14|cost=0.1", - "cluster": 2019, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.444, - "avg_gross_exposure_pct": 99.556, - "avg_hold_days": 13.3, - "avg_positions": 13.4127, - "blocked_fraction": 0.0, - "cagr_pct": -69.9, - "calmar": -0.7, - "capacity_opportunities": 238, - "end_date": "2019-12-31", - "ev_net_r": -0.5054952489005035, - "ev_without_best": { - "1": -0.5802597619670966, - "10": -0.794901946214947, - "5": -0.6988792856380723 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 131, - "time": 33, - "trailing_stop": 58 - }, - "gain_to_pain": -0.9073225792185026, - "longest_underwater_sessions": 164, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5688.06, - "measurement_start_positions": 8, - "opened_positions": 238, - "peak_positions": 16, - "profit_factor": 0.4508002264502979, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7031, - "sortino": 278.243771911337, - "start_date": "2019-01-02", - "total_return_pct": -69.7, - "trades": 238, - "transaction_cost": 111.45208368805118, - "turnover_multiple": 19.594041498868005, - "underwater_pct": 97.62845849802372, - "win_rate": 21.8 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2019-seed-14|cost=0.2", - "cluster": 2019, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "metrics": { - "avg_cash_pct": 0.4576, - "avg_gross_exposure_pct": 99.5424, - "avg_hold_days": 13.4, - "avg_positions": 13.1627, - "blocked_fraction": 0.0, - "cagr_pct": -63.4, - "calmar": -0.63, - "capacity_opportunities": 232, - "end_date": "2019-12-31", - "ev_net_r": -0.47999345320070474, - "ev_without_best": { - "1": -0.5564015428992183, - "10": -0.7812840583392501, - "5": -0.6745831186491101 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 126, - "time": 33, - "trailing_stop": 57 - }, - "gain_to_pain": -0.7911854267647727, - "longest_underwater_sessions": 163, - "max_drawdown_pct": 99.9, - "measurement_start_equity": 5617.97, - "measurement_start_positions": 8, - "opened_positions": 232, - "peak_positions": 17, - "profit_factor": 0.4770151020082923, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.99, - "simulation_start_date": "2018-10-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 7050, - "sortino": 278.12932894399205, - "start_date": "2019-01-02", - "total_return_pct": -63.2, - "trades": 232, - "transaction_cost": 222.42416593839798, - "turnover_multiple": 19.795777294858993, - "underwater_pct": 97.23320158102767, - "win_rate": 23.3 - }, - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-01|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.9327, - "avg_gross_exposure_pct": 98.0673, - "avg_hold_days": 14.0, - "avg_positions": 18.5437, - "blocked_fraction": 0.0, - "cagr_pct": -10.9, - "calmar": -0.24, - "capacity_opportunities": 320, - "end_date": "2020-12-30", - "ev_net_r": 0.006668779083421778, - "ev_without_best": { - "1": -0.03304119159184013, - "10": -0.27812191564013544, - "5": -0.16032385182246753 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 149, - "time": 59, - "trailing_stop": 94 - }, - "gain_to_pain": 0.09528615804041925, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 44.7, - "measurement_start_equity": 5570.46, - "measurement_start_positions": 16, - "opened_positions": 320, - "peak_positions": 23, - "profit_factor": 1.0097464069023425, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.07, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9012, - "sortino": 0.10553743085304798, - "start_date": "2020-01-02", - "total_return_pct": -10.8, - "trades": 320, - "transaction_cost": 156.68323886254944, - "turnover_multiple": 28.127522477955036, - "underwater_pct": 97.62845849802372, - "win_rate": 32.5 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-01|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.9447, - "avg_gross_exposure_pct": 98.0553, - "avg_hold_days": 14.1, - "avg_positions": 18.6548, - "blocked_fraction": 0.0, - "cagr_pct": -11.8, - "calmar": -0.25, - "capacity_opportunities": 321, - "end_date": "2020-12-30", - "ev_net_r": 0.002283883919722037, - "ev_without_best": { - "1": -0.037190445046874035, - "10": -0.27674843047123604, - "5": -0.16538600031817682 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 144, - "time": 60, - "trailing_stop": 99 - }, - "gain_to_pain": 0.10228710958929677, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 48.3, - "measurement_start_equity": 5468.36, - "measurement_start_positions": 16, - "opened_positions": 321, - "peak_positions": 23, - "profit_factor": 1.003340257969067, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.01, - "simulation_start_date": "2019-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8989, - "sortino": 0.014607593536377262, - "start_date": "2020-01-02", - "total_return_pct": -11.8, - "trades": 321, - "transaction_cost": 289.5995356026379, - "turnover_multiple": 26.479560197448407, - "underwater_pct": 97.62845849802372, - "win_rate": 30.8 - }, - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-02|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.9975, - "avg_gross_exposure_pct": 98.0025, - "avg_hold_days": 14.2, - "avg_positions": 18.3413, - "blocked_fraction": 0.0, - "cagr_pct": -6.4, - "calmar": -0.15, - "capacity_opportunities": 314, - "end_date": "2020-12-30", - "ev_net_r": 0.01950067375704224, - "ev_without_best": { - "1": -0.01890381505678723, - "10": -0.2553942587657821, - "5": -0.13860036659338548 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 142, - "time": 61, - "trailing_stop": 93 - }, - "gain_to_pain": 0.14964242579299702, - "longest_underwater_sessions": 124, - "max_drawdown_pct": 42.5, - "measurement_start_equity": 6035.93, - "measurement_start_positions": 15, - "opened_positions": 314, - "peak_positions": 23, - "profit_factor": 1.0300492391624665, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.16, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9041, - "sortino": 0.2268150508169218, - "start_date": "2020-01-02", - "total_return_pct": -6.4, - "trades": 314, - "transaction_cost": 175.6449780686611, - "turnover_multiple": 29.099903091762343, - "underwater_pct": 96.83794466403161, - "win_rate": 31.2 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-02|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0753, - "avg_gross_exposure_pct": 97.9247, - "avg_hold_days": 14.2, - "avg_positions": 18.3254, - "blocked_fraction": 0.0, - "cagr_pct": -24.6, - "calmar": -0.53, - "capacity_opportunities": 314, - "end_date": "2020-12-30", - "ev_net_r": -0.09749578880673662, - "ev_without_best": { - "1": -0.13619588941916344, - "10": -0.38250134795428514, - "5": -0.26010578960892683 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 151, - "time": 57, - "trailing_stop": 89 - }, - "gain_to_pain": -0.069944237168607, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 46.4, - "measurement_start_equity": 5610.18, - "measurement_start_positions": 15, - "opened_positions": 314, - "peak_positions": 23, - "profit_factor": 0.869557099637031, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.25, - "simulation_start_date": "2019-07-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9074, - "sortino": -0.3510517835593384, - "start_date": "2020-01-02", - "total_return_pct": -24.5, - "trades": 314, - "transaction_cost": 291.2879343041349, - "turnover_multiple": 25.960658508651676, - "underwater_pct": 98.02371541501977, - "win_rate": 31.5 - }, - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-03|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.1375, - "avg_gross_exposure_pct": 97.8625, - "avg_hold_days": 14.4, - "avg_positions": 18.2381, - "blocked_fraction": 0.0, - "cagr_pct": 7.4, - "calmar": 0.18, - "capacity_opportunities": 306, - "end_date": "2020-12-30", - "ev_net_r": 0.059230161915678176, - "ev_without_best": { - "1": 0.01994860286462902, - "10": -0.23362884437512532, - "5": -0.10578832701565162 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 139, - "time": 60, - "trailing_stop": 89 - }, - "gain_to_pain": 0.33079191477095043, - "longest_underwater_sessions": 116, - "max_drawdown_pct": 41.2, - "measurement_start_equity": 6161.47, - "measurement_start_positions": 16, - "opened_positions": 306, - "peak_positions": 23, - "profit_factor": 1.0919113709204358, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.41, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9040, - "sortino": 0.5801792057151077, - "start_date": "2020-01-02", - "total_return_pct": 7.3, - "trades": 306, - "transaction_cost": 184.19257833313472, - "turnover_multiple": 29.894258729351062, - "underwater_pct": 96.04743083003953, - "win_rate": 32.0 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-03|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.9889, - "avg_gross_exposure_pct": 98.0111, - "avg_hold_days": 14.4, - "avg_positions": 18.0437, - "blocked_fraction": 0.0, - "cagr_pct": -11.5, - "calmar": -0.25, - "capacity_opportunities": 303, - "end_date": "2020-12-30", - "ev_net_r": -0.008935556107664989, - "ev_without_best": { - "1": -0.04875201723015016, - "10": -0.3142239488535287, - "5": -0.18104058351361066 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 140, - "time": 56, - "trailing_stop": 90 - }, - "gain_to_pain": 0.08439086585597746, - "longest_underwater_sessions": 116, - "max_drawdown_pct": 46.3, - "measurement_start_equity": 6265.19, - "measurement_start_positions": 16, - "opened_positions": 303, - "peak_positions": 23, - "profit_factor": 0.9875140612132535, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.03, - "simulation_start_date": "2019-07-15", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9120, - "sortino": 0.042987297495051556, - "start_date": "2020-01-02", - "total_return_pct": -11.4, - "trades": 303, - "transaction_cost": 366.29155255840635, - "turnover_multiple": 29.23227807603651, - "underwater_pct": 95.65217391304348, - "win_rate": 32.3 - }, - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-04|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.1453, - "avg_gross_exposure_pct": 97.8547, - "avg_hold_days": 14.3, - "avg_positions": 18.3175, - "blocked_fraction": 0.0, - "cagr_pct": -9.7, - "calmar": -0.23, - "capacity_opportunities": 312, - "end_date": "2020-12-30", - "ev_net_r": -0.018424505817972187, - "ev_without_best": { - "1": -0.0571979147514244, - "10": -0.30043272200546994, - "5": -0.181218924653998 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 142, - "time": 62, - "trailing_stop": 90 - }, - "gain_to_pain": 0.0973475700482368, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 42.9, - "measurement_start_equity": 5680.62, - "measurement_start_positions": 17, - "opened_positions": 312, - "peak_positions": 23, - "profit_factor": 0.9726791191063086, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.1, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9056, - "sortino": 0.13511839558968333, - "start_date": "2020-01-02", - "total_return_pct": -9.6, - "trades": 312, - "transaction_cost": 157.71536845614727, - "turnover_multiple": 27.76375966992111, - "underwater_pct": 98.02371541501977, - "win_rate": 30.4 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-04|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0488, - "avg_gross_exposure_pct": 97.9512, - "avg_hold_days": 14.4, - "avg_positions": 18.1825, - "blocked_fraction": 0.0, - "cagr_pct": -16.4, - "calmar": -0.35, - "capacity_opportunities": 308, - "end_date": "2020-12-30", - "ev_net_r": -0.03884391617163612, - "ev_without_best": { - "1": -0.08012376330323906, - "10": -0.33997208582906624, - "5": -0.2158546560663942 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 144, - "time": 59, - "trailing_stop": 88 - }, - "gain_to_pain": 0.01783758621453936, - "longest_underwater_sessions": 116, - "max_drawdown_pct": 46.3, - "measurement_start_equity": 5363.83, - "measurement_start_positions": 16, - "opened_positions": 308, - "peak_positions": 23, - "profit_factor": 0.9458302681848696, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.06, - "simulation_start_date": "2019-07-22", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9094, - "sortino": -0.09152739492179361, - "start_date": "2020-01-02", - "total_return_pct": -16.4, - "trades": 308, - "transaction_cost": 300.9145543390597, - "turnover_multiple": 28.050344095456015, - "underwater_pct": 96.44268774703558, - "win_rate": 31.5 - }, - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-05|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.116, - "avg_gross_exposure_pct": 97.884, - "avg_hold_days": 14.3, - "avg_positions": 18.5317, - "blocked_fraction": 0.0, - "cagr_pct": -1.2, - "calmar": -0.03, - "capacity_opportunities": 314, - "end_date": "2020-12-30", - "ev_net_r": 0.00814060855144805, - "ev_without_best": { - "1": -0.03232587328861752, - "10": -0.2908148493085026, - "5": -0.1653587789205787 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 147, - "time": 60, - "trailing_stop": 89 - }, - "gain_to_pain": 0.2114526435052866, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 43.8, - "measurement_start_equity": 6809.27, - "measurement_start_positions": 16, - "opened_positions": 314, - "peak_positions": 23, - "profit_factor": 1.0119130007431538, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.26, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 0, - "skipped_min_initial_risk": 8999, - "sortino": 0.3731388448830967, - "start_date": "2020-01-02", - "total_return_pct": -1.2, - "trades": 314, - "transaction_cost": 195.2599198921548, - "turnover_multiple": 28.675602508367973, - "underwater_pct": 97.23320158102767, - "win_rate": 30.9 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-05|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.1324, - "avg_gross_exposure_pct": 97.8676, - "avg_hold_days": 14.3, - "avg_positions": 18.5437, - "blocked_fraction": 0.0, - "cagr_pct": -8.0, - "calmar": -0.19, - "capacity_opportunities": 315, - "end_date": "2020-12-30", - "ev_net_r": -0.00842119466778353, - "ev_without_best": { - "1": -0.04868390278210916, - "10": -0.3016407597263922, - "5": -0.1809442287987269 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 147, - "time": 60, - "trailing_stop": 88 - }, - "gain_to_pain": 0.12754251419937723, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 42.8, - "measurement_start_equity": 6666.83, - "measurement_start_positions": 16, - "opened_positions": 315, - "peak_positions": 23, - "profit_factor": 0.9877282192284438, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.13, - "simulation_start_date": "2019-07-29", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9042, - "sortino": 0.18377184944738387, - "start_date": "2020-01-02", - "total_return_pct": -7.9, - "trades": 315, - "transaction_cost": 384.81232884827745, - "turnover_multiple": 28.860217588289895, - "underwater_pct": 97.23320158102767, - "win_rate": 31.7 - }, - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-06|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0144, - "avg_gross_exposure_pct": 97.9856, - "avg_hold_days": 14.1, - "avg_positions": 18.3929, - "blocked_fraction": 0.0, - "cagr_pct": -14.7, - "calmar": -0.32, - "capacity_opportunities": 316, - "end_date": "2020-12-30", - "ev_net_r": -0.012195301707029146, - "ev_without_best": { - "1": -0.052469411948930726, - "10": -0.3023570240639565, - "5": -0.1846455858093123 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 148, - "time": 60, - "trailing_stop": 90 - }, - "gain_to_pain": 0.04616398155197407, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 46.0, - "measurement_start_equity": 7202.5, - "measurement_start_positions": 16, - "opened_positions": 316, - "peak_positions": 23, - "profit_factor": 0.9819135191968076, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.01, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9033, - "sortino": -0.014963048971493179, - "start_date": "2020-01-02", - "total_return_pct": -14.6, - "trades": 316, - "transaction_cost": 198.0205098214258, - "turnover_multiple": 27.49330230078803, - "underwater_pct": 98.02371541501977, - "win_rate": 30.4 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-06|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0095, - "avg_gross_exposure_pct": 97.9905, - "avg_hold_days": 14.3, - "avg_positions": 18.5397, - "blocked_fraction": 0.0, - "cagr_pct": -12.6, - "calmar": -0.27, - "capacity_opportunities": 313, - "end_date": "2020-12-30", - "ev_net_r": 0.006772641411075716, - "ev_without_best": { - "1": -0.03369946279347361, - "10": -0.28856795336134167, - "5": -0.166624018979178 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 145, - "time": 60, - "trailing_stop": 89 - }, - "gain_to_pain": 0.0829021069509644, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 46.7, - "measurement_start_equity": 7096.53, - "measurement_start_positions": 16, - "opened_positions": 313, - "peak_positions": 23, - "profit_factor": 1.0100039077492244, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.03, - "simulation_start_date": "2019-08-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9038, - "sortino": 0.04267822953264892, - "start_date": "2020-01-02", - "total_return_pct": -12.5, - "trades": 313, - "transaction_cost": 380.72463580314337, - "turnover_multiple": 26.82470417254231, - "underwater_pct": 98.02371541501977, - "win_rate": 31.6 - }, - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-07|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.7972, - "avg_gross_exposure_pct": 98.2028, - "avg_hold_days": 13.6, - "avg_positions": 18.3333, - "blocked_fraction": 0.0, - "cagr_pct": -30.9, - "calmar": -0.66, - "capacity_opportunities": 311, - "end_date": "2020-12-30", - "ev_net_r": -0.09242585812307474, - "ev_without_best": { - "1": -0.1315630566089094, - "10": -0.37630517430613747, - "5": -0.25220359195952763 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 158, - "time": 52, - "trailing_stop": 86 - }, - "gain_to_pain": -0.1503854123283112, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 47.0, - "measurement_start_equity": 7181.53, - "measurement_start_positions": 16, - "opened_positions": 311, - "peak_positions": 23, - "profit_factor": 0.8723403931740403, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.5, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9166, - "sortino": -0.7066476716480928, - "start_date": "2020-01-02", - "total_return_pct": -30.7, - "trades": 311, - "transaction_cost": 169.3982974714807, - "turnover_multiple": 23.588051219096865, - "underwater_pct": 98.41897233201581, - "win_rate": 27.7 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-07|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.8681, - "avg_gross_exposure_pct": 98.1319, - "avg_hold_days": 14.4, - "avg_positions": 18.7897, - "blocked_fraction": 0.0, - "cagr_pct": 15.3, - "calmar": 0.37, - "capacity_opportunities": 299, - "end_date": "2020-12-30", - "ev_net_r": 0.10993553393328864, - "ev_without_best": { - "1": 0.069983519943525, - "10": -0.20488408363452162, - "5": -0.0668844263618438 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 131, - "time": 52, - "trailing_stop": 98 - }, - "gain_to_pain": 0.45029226827899327, - "longest_underwater_sessions": 116, - "max_drawdown_pct": 41.4, - "measurement_start_equity": 6938.5, - "measurement_start_positions": 18, - "opened_positions": 299, - "peak_positions": 23, - "profit_factor": 1.1609487073169187, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.53, - "simulation_start_date": "2019-08-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9170, - "sortino": 0.7778460196184254, - "start_date": "2020-01-02", - "total_return_pct": 15.2, - "trades": 299, - "transaction_cost": 403.19220940669413, - "turnover_multiple": 29.054709908964053, - "underwater_pct": 95.25691699604744, - "win_rate": 30.8 - }, - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-08|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.8641, - "avg_gross_exposure_pct": 98.1359, - "avg_hold_days": 14.2, - "avg_positions": 18.2302, - "blocked_fraction": 0.0, - "cagr_pct": -6.1, - "calmar": -0.15, - "capacity_opportunities": 293, - "end_date": "2020-12-30", - "ev_net_r": 0.0037185141387764426, - "ev_without_best": { - "1": -0.03967337254051532, - "10": -0.33387062590054767, - "5": -0.19015914771356945 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 138, - "time": 53, - "trailing_stop": 88 - }, - "gain_to_pain": 0.10992377498992786, - "longest_underwater_sessions": 130, - "max_drawdown_pct": 40.4, - "measurement_start_equity": 7560.43, - "measurement_start_positions": 17, - "opened_positions": 293, - "peak_positions": 24, - "profit_factor": 1.0050550300957684, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.14, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9153, - "sortino": 0.2032033717275178, - "start_date": "2020-01-02", - "total_return_pct": -6.1, - "trades": 293, - "transaction_cost": 211.91100272614673, - "turnover_multiple": 28.028961676273273, - "underwater_pct": 97.62845849802372, - "win_rate": 29.0 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-08|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.839, - "avg_gross_exposure_pct": 98.161, - "avg_hold_days": 14.1, - "avg_positions": 18.3651, - "blocked_fraction": 0.0, - "cagr_pct": -5.2, - "calmar": -0.12, - "capacity_opportunities": 298, - "end_date": "2020-12-30", - "ev_net_r": 0.00734053270901299, - "ev_without_best": { - "1": -0.03517370507052052, - "10": -0.3159503714763784, - "5": -0.18147710433074662 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 142, - "time": 57, - "trailing_stop": 83 - }, - "gain_to_pain": 0.14361758769822902, - "longest_underwater_sessions": 130, - "max_drawdown_pct": 41.7, - "measurement_start_equity": 7279.7, - "measurement_start_positions": 18, - "opened_positions": 298, - "peak_positions": 23, - "profit_factor": 1.0105314772260583, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.17, - "simulation_start_date": "2019-08-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9161, - "sortino": 0.24138971338908444, - "start_date": "2020-01-02", - "total_return_pct": -5.1, - "trades": 298, - "transaction_cost": 405.61919667194564, - "turnover_multiple": 27.859609370712093, - "underwater_pct": 97.62845849802372, - "win_rate": 29.9 - }, - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-09|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 1.9005, - "avg_gross_exposure_pct": 98.0995, - "avg_hold_days": 14.3, - "avg_positions": 18.8889, - "blocked_fraction": 0.0, - "cagr_pct": 7.9, - "calmar": 0.18, - "capacity_opportunities": 302, - "end_date": "2020-12-30", - "ev_net_r": 0.0809525621355431, - "ev_without_best": { - "1": 0.03178125214028681, - "10": -0.2600283629025934, - "5": -0.12452973089007653 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 139, - "time": 56, - "trailing_stop": 91 - }, - "gain_to_pain": 0.36062017204972996, - "longest_underwater_sessions": 114, - "max_drawdown_pct": 43.0, - "measurement_start_equity": 7400.0, - "measurement_start_positions": 19, - "opened_positions": 302, - "peak_positions": 24, - "profit_factor": 1.1206065509432555, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.43, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9104, - "sortino": 0.6122188160929359, - "start_date": "2020-01-02", - "total_return_pct": 7.9, - "trades": 302, - "transaction_cost": 219.83795527465674, - "turnover_multiple": 29.707831793872533, - "underwater_pct": 95.65217391304348, - "win_rate": 31.1 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-09|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0542, - "avg_gross_exposure_pct": 97.9458, - "avg_hold_days": 14.0, - "avg_positions": 19.4722, - "blocked_fraction": 0.0, - "cagr_pct": -33.2, - "calmar": -0.63, - "capacity_opportunities": 319, - "end_date": "2020-12-30", - "ev_net_r": -0.07497507280952447, - "ev_without_best": { - "1": -0.11646747488906405, - "10": -0.3666313534475284, - "5": -0.24386041159159952 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 155, - "time": 59, - "trailing_stop": 87 - }, - "gain_to_pain": -0.20482695965258965, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 52.6, - "measurement_start_equity": 7311.29, - "measurement_start_positions": 19, - "opened_positions": 319, - "peak_positions": 24, - "profit_factor": 0.8925265854650217, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.49, - "simulation_start_date": "2019-08-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9028, - "sortino": -0.6633898281829925, - "start_date": "2020-01-02", - "total_return_pct": -33.0, - "trades": 319, - "transaction_cost": 379.6921638944807, - "turnover_multiple": 25.966153982025105, - "underwater_pct": 98.02371541501977, - "win_rate": 28.8 - }, - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-10|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.3146, - "avg_gross_exposure_pct": 97.6854, - "avg_hold_days": 14.4, - "avg_positions": 18.2381, - "blocked_fraction": 0.0, - "cagr_pct": -1.4, - "calmar": -0.03, - "capacity_opportunities": 306, - "end_date": "2020-12-30", - "ev_net_r": 0.018730699225014087, - "ev_without_best": { - "1": -0.020683644949611002, - "10": -0.2607707522724018, - "5": -0.14078339297405085 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 136, - "time": 61, - "trailing_stop": 91 - }, - "gain_to_pain": 0.21192058245288836, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 42.3, - "measurement_start_equity": 8598.25, - "measurement_start_positions": 16, - "opened_positions": 306, - "peak_positions": 23, - "profit_factor": 1.029264089299106, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.25, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9033, - "sortino": 0.35421286126827417, - "start_date": "2020-01-02", - "total_return_pct": -1.4, - "trades": 306, - "transaction_cost": 235.6593803510263, - "turnover_multiple": 27.407830704041668, - "underwater_pct": 98.02371541501977, - "win_rate": 31.0 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-10|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.092, - "avg_gross_exposure_pct": 97.908, - "avg_hold_days": 14.3, - "avg_positions": 18.5476, - "blocked_fraction": 0.0, - "cagr_pct": -9.3, - "calmar": -0.21, - "capacity_opportunities": 313, - "end_date": "2020-12-30", - "ev_net_r": -0.012704956334246733, - "ev_without_best": { - "1": -0.05125733024199386, - "10": -0.2805310223667957, - "5": -0.16752479219192337 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 145, - "time": 59, - "trailing_stop": 91 - }, - "gain_to_pain": 0.12678711146244823, - "longest_underwater_sessions": 132, - "max_drawdown_pct": 44.4, - "measurement_start_equity": 8413.01, - "measurement_start_positions": 15, - "opened_positions": 313, - "peak_positions": 23, - "profit_factor": 0.9809915037522173, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.09, - "simulation_start_date": "2019-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9031, - "sortino": 0.12690085675203672, - "start_date": "2020-01-02", - "total_return_pct": -9.2, - "trades": 313, - "transaction_cost": 457.2792500309111, - "turnover_multiple": 27.176911119261188, - "underwater_pct": 97.62845849802372, - "win_rate": 32.6 - }, - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-11|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.073, - "avg_gross_exposure_pct": 97.927, - "avg_hold_days": 14.4, - "avg_positions": 18.4524, - "blocked_fraction": 0.0, - "cagr_pct": 4.9, - "calmar": 0.12, - "capacity_opportunities": 312, - "end_date": "2020-12-30", - "ev_net_r": 0.04271582240355147, - "ev_without_best": { - "1": 0.002100280274649806, - "10": -0.25707459829480606, - "5": -0.13135074000555522 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 143, - "time": 61, - "trailing_stop": 90 - }, - "gain_to_pain": 0.29828567447751203, - "longest_underwater_sessions": 117, - "max_drawdown_pct": 41.2, - "measurement_start_equity": 8814.32, - "measurement_start_positions": 17, - "opened_positions": 312, - "peak_positions": 23, - "profit_factor": 1.0635882477837941, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.37, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9018, - "sortino": 0.5239709706688407, - "start_date": "2020-01-02", - "total_return_pct": 4.9, - "trades": 312, - "transaction_cost": 265.6666884586876, - "turnover_multiple": 30.140349846464343, - "underwater_pct": 96.44268774703558, - "win_rate": 31.7 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-11|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.1479, - "avg_gross_exposure_pct": 97.8521, - "avg_hold_days": 14.1, - "avg_positions": 18.5476, - "blocked_fraction": 0.0, - "cagr_pct": -16.3, - "calmar": -0.36, - "capacity_opportunities": 318, - "end_date": "2020-12-30", - "ev_net_r": -0.04837048684858394, - "ev_without_best": { - "1": -0.0864272887089355, - "10": -0.31877014505203044, - "5": -0.20649212306654136 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 141, - "time": 60, - "trailing_stop": 99 - }, - "gain_to_pain": 0.02039222373410245, - "longest_underwater_sessions": 123, - "max_drawdown_pct": 45.2, - "measurement_start_equity": 8604.16, - "measurement_start_positions": 16, - "opened_positions": 318, - "peak_positions": 23, - "profit_factor": 0.9310108814646997, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.11, - "simulation_start_date": "2019-09-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9019, - "sortino": -0.15667659670166587, - "start_date": "2020-01-02", - "total_return_pct": -16.2, - "trades": 318, - "transaction_cost": 466.5832327188115, - "turnover_multiple": 27.113816614219836, - "underwater_pct": 97.62845849802372, - "win_rate": 30.2 - }, - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-12|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0677, - "avg_gross_exposure_pct": 97.9323, - "avg_hold_days": 14.4, - "avg_positions": 18.3373, - "blocked_fraction": 0.0, - "cagr_pct": 10.8, - "calmar": 0.26, - "capacity_opportunities": 306, - "end_date": "2020-12-30", - "ev_net_r": 0.058383285420402546, - "ev_without_best": { - "1": 0.019098949725106597, - "10": -0.23450433156280892, - "5": -0.10664927122679559 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 141, - "time": 59, - "trailing_stop": 88 - }, - "gain_to_pain": 0.3932544248785127, - "longest_underwater_sessions": 116, - "max_drawdown_pct": 41.2, - "measurement_start_equity": 8072.01, - "measurement_start_positions": 15, - "opened_positions": 306, - "peak_positions": 23, - "profit_factor": 1.0894117986289447, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.46, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9028, - "sortino": 0.6666741077331058, - "start_date": "2020-01-02", - "total_return_pct": 10.8, - "trades": 306, - "transaction_cost": 249.90713968744106, - "turnover_multiple": 30.959716314454646, - "underwater_pct": 95.65217391304348, - "win_rate": 32.0 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-12|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0549, - "avg_gross_exposure_pct": 97.9451, - "avg_hold_days": 14.1, - "avg_positions": 17.8056, - "blocked_fraction": 0.0, - "cagr_pct": -11.3, - "calmar": -0.26, - "capacity_opportunities": 304, - "end_date": "2020-12-30", - "ev_net_r": -0.054987540107345134, - "ev_without_best": { - "1": -0.09482458051325339, - "10": -0.3565778438569583, - "5": -0.22313164871878863 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 141, - "time": 56, - "trailing_stop": 91 - }, - "gain_to_pain": 0.049714882430518186, - "longest_underwater_sessions": 124, - "max_drawdown_pct": 43.2, - "measurement_start_equity": 7999.53, - "measurement_start_positions": 15, - "opened_positions": 304, - "peak_positions": 23, - "profit_factor": 0.9258958499382477, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.1, - "simulation_start_date": "2019-09-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9100, - "sortino": 0.13405210860345193, - "start_date": "2020-01-02", - "total_return_pct": -11.2, - "trades": 304, - "transaction_cost": 465.09082409577854, - "turnover_multiple": 29.069884361692413, - "underwater_pct": 96.44268774703558, - "win_rate": 29.6 - }, - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-13|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0962, - "avg_gross_exposure_pct": 97.9038, - "avg_hold_days": 14.1, - "avg_positions": 18.3968, - "blocked_fraction": 0.0, - "cagr_pct": -5.8, - "calmar": -0.12, - "capacity_opportunities": 315, - "end_date": "2020-12-30", - "ev_net_r": 0.0033331353218505415, - "ev_without_best": { - "1": -0.03500053517867116, - "10": -0.2750797306691388, - "5": -0.1553713622120577 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 151, - "time": 58, - "trailing_stop": 87 - }, - "gain_to_pain": 0.15420559676264403, - "longest_underwater_sessions": 114, - "max_drawdown_pct": 47.2, - "measurement_start_equity": 7353.4, - "measurement_start_positions": 17, - "opened_positions": 315, - "peak_positions": 23, - "profit_factor": 1.0050116430605573, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.18, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9051, - "sortino": 0.2489741655875915, - "start_date": "2020-01-02", - "total_return_pct": -5.7, - "trades": 315, - "transaction_cost": 214.67314696423244, - "turnover_multiple": 29.19372629861458, - "underwater_pct": 96.04743083003953, - "win_rate": 31.7 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-13|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.1891, - "avg_gross_exposure_pct": 97.8109, - "avg_hold_days": 13.9, - "avg_positions": 17.496, - "blocked_fraction": 0.0, - "cagr_pct": -15.7, - "calmar": -0.33, - "capacity_opportunities": 304, - "end_date": "2020-12-30", - "ev_net_r": -0.02954153921116147, - "ev_without_best": { - "1": -0.07036375808240969, - "10": -0.3392713864121071, - "5": -0.20611459691682793 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 144, - "time": 56, - "trailing_stop": 86 - }, - "gain_to_pain": 0.025405828149457594, - "longest_underwater_sessions": 114, - "max_drawdown_pct": 47.8, - "measurement_start_equity": 7282.4, - "measurement_start_positions": 17, - "opened_positions": 304, - "peak_positions": 23, - "profit_factor": 0.9590689048679086, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.04, - "simulation_start_date": "2019-09-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9168, - "sortino": -0.056694508619934685, - "start_date": "2020-01-02", - "total_return_pct": -15.6, - "trades": 304, - "transaction_cost": 422.4653681401585, - "turnover_multiple": 29.005916191101733, - "underwater_pct": 96.04743083003953, - "win_rate": 31.9 - }, - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-14|cost=0.1", - "cluster": 2020, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0386, - "avg_gross_exposure_pct": 97.9614, - "avg_hold_days": 14.3, - "avg_positions": 18.0754, - "blocked_fraction": 0.0, - "cagr_pct": -7.0, - "calmar": -0.17, - "capacity_opportunities": 305, - "end_date": "2020-12-30", - "ev_net_r": -0.01226880558015337, - "ev_without_best": { - "1": -0.051914774258001464, - "10": -0.3007600743470894, - "5": -0.1787591658517228 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 140, - "time": 60, - "trailing_stop": 87 - }, - "gain_to_pain": 0.1307208429460078, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 42.3, - "measurement_start_equity": 9053.86, - "measurement_start_positions": 17, - "opened_positions": 305, - "peak_positions": 23, - "profit_factor": 0.9818919263108974, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.15, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9074, - "sortino": 0.20988913796670658, - "start_date": "2020-01-02", - "total_return_pct": -7.0, - "trades": 305, - "transaction_cost": 255.20708691611617, - "turnover_multiple": 28.18765553212841, - "underwater_pct": 97.62845849802372, - "win_rate": 30.2 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2020-seed-14|cost=0.2", - "cluster": 2020, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "metrics": { - "avg_cash_pct": 2.0265, - "avg_gross_exposure_pct": 97.9735, - "avg_hold_days": 14.6, - "avg_positions": 18.2659, - "blocked_fraction": 0.0, - "cagr_pct": -3.7, - "calmar": -0.09, - "capacity_opportunities": 302, - "end_date": "2020-12-30", - "ev_net_r": 0.010418605594900142, - "ev_without_best": { - "1": -0.02946583658878079, - "10": -0.28331672752425674, - "5": -0.15694475560331062 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 137, - "time": 60, - "trailing_stop": 86 - }, - "gain_to_pain": 0.18826796249889038, - "longest_underwater_sessions": 131, - "max_drawdown_pct": 42.5, - "measurement_start_equity": 8951.3, - "measurement_start_positions": 17, - "opened_positions": 302, - "peak_positions": 23, - "profit_factor": 1.0153702965385634, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.21, - "simulation_start_date": "2019-09-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9086, - "sortino": 0.30179044313061515, - "start_date": "2020-01-02", - "total_return_pct": -3.6, - "trades": 302, - "transaction_cost": 491.56459455919514, - "turnover_multiple": 27.457720920938588, - "underwater_pct": 97.62845849802372, - "win_rate": 31.8 - }, - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-01|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3651, - "avg_gross_exposure_pct": 99.6349, - "avg_hold_days": 12.5, - "avg_positions": 15.4563, - "blocked_fraction": 0.0, - "cagr_pct": -26.1, - "calmar": -0.38, - "capacity_opportunities": 290, - "end_date": "2021-12-31", - "ev_net_r": -0.2593101249357941, - "ev_without_best": { - "1": -0.3329642213857961, - "10": -0.557151214801588, - "5": -0.44873603008368856 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 157, - "time": 28, - "trailing_stop": 92 - }, - "gain_to_pain": -0.15259778690498943, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 68.4, - "measurement_start_equity": 8747.17, - "measurement_start_positions": 17, - "opened_positions": 290, - "peak_positions": 21, - "profit_factor": 0.6783791741861419, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.06, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9901, - "sortino": 0.09858647829657842, - "start_date": "2021-01-04", - "total_return_pct": -25.9, - "trades": 290, - "transaction_cost": 405.56759770463015, - "turnover_multiple": 46.365578547648, - "underwater_pct": 92.09486166007905, - "win_rate": 22.8 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-01|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3876, - "avg_gross_exposure_pct": 99.6124, - "avg_hold_days": 12.5, - "avg_positions": 15.4563, - "blocked_fraction": 0.0, - "cagr_pct": -23.3, - "calmar": -0.35, - "capacity_opportunities": 290, - "end_date": "2021-12-31", - "ev_net_r": -0.2296505148932211, - "ev_without_best": { - "1": -0.3031019480809717, - "10": -0.5450368726173944, - "5": -0.4393328042143763 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 156, - "time": 32, - "trailing_stop": 89 - }, - "gain_to_pain": -0.12031464363783977, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 65.9, - "measurement_start_equity": 8622.03, - "measurement_start_positions": 17, - "opened_positions": 290, - "peak_positions": 20, - "profit_factor": 0.7122845923728841, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.16, - "simulation_start_date": "2020-07-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9860, - "sortino": 0.2599482435219918, - "start_date": "2021-01-04", - "total_return_pct": -23.1, - "trades": 290, - "transaction_cost": 798.5425634527979, - "turnover_multiple": 46.30826867064936, - "underwater_pct": 92.09486166007905, - "win_rate": 24.1 - }, - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-02|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3205, - "avg_gross_exposure_pct": 99.6795, - "avg_hold_days": 12.5, - "avg_positions": 15.2857, - "blocked_fraction": 0.0, - "cagr_pct": -32.1, - "calmar": -0.47, - "capacity_opportunities": 286, - "end_date": "2021-12-31", - "ev_net_r": -0.25146904584140145, - "ev_without_best": { - "1": -0.32612937143773907, - "10": -0.5687171323674827, - "5": -0.45674921066588936 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 152, - "time": 29, - "trailing_stop": 93 - }, - "gain_to_pain": -0.360378651745627, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 67.7, - "measurement_start_equity": 10330.07, - "measurement_start_positions": 19, - "opened_positions": 286, - "peak_positions": 21, - "profit_factor": 0.6840302604879139, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.01, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9925, - "sortino": -0.012588355524901982, - "start_date": "2021-01-04", - "total_return_pct": -31.8, - "trades": 286, - "transaction_cost": 418.040891567889, - "turnover_multiple": 40.4683503178477, - "underwater_pct": 94.86166007905138, - "win_rate": 22.0 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-02|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3395, - "avg_gross_exposure_pct": 99.6605, - "avg_hold_days": 12.1, - "avg_positions": 15.2183, - "blocked_fraction": 0.0, - "cagr_pct": -44.6, - "calmar": -0.66, - "capacity_opportunities": 295, - "end_date": "2021-12-31", - "ev_net_r": -0.3279305549556558, - "ev_without_best": { - "1": -0.40046709996015356, - "10": -0.610584615074036, - "5": -0.5045088899784278 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 159, - "time": 32, - "trailing_stop": 91 - }, - "gain_to_pain": -0.5352474223325, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 67.8, - "measurement_start_equity": 10723.83, - "measurement_start_positions": 16, - "opened_positions": 295, - "peak_positions": 23, - "profit_factor": 0.6016044541004868, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.25, - "simulation_start_date": "2020-07-13", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9885, - "sortino": -0.3977818787006544, - "start_date": "2021-01-04", - "total_return_pct": -44.2, - "trades": 295, - "transaction_cost": 794.0778192993258, - "turnover_multiple": 37.02398393574524, - "underwater_pct": 92.88537549407114, - "win_rate": 21.7 - }, - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-03|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3342, - "avg_gross_exposure_pct": 99.6658, - "avg_hold_days": 12.3, - "avg_positions": 14.369, - "blocked_fraction": 0.0, - "cagr_pct": -43.7, - "calmar": -0.66, - "capacity_opportunities": 274, - "end_date": "2021-12-31", - "ev_net_r": -0.3202616263232848, - "ev_without_best": { - "1": -0.39845571194760016, - "10": -0.6072932141391189, - "5": -0.5072078842840353 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 146, - "time": 27, - "trailing_stop": 88 - }, - "gain_to_pain": -0.560005595452445, - "longest_underwater_sessions": 221, - "max_drawdown_pct": 66.0, - "measurement_start_equity": 9880.97, - "measurement_start_positions": 16, - "opened_positions": 274, - "peak_positions": 20, - "profit_factor": 0.6119401608859436, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.32, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 0, - "skipped_min_initial_risk": 10007, - "sortino": -0.48342709489102986, - "start_date": "2021-01-04", - "total_return_pct": -43.3, - "trades": 274, - "transaction_cost": 342.18321643780604, - "turnover_multiple": 34.630528828425355, - "underwater_pct": 93.67588932806325, - "win_rate": 21.9 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-03|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2916, - "avg_gross_exposure_pct": 99.7084, - "avg_hold_days": 12.0, - "avg_positions": 15.1111, - "blocked_fraction": 0.0, - "cagr_pct": -40.6, - "calmar": -0.59, - "capacity_opportunities": 292, - "end_date": "2021-12-31", - "ev_net_r": -0.2765857747320337, - "ev_without_best": { - "1": -0.3496936766258437, - "10": -0.5589023268011604, - "5": -0.4522738298974347 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 162, - "time": 29, - "trailing_stop": 87 - }, - "gain_to_pain": -0.5044930213375287, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 68.5, - "measurement_start_equity": 9874.65, - "measurement_start_positions": 17, - "opened_positions": 292, - "peak_positions": 23, - "profit_factor": 0.6626101952197105, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.2, - "simulation_start_date": "2020-07-20", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9942, - "sortino": -0.3096133044658196, - "start_date": "2021-01-04", - "total_return_pct": -40.3, - "trades": 292, - "transaction_cost": 741.9884248315047, - "turnover_multiple": 37.57036577658472, - "underwater_pct": 92.4901185770751, - "win_rate": 22.3 - }, - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-04|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3427, - "avg_gross_exposure_pct": 99.6573, - "avg_hold_days": 12.3, - "avg_positions": 15.0952, - "blocked_fraction": 0.0, - "cagr_pct": -36.1, - "calmar": -0.52, - "capacity_opportunities": 286, - "end_date": "2021-12-31", - "ev_net_r": -0.27192581698766366, - "ev_without_best": { - "1": -0.3466579207283741, - "10": -0.548554368544938, - "5": -0.4642726548076256 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 159, - "time": 28, - "trailing_stop": 86 - }, - "gain_to_pain": -0.40165020938149476, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.7, - "measurement_start_equity": 10312.75, - "measurement_start_positions": 19, - "opened_positions": 286, - "peak_positions": 21, - "profit_factor": 0.6524358357159512, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.25, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9921, - "sortino": -0.3672793372138445, - "start_date": "2021-01-04", - "total_return_pct": -35.7, - "trades": 286, - "transaction_cost": 394.8782362414339, - "turnover_multiple": 38.29029465869278, - "underwater_pct": 94.0711462450593, - "win_rate": 23.4 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-04|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3514, - "avg_gross_exposure_pct": 99.6486, - "avg_hold_days": 12.0, - "avg_positions": 15.246, - "blocked_fraction": 0.0, - "cagr_pct": -42.3, - "calmar": -0.6, - "capacity_opportunities": 294, - "end_date": "2021-12-31", - "ev_net_r": -0.26625787783775445, - "ev_without_best": { - "1": -0.33883150088964675, - "10": -0.5293703246643305, - "5": -0.4374287992064457 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 156, - "time": 28, - "trailing_stop": 96 - }, - "gain_to_pain": -0.4664872079361658, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.7, - "measurement_start_equity": 9854.74, - "measurement_start_positions": 19, - "opened_positions": 294, - "peak_positions": 22, - "profit_factor": 0.6634164382878568, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.39, - "simulation_start_date": "2020-07-27", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9886, - "sortino": -0.570364378879556, - "start_date": "2021-01-04", - "total_return_pct": -41.9, - "trades": 294, - "transaction_cost": 752.5431430719997, - "turnover_multiple": 38.18178577374947, - "underwater_pct": 93.2806324110672, - "win_rate": 23.5 - }, - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-05|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3956, - "avg_gross_exposure_pct": 99.6044, - "avg_hold_days": 11.8, - "avg_positions": 14.7857, - "blocked_fraction": 0.0, - "cagr_pct": -48.7, - "calmar": -0.7, - "capacity_opportunities": 290, - "end_date": "2021-12-31", - "ev_net_r": -0.28312474418502026, - "ev_without_best": { - "1": -0.35686124416183634, - "10": -0.5643982018853193, - "5": -0.46048924868328206 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 163, - "time": 29, - "trailing_stop": 85 - }, - "gain_to_pain": -0.5822688956104983, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 69.9, - "measurement_start_equity": 7955.05, - "measurement_start_positions": 19, - "opened_positions": 290, - "peak_positions": 21, - "profit_factor": 0.6514094564272154, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.56, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9979, - "sortino": -0.8240034856159388, - "start_date": "2021-01-04", - "total_return_pct": -48.3, - "trades": 290, - "transaction_cost": 279.98079125853417, - "turnover_multiple": 35.19535279583838, - "underwater_pct": 93.2806324110672, - "win_rate": 22.8 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-05|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3951, - "avg_gross_exposure_pct": 99.6049, - "avg_hold_days": 11.8, - "avg_positions": 14.7857, - "blocked_fraction": 0.0, - "cagr_pct": -51.0, - "calmar": -0.72, - "capacity_opportunities": 290, - "end_date": "2021-12-31", - "ev_net_r": -0.297547001612561, - "ev_without_best": { - "1": -0.3712333707405168, - "10": -0.5785068094402752, - "5": -0.474740900830959 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 163, - "time": 29, - "trailing_stop": 85 - }, - "gain_to_pain": -0.6048884409361435, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.7, - "measurement_start_equity": 7859.33, - "measurement_start_positions": 19, - "opened_positions": 290, - "peak_positions": 21, - "profit_factor": 0.6382099910143204, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2020-08-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9980, - "sortino": -0.9067662819870203, - "start_date": "2021-01-04", - "total_return_pct": -50.5, - "trades": 290, - "transaction_cost": 542.7594882237009, - "turnover_multiple": 34.5296283667756, - "underwater_pct": 93.2806324110672, - "win_rate": 22.4 - }, - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-06|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3411, - "avg_gross_exposure_pct": 99.6589, - "avg_hold_days": 12.5, - "avg_positions": 15.1151, - "blocked_fraction": 0.0, - "cagr_pct": -23.2, - "calmar": -0.36, - "capacity_opportunities": 281, - "end_date": "2021-12-31", - "ev_net_r": -0.22163180063717086, - "ev_without_best": { - "1": -0.29751878474342797, - "10": -0.5164392031664317, - "5": -0.405226277128658 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 150, - "time": 28, - "trailing_stop": 90 - }, - "gain_to_pain": -0.2447404009126601, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 64.5, - "measurement_start_equity": 7881.26, - "measurement_start_positions": 18, - "opened_positions": 281, - "peak_positions": 22, - "profit_factor": 0.7201905862078282, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.14, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9917, - "sortino": 0.22296423142806088, - "start_date": "2021-01-04", - "total_return_pct": -22.9, - "trades": 281, - "transaction_cost": 335.14283074570153, - "turnover_multiple": 42.52401655898949, - "underwater_pct": 92.09486166007905, - "win_rate": 22.1 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-06|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3139, - "avg_gross_exposure_pct": 99.6861, - "avg_hold_days": 12.1, - "avg_positions": 15.0556, - "blocked_fraction": 0.0, - "cagr_pct": -38.6, - "calmar": -0.58, - "capacity_opportunities": 287, - "end_date": "2021-12-31", - "ev_net_r": -0.2746853754215801, - "ev_without_best": { - "1": -0.3490647427355251, - "10": -0.5527294622422764, - "5": -0.45345477200284906 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 158, - "time": 29, - "trailing_stop": 86 - }, - "gain_to_pain": -0.4364410408918553, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 66.6, - "measurement_start_equity": 7966.76, - "measurement_start_positions": 18, - "opened_positions": 287, - "peak_positions": 23, - "profit_factor": 0.6624601695345109, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.09, - "simulation_start_date": "2020-08-10", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9928, - "sortino": -0.14571281257365729, - "start_date": "2021-01-04", - "total_return_pct": -38.2, - "trades": 287, - "transaction_cost": 620.7709129609461, - "turnover_multiple": 38.96006111398775, - "underwater_pct": 93.67588932806325, - "win_rate": 23.3 - }, - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-07|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2975, - "avg_gross_exposure_pct": 99.7025, - "avg_hold_days": 12.1, - "avg_positions": 15.2659, - "blocked_fraction": 0.0, - "cagr_pct": -43.5, - "calmar": -0.64, - "capacity_opportunities": 294, - "end_date": "2021-12-31", - "ev_net_r": -0.3284650021885381, - "ev_without_best": { - "1": -0.40134960543530723, - "10": -0.6012931242252951, - "5": -0.5042607868608812 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 164, - "time": 28, - "trailing_stop": 90 - }, - "gain_to_pain": -0.5296027866449918, - "longest_underwater_sessions": 199, - "max_drawdown_pct": 67.8, - "measurement_start_equity": 8213.54, - "measurement_start_positions": 17, - "opened_positions": 294, - "peak_positions": 23, - "profit_factor": 0.5956859064807823, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.22, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9916, - "sortino": -0.3427976214417272, - "start_date": "2021-01-04", - "total_return_pct": -43.1, - "trades": 294, - "transaction_cost": 302.05851141009276, - "turnover_multiple": 36.775679111575855, - "underwater_pct": 93.2806324110672, - "win_rate": 20.7 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-07|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2474, - "avg_gross_exposure_pct": 99.7526, - "avg_hold_days": 12.5, - "avg_positions": 15.6508, - "blocked_fraction": 0.0, - "cagr_pct": -31.2, - "calmar": -0.48, - "capacity_opportunities": 294, - "end_date": "2021-12-31", - "ev_net_r": -0.2060125929431256, - "ev_without_best": { - "1": -0.2783806006882103, - "10": -0.5304797648029824, - "5": -0.41654200429488974 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 158, - "time": 33, - "trailing_stop": 90 - }, - "gain_to_pain": -0.3719367625171774, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 65.2, - "measurement_start_equity": 8040.62, - "measurement_start_positions": 17, - "opened_positions": 294, - "peak_positions": 23, - "profit_factor": 0.7386717731199525, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.04, - "simulation_start_date": "2020-08-17", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9864, - "sortino": -0.06488904809334253, - "start_date": "2021-01-04", - "total_return_pct": -30.9, - "trades": 294, - "transaction_cost": 621.7208178895046, - "turnover_multiple": 38.66124862818443, - "underwater_pct": 93.67588932806325, - "win_rate": 23.8 - }, - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-08|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2795, - "avg_gross_exposure_pct": 99.7205, - "avg_hold_days": 11.8, - "avg_positions": 14.7063, - "blocked_fraction": 0.0, - "cagr_pct": -47.8, - "calmar": -0.68, - "capacity_opportunities": 291, - "end_date": "2021-12-31", - "ev_net_r": -0.3066680696269718, - "ev_without_best": { - "1": -0.38023148969159865, - "10": -0.579029523872362, - "5": -0.4822644878366234 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 164, - "time": 26, - "trailing_stop": 88 - }, - "gain_to_pain": -0.5835555703106392, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 70.6, - "measurement_start_equity": 9400.79, - "measurement_start_positions": 18, - "opened_positions": 291, - "peak_positions": 21, - "profit_factor": 0.6201593518009341, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.46, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9976, - "sortino": -0.6738360297691932, - "start_date": "2021-01-04", - "total_return_pct": -47.4, - "trades": 291, - "transaction_cost": 339.3780288762116, - "turnover_multiple": 36.101011603940904, - "underwater_pct": 94.46640316205533, - "win_rate": 20.3 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-08|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.294, - "avg_gross_exposure_pct": 99.706, - "avg_hold_days": 12.6, - "avg_positions": 15.7103, - "blocked_fraction": 0.0, - "cagr_pct": -49.2, - "calmar": -0.69, - "capacity_opportunities": 293, - "end_date": "2021-12-31", - "ev_net_r": -0.3214044701456169, - "ev_without_best": { - "1": -0.3944154911953166, - "10": -0.5904886404800476, - "5": -0.4971667917425222 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 161, - "time": 31, - "trailing_stop": 90 - }, - "gain_to_pain": -0.5441443604329534, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 71.0, - "measurement_start_equity": 8905.94, - "measurement_start_positions": 17, - "opened_positions": 293, - "peak_positions": 22, - "profit_factor": 0.6082492208423733, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.62, - "simulation_start_date": "2020-08-24", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9881, - "sortino": -0.9164443329278031, - "start_date": "2021-01-04", - "total_return_pct": -48.8, - "trades": 293, - "transaction_cost": 603.7476422418197, - "turnover_multiple": 33.895784287892106, - "underwater_pct": 93.67588932806325, - "win_rate": 22.2 - }, - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-09|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3119, - "avg_gross_exposure_pct": 99.6881, - "avg_hold_days": 12.2, - "avg_positions": 15.2778, - "blocked_fraction": 0.0, - "cagr_pct": -31.5, - "calmar": -0.51, - "capacity_opportunities": 290, - "end_date": "2021-12-31", - "ev_net_r": -0.18917827804991064, - "ev_without_best": { - "1": -0.26258970374944257, - "10": -0.5124956337916928, - "5": -0.40452335549437934 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 154, - "time": 28, - "trailing_stop": 95 - }, - "gain_to_pain": -0.31826700044489287, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 62.1, - "measurement_start_equity": 9250.74, - "measurement_start_positions": 18, - "opened_positions": 290, - "peak_positions": 22, - "profit_factor": 0.7629497642543331, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.04, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9978, - "sortino": 0.06178302197360445, - "start_date": "2021-01-04", - "total_return_pct": -31.2, - "trades": 290, - "transaction_cost": 385.01918121980054, - "turnover_multiple": 41.620365637754446, - "underwater_pct": 92.88537549407114, - "win_rate": 22.4 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-09|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.369, - "avg_gross_exposure_pct": 99.631, - "avg_hold_days": 12.4, - "avg_positions": 14.7937, - "blocked_fraction": 0.0, - "cagr_pct": -36.1, - "calmar": -0.53, - "capacity_opportunities": 277, - "end_date": "2021-12-31", - "ev_net_r": -0.276694560648774, - "ev_without_best": { - "1": -0.3537761122321634, - "10": -0.5577766806412814, - "5": -0.4620732950680894 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 146, - "time": 30, - "trailing_stop": 87 - }, - "gain_to_pain": -0.3570153051838524, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 67.5, - "measurement_start_equity": 9401.17, - "measurement_start_positions": 16, - "opened_positions": 277, - "peak_positions": 21, - "profit_factor": 0.6573074235812834, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.06, - "simulation_start_date": "2020-08-31", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9978, - "sortino": -0.09571238592112935, - "start_date": "2021-01-04", - "total_return_pct": -35.8, - "trades": 277, - "transaction_cost": 763.4435907212506, - "turnover_multiple": 40.60364777582208, - "underwater_pct": 92.88537549407114, - "win_rate": 22.0 - }, - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-10|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2753, - "avg_gross_exposure_pct": 99.7247, - "avg_hold_days": 12.2, - "avg_positions": 15.3968, - "blocked_fraction": 0.0, - "cagr_pct": -30.4, - "calmar": -0.47, - "capacity_opportunities": 289, - "end_date": "2021-12-31", - "ev_net_r": -0.2338183932312814, - "ev_without_best": { - "1": -0.3076397201144276, - "10": -0.5297647329896076, - "5": -0.42346249290954685 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 157, - "time": 30, - "trailing_stop": 88 - }, - "gain_to_pain": -0.3304744896397842, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 65.2, - "measurement_start_equity": 10531.12, - "measurement_start_positions": 21, - "opened_positions": 289, - "peak_positions": 22, - "profit_factor": 0.7070256881864866, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.01, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9927, - "sortino": 0.01171352710522517, - "start_date": "2021-01-04", - "total_return_pct": -30.1, - "trades": 289, - "transaction_cost": 428.2306381857408, - "turnover_multiple": 40.66335187385015, - "underwater_pct": 92.88537549407114, - "win_rate": 23.5 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-10|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3135, - "avg_gross_exposure_pct": 99.6865, - "avg_hold_days": 12.7, - "avg_positions": 15.3016, - "blocked_fraction": 0.0, - "cagr_pct": -32.4, - "calmar": -0.49, - "capacity_opportunities": 274, - "end_date": "2021-12-31", - "ev_net_r": -0.26857184972587256, - "ev_without_best": { - "1": -0.3464706978067977, - "10": -0.5497569916976999, - "5": -0.45313534697208535 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 142, - "time": 33, - "trailing_stop": 87 - }, - "gain_to_pain": -0.32197096276507403, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 65.6, - "measurement_start_equity": 10421.87, - "measurement_start_positions": 21, - "opened_positions": 274, - "peak_positions": 22, - "profit_factor": 0.6714506147437658, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.06, - "simulation_start_date": "2020-09-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9941, - "sortino": -0.0954678773691261, - "start_date": "2021-01-04", - "total_return_pct": -32.1, - "trades": 274, - "transaction_cost": 820.6983350093898, - "turnover_multiple": 39.37385205387276, - "underwater_pct": 92.88537549407114, - "win_rate": 24.1 - }, - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-11|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3955, - "avg_gross_exposure_pct": 99.6045, - "avg_hold_days": 12.6, - "avg_positions": 15.3532, - "blocked_fraction": 0.0, - "cagr_pct": -17.4, - "calmar": -0.27, - "capacity_opportunities": 282, - "end_date": "2021-12-31", - "ev_net_r": -0.18830949408467776, - "ev_without_best": { - "1": -0.26380783302844824, - "10": -0.48590264341424466, - "5": -0.38633825283407675 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 148, - "time": 30, - "trailing_stop": 91 - }, - "gain_to_pain": -0.016471052631892892, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 63.8, - "measurement_start_equity": 12015.19, - "measurement_start_positions": 19, - "opened_positions": 282, - "peak_positions": 21, - "profit_factor": 0.7459124766676254, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.11, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9888, - "sortino": 0.16059327637796614, - "start_date": "2021-01-04", - "total_return_pct": -17.2, - "trades": 282, - "transaction_cost": 521.5284741771408, - "turnover_multiple": 43.40576172138274, - "underwater_pct": 91.30434782608695, - "win_rate": 24.8 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-11|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2915, - "avg_gross_exposure_pct": 99.7085, - "avg_hold_days": 12.4, - "avg_positions": 15.0992, - "blocked_fraction": 0.0, - "cagr_pct": -37.8, - "calmar": -0.53, - "capacity_opportunities": 282, - "end_date": "2021-12-31", - "ev_net_r": -0.3111021159359478, - "ev_without_best": { - "1": -0.38693455647795005, - "10": -0.6060857229654041, - "5": -0.5108739298227783 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 150, - "time": 29, - "trailing_stop": 89 - }, - "gain_to_pain": -0.3160037943932852, - "longest_underwater_sessions": 221, - "max_drawdown_pct": 70.7, - "measurement_start_equity": 11908.77, - "measurement_start_positions": 19, - "opened_positions": 282, - "peak_positions": 21, - "profit_factor": 0.605138604834697, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.23, - "simulation_start_date": "2020-09-14", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9931, - "sortino": -0.3439963306853566, - "start_date": "2021-01-04", - "total_return_pct": -37.4, - "trades": 282, - "transaction_cost": 949.449472212146, - "turnover_multiple": 39.86345660434058, - "underwater_pct": 91.699604743083, - "win_rate": 22.3 - }, - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-12|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3466, - "avg_gross_exposure_pct": 99.6534, - "avg_hold_days": 12.3, - "avg_positions": 15.3413, - "blocked_fraction": 0.0, - "cagr_pct": -30.0, - "calmar": -0.47, - "capacity_opportunities": 288, - "end_date": "2021-12-31", - "ev_net_r": -0.22921121140449388, - "ev_without_best": { - "1": -0.3032737025561291, - "10": -0.5325756415144447, - "5": -0.43352998371531765 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 151, - "time": 31, - "trailing_stop": 93 - }, - "gain_to_pain": -0.32139395605892984, - "longest_underwater_sessions": 221, - "max_drawdown_pct": 63.4, - "measurement_start_equity": 9085.23, - "measurement_start_positions": 19, - "opened_positions": 288, - "peak_positions": 22, - "profit_factor": 0.6991647890615436, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.09, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9936, - "sortino": -0.1376936218752232, - "start_date": "2021-01-04", - "total_return_pct": -29.7, - "trades": 288, - "transaction_cost": 359.9050243099233, - "turnover_multiple": 39.614299727131105, - "underwater_pct": 92.4901185770751, - "win_rate": 23.3 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-12|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.342, - "avg_gross_exposure_pct": 99.658, - "avg_hold_days": 12.5, - "avg_positions": 15.1111, - "blocked_fraction": 0.0, - "cagr_pct": -27.6, - "calmar": -0.43, - "capacity_opportunities": 279, - "end_date": "2021-12-31", - "ev_net_r": -0.20486804865325092, - "ev_without_best": { - "1": -0.2811366879518838, - "10": -0.5254271817612608, - "5": -0.41500072998621845 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 144, - "time": 27, - "trailing_stop": 96 - }, - "gain_to_pain": -0.2649502897057743, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 64.4, - "measurement_start_equity": 9003.74, - "measurement_start_positions": 19, - "opened_positions": 279, - "peak_positions": 22, - "profit_factor": 0.7377832660782746, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.08, - "simulation_start_date": "2020-09-21", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9939, - "sortino": -0.12005119957234874, - "start_date": "2021-01-04", - "total_return_pct": -27.3, - "trades": 279, - "transaction_cost": 713.9548849273369, - "turnover_multiple": 39.64768445819942, - "underwater_pct": 92.4901185770751, - "win_rate": 22.9 - }, - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-13|cost=0.1", - "cluster": 2021, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.3429, - "avg_gross_exposure_pct": 99.6571, - "avg_hold_days": 12.4, - "avg_positions": 15.996, - "blocked_fraction": 0.0, - "cagr_pct": -40.1, - "calmar": -0.61, - "capacity_opportunities": 301, - "end_date": "2021-12-31", - "ev_net_r": -0.29187874782372425, - "ev_without_best": { - "1": -0.36294075614685267, - "10": -0.5629217199569053, - "5": -0.462899188696978 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 167, - "time": 31, - "trailing_stop": 90 - }, - "gain_to_pain": -0.4555324419927933, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 66.2, - "measurement_start_equity": 9973.54, - "measurement_start_positions": 19, - "opened_positions": 301, - "peak_positions": 23, - "profit_factor": 0.6382005889266672, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.17, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9831, - "sortino": -0.270403457391997, - "start_date": "2021-01-04", - "total_return_pct": -39.7, - "trades": 301, - "transaction_cost": 369.108816157428, - "turnover_multiple": 37.00880691885008, - "underwater_pct": 92.09486166007905, - "win_rate": 21.9 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2021-seed-13|cost=0.2", - "cluster": 2021, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "metrics": { - "avg_cash_pct": 0.2906, - "avg_gross_exposure_pct": 99.7094, - "avg_hold_days": 12.7, - "avg_positions": 15.0476, - "blocked_fraction": 0.0, - "cagr_pct": -43.9, - "calmar": -0.65, - "capacity_opportunities": 276, - "end_date": "2021-12-31", - "ev_net_r": -0.30672450416759456, - "ev_without_best": { - "1": -0.38419555209681017, - "10": -0.5868956074630525, - "5": -0.48928073270884065 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 145, - "time": 31, - "trailing_stop": 88 - }, - "gain_to_pain": -0.5452328292384965, - "longest_underwater_sessions": 140, - "max_drawdown_pct": 67.8, - "measurement_start_equity": 9831.44, - "measurement_start_positions": 18, - "opened_positions": 276, - "peak_positions": 22, - "profit_factor": 0.6222121269834507, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -0.24, - "simulation_start_date": "2020-09-28", - "skipped_book_full": 0, - "skipped_min_initial_risk": 9969, - "sortino": -0.38930081764202606, - "start_date": "2021-01-04", - "total_return_pct": -43.5, - "trades": 276, - "transaction_cost": 691.1859195762119, - "turnover_multiple": 35.151814971978254, - "underwater_pct": 92.09486166007905, - "win_rate": 22.8 - }, - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-01|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3212, - "avg_gross_exposure_pct": 99.6788, - "avg_hold_days": 10.1, - "avg_positions": 14.1706, - "blocked_fraction": 0.0, - "cagr_pct": -91.1, - "calmar": -1.0, - "capacity_opportunities": 342, - "end_date": "2023-01-03", - "ev_net_r": -0.6864924819641735, - "ev_without_best": { - "1": -0.7104285485232744, - "10": -0.8381452238832354, - "5": -0.7762024939124006 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 202, - "time": 23, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9657457435878599, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.4, - "measurement_start_equity": 5807.14, - "measurement_start_positions": 13, - "opened_positions": 342, - "peak_positions": 23, - "profit_factor": 0.3055541465920882, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.56, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11850, - "sortino": -4.961703069490881, - "start_date": "2022-01-03", - "total_return_pct": -91.1, - "trades": 342, - "transaction_cost": 97.13993930094519, - "turnover_multiple": 16.72767305436845, - "underwater_pct": 99.2094861660079, - "win_rate": 20.2 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-01|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3492, - "avg_gross_exposure_pct": 99.6508, - "avg_hold_days": 10.3, - "avg_positions": 13.9563, - "blocked_fraction": 0.0, - "cagr_pct": -90.7, - "calmar": -1.0, - "capacity_opportunities": 331, - "end_date": "2023-01-03", - "ev_net_r": -0.7258492200523617, - "ev_without_best": { - "1": -0.7620890170945305, - "10": -0.9187012241675208, - "5": -0.8446710850769161 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 193, - "time": 29, - "trailing_stop": 89 - }, - "gain_to_pain": -0.8932377845289327, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 5798.28, - "measurement_start_positions": 12, - "opened_positions": 331, - "peak_positions": 20, - "profit_factor": 0.32020942645941614, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.12, - "simulation_start_date": "2021-07-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11894, - "sortino": -4.629062907687706, - "start_date": "2022-01-03", - "total_return_pct": -90.7, - "trades": 331, - "transaction_cost": 196.6348089422172, - "turnover_multiple": 16.956305054448663, - "underwater_pct": 98.81422924901186, - "win_rate": 18.7 - }, - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-02|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3266, - "avg_gross_exposure_pct": 99.6734, - "avg_hold_days": 10.1, - "avg_positions": 14.1587, - "blocked_fraction": 0.0, - "cagr_pct": -91.5, - "calmar": -1.0, - "capacity_opportunities": 341, - "end_date": "2023-01-03", - "ev_net_r": -0.6613495014031091, - "ev_without_best": { - "1": -0.6964211219539539, - "10": -0.8431474286129913, - "5": -0.7736513845732451 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 197, - "time": 23, - "trailing_stop": 100 - }, - "gain_to_pain": -0.9000555956752407, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.6, - "measurement_start_equity": 5400.48, - "measurement_start_positions": 14, - "opened_positions": 341, - "peak_positions": 21, - "profit_factor": 0.3307063591283188, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.58, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11844, - "sortino": -5.011247754803328, - "start_date": "2022-01-03", - "total_return_pct": -91.5, - "trades": 341, - "transaction_cost": 91.41634366516543, - "turnover_multiple": 16.927447868553433, - "underwater_pct": 99.2094861660079, - "win_rate": 19.4 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-02|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4355, - "avg_gross_exposure_pct": 99.5645, - "avg_hold_days": 10.2, - "avg_positions": 14.6746, - "blocked_fraction": 0.0, - "cagr_pct": -93.1, - "calmar": -1.0, - "capacity_opportunities": 342, - "end_date": "2023-01-03", - "ev_net_r": -0.7442930564877864, - "ev_without_best": { - "1": -0.7794179153157955, - "10": -0.9457558190804046, - "5": -0.8752393725550698 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 204, - "time": 28, - "trailing_stop": 91 - }, - "gain_to_pain": -0.9189421840238393, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 5129.3, - "measurement_start_positions": 13, - "opened_positions": 342, - "peak_positions": 20, - "profit_factor": 0.3057959330560354, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.55, - "simulation_start_date": "2021-07-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11875, - "sortino": -5.0012322075559, - "start_date": "2022-01-03", - "total_return_pct": -93.1, - "trades": 342, - "transaction_cost": 161.00649786625627, - "turnover_multiple": 15.694782705852287, - "underwater_pct": 99.2094861660079, - "win_rate": 17.5 - }, - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-03|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.328, - "avg_gross_exposure_pct": 99.672, - "avg_hold_days": 10.0, - "avg_positions": 14.0635, - "blocked_fraction": 0.0, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 344, - "end_date": "2023-01-03", - "ev_net_r": -0.7048082859901434, - "ev_without_best": { - "1": -0.7286581824935819, - "10": -0.8676787995688875, - "5": -0.7995309398200149 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 206, - "time": 24, - "trailing_stop": 95 - }, - "gain_to_pain": -0.9507443231980615, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.1, - "measurement_start_equity": 5835.31, - "measurement_start_positions": 13, - "opened_positions": 344, - "peak_positions": 19, - "profit_factor": 0.3053869801048066, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.49, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11874, - "sortino": -4.861740793626232, - "start_date": "2022-01-03", - "total_return_pct": -91.8, - "trades": 344, - "transaction_cost": 98.74587988209578, - "turnover_multiple": 16.922130937704384, - "underwater_pct": 99.2094861660079, - "win_rate": 19.2 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-03|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4118, - "avg_gross_exposure_pct": 99.5882, - "avg_hold_days": 10.2, - "avg_positions": 14.2262, - "blocked_fraction": 0.0, - "cagr_pct": -92.4, - "calmar": -1.0, - "capacity_opportunities": 342, - "end_date": "2023-01-03", - "ev_net_r": -0.759135098710432, - "ev_without_best": { - "1": -0.7943034825889475, - "10": -0.9198304209196503, - "5": -0.8571949908586773 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 204, - "time": 23, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9355784250403357, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 5915.77, - "measurement_start_positions": 11, - "opened_positions": 342, - "peak_positions": 22, - "profit_factor": 0.2704924515127266, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.63, - "simulation_start_date": "2021-07-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11815, - "sortino": -4.96015694828453, - "start_date": "2022-01-03", - "total_return_pct": -92.3, - "trades": 342, - "transaction_cost": 197.88285707582463, - "turnover_multiple": 16.725029630616522, - "underwater_pct": 98.81422924901186, - "win_rate": 18.1 - }, - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-04|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.2903, - "avg_gross_exposure_pct": 99.7097, - "avg_hold_days": 9.9, - "avg_positions": 13.9524, - "blocked_fraction": 0.0, - "cagr_pct": -92.0, - "calmar": -1.0, - "capacity_opportunities": 343, - "end_date": "2023-01-03", - "ev_net_r": -0.7314859251175198, - "ev_without_best": { - "1": -0.7665575257344837, - "10": -0.9143293904387472, - "5": -0.846690735218773 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 212, - "time": 23, - "trailing_stop": 89 - }, - "gain_to_pain": -0.918126144475354, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.4, - "measurement_start_equity": 5001.97, - "measurement_start_positions": 12, - "opened_positions": 343, - "peak_positions": 19, - "profit_factor": 0.3147491876922345, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.49, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11898, - "sortino": -4.866466819719036, - "start_date": "2022-01-03", - "total_return_pct": -92.0, - "trades": 343, - "transaction_cost": 82.88779552370583, - "turnover_multiple": 16.57103011887433, - "underwater_pct": 99.2094861660079, - "win_rate": 18.7 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-04|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.284, - "avg_gross_exposure_pct": 99.716, - "avg_hold_days": 10.1, - "avg_positions": 14.0556, - "blocked_fraction": 0.0, - "cagr_pct": -90.6, - "calmar": -1.0, - "capacity_opportunities": 328, - "end_date": "2023-01-03", - "ev_net_r": -0.700634808061736, - "ev_without_best": { - "1": -0.7371299720125771, - "10": -0.8671609205485541, - "5": -0.8033972154353639 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 195, - "time": 20, - "trailing_stop": 92 - }, - "gain_to_pain": -0.9112091464094486, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.0, - "measurement_start_equity": 4700.94, - "measurement_start_positions": 14, - "opened_positions": 328, - "peak_positions": 21, - "profit_factor": 0.3102799757983612, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.48, - "simulation_start_date": "2021-07-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11903, - "sortino": -4.882852104213957, - "start_date": "2022-01-03", - "total_return_pct": -90.6, - "trades": 328, - "transaction_cost": 161.54624240152197, - "turnover_multiple": 17.18233400144673, - "underwater_pct": 99.2094861660079, - "win_rate": 19.8 - }, - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-05|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4755, - "avg_gross_exposure_pct": 99.5245, - "avg_hold_days": 10.1, - "avg_positions": 14.504, - "blocked_fraction": 0.0, - "cagr_pct": -93.0, - "calmar": -1.0, - "capacity_opportunities": 340, - "end_date": "2023-01-03", - "ev_net_r": -0.7374102290038665, - "ev_without_best": { - "1": -0.7728096735905566, - "10": -0.9224561044748889, - "5": -0.8552608078862924 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 208, - "time": 26, - "trailing_stop": 86 - }, - "gain_to_pain": -0.8928216603712624, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 4420.81, - "measurement_start_positions": 12, - "opened_positions": 340, - "peak_positions": 21, - "profit_factor": 0.29281651791000374, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.81, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11924, - "sortino": -5.2537912346316595, - "start_date": "2022-01-03", - "total_return_pct": -93.0, - "trades": 340, - "transaction_cost": 68.65832758791504, - "turnover_multiple": 15.530712151826254, - "underwater_pct": 99.2094861660079, - "win_rate": 17.9 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-05|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4416, - "avg_gross_exposure_pct": 99.5584, - "avg_hold_days": 10.4, - "avg_positions": 14.4008, - "blocked_fraction": 0.0, - "cagr_pct": -92.7, - "calmar": -1.0, - "capacity_opportunities": 338, - "end_date": "2023-01-03", - "ev_net_r": -0.7417035859667395, - "ev_without_best": { - "1": -0.7772376731769177, - "10": -0.9151663383598068, - "5": -0.8514981827065633 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 200, - "time": 24, - "trailing_stop": 92 - }, - "gain_to_pain": -0.9013854164579265, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 4341.05, - "measurement_start_positions": 12, - "opened_positions": 338, - "peak_positions": 22, - "profit_factor": 0.3011351333527906, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.76, - "simulation_start_date": "2021-08-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11856, - "sortino": -5.150851125639704, - "start_date": "2022-01-03", - "total_return_pct": -92.7, - "trades": 338, - "transaction_cost": 134.83745628694882, - "turnover_multiple": 15.530511775601388, - "underwater_pct": 99.2094861660079, - "win_rate": 18.6 - }, - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-06|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4125, - "avg_gross_exposure_pct": 99.5875, - "avg_hold_days": 10.4, - "avg_positions": 14.4405, - "blocked_fraction": 0.0, - "cagr_pct": -90.6, - "calmar": -1.0, - "capacity_opportunities": 339, - "end_date": "2023-01-03", - "ev_net_r": -0.657655085664939, - "ev_without_best": { - "1": -0.692923300373664, - "10": -0.8368942412563399, - "5": -0.7670756638294793 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 194, - "time": 25, - "trailing_stop": 98 - }, - "gain_to_pain": -0.9178485766382969, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 90.7, - "measurement_start_equity": 5199.52, - "measurement_start_positions": 14, - "opened_positions": 339, - "peak_positions": 22, - "profit_factor": 0.33498170752790196, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.84, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11809, - "sortino": -4.426563472750576, - "start_date": "2022-01-03", - "total_return_pct": -90.6, - "trades": 339, - "transaction_cost": 85.33109622972297, - "turnover_multiple": 16.411341091047436, - "underwater_pct": 99.2094861660079, - "win_rate": 18.9 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-06|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4097, - "avg_gross_exposure_pct": 99.5903, - "avg_hold_days": 10.6, - "avg_positions": 14.8532, - "blocked_fraction": 0.0, - "cagr_pct": -90.9, - "calmar": -1.0, - "capacity_opportunities": 331, - "end_date": "2023-01-03", - "ev_net_r": -0.7127771299279461, - "ev_without_best": { - "1": -0.7489773145757984, - "10": -0.9248380890517168, - "5": -0.8476585068662139 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 190, - "time": 29, - "trailing_stop": 90 - }, - "gain_to_pain": -0.9067962068109154, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.2, - "measurement_start_equity": 4650.68, - "measurement_start_positions": 14, - "opened_positions": 331, - "peak_positions": 22, - "profit_factor": 0.3344341831573139, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.21, - "simulation_start_date": "2021-08-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11900, - "sortino": -4.598287874050208, - "start_date": "2022-01-03", - "total_return_pct": -90.9, - "trades": 331, - "transaction_cost": 149.7516575638141, - "turnover_multiple": 16.099974365449146, - "underwater_pct": 99.2094861660079, - "win_rate": 18.7 - }, - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-07|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3541, - "avg_gross_exposure_pct": 99.6459, - "avg_hold_days": 10.1, - "avg_positions": 13.9286, - "blocked_fraction": 0.0, - "cagr_pct": -92.9, - "calmar": -1.0, - "capacity_opportunities": 337, - "end_date": "2023-01-03", - "ev_net_r": -0.7610430733942206, - "ev_without_best": { - "1": -0.7822691723583879, - "10": -0.9106841770079999, - "5": -0.8459364434069745 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 197, - "time": 21, - "trailing_stop": 99 - }, - "gain_to_pain": -0.9625060261029857, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 5846.93, - "measurement_start_positions": 12, - "opened_positions": 337, - "peak_positions": 20, - "profit_factor": 0.27168812359063665, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.12, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11846, - "sortino": -4.678752410516061, - "start_date": "2022-01-03", - "total_return_pct": -92.9, - "trades": 337, - "transaction_cost": 95.40210811011951, - "turnover_multiple": 16.316615405027854, - "underwater_pct": 99.2094861660079, - "win_rate": 19.0 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-07|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.2963, - "avg_gross_exposure_pct": 99.7037, - "avg_hold_days": 10.2, - "avg_positions": 14.2381, - "blocked_fraction": 0.0, - "cagr_pct": -91.1, - "calmar": -1.0, - "capacity_opportunities": 332, - "end_date": "2023-01-03", - "ev_net_r": -0.7341728085641426, - "ev_without_best": { - "1": -0.77032826660773, - "10": -0.9292594582494991, - "5": -0.8511460794923471 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 204, - "time": 25, - "trailing_stop": 86 - }, - "gain_to_pain": -0.9193833358663019, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 91.5, - "measurement_start_equity": 5770.56, - "measurement_start_positions": 12, - "opened_positions": 332, - "peak_positions": 20, - "profit_factor": 0.3167962600922748, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.79, - "simulation_start_date": "2021-08-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11865, - "sortino": -4.310312669464546, - "start_date": "2022-01-03", - "total_return_pct": -91.1, - "trades": 332, - "transaction_cost": 192.13633990499548, - "turnover_multiple": 16.64798043040844, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-08|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3983, - "avg_gross_exposure_pct": 99.6017, - "avg_hold_days": 9.9, - "avg_positions": 13.9405, - "blocked_fraction": 0.0, - "cagr_pct": -92.2, - "calmar": -1.0, - "capacity_opportunities": 342, - "end_date": "2023-01-03", - "ev_net_r": -0.7351771717697867, - "ev_without_best": { - "1": -0.7703624464256631, - "10": -0.9011714918461482, - "5": -0.8375255448736522 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 204, - "time": 22, - "trailing_stop": 95 - }, - "gain_to_pain": -0.9337623302173365, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.4, - "measurement_start_equity": 5997.5, - "measurement_start_positions": 13, - "opened_positions": 342, - "peak_positions": 22, - "profit_factor": 0.27371529023455315, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.66, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11851, - "sortino": -5.016685818802495, - "start_date": "2022-01-03", - "total_return_pct": -92.2, - "trades": 342, - "transaction_cost": 102.17035350928555, - "turnover_multiple": 17.03549037253615, - "underwater_pct": 99.2094861660079, - "win_rate": 17.0 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-08|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4182, - "avg_gross_exposure_pct": 99.5818, - "avg_hold_days": 10.5, - "avg_positions": 14.3968, - "blocked_fraction": 0.0, - "cagr_pct": -90.9, - "calmar": -1.0, - "capacity_opportunities": 326, - "end_date": "2023-01-03", - "ev_net_r": -0.7330005422961424, - "ev_without_best": { - "1": -0.7698198787458638, - "10": -0.9443065930519423, - "5": -0.8702978816846667 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 192, - "time": 24, - "trailing_stop": 92 - }, - "gain_to_pain": -0.9123030509594349, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.1, - "measurement_start_equity": 5823.52, - "measurement_start_positions": 14, - "opened_positions": 326, - "peak_positions": 19, - "profit_factor": 0.31418114277733783, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.1, - "simulation_start_date": "2021-08-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11907, - "sortino": -4.6349138625129545, - "start_date": "2022-01-03", - "total_return_pct": -90.8, - "trades": 326, - "transaction_cost": 188.90830482951205, - "turnover_multiple": 16.219426122818504, - "underwater_pct": 99.2094861660079, - "win_rate": 17.8 - }, - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-09|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.2808, - "avg_gross_exposure_pct": 99.7192, - "avg_hold_days": 10.4, - "avg_positions": 14.127, - "blocked_fraction": 0.0, - "cagr_pct": -89.7, - "calmar": -1.0, - "capacity_opportunities": 332, - "end_date": "2023-01-03", - "ev_net_r": -0.6893196388994771, - "ev_without_best": { - "1": -0.7254293703942916, - "10": -0.880064071768681, - "5": -0.8016280519372937 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 195, - "time": 23, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9241254288879029, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 90.1, - "measurement_start_equity": 6097.88, - "measurement_start_positions": 13, - "opened_positions": 332, - "peak_positions": 21, - "profit_factor": 0.3361794348866513, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.97, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11866, - "sortino": -4.41938551387472, - "start_date": "2022-01-03", - "total_return_pct": -89.7, - "trades": 332, - "transaction_cost": 102.76900989768083, - "turnover_multiple": 16.853235861919362, - "underwater_pct": 99.2094861660079, - "win_rate": 19.3 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-09|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3729, - "avg_gross_exposure_pct": 99.6271, - "avg_hold_days": 10.1, - "avg_positions": 14.3333, - "blocked_fraction": 0.0, - "cagr_pct": -92.6, - "calmar": -1.0, - "capacity_opportunities": 347, - "end_date": "2023-01-03", - "ev_net_r": -0.7426819203365581, - "ev_without_best": { - "1": -0.7772945380365577, - "10": -0.9160306995155595, - "5": -0.8498555963966791 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 206, - "time": 22, - "trailing_stop": 97 - }, - "gain_to_pain": -0.9373735795478205, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.8, - "measurement_start_equity": 6004.74, - "measurement_start_positions": 13, - "opened_positions": 347, - "peak_positions": 22, - "profit_factor": 0.29257167992532335, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.5, - "simulation_start_date": "2021-08-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11813, - "sortino": -4.985049485786665, - "start_date": "2022-01-03", - "total_return_pct": -92.6, - "trades": 347, - "transaction_cost": 197.4431278056638, - "turnover_multiple": 16.440605905140256, - "underwater_pct": 99.2094861660079, - "win_rate": 18.7 - }, - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-10|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3872, - "avg_gross_exposure_pct": 99.6128, - "avg_hold_days": 9.9, - "avg_positions": 13.9325, - "blocked_fraction": 0.0, - "cagr_pct": -91.0, - "calmar": -1.0, - "capacity_opportunities": 331, - "end_date": "2023-01-03", - "ev_net_r": -0.7019854419851107, - "ev_without_best": { - "1": -0.7382429781301689, - "10": -0.8904236890455585, - "5": -0.8225462395020398 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 200, - "time": 21, - "trailing_stop": 88 - }, - "gain_to_pain": -0.9023653552014339, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 91.3, - "measurement_start_equity": 5843.28, - "measurement_start_positions": 13, - "opened_positions": 331, - "peak_positions": 22, - "profit_factor": 0.3155243940369397, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.41, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11887, - "sortino": -4.743249539683205, - "start_date": "2022-01-03", - "total_return_pct": -90.9, - "trades": 331, - "transaction_cost": 101.94812162786275, - "turnover_multiple": 17.447071101823422, - "underwater_pct": 98.81422924901186, - "win_rate": 18.7 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-10|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4016, - "avg_gross_exposure_pct": 99.5984, - "avg_hold_days": 10.4, - "avg_positions": 14.1984, - "blocked_fraction": 0.0, - "cagr_pct": -92.2, - "calmar": -1.0, - "capacity_opportunities": 322, - "end_date": "2023-01-03", - "ev_net_r": -0.7507272294566631, - "ev_without_best": { - "1": -0.7880605971617097, - "10": -0.9487321128469733, - "5": -0.8764255582096183 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 194, - "time": 23, - "trailing_stop": 87 - }, - "gain_to_pain": -0.9169618804439895, - "longest_underwater_sessions": 250, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 5920.02, - "measurement_start_positions": 13, - "opened_positions": 322, - "peak_positions": 19, - "profit_factor": 0.30762622173389464, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.48, - "simulation_start_date": "2021-09-07", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11915, - "sortino": -4.8448331331014, - "start_date": "2022-01-03", - "total_return_pct": -92.2, - "trades": 322, - "transaction_cost": 186.78595825389237, - "turnover_multiple": 15.775787772160598, - "underwater_pct": 98.81422924901186, - "win_rate": 19.3 - }, - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-11|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4174, - "avg_gross_exposure_pct": 99.5826, - "avg_hold_days": 10.2, - "avg_positions": 14.2183, - "blocked_fraction": 0.0, - "cagr_pct": -91.8, - "calmar": -1.0, - "capacity_opportunities": 340, - "end_date": "2023-01-03", - "ev_net_r": -0.6906340971756447, - "ev_without_best": { - "1": -0.7258955590725761, - "10": -0.8780968308386732, - "5": -0.8027040906633539 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 203, - "time": 24, - "trailing_stop": 94 - }, - "gain_to_pain": -0.9194606702804895, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 92.0, - "measurement_start_equity": 6328.79, - "measurement_start_positions": 13, - "opened_positions": 340, - "peak_positions": 20, - "profit_factor": 0.3202738436046077, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.29, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11831, - "sortino": -4.814565543759799, - "start_date": "2022-01-03", - "total_return_pct": -91.8, - "trades": 340, - "transaction_cost": 106.76662388284937, - "turnover_multiple": 16.869989979577355, - "underwater_pct": 99.2094861660079, - "win_rate": 18.8 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-11|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3235, - "avg_gross_exposure_pct": 99.6765, - "avg_hold_days": 10.1, - "avg_positions": 14.0437, - "blocked_fraction": 0.0, - "cagr_pct": -91.5, - "calmar": -1.0, - "capacity_opportunities": 338, - "end_date": "2023-01-03", - "ev_net_r": -0.6841144959215405, - "ev_without_best": { - "1": -0.7194776956241661, - "10": -0.8729855627054831, - "5": -0.7976342040053178 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 206, - "time": 23, - "trailing_stop": 88 - }, - "gain_to_pain": -0.9327260150480189, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.7, - "measurement_start_equity": 6055.84, - "measurement_start_positions": 13, - "opened_positions": 338, - "peak_positions": 21, - "profit_factor": 0.3390593132058919, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.71, - "simulation_start_date": "2021-09-13", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11865, - "sortino": -5.057636393116531, - "start_date": "2022-01-03", - "total_return_pct": -91.5, - "trades": 338, - "transaction_cost": 197.93142716113812, - "turnover_multiple": 16.342194242346075, - "underwater_pct": 99.2094861660079, - "win_rate": 18.0 - }, - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-12|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3605, - "avg_gross_exposure_pct": 99.6395, - "avg_hold_days": 10.2, - "avg_positions": 13.8214, - "blocked_fraction": 0.0, - "cagr_pct": -90.0, - "calmar": -1.0, - "capacity_opportunities": 330, - "end_date": "2023-01-03", - "ev_net_r": -0.6781608114859472, - "ev_without_best": { - "1": -0.714456137617771, - "10": -0.8562350524445504, - "5": -0.7841359552222674 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 190, - "time": 23, - "trailing_stop": 95 - }, - "gain_to_pain": -0.9043262013134435, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 90.5, - "measurement_start_equity": 6512.14, - "measurement_start_positions": 13, - "opened_positions": 330, - "peak_positions": 22, - "profit_factor": 0.3366596882997675, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.77, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11870, - "sortino": -4.323827665966428, - "start_date": "2022-01-03", - "total_return_pct": -90.0, - "trades": 330, - "transaction_cost": 112.30172362975762, - "turnover_multiple": 17.244979934362224, - "underwater_pct": 99.2094861660079, - "win_rate": 20.9 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-12|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3894, - "avg_gross_exposure_pct": 99.6106, - "avg_hold_days": 10.6, - "avg_positions": 13.8849, - "blocked_fraction": 0.0, - "cagr_pct": -89.4, - "calmar": -1.0, - "capacity_opportunities": 321, - "end_date": "2023-01-03", - "ev_net_r": -0.6913117655418844, - "ev_without_best": { - "1": -0.7285761266962757, - "10": -0.8632768389424289, - "5": -0.7963362811864629 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 180, - "time": 22, - "trailing_stop": 96 - }, - "gain_to_pain": -0.9114152448678504, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 89.8, - "measurement_start_equity": 6433.72, - "measurement_start_positions": 13, - "opened_positions": 321, - "peak_positions": 23, - "profit_factor": 0.32385110051370897, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.15, - "simulation_start_date": "2021-09-20", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11880, - "sortino": -4.543998847741183, - "start_date": "2022-01-03", - "total_return_pct": -89.4, - "trades": 321, - "transaction_cost": 217.45332862881918, - "turnover_multiple": 16.899502047712613, - "underwater_pct": 99.2094861660079, - "win_rate": 20.6 - }, - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-13|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.278, - "avg_gross_exposure_pct": 99.722, - "avg_hold_days": 10.1, - "avg_positions": 14.2024, - "blocked_fraction": 0.0, - "cagr_pct": -91.0, - "calmar": -1.0, - "capacity_opportunities": 333, - "end_date": "2023-01-03", - "ev_net_r": -0.6783581633947522, - "ev_without_best": { - "1": -0.7143261141455921, - "10": -0.8703170701815983, - "5": -0.799130085585929 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 200, - "time": 22, - "trailing_stop": 89 - }, - "gain_to_pain": -0.9273184721003936, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.4, - "measurement_start_equity": 5951.51, - "measurement_start_positions": 13, - "opened_positions": 333, - "peak_positions": 22, - "profit_factor": 0.32964605933761454, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.37, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11883, - "sortino": -4.760921261991921, - "start_date": "2022-01-03", - "total_return_pct": -90.9, - "trades": 333, - "transaction_cost": 101.61926312822351, - "turnover_multiple": 17.07453455143711, - "underwater_pct": 99.2094861660079, - "win_rate": 19.5 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-13|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.3088, - "avg_gross_exposure_pct": 99.6912, - "avg_hold_days": 10.3, - "avg_positions": 14.2619, - "blocked_fraction": 0.0, - "cagr_pct": -90.3, - "calmar": -1.0, - "capacity_opportunities": 329, - "end_date": "2023-01-03", - "ev_net_r": -0.6995733620438757, - "ev_without_best": { - "1": -0.7359540241350561, - "10": -0.8866232231950145, - "5": -0.8156119537416185 - }, - "exit_reasons": { - "open_at_end": 23, - "stop": 189, - "time": 24, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9281693883978878, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 90.7, - "measurement_start_equity": 5883.07, - "measurement_start_positions": 13, - "opened_positions": 329, - "peak_positions": 23, - "profit_factor": 0.32051821117334245, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.3, - "simulation_start_date": "2021-09-27", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11880, - "sortino": -4.7662052550429115, - "start_date": "2022-01-03", - "total_return_pct": -90.2, - "trades": 329, - "transaction_cost": 198.61642763718024, - "turnover_multiple": 16.880338635880605, - "underwater_pct": 99.2094861660079, - "win_rate": 19.5 - }, - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-14|cost=0.1", - "cluster": 2022, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.5175, - "avg_gross_exposure_pct": 99.4825, - "avg_hold_days": 10.0, - "avg_positions": 14.3016, - "blocked_fraction": 0.0, - "cagr_pct": -91.2, - "calmar": -1.0, - "capacity_opportunities": 339, - "end_date": "2023-01-03", - "ev_net_r": -0.6802183324216134, - "ev_without_best": { - "1": -0.7043482867030065, - "10": -0.8466428164168007, - "5": -0.7769937275812497 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 202, - "time": 24, - "trailing_stop": 92 - }, - "gain_to_pain": -0.933638196522517, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.4, - "measurement_start_equity": 7248.01, - "measurement_start_positions": 13, - "opened_positions": 339, - "peak_positions": 22, - "profit_factor": 0.32852085891477273, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.25, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11853, - "sortino": -4.788495773576845, - "start_date": "2022-01-03", - "total_return_pct": -91.2, - "trades": 339, - "transaction_cost": 119.84520474607416, - "turnover_multiple": 16.534911616578086, - "underwater_pct": 99.2094861660079, - "win_rate": 20.4 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2022-seed-14|cost=0.2", - "cluster": 2022, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "metrics": { - "avg_cash_pct": 0.4776, - "avg_gross_exposure_pct": 99.5224, - "avg_hold_days": 10.0, - "avg_positions": 14.25, - "blocked_fraction": 0.0, - "cagr_pct": -91.1, - "calmar": -1.0, - "capacity_opportunities": 338, - "end_date": "2023-01-03", - "ev_net_r": -0.6975094283356285, - "ev_without_best": { - "1": -0.7216669209998227, - "10": -0.8627648333587765, - "5": -0.7992493492057227 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 202, - "time": 22, - "trailing_stop": 93 - }, - "gain_to_pain": -0.9336375620612354, - "longest_underwater_sessions": 251, - "max_drawdown_pct": 91.3, - "measurement_start_equity": 7169.52, - "measurement_start_positions": 13, - "opened_positions": 338, - "peak_positions": 22, - "profit_factor": 0.29371472128670023, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.66, - "simulation_start_date": "2021-10-04", - "skipped_book_full": 0, - "skipped_min_initial_risk": 11859, - "sortino": -5.0911887773230236, - "start_date": "2022-01-03", - "total_return_pct": -91.1, - "trades": 338, - "transaction_cost": 232.43148195431388, - "turnover_multiple": 16.209696182890475, - "underwater_pct": 99.2094861660079, - "win_rate": 19.5 - }, - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-01|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1657, - "avg_gross_exposure_pct": 99.8343, - "avg_hold_days": 9.7, - "avg_positions": 22.7341, - "blocked_fraction": 0.0, - "cagr_pct": -97.6, - "calmar": -0.99, - "capacity_opportunities": 561, - "end_date": "2024-01-03", - "ev_net_r": -0.6265805271081732, - "ev_without_best": { - "1": -0.6671565887387485, - "10": -0.8178862377715564, - "5": -0.7521202073627797 - }, - "exit_reasons": { - "open_at_end": 22, - "stop": 318, - "time": 41, - "trailing_stop": 180 - }, - "gain_to_pain": -0.8203407904025981, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 98.7, - "measurement_start_equity": 2749.55, - "measurement_start_positions": 21, - "opened_positions": 561, - "peak_positions": 31, - "profit_factor": 0.3759140595226852, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.19, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20783, - "sortino": -5.214182807408759, - "start_date": "2023-01-03", - "total_return_pct": -97.6, - "trades": 561, - "transaction_cost": 55.443696901996056, - "turnover_multiple": 20.164643997016256, - "underwater_pct": 94.0711462450593, - "win_rate": 18.0 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-01|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.2839, - "avg_gross_exposure_pct": 99.7161, - "avg_hold_days": 10.0, - "avg_positions": 22.4365, - "blocked_fraction": 0.0, - "cagr_pct": -98.8, - "calmar": -1.0, - "capacity_opportunities": 544, - "end_date": "2024-01-03", - "ev_net_r": -0.755211951897092, - "ev_without_best": { - "1": -0.7972488355116647, - "10": -0.9139090584909095, - "5": -0.8589122556361154 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 309, - "time": 43, - "trailing_stop": 178 - }, - "gain_to_pain": -0.9036921349792135, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 99.1, - "measurement_start_equity": 2231.29, - "measurement_start_positions": 21, - "opened_positions": 544, - "peak_positions": 31, - "profit_factor": 0.2855523657865421, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -5.69, - "simulation_start_date": "2022-07-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20617, - "sortino": -6.357581706521549, - "start_date": "2023-01-03", - "total_return_pct": -98.8, - "trades": 544, - "transaction_cost": 74.12809476566625, - "turnover_multiple": 16.611039973662376, - "underwater_pct": 96.83794466403161, - "win_rate": 16.0 - }, - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-02|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1186, - "avg_gross_exposure_pct": 99.8814, - "avg_hold_days": 10.4, - "avg_positions": 17.9563, - "blocked_fraction": 0.0, - "cagr_pct": -37.0, - "calmar": -0.42, - "capacity_opportunities": 385, - "end_date": "2024-01-03", - "ev_net_r": 0.977012022677392, - "ev_without_best": { - "1": -0.5499127757489547, - "10": -0.7576492479676676, - "5": -0.680749726015535 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 198, - "time": 38, - "trailing_stop": 130 - }, - "gain_to_pain": 0.723658035608403, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 87.7, - "measurement_start_equity": 2612.43, - "measurement_start_positions": 21, - "opened_positions": 385, - "peak_positions": 29, - "profit_factor": 2.0336009087555675, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.59, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21515, - "sortino": 5.94949609781606, - "start_date": "2023-01-03", - "total_return_pct": -36.9, - "trades": 385, - "transaction_cost": 54.97413110277039, - "turnover_multiple": 21.043293448157613, - "underwater_pct": 95.65217391304348, - "win_rate": 21.0 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-02|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1119, - "avg_gross_exposure_pct": 99.8881, - "avg_hold_days": 11.5, - "avg_positions": 16.3452, - "blocked_fraction": 0.0, - "cagr_pct": -81.6, - "calmar": -0.92, - "capacity_opportunities": 316, - "end_date": "2024-01-03", - "ev_net_r": -0.5281868658547082, - "ev_without_best": { - "1": -0.5999297316219163, - "10": -0.7864500777388362, - "5": -0.6983333909489441 - }, - "exit_reasons": { - "open_at_end": 5, - "stop": 162, - "time": 40, - "trailing_stop": 109 - }, - "gain_to_pain": -0.7109967029844086, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 88.3, - "measurement_start_equity": 2542.27, - "measurement_start_positions": 20, - "opened_positions": 316, - "peak_positions": 28, - "profit_factor": 0.43631807378593657, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.61, - "simulation_start_date": "2022-07-11", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21765, - "sortino": -3.3369132474659726, - "start_date": "2023-01-03", - "total_return_pct": -81.6, - "trades": 316, - "transaction_cost": 79.54809020039276, - "turnover_multiple": 15.645090844086734, - "underwater_pct": 95.25691699604744, - "win_rate": 21.5 - }, - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-03|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.0698, - "avg_gross_exposure_pct": 99.9302, - "avg_hold_days": 11.7, - "avg_positions": 15.4563, - "blocked_fraction": 0.0, - "cagr_pct": -80.2, - "calmar": -0.93, - "capacity_opportunities": 295, - "end_date": "2024-01-03", - "ev_net_r": -0.5838386719854637, - "ev_without_best": { - "1": -0.6609810279650536, - "10": -0.8389900746115815, - "5": -0.7611669375057097 - }, - "exit_reasons": { - "open_at_end": 4, - "stop": 152, - "time": 33, - "trailing_stop": 106 - }, - "gain_to_pain": -0.7886584104189844, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 86.5, - "measurement_start_equity": 3101.01, - "measurement_start_positions": 18, - "opened_positions": 295, - "peak_positions": 28, - "profit_factor": 0.39750351168016046, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.48, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21879, - "sortino": -3.371279474191792, - "start_date": "2023-01-03", - "total_return_pct": -80.2, - "trades": 295, - "transaction_cost": 42.84428264478785, - "turnover_multiple": 13.816234918554875, - "underwater_pct": 95.65217391304348, - "win_rate": 22.0 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-03|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.0898, - "avg_gross_exposure_pct": 99.9102, - "avg_hold_days": 11.5, - "avg_positions": 15.1667, - "blocked_fraction": 0.0, - "cagr_pct": -80.5, - "calmar": -0.93, - "capacity_opportunities": 293, - "end_date": "2024-01-03", - "ev_net_r": -0.6044057070270524, - "ev_without_best": { - "1": -0.6820605753758295, - "10": -0.86162712802813, - "5": -0.7830562893727806 - }, - "exit_reasons": { - "open_at_end": 4, - "stop": 153, - "time": 35, - "trailing_stop": 101 - }, - "gain_to_pain": -0.7890838963542894, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 86.7, - "measurement_start_equity": 3053.29, - "measurement_start_positions": 18, - "opened_positions": 293, - "peak_positions": 25, - "profit_factor": 0.3807120350638686, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.57, - "simulation_start_date": "2022-07-18", - "skipped_book_full": 0, - "skipped_min_initial_risk": 21891, - "sortino": -3.4627595965517988, - "start_date": "2023-01-03", - "total_return_pct": -80.5, - "trades": 293, - "transaction_cost": 87.49528641528286, - "turnover_multiple": 14.32803409032271, - "underwater_pct": 95.25691699604744, - "win_rate": 21.2 - }, - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-04|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1318, - "avg_gross_exposure_pct": 99.8682, - "avg_hold_days": 10.0, - "avg_positions": 23.5675, - "blocked_fraction": 0.0, - "cagr_pct": -97.5, - "calmar": -1.0, - "capacity_opportunities": 580, - "end_date": "2024-01-03", - "ev_net_r": -0.5996763337038056, - "ev_without_best": { - "1": -0.6535033121994929, - "10": -0.8233077572241222, - "5": -0.7596677215640478 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 325, - "time": 41, - "trailing_stop": 194 - }, - "gain_to_pain": -0.9517747070560088, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 98.0, - "measurement_start_equity": 3087.06, - "measurement_start_positions": 20, - "opened_positions": 580, - "peak_positions": 34, - "profit_factor": 0.40200597081066725, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.71, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20752, - "sortino": -4.751358451517802, - "start_date": "2023-01-03", - "total_return_pct": -97.5, - "trades": 580, - "transaction_cost": 51.648183576758626, - "turnover_multiple": 16.73054089546644, - "underwater_pct": 96.83794466403161, - "win_rate": 17.1 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-04|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1495, - "avg_gross_exposure_pct": 99.8505, - "avg_hold_days": 10.2, - "avg_positions": 23.4087, - "blocked_fraction": 0.0, - "cagr_pct": -97.9, - "calmar": -1.0, - "capacity_opportunities": 561, - "end_date": "2024-01-03", - "ev_net_r": -0.6485908009424775, - "ev_without_best": { - "1": -0.6891611699634745, - "10": -0.8559516905343284, - "5": -0.7899590631424054 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 314, - "time": 47, - "trailing_stop": 180 - }, - "gain_to_pain": -0.9563235881426075, - "longest_underwater_sessions": 210, - "max_drawdown_pct": 98.3, - "measurement_start_equity": 3000.66, - "measurement_start_positions": 20, - "opened_positions": 561, - "peak_positions": 32, - "profit_factor": 0.3674223531398559, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.37, - "simulation_start_date": "2022-07-25", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20780, - "sortino": -5.313461518199242, - "start_date": "2023-01-03", - "total_return_pct": -97.9, - "trades": 561, - "transaction_cost": 90.9870076957427, - "turnover_multiple": 15.161165826142033, - "underwater_pct": 96.83794466403161, - "win_rate": 17.6 - }, - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-05|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1333, - "avg_gross_exposure_pct": 99.8667, - "avg_hold_days": 10.2, - "avg_positions": 23.25, - "blocked_fraction": 0.0, - "cagr_pct": -97.8, - "calmar": -0.99, - "capacity_opportunities": 553, - "end_date": "2024-01-03", - "ev_net_r": -0.6625409370029693, - "ev_without_best": { - "1": -0.7037702031678551, - "10": -0.8378089620986644, - "5": -0.7786045035041903 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 301, - "time": 42, - "trailing_stop": 194 - }, - "gain_to_pain": -0.8872821306079831, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 2063.7, - "measurement_start_positions": 20, - "opened_positions": 553, - "peak_positions": 33, - "profit_factor": 0.3445622624378576, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.58, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20820, - "sortino": -5.494146314005492, - "start_date": "2023-01-03", - "total_return_pct": -97.8, - "trades": 553, - "transaction_cost": 36.71626958723641, - "turnover_multiple": 17.791476274282317, - "underwater_pct": 95.65217391304348, - "win_rate": 19.0 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-05|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.191, - "avg_gross_exposure_pct": 99.809, - "avg_hold_days": 10.1, - "avg_positions": 22.746, - "blocked_fraction": 0.0, - "cagr_pct": -97.8, - "calmar": -0.99, - "capacity_opportunities": 543, - "end_date": "2024-01-03", - "ev_net_r": -0.6666021748593255, - "ev_without_best": { - "1": -0.7085531306262538, - "10": -0.8603137684488137, - "5": -0.8027831969521438 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 297, - "time": 40, - "trailing_stop": 188 - }, - "gain_to_pain": -0.9251589341912613, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.3, - "measurement_start_equity": 2046.05, - "measurement_start_positions": 20, - "opened_positions": 543, - "peak_positions": 33, - "profit_factor": 0.33609308485618383, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.24, - "simulation_start_date": "2022-08-01", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20803, - "sortino": -5.198582984998827, - "start_date": "2023-01-03", - "total_return_pct": -97.8, - "trades": 543, - "transaction_cost": 61.43584851098056, - "turnover_multiple": 15.01328132523168, - "underwater_pct": 97.23320158102767, - "win_rate": 16.6 - }, - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-06|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1239, - "avg_gross_exposure_pct": 99.8761, - "avg_hold_days": 10.4, - "avg_positions": 23.8373, - "blocked_fraction": 0.0, - "cagr_pct": -75.0, - "calmar": -0.78, - "capacity_opportunities": 555, - "end_date": "2024-01-03", - "ev_net_r": 0.46628433162791544, - "ev_without_best": { - "1": -0.5930114270124575, - "10": -0.7931261964865919, - "5": -0.7161925090976435 - }, - "exit_reasons": { - "open_at_end": 25, - "stop": 295, - "time": 49, - "trailing_stop": 186 - }, - "gain_to_pain": 0.3052451216164536, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 95.6, - "measurement_start_equity": 3118.89, - "measurement_start_positions": 20, - "opened_positions": 555, - "peak_positions": 33, - "profit_factor": 1.4669509215899097, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.59, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20736, - "sortino": 7.273489502190175, - "start_date": "2023-01-03", - "total_return_pct": -75.0, - "trades": 555, - "transaction_cost": 70.82851883557474, - "turnover_multiple": 22.70952769593501, - "underwater_pct": 95.65217391304348, - "win_rate": 17.8 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-06|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1529, - "avg_gross_exposure_pct": 99.8471, - "avg_hold_days": 10.2, - "avg_positions": 23.8532, - "blocked_fraction": 0.0, - "cagr_pct": -97.7, - "calmar": -0.99, - "capacity_opportunities": 570, - "end_date": "2024-01-03", - "ev_net_r": -0.6139348088017054, - "ev_without_best": { - "1": -0.6538025604003302, - "10": -0.7997505291306191, - "5": -0.7353064671432017 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 313, - "time": 48, - "trailing_stop": 190 - }, - "gain_to_pain": -0.8503520741218746, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.6, - "measurement_start_equity": 3078.33, - "measurement_start_positions": 20, - "opened_positions": 570, - "peak_positions": 32, - "profit_factor": 0.380839153157115, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.31, - "simulation_start_date": "2022-08-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20745, - "sortino": -5.157205564476668, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 570, - "transaction_cost": 119.4598324342677, - "turnover_multiple": 19.403350588511902, - "underwater_pct": 95.65217391304348, - "win_rate": 19.1 - }, - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-07|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1697, - "avg_gross_exposure_pct": 99.8303, - "avg_hold_days": 10.2, - "avg_positions": 23.0992, - "blocked_fraction": 0.0, - "cagr_pct": -98.4, - "calmar": -0.99, - "capacity_opportunities": 545, - "end_date": "2024-01-03", - "ev_net_r": -0.7237963244185643, - "ev_without_best": { - "1": -0.7657445051362712, - "10": -0.9100121327104636, - "5": -0.8453978926947902 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 307, - "time": 39, - "trailing_stop": 183 - }, - "gain_to_pain": -0.8553401805072907, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 99.0, - "measurement_start_equity": 2434.27, - "measurement_start_positions": 21, - "opened_positions": 545, - "peak_positions": 32, - "profit_factor": 0.32044505810372176, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.51, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20756, - "sortino": -5.504060650059083, - "start_date": "2023-01-03", - "total_return_pct": -98.3, - "trades": 545, - "transaction_cost": 42.64095404398544, - "turnover_multiple": 17.51693692317838, - "underwater_pct": 95.25691699604744, - "win_rate": 17.6 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-07|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1734, - "avg_gross_exposure_pct": 99.8266, - "avg_hold_days": 10.3, - "avg_positions": 23.3333, - "blocked_fraction": 0.0, - "cagr_pct": -98.2, - "calmar": -1.0, - "capacity_opportunities": 551, - "end_date": "2024-01-03", - "ev_net_r": -0.7088934126603592, - "ev_without_best": { - "1": -0.7503110658666796, - "10": -0.8850251670914774, - "5": -0.8256284954985941 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 308, - "time": 45, - "trailing_stop": 183 - }, - "gain_to_pain": -0.9503189497750703, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 2034.8, - "measurement_start_positions": 20, - "opened_positions": 551, - "peak_positions": 33, - "profit_factor": 0.3120866221162515, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.59, - "simulation_start_date": "2022-08-15", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20794, - "sortino": -5.719022509992819, - "start_date": "2023-01-03", - "total_return_pct": -98.2, - "trades": 551, - "transaction_cost": 62.828350511669896, - "turnover_multiple": 15.438458450872297, - "underwater_pct": 97.62845849802372, - "win_rate": 17.2 - }, - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-08|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1442, - "avg_gross_exposure_pct": 99.8558, - "avg_hold_days": 10.0, - "avg_positions": 23.1508, - "blocked_fraction": 0.0, - "cagr_pct": -98.1, - "calmar": -0.99, - "capacity_opportunities": 561, - "end_date": "2024-01-03", - "ev_net_r": -0.6325980272651046, - "ev_without_best": { - "1": -0.6731848344316744, - "10": -0.8240081971038447, - "5": -0.7642653466335677 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 314, - "time": 40, - "trailing_stop": 190 - }, - "gain_to_pain": -0.8959839303074864, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.7, - "measurement_start_equity": 2456.63, - "measurement_start_positions": 20, - "opened_positions": 561, - "peak_positions": 32, - "profit_factor": 0.37502606915979875, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.69, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20717, - "sortino": -5.4540728975605415, - "start_date": "2023-01-03", - "total_return_pct": -98.1, - "trades": 561, - "transaction_cost": 44.22808409761169, - "turnover_multiple": 18.003559387295475, - "underwater_pct": 95.65217391304348, - "win_rate": 18.4 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-08|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1548, - "avg_gross_exposure_pct": 99.8452, - "avg_hold_days": 9.8, - "avg_positions": 22.8651, - "blocked_fraction": 0.0, - "cagr_pct": -98.1, - "calmar": -0.99, - "capacity_opportunities": 568, - "end_date": "2024-01-03", - "ev_net_r": -0.6766804659801686, - "ev_without_best": { - "1": -0.7167995071032656, - "10": -0.8684035983358098, - "5": -0.806903878664965 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 325, - "time": 37, - "trailing_stop": 190 - }, - "gain_to_pain": -0.9024619891917041, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.7, - "measurement_start_equity": 2404.21, - "measurement_start_positions": 20, - "opened_positions": 568, - "peak_positions": 31, - "profit_factor": 0.3473588559624712, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.39, - "simulation_start_date": "2022-08-22", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20728, - "sortino": -5.338124166862787, - "start_date": "2023-01-03", - "total_return_pct": -98.1, - "trades": 568, - "transaction_cost": 84.16782007114617, - "turnover_multiple": 17.504257130439136, - "underwater_pct": 95.65217391304348, - "win_rate": 16.2 - }, - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-09|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1003, - "avg_gross_exposure_pct": 99.8997, - "avg_hold_days": 10.1, - "avg_positions": 23.4246, - "blocked_fraction": 0.0, - "cagr_pct": -78.5, - "calmar": -0.81, - "capacity_opportunities": 565, - "end_date": "2024-01-03", - "ev_net_r": 0.41497401255695615, - "ev_without_best": { - "1": -0.6256308821342452, - "10": -0.8015598782774525, - "5": -0.7325341166765301 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 311, - "time": 44, - "trailing_stop": 186 - }, - "gain_to_pain": 0.399881229235554, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 96.5, - "measurement_start_equity": 3516.42, - "measurement_start_positions": 17, - "opened_positions": 565, - "peak_positions": 33, - "profit_factor": 1.4123144396907807, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.58, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20795, - "sortino": 7.390774088673979, - "start_date": "2023-01-03", - "total_return_pct": -78.4, - "trades": 565, - "transaction_cost": 74.6423172763468, - "turnover_multiple": 21.226792384398564, - "underwater_pct": 96.44268774703558, - "win_rate": 17.9 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-09|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1008, - "avg_gross_exposure_pct": 99.8992, - "avg_hold_days": 10.2, - "avg_positions": 23.8373, - "blocked_fraction": 0.0, - "cagr_pct": -97.4, - "calmar": -0.99, - "capacity_opportunities": 571, - "end_date": "2024-01-03", - "ev_net_r": -0.6032923009393607, - "ev_without_best": { - "1": -0.6430714380477032, - "10": -0.810017529144655, - "5": -0.7417627272346685 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 317, - "time": 47, - "trailing_stop": 186 - }, - "gain_to_pain": -0.8605422126307144, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.4, - "measurement_start_equity": 3462.43, - "measurement_start_positions": 17, - "opened_positions": 571, - "peak_positions": 34, - "profit_factor": 0.3996419622366685, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.94, - "simulation_start_date": "2022-08-29", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20761, - "sortino": -5.006852273326611, - "start_date": "2023-01-03", - "total_return_pct": -97.4, - "trades": 571, - "transaction_cost": 127.84406097916516, - "turnover_multiple": 18.461609473572775, - "underwater_pct": 96.44268774703558, - "win_rate": 18.0 - }, - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-10|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1598, - "avg_gross_exposure_pct": 99.8402, - "avg_hold_days": 10.3, - "avg_positions": 23.2698, - "blocked_fraction": 0.0, - "cagr_pct": -98.0, - "calmar": -0.99, - "capacity_opportunities": 549, - "end_date": "2024-01-03", - "ev_net_r": -0.6925357317910928, - "ev_without_best": { - "1": -0.7341206765316131, - "10": -0.874480456171306, - "5": -0.8129558492654028 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 302, - "time": 44, - "trailing_stop": 187 - }, - "gain_to_pain": -0.8844973291619449, - "longest_underwater_sessions": 230, - "max_drawdown_pct": 98.6, - "measurement_start_equity": 2388.18, - "measurement_start_positions": 21, - "opened_positions": 549, - "peak_positions": 32, - "profit_factor": 0.3445037710473689, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.53, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20779, - "sortino": -5.366904809927917, - "start_date": "2023-01-03", - "total_return_pct": -98.0, - "trades": 549, - "transaction_cost": 40.422998372434726, - "turnover_multiple": 16.926277907207467, - "underwater_pct": 96.04743083003953, - "win_rate": 17.7 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-10|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1277, - "avg_gross_exposure_pct": 99.8723, - "avg_hold_days": 10.2, - "avg_positions": 23.7857, - "blocked_fraction": 0.0, - "cagr_pct": -97.6, - "calmar": -0.99, - "capacity_opportunities": 562, - "end_date": "2024-01-03", - "ev_net_r": -0.6502339760939395, - "ev_without_best": { - "1": -0.6907349561775576, - "10": -0.8557967923376492, - "5": -0.7899240340990031 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 314, - "time": 47, - "trailing_stop": 183 - }, - "gain_to_pain": -0.8916979708012676, - "longest_underwater_sessions": 209, - "max_drawdown_pct": 98.4, - "measurement_start_equity": 2414.26, - "measurement_start_positions": 22, - "opened_positions": 562, - "peak_positions": 33, - "profit_factor": 0.3688281290309789, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.21, - "simulation_start_date": "2022-09-06", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20756, - "sortino": -5.202110613772533, - "start_date": "2023-01-03", - "total_return_pct": -97.6, - "trades": 562, - "transaction_cost": 80.97591896300328, - "turnover_multiple": 16.77033935098193, - "underwater_pct": 96.04743083003953, - "win_rate": 17.6 - }, - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-11|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1171, - "avg_gross_exposure_pct": 99.8829, - "avg_hold_days": 10.1, - "avg_positions": 23.8095, - "blocked_fraction": 0.0, - "cagr_pct": -97.7, - "calmar": -0.99, - "capacity_opportunities": 569, - "end_date": "2024-01-03", - "ev_net_r": -0.6398644510300894, - "ev_without_best": { - "1": -0.6798924060248852, - "10": -0.8229084084076707, - "5": -0.7618159066577599 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 316, - "time": 43, - "trailing_stop": 189 - }, - "gain_to_pain": -0.8715979977613629, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 3557.99, - "measurement_start_positions": 22, - "opened_positions": 569, - "peak_positions": 33, - "profit_factor": 0.3595066663809152, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.26, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20788, - "sortino": -5.219140197055881, - "start_date": "2023-01-03", - "total_return_pct": -97.7, - "trades": 569, - "transaction_cost": 62.724916614243405, - "turnover_multiple": 17.629312228039822, - "underwater_pct": 95.25691699604744, - "win_rate": 18.5 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-11|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1412, - "avg_gross_exposure_pct": 99.8588, - "avg_hold_days": 10.2, - "avg_positions": 23.5913, - "blocked_fraction": 0.0, - "cagr_pct": -97.9, - "calmar": -0.99, - "capacity_opportunities": 565, - "end_date": "2024-01-03", - "ev_net_r": -0.6596204347148633, - "ev_without_best": { - "1": -0.6999226267104851, - "10": -0.8430538525420043, - "5": -0.783871682516247 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 310, - "time": 43, - "trailing_stop": 193 - }, - "gain_to_pain": -0.9313931998970986, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 2951.84, - "measurement_start_positions": 20, - "opened_positions": 565, - "peak_positions": 35, - "profit_factor": 0.3439954050159697, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.37, - "simulation_start_date": "2022-09-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20768, - "sortino": -5.4462221703584355, - "start_date": "2023-01-03", - "total_return_pct": -97.9, - "trades": 565, - "transaction_cost": 95.3127987029799, - "turnover_multiple": 16.144641766318617, - "underwater_pct": 97.23320158102767, - "win_rate": 17.2 - }, - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-12|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.16, - "avg_gross_exposure_pct": 99.84, - "avg_hold_days": 10.3, - "avg_positions": 23.9921, - "blocked_fraction": 0.0, - "cagr_pct": -97.9, - "calmar": -0.99, - "capacity_opportunities": 561, - "end_date": "2024-01-03", - "ev_net_r": -0.6438009213334477, - "ev_without_best": { - "1": -0.6844077336679967, - "10": -0.83541916183758, - "5": -0.7694954612483534 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 308, - "time": 47, - "trailing_stop": 187 - }, - "gain_to_pain": -0.8891581728047646, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 3172.64, - "measurement_start_positions": 23, - "opened_positions": 561, - "peak_positions": 35, - "profit_factor": 0.36555534846465365, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.23, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20774, - "sortino": -5.209685051014029, - "start_date": "2023-01-03", - "total_return_pct": -97.9, - "trades": 561, - "transaction_cost": 54.44647533452161, - "turnover_multiple": 17.161252248764942, - "underwater_pct": 95.65217391304348, - "win_rate": 18.2 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-12|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1726, - "avg_gross_exposure_pct": 99.8274, - "avg_hold_days": 10.4, - "avg_positions": 23.8056, - "blocked_fraction": 0.0, - "cagr_pct": -98.0, - "calmar": -0.99, - "capacity_opportunities": 554, - "end_date": "2024-01-03", - "ev_net_r": -0.6677467663511089, - "ev_without_best": { - "1": -0.7088653244291684, - "10": -0.8619767512901818, - "5": -0.795087814798946 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 306, - "time": 45, - "trailing_stop": 185 - }, - "gain_to_pain": -0.8937230262604794, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.6, - "measurement_start_equity": 3126.76, - "measurement_start_positions": 23, - "opened_positions": 554, - "peak_positions": 32, - "profit_factor": 0.34996041584677307, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.4, - "simulation_start_date": "2022-09-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20794, - "sortino": -5.419955088605773, - "start_date": "2023-01-03", - "total_return_pct": -98.0, - "trades": 554, - "transaction_cost": 104.5334940419098, - "turnover_multiple": 16.715944626691815, - "underwater_pct": 95.65217391304348, - "win_rate": 17.1 - }, - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-13|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1231, - "avg_gross_exposure_pct": 99.8769, - "avg_hold_days": 10.3, - "avg_positions": 24.2897, - "blocked_fraction": 0.0, - "cagr_pct": -79.7, - "calmar": -0.83, - "capacity_opportunities": 575, - "end_date": "2024-01-03", - "ev_net_r": 0.40644424035524385, - "ev_without_best": { - "1": -0.616046509432281, - "10": -0.8028651071148174, - "5": -0.7317866146193454 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 311, - "time": 48, - "trailing_stop": 192 - }, - "gain_to_pain": 0.2272757189386268, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 95.9, - "measurement_start_equity": 3533.54, - "measurement_start_positions": 19, - "opened_positions": 575, - "peak_positions": 33, - "profit_factor": 1.4091520455178705, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.55, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20714, - "sortino": 6.265438567947742, - "start_date": "2023-01-03", - "total_return_pct": -79.7, - "trades": 575, - "transaction_cost": 67.05286080720272, - "turnover_multiple": 18.976114833057707, - "underwater_pct": 96.83794466403161, - "win_rate": 17.9 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-13|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1631, - "avg_gross_exposure_pct": 99.8369, - "avg_hold_days": 10.0, - "avg_positions": 23.5833, - "blocked_fraction": 0.0, - "cagr_pct": -98.0, - "calmar": -0.99, - "capacity_opportunities": 571, - "end_date": "2024-01-03", - "ev_net_r": -0.6552929683092903, - "ev_without_best": { - "1": -0.6951633346586326, - "10": -0.85764816347628, - "5": -0.7928064970546916 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 318, - "time": 44, - "trailing_stop": 190 - }, - "gain_to_pain": -0.9298731750501714, - "longest_underwater_sessions": 223, - "max_drawdown_pct": 98.6, - "measurement_start_equity": 3490.33, - "measurement_start_positions": 19, - "opened_positions": 571, - "peak_positions": 32, - "profit_factor": 0.3600576717221312, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.23, - "simulation_start_date": "2022-09-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20741, - "sortino": -5.305504891151521, - "start_date": "2023-01-03", - "total_return_pct": -98.0, - "trades": 571, - "transaction_cost": 114.54073784126399, - "turnover_multiple": 16.408296327462445, - "underwater_pct": 96.83794466403161, - "win_rate": 17.3 - }, - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-14|cost=0.1", - "cluster": 2023, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.112, - "avg_gross_exposure_pct": 99.888, - "avg_hold_days": 10.4, - "avg_positions": 24.1627, - "blocked_fraction": 0.0, - "cagr_pct": -79.1, - "calmar": -0.82, - "capacity_opportunities": 567, - "end_date": "2024-01-03", - "ev_net_r": 0.4279701308106173, - "ev_without_best": { - "1": -0.6089347534430644, - "10": -0.7983216509057757, - "5": -0.7262717871310891 - }, - "exit_reasons": { - "open_at_end": 24, - "stop": 303, - "time": 48, - "trailing_stop": 192 - }, - "gain_to_pain": 0.3147467655300782, - "longest_underwater_sessions": 210, - "max_drawdown_pct": 96.1, - "measurement_start_equity": 5380.62, - "measurement_start_positions": 22, - "opened_positions": 567, - "peak_positions": 33, - "profit_factor": 1.4282635361855407, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": 0.57, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20703, - "sortino": 6.9270595985589765, - "start_date": "2023-01-03", - "total_return_pct": -79.1, - "trades": 567, - "transaction_cost": 108.22635294561971, - "turnover_multiple": 20.11410449829568, - "underwater_pct": 96.83794466403161, - "win_rate": 18.9 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2023-seed-14|cost=0.2", - "cluster": 2023, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "metrics": { - "avg_cash_pct": 0.1351, - "avg_gross_exposure_pct": 99.8649, - "avg_hold_days": 10.2, - "avg_positions": 23.9444, - "blocked_fraction": 0.0, - "cagr_pct": -98.3, - "calmar": -1.0, - "capacity_opportunities": 577, - "end_date": "2024-01-03", - "ev_net_r": -0.6663719170737303, - "ev_without_best": { - "1": -0.705846201392983, - "10": -0.8389596606177919, - "5": -0.7848533668343077 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 326, - "time": 47, - "trailing_stop": 183 - }, - "gain_to_pain": -0.9284881865112442, - "longest_underwater_sessions": 210, - "max_drawdown_pct": 98.8, - "measurement_start_equity": 5281.75, - "measurement_start_positions": 21, - "opened_positions": 577, - "peak_positions": 33, - "profit_factor": 0.33761269023027096, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.97, - "simulation_start_date": "2022-10-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 20723, - "sortino": -5.638663626747435, - "start_date": "2023-01-03", - "total_return_pct": -98.3, - "trades": 577, - "transaction_cost": 172.63937836849425, - "turnover_multiple": 16.34300926477912, - "underwater_pct": 96.83794466403161, - "win_rate": 17.7 - }, - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-01|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0868, - "avg_gross_exposure_pct": 99.9132, - "avg_hold_days": 10.7, - "avg_positions": 22.3413, - "blocked_fraction": 0.0, - "cagr_pct": -89.4, - "calmar": -0.96, - "capacity_opportunities": 489, - "end_date": "2024-12-31", - "ev_net_r": -0.4436624012920816, - "ev_without_best": { - "1": -0.49618613350562873, - "10": -0.7119099490734195, - "5": -0.6212121679680395 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 263, - "time": 52, - "trailing_stop": 154 - }, - "gain_to_pain": -0.8232538134508789, - "longest_underwater_sessions": 208, - "max_drawdown_pct": 93.2, - "measurement_start_equity": 15627.84, - "measurement_start_positions": 25, - "opened_positions": 489, - "peak_positions": 32, - "profit_factor": 0.5269036698529983, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.35, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23069, - "sortino": -3.306969846385251, - "start_date": "2024-01-02", - "total_return_pct": -89.4, - "trades": 489, - "transaction_cost": 274.16162731522536, - "turnover_multiple": 17.543155504229976, - "underwater_pct": 98.81422924901186, - "win_rate": 19.6 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-01|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0613, - "avg_gross_exposure_pct": 99.9387, - "avg_hold_days": 11.1, - "avg_positions": 21.8175, - "blocked_fraction": 0.0, - "cagr_pct": -93.3, - "calmar": -0.99, - "capacity_opportunities": 465, - "end_date": "2024-12-31", - "ev_net_r": -0.593078417524282, - "ev_without_best": { - "1": -0.6226224083666476, - "10": -0.7822695788031652, - "5": -0.7199305034745215 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 249, - "time": 47, - "trailing_stop": 158 - }, - "gain_to_pain": -0.9717108565089123, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.4, - "measurement_start_equity": 18405.21, - "measurement_start_positions": 24, - "opened_positions": 465, - "peak_positions": 30, - "profit_factor": 0.3695644595371488, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.07, - "simulation_start_date": "2023-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23155, - "sortino": -3.8124564020748064, - "start_date": "2024-01-02", - "total_return_pct": -93.2, - "trades": 465, - "transaction_cost": 551.8354742306557, - "turnover_multiple": 14.991284376289533, - "underwater_pct": 99.60474308300395, - "win_rate": 18.9 - }, - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-02|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.1121, - "avg_gross_exposure_pct": 99.8879, - "avg_hold_days": 11.2, - "avg_positions": 22.4405, - "blocked_fraction": 0.0, - "cagr_pct": -92.8, - "calmar": -0.99, - "capacity_opportunities": 471, - "end_date": "2024-12-31", - "ev_net_r": -0.5495401871085898, - "ev_without_best": { - "1": -0.5786689960173315, - "10": -0.7596272723010407, - "5": -0.681605512144769 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 249, - "time": 51, - "trailing_stop": 157 - }, - "gain_to_pain": -0.94635220410276, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 9455.61, - "measurement_start_positions": 24, - "opened_positions": 471, - "peak_positions": 32, - "profit_factor": 0.40768290602570223, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.23, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23008, - "sortino": -4.024276375060749, - "start_date": "2024-01-02", - "total_return_pct": -92.7, - "trades": 471, - "transaction_cost": 151.0541955217477, - "turnover_multiple": 15.975087331409362, - "underwater_pct": 99.2094861660079, - "win_rate": 19.1 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-02|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0827, - "avg_gross_exposure_pct": 99.9173, - "avg_hold_days": 11.2, - "avg_positions": 21.9008, - "blocked_fraction": 0.0, - "cagr_pct": -93.6, - "calmar": -1.0, - "capacity_opportunities": 462, - "end_date": "2024-12-31", - "ev_net_r": -0.5662186698314804, - "ev_without_best": { - "1": -0.6053367275229282, - "10": -0.7718559355178279, - "5": -0.709125620071747 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 243, - "time": 47, - "trailing_stop": 156 - }, - "gain_to_pain": -0.9726288659258059, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.9, - "measurement_start_equity": 9235.51, - "measurement_start_positions": 24, - "opened_positions": 462, - "peak_positions": 31, - "profit_factor": 0.3919729619150003, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.18, - "simulation_start_date": "2023-07-10", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23109, - "sortino": -3.9144721267480294, - "start_date": "2024-01-02", - "total_return_pct": -93.5, - "trades": 462, - "transaction_cost": 283.8298158473949, - "turnover_multiple": 15.3662231889411, - "underwater_pct": 99.60474308300395, - "win_rate": 19.0 - }, - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-03|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0837, - "avg_gross_exposure_pct": 99.9163, - "avg_hold_days": 11.7, - "avg_positions": 22.4881, - "blocked_fraction": 0.0, - "cagr_pct": -90.4, - "calmar": -0.98, - "capacity_opportunities": 456, - "end_date": "2024-12-31", - "ev_net_r": -0.5001989772155495, - "ev_without_best": { - "1": -0.5343149743306275, - "10": -0.7342895448789685, - "5": -0.6527272556373304 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 235, - "time": 52, - "trailing_stop": 151 - }, - "gain_to_pain": -0.8752252973654183, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 8377.52, - "measurement_start_positions": 22, - "opened_positions": 456, - "peak_positions": 31, - "profit_factor": 0.44519466073388014, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.89, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23092, - "sortino": -3.639008084875304, - "start_date": "2024-01-02", - "total_return_pct": -90.3, - "trades": 456, - "transaction_cost": 126.07281441570595, - "turnover_multiple": 15.048942218664468, - "underwater_pct": 99.60474308300395, - "win_rate": 20.4 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-03|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0802, - "avg_gross_exposure_pct": 99.9198, - "avg_hold_days": 10.4, - "avg_positions": 20.6111, - "blocked_fraction": 0.0, - "cagr_pct": -92.2, - "calmar": -0.98, - "capacity_opportunities": 466, - "end_date": "2024-12-31", - "ev_net_r": -0.504010260469775, - "ev_without_best": { - "1": -0.5727044911751807, - "10": -0.7686626300479975, - "5": -0.6996527186848956 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 256, - "time": 40, - "trailing_stop": 152 - }, - "gain_to_pain": -0.8774856334550637, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.7, - "measurement_start_equity": 8113.48, - "measurement_start_positions": 23, - "opened_positions": 466, - "peak_positions": 29, - "profit_factor": 0.46797575703992883, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.94, - "simulation_start_date": "2023-07-17", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23217, - "sortino": -3.716065018433175, - "start_date": "2024-01-02", - "total_return_pct": -92.1, - "trades": 466, - "transaction_cost": 253.0377555680177, - "turnover_multiple": 15.59366360476748, - "underwater_pct": 99.60474308300395, - "win_rate": 18.2 - }, - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-04|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0997, - "avg_gross_exposure_pct": 99.9003, - "avg_hold_days": 10.7, - "avg_positions": 21.4683, - "blocked_fraction": 0.0, - "cagr_pct": -92.3, - "calmar": -0.98, - "capacity_opportunities": 472, - "end_date": "2024-12-31", - "ev_net_r": -0.5627380125152573, - "ev_without_best": { - "1": -0.5918329976798333, - "10": -0.7627113496459982, - "5": -0.6927013451162893 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 257, - "time": 40, - "trailing_stop": 162 - }, - "gain_to_pain": -0.9315769080450156, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 93.7, - "measurement_start_equity": 10482.05, - "measurement_start_positions": 25, - "opened_positions": 472, - "peak_positions": 30, - "profit_factor": 0.40436824064319404, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.03, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23147, - "sortino": -3.971496640572615, - "start_date": "2024-01-02", - "total_return_pct": -92.2, - "trades": 472, - "transaction_cost": 163.86135975060895, - "turnover_multiple": 15.632568033028745, - "underwater_pct": 99.2094861660079, - "win_rate": 18.6 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-04|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0822, - "avg_gross_exposure_pct": 99.9178, - "avg_hold_days": 10.6, - "avg_positions": 21.873, - "blocked_fraction": 0.0, - "cagr_pct": -92.2, - "calmar": -0.99, - "capacity_opportunities": 480, - "end_date": "2024-12-31", - "ev_net_r": -0.5140282166796415, - "ev_without_best": { - "1": -0.5675890346760575, - "10": -0.7695847903549217, - "5": -0.6907525526886513 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 262, - "time": 49, - "trailing_stop": 154 - }, - "gain_to_pain": -0.9819344499810436, - "longest_underwater_sessions": 208, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 10087.85, - "measurement_start_positions": 25, - "opened_positions": 480, - "peak_positions": 29, - "profit_factor": 0.458271023673953, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.03, - "simulation_start_date": "2023-07-24", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23139, - "sortino": -3.9318193092267766, - "start_date": "2024-01-02", - "total_return_pct": -92.1, - "trades": 480, - "transaction_cost": 349.37765869932787, - "turnover_multiple": 17.316755240181397, - "underwater_pct": 98.81422924901186, - "win_rate": 16.9 - }, - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-05|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0754, - "avg_gross_exposure_pct": 99.9246, - "avg_hold_days": 11.1, - "avg_positions": 21.9246, - "blocked_fraction": 0.0, - "cagr_pct": -92.9, - "calmar": -0.99, - "capacity_opportunities": 465, - "end_date": "2024-12-31", - "ev_net_r": -0.5657065104311578, - "ev_without_best": { - "1": -0.5952468261863973, - "10": -0.7825286153180286, - "5": -0.7073793861244668 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 249, - "time": 51, - "trailing_stop": 151 - }, - "gain_to_pain": -0.9356976608218429, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.0, - "measurement_start_equity": 11217.52, - "measurement_start_positions": 24, - "opened_positions": 465, - "peak_positions": 30, - "profit_factor": 0.40732087412976914, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.14, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23086, - "sortino": -4.030685762425827, - "start_date": "2024-01-02", - "total_return_pct": -92.8, - "trades": 465, - "transaction_cost": 167.47841219467568, - "turnover_multiple": 14.930074757582396, - "underwater_pct": 99.60474308300395, - "win_rate": 19.4 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-05|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0762, - "avg_gross_exposure_pct": 99.9238, - "avg_hold_days": 10.7, - "avg_positions": 21.619, - "blocked_fraction": 0.0, - "cagr_pct": -90.4, - "calmar": -0.97, - "capacity_opportunities": 473, - "end_date": "2024-12-31", - "ev_net_r": -0.4848241174346697, - "ev_without_best": { - "1": -0.5391173965046661, - "10": -0.7327716154269357, - "5": -0.6510231974211069 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 246, - "time": 43, - "trailing_stop": 167 - }, - "gain_to_pain": -0.8517296643986771, - "longest_underwater_sessions": 208, - "max_drawdown_pct": 93.3, - "measurement_start_equity": 8887.69, - "measurement_start_positions": 23, - "opened_positions": 473, - "peak_positions": 32, - "profit_factor": 0.4812725485677663, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.55, - "simulation_start_date": "2023-07-31", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23130, - "sortino": -3.48849510033835, - "start_date": "2024-01-02", - "total_return_pct": -90.3, - "trades": 473, - "transaction_cost": 292.6239413020348, - "turnover_multiple": 16.46231705325201, - "underwater_pct": 99.2094861660079, - "win_rate": 19.0 - }, - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-06|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.1008, - "avg_gross_exposure_pct": 99.8992, - "avg_hold_days": 10.8, - "avg_positions": 21.6865, - "blocked_fraction": 0.0, - "cagr_pct": -89.9, - "calmar": -0.97, - "capacity_opportunities": 469, - "end_date": "2024-12-31", - "ev_net_r": -0.4670512087121305, - "ev_without_best": { - "1": -0.505416012656039, - "10": -0.7134222203635997, - "5": -0.6269868062275412 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 247, - "time": 46, - "trailing_stop": 160 - }, - "gain_to_pain": -0.8533588310301267, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 15957.89, - "measurement_start_positions": 25, - "opened_positions": 469, - "peak_positions": 31, - "profit_factor": 0.49206944930245333, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.56, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23161, - "sortino": -3.3134997638845847, - "start_date": "2024-01-02", - "total_return_pct": -89.8, - "trades": 469, - "transaction_cost": 273.9236858586285, - "turnover_multiple": 17.165407573221053, - "underwater_pct": 98.81422924901186, - "win_rate": 19.8 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-06|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0599, - "avg_gross_exposure_pct": 99.9401, - "avg_hold_days": 10.8, - "avg_positions": 21.5397, - "blocked_fraction": 0.0, - "cagr_pct": -92.9, - "calmar": -1.0, - "capacity_opportunities": 468, - "end_date": "2024-12-31", - "ev_net_r": -0.6006344154719343, - "ev_without_best": { - "1": -0.6309107388501409, - "10": -0.7804723294411761, - "5": -0.7194243346088818 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 252, - "time": 49, - "trailing_stop": 152 - }, - "gain_to_pain": -0.9996703495193351, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 15307.79, - "measurement_start_positions": 24, - "opened_positions": 468, - "peak_positions": 31, - "profit_factor": 0.37304513625359065, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.12, - "simulation_start_date": "2023-08-07", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23147, - "sortino": -3.9455920334096453, - "start_date": "2024-01-02", - "total_return_pct": -92.8, - "trades": 468, - "transaction_cost": 466.94259185574396, - "turnover_multiple": 15.25179636824597, - "underwater_pct": 99.60474308300395, - "win_rate": 18.4 - }, - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-07|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.109, - "avg_gross_exposure_pct": 99.891, - "avg_hold_days": 11.3, - "avg_positions": 22.1627, - "blocked_fraction": 0.0, - "cagr_pct": -91.1, - "calmar": -0.98, - "capacity_opportunities": 463, - "end_date": "2024-12-31", - "ev_net_r": -0.5253323168525647, - "ev_without_best": { - "1": -0.5549131227331978, - "10": -0.7329380937477598, - "5": -0.6580020832211504 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 245, - "time": 46, - "trailing_stop": 155 - }, - "gain_to_pain": -0.8968553227043746, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 15717.8, - "measurement_start_positions": 25, - "opened_positions": 463, - "peak_positions": 29, - "profit_factor": 0.4291977343008151, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.8, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23097, - "sortino": -3.598469624983212, - "start_date": "2024-01-02", - "total_return_pct": -91.0, - "trades": 463, - "transaction_cost": 232.85975392526365, - "turnover_multiple": 14.815034796553183, - "underwater_pct": 99.60474308300395, - "win_rate": 19.7 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-07|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0652, - "avg_gross_exposure_pct": 99.9348, - "avg_hold_days": 10.9, - "avg_positions": 21.254, - "blocked_fraction": 0.0, - "cagr_pct": -91.9, - "calmar": -0.99, - "capacity_opportunities": 453, - "end_date": "2024-12-31", - "ev_net_r": -0.540125422988946, - "ev_without_best": { - "1": -0.5799646516369876, - "10": -0.7709601890355057, - "5": -0.6906622165382912 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 249, - "time": 37, - "trailing_stop": 151 - }, - "gain_to_pain": -1.0, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 92.5, - "measurement_start_equity": 15141.96, - "measurement_start_positions": 25, - "opened_positions": 453, - "peak_positions": 29, - "profit_factor": 0.42632327692974525, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.06, - "simulation_start_date": "2023-08-14", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23174, - "sortino": -3.8506844717096764, - "start_date": "2024-01-02", - "total_return_pct": -91.8, - "trades": 453, - "transaction_cost": 477.1047952603773, - "turnover_multiple": 15.754393594368802, - "underwater_pct": 99.60474308300395, - "win_rate": 18.3 - }, - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-08|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0774, - "avg_gross_exposure_pct": 99.9226, - "avg_hold_days": 11.0, - "avg_positions": 22.2341, - "blocked_fraction": 0.0, - "cagr_pct": -92.1, - "calmar": -0.98, - "capacity_opportunities": 479, - "end_date": "2024-12-31", - "ev_net_r": -0.5032234977810491, - "ev_without_best": { - "1": -0.5569706576486223, - "10": -0.7458607829526787, - "5": -0.6669886936989113 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 252, - "time": 51, - "trailing_stop": 161 - }, - "gain_to_pain": -0.9500032116582853, - "longest_underwater_sessions": 208, - "max_drawdown_pct": 93.6, - "measurement_start_equity": 9893.21, - "measurement_start_positions": 25, - "opened_positions": 479, - "peak_positions": 32, - "profit_factor": 0.46684195136070145, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.88, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23052, - "sortino": -3.7249982691530494, - "start_date": "2024-01-02", - "total_return_pct": -92.0, - "trades": 479, - "transaction_cost": 167.8170827876641, - "turnover_multiple": 16.962854603072625, - "underwater_pct": 98.41897233201581, - "win_rate": 19.6 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-08|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0797, - "avg_gross_exposure_pct": 99.9203, - "avg_hold_days": 11.5, - "avg_positions": 22.3492, - "blocked_fraction": 0.0, - "cagr_pct": -91.8, - "calmar": -0.98, - "capacity_opportunities": 457, - "end_date": "2024-12-31", - "ev_net_r": -0.5056875858222908, - "ev_without_best": { - "1": -0.5506802350279919, - "10": -0.7501631285227242, - "5": -0.6687563020908599 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 243, - "time": 45, - "trailing_stop": 152 - }, - "gain_to_pain": -0.8321225178507455, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.0, - "measurement_start_equity": 10183.01, - "measurement_start_positions": 24, - "opened_positions": 457, - "peak_positions": 32, - "profit_factor": 0.45246976105663206, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.83, - "simulation_start_date": "2023-08-21", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23126, - "sortino": -3.645368637314958, - "start_date": "2024-01-02", - "total_return_pct": -91.7, - "trades": 457, - "transaction_cost": 293.5437729852923, - "turnover_multiple": 14.41340885383066, - "underwater_pct": 99.60474308300395, - "win_rate": 19.7 - }, - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-09|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0936, - "avg_gross_exposure_pct": 99.9064, - "avg_hold_days": 11.1, - "avg_positions": 21.8175, - "blocked_fraction": 0.0, - "cagr_pct": -90.0, - "calmar": -0.97, - "capacity_opportunities": 463, - "end_date": "2024-12-31", - "ev_net_r": -0.49931985767490683, - "ev_without_best": { - "1": -0.5329170428866381, - "10": -0.7452135528139731, - "5": -0.650841799405281 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 239, - "time": 54, - "trailing_stop": 153 - }, - "gain_to_pain": -0.8414423524586012, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 92.9, - "measurement_start_equity": 11770.1, - "measurement_start_positions": 24, - "opened_positions": 463, - "peak_positions": 32, - "profit_factor": 0.4630578470224364, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.67, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23145, - "sortino": -3.4547809011887107, - "start_date": "2024-01-02", - "total_return_pct": -89.9, - "trades": 463, - "transaction_cost": 186.69688671198412, - "turnover_multiple": 15.861962660638747, - "underwater_pct": 99.2094861660079, - "win_rate": 18.6 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-09|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0616, - "avg_gross_exposure_pct": 99.9384, - "avg_hold_days": 11.0, - "avg_positions": 21.754, - "blocked_fraction": 0.0, - "cagr_pct": -92.1, - "calmar": -0.98, - "capacity_opportunities": 464, - "end_date": "2024-12-31", - "ev_net_r": -0.4879273221118725, - "ev_without_best": { - "1": -0.5568835517871549, - "10": -0.7674898301420298, - "5": -0.678875543852342 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 254, - "time": 45, - "trailing_stop": 146 - }, - "gain_to_pain": -0.8669372560644448, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.9, - "measurement_start_equity": 10294.27, - "measurement_start_positions": 24, - "opened_positions": 464, - "peak_positions": 30, - "profit_factor": 0.48552474920836686, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.02, - "simulation_start_date": "2023-08-28", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23158, - "sortino": -3.9422265762348228, - "start_date": "2024-01-02", - "total_return_pct": -92.1, - "trades": 464, - "transaction_cost": 292.2137928546257, - "turnover_multiple": 14.193031310361281, - "underwater_pct": 99.60474308300395, - "win_rate": 18.8 - }, - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-10|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.1274, - "avg_gross_exposure_pct": 99.8726, - "avg_hold_days": 11.0, - "avg_positions": 21.2619, - "blocked_fraction": 0.0, - "cagr_pct": -92.9, - "calmar": -0.99, - "capacity_opportunities": 454, - "end_date": "2024-12-31", - "ev_net_r": -0.56277743718141, - "ev_without_best": { - "1": -0.6196222414995123, - "10": -0.8032296946254985, - "5": -0.7358013273130533 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 247, - "time": 44, - "trailing_stop": 151 - }, - "gain_to_pain": -0.9401418783613552, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.0, - "measurement_start_equity": 16557.54, - "measurement_start_positions": 25, - "opened_positions": 454, - "peak_positions": 31, - "profit_factor": 0.414975092537098, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.89, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23253, - "sortino": -3.658993284313715, - "start_date": "2024-01-02", - "total_return_pct": -92.8, - "trades": 454, - "transaction_cost": 251.83232151789736, - "turnover_multiple": 15.209525178130164, - "underwater_pct": 99.60474308300395, - "win_rate": 18.3 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-10|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0746, - "avg_gross_exposure_pct": 99.9254, - "avg_hold_days": 11.2, - "avg_positions": 22.1032, - "blocked_fraction": 0.0, - "cagr_pct": -89.7, - "calmar": -0.97, - "capacity_opportunities": 467, - "end_date": "2024-12-31", - "ev_net_r": -0.4548930745650235, - "ev_without_best": { - "1": -0.5400170332756519, - "10": -0.735231923969336, - "5": -0.6525400753622618 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 244, - "time": 51, - "trailing_stop": 153 - }, - "gain_to_pain": -0.8754750450250912, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 92.7, - "measurement_start_equity": 15718.91, - "measurement_start_positions": 23, - "opened_positions": 467, - "peak_positions": 29, - "profit_factor": 0.509512315882407, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.75, - "simulation_start_date": "2023-09-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23091, - "sortino": -3.5399496125898366, - "start_date": "2024-01-02", - "total_return_pct": -89.6, - "trades": 467, - "transaction_cost": 518.4473918879015, - "turnover_multiple": 16.491200467713778, - "underwater_pct": 98.41897233201581, - "win_rate": 18.4 - }, - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-11|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.087, - "avg_gross_exposure_pct": 99.913, - "avg_hold_days": 10.7, - "avg_positions": 21.4921, - "blocked_fraction": 0.0, - "cagr_pct": -92.3, - "calmar": -0.98, - "capacity_opportunities": 470, - "end_date": "2024-12-31", - "ev_net_r": -0.5052287908055738, - "ev_without_best": { - "1": -0.5600116217431528, - "10": -0.7662027377939467, - "5": -0.6750798485366433 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 260, - "time": 46, - "trailing_stop": 150 - }, - "gain_to_pain": -0.9278404241039365, - "longest_underwater_sessions": 208, - "max_drawdown_pct": 94.4, - "measurement_start_equity": 11899.16, - "measurement_start_positions": 25, - "opened_positions": 470, - "peak_positions": 28, - "profit_factor": 0.45795006994494836, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.88, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23113, - "sortino": -3.7247693249963114, - "start_date": "2024-01-02", - "total_return_pct": -92.2, - "trades": 470, - "transaction_cost": 208.2415395056542, - "turnover_multiple": 17.50052436522025, - "underwater_pct": 98.81422924901186, - "win_rate": 20.0 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-11|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.1076, - "avg_gross_exposure_pct": 99.8924, - "avg_hold_days": 10.9, - "avg_positions": 22.1706, - "blocked_fraction": 0.0, - "cagr_pct": -91.4, - "calmar": -0.98, - "capacity_opportunities": 480, - "end_date": "2024-12-31", - "ev_net_r": -0.5266451293685152, - "ev_without_best": { - "1": -0.5802322874749287, - "10": -0.7674573167915875, - "5": -0.6908351809334033 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 258, - "time": 48, - "trailing_stop": 158 - }, - "gain_to_pain": -0.9492197975574035, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 93.0, - "measurement_start_equity": 11618.37, - "measurement_start_positions": 25, - "opened_positions": 480, - "peak_positions": 30, - "profit_factor": 0.4409224579811997, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.82, - "simulation_start_date": "2023-09-11", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23090, - "sortino": -3.708889534265782, - "start_date": "2024-01-02", - "total_return_pct": -91.3, - "trades": 480, - "transaction_cost": 369.91351718240406, - "turnover_multiple": 15.919337961452598, - "underwater_pct": 99.2094861660079, - "win_rate": 17.7 - }, - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-12|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0733, - "avg_gross_exposure_pct": 99.9267, - "avg_hold_days": 11.0, - "avg_positions": 22.127, - "blocked_fraction": 0.0, - "cagr_pct": -92.2, - "calmar": -0.99, - "capacity_opportunities": 475, - "end_date": "2024-12-31", - "ev_net_r": -0.5621098626894812, - "ev_without_best": { - "1": -0.5910193771677289, - "10": -0.7665654358306848, - "5": -0.6931849474655748 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 260, - "time": 47, - "trailing_stop": 154 - }, - "gain_to_pain": -0.9490239179385016, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 93.4, - "measurement_start_equity": 12143.92, - "measurement_start_positions": 22, - "opened_positions": 475, - "peak_positions": 30, - "profit_factor": 0.4079170133485458, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.15, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23091, - "sortino": -3.9524938743766507, - "start_date": "2024-01-02", - "total_return_pct": -92.2, - "trades": 475, - "transaction_cost": 194.78585747190553, - "turnover_multiple": 16.039784309506775, - "underwater_pct": 99.2094861660079, - "win_rate": 18.3 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-12|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0917, - "avg_gross_exposure_pct": 99.9083, - "avg_hold_days": 11.2, - "avg_positions": 21.8175, - "blocked_fraction": 0.0, - "cagr_pct": -89.7, - "calmar": -0.97, - "capacity_opportunities": 461, - "end_date": "2024-12-31", - "ev_net_r": -0.4976870101557354, - "ev_without_best": { - "1": -0.5313812887852485, - "10": -0.7415132827361524, - "5": -0.6495899716778322 - }, - "exit_reasons": { - "open_at_end": 19, - "stop": 239, - "time": 48, - "trailing_stop": 155 - }, - "gain_to_pain": -0.8604253884917887, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 92.4, - "measurement_start_equity": 11955.94, - "measurement_start_positions": 22, - "opened_positions": 461, - "peak_positions": 29, - "profit_factor": 0.4672178583321193, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.49, - "simulation_start_date": "2023-09-18", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23156, - "sortino": -3.2512730823008025, - "start_date": "2024-01-02", - "total_return_pct": -89.7, - "trades": 461, - "transaction_cost": 381.3916562813024, - "turnover_multiple": 15.949881660551256, - "underwater_pct": 99.2094861660079, - "win_rate": 18.4 - }, - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-13|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.102, - "avg_gross_exposure_pct": 99.898, - "avg_hold_days": 11.0, - "avg_positions": 22.0794, - "blocked_fraction": 0.0, - "cagr_pct": -92.0, - "calmar": -0.98, - "capacity_opportunities": 474, - "end_date": "2024-12-31", - "ev_net_r": -0.4976079596950996, - "ev_without_best": { - "1": -0.5264422259946664, - "10": -0.737316430591745, - "5": -0.6406998586048177 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 250, - "time": 46, - "trailing_stop": 161 - }, - "gain_to_pain": -0.8574671594664308, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 93.8, - "measurement_start_equity": 14760.64, - "measurement_start_positions": 24, - "opened_positions": 474, - "peak_positions": 30, - "profit_factor": 0.4639976305321263, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.96, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23095, - "sortino": -3.7569724546953296, - "start_date": "2024-01-02", - "total_return_pct": -92.0, - "trades": 474, - "transaction_cost": 216.7505651248676, - "turnover_multiple": 14.684360916929592, - "underwater_pct": 99.60474308300395, - "win_rate": 19.0 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-13|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0806, - "avg_gross_exposure_pct": 99.9194, - "avg_hold_days": 11.0, - "avg_positions": 22.0, - "blocked_fraction": 0.0, - "cagr_pct": -91.9, - "calmar": -0.98, - "capacity_opportunities": 470, - "end_date": "2024-12-31", - "ev_net_r": -0.5031061500653288, - "ev_without_best": { - "1": -0.5577857017789085, - "10": -0.7779828366616061, - "5": -0.6835135678528731 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 252, - "time": 47, - "trailing_stop": 157 - }, - "gain_to_pain": -0.9094072166115513, - "longest_underwater_sessions": 208, - "max_drawdown_pct": 94.1, - "measurement_start_equity": 14698.53, - "measurement_start_positions": 25, - "opened_positions": 470, - "peak_positions": 30, - "profit_factor": 0.47696665863823795, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.72, - "simulation_start_date": "2023-09-25", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23121, - "sortino": -3.5650191548765275, - "start_date": "2024-01-02", - "total_return_pct": -91.9, - "trades": 470, - "transaction_cost": 481.4356084632138, - "turnover_multiple": 16.376998531935293, - "underwater_pct": 99.2094861660079, - "win_rate": 18.5 - }, - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-14|cost=0.1", - "cluster": 2024, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0888, - "avg_gross_exposure_pct": 99.9112, - "avg_hold_days": 11.2, - "avg_positions": 21.3373, - "blocked_fraction": 0.0, - "cagr_pct": -90.6, - "calmar": -0.97, - "capacity_opportunities": 451, - "end_date": "2024-12-31", - "ev_net_r": -0.5831299805549403, - "ev_without_best": { - "1": -0.6232873294829224, - "10": -0.8016017636918595, - "5": -0.7264848052970959 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 242, - "time": 49, - "trailing_stop": 146 - }, - "gain_to_pain": -0.9546540498827562, - "longest_underwater_sessions": 205, - "max_drawdown_pct": 93.1, - "measurement_start_equity": 2052.15, - "measurement_start_positions": 22, - "opened_positions": 451, - "peak_positions": 32, - "profit_factor": 0.39535090828133623, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -2.9, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23155, - "sortino": -3.7217347242675345, - "start_date": "2024-01-02", - "total_return_pct": -90.5, - "trades": 451, - "transaction_cost": 40.271764386395496, - "turnover_multiple": 19.624181656504394, - "underwater_pct": 94.46640316205533, - "win_rate": 18.6 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2024-seed-14|cost=0.2", - "cluster": 2024, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "metrics": { - "avg_cash_pct": 0.0798, - "avg_gross_exposure_pct": 99.9202, - "avg_hold_days": 10.8, - "avg_positions": 21.373, - "blocked_fraction": 0.0, - "cagr_pct": -93.1, - "calmar": -0.99, - "capacity_opportunities": 465, - "end_date": "2024-12-31", - "ev_net_r": -0.5819327683616045, - "ev_without_best": { - "1": -0.6208317741682585, - "10": -0.8091958501134399, - "5": -0.7297615466623547 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 253, - "time": 50, - "trailing_stop": 148 - }, - "gain_to_pain": -0.9394848559588445, - "longest_underwater_sessions": 252, - "max_drawdown_pct": 94.0, - "measurement_start_equity": 15729.03, - "measurement_start_positions": 23, - "opened_positions": 465, - "peak_positions": 33, - "profit_factor": 0.3952842897108031, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.21, - "simulation_start_date": "2023-10-02", - "skipped_book_full": 0, - "skipped_min_initial_risk": 23148, - "sortino": -3.9559712805489644, - "start_date": "2024-01-02", - "total_return_pct": -93.0, - "trades": 465, - "transaction_cost": 482.27880912393823, - "turnover_multiple": 15.330850317023305, - "underwater_pct": 99.60474308300395, - "win_rate": 17.6 - }, - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-01|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1703, - "avg_gross_exposure_pct": 99.8297, - "avg_hold_days": 11.7, - "avg_positions": 26.7222, - "blocked_fraction": 0.0, - "cagr_pct": -97.5, - "calmar": -0.99, - "capacity_opportunities": 553, - "end_date": "2026-01-05", - "ev_net_r": -0.642526344178984, - "ev_without_best": { - "1": -0.6843590578354728, - "10": -0.7798625745651397, - "5": -0.7363519079738226 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 316, - "time": 69, - "trailing_stop": 154 - }, - "gain_to_pain": -0.9425227837288026, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.2, - "measurement_start_equity": 1659.68, - "measurement_start_positions": 28, - "opened_positions": 553, - "peak_positions": 38, - "profit_factor": 0.27442546418976477, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.62, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24585, - "sortino": -5.386977397215333, - "start_date": "2025-01-02", - "total_return_pct": -97.6, - "trades": 553, - "transaction_cost": 15.674419520508083, - "turnover_multiple": 9.444241974662635, - "underwater_pct": 98.41897233201581, - "win_rate": 16.6 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-01|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1093, - "avg_gross_exposure_pct": 99.8907, - "avg_hold_days": 11.9, - "avg_positions": 27.0714, - "blocked_fraction": 0.0, - "cagr_pct": -96.5, - "calmar": -0.99, - "capacity_opportunities": 550, - "end_date": "2026-01-05", - "ev_net_r": -0.5389935986352683, - "ev_without_best": { - "1": -0.5872564327413096, - "10": -0.7325925323210357, - "5": -0.6873282216763495 - }, - "exit_reasons": { - "open_at_end": 15, - "stop": 301, - "time": 71, - "trailing_stop": 163 - }, - "gain_to_pain": -0.9315089491788092, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.5, - "measurement_start_equity": 1730.58, - "measurement_start_positions": 28, - "opened_positions": 550, - "peak_positions": 38, - "profit_factor": 0.37091587025371836, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.0, - "simulation_start_date": "2024-07-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24537, - "sortino": -4.958906173855691, - "start_date": "2025-01-02", - "total_return_pct": -96.6, - "trades": 550, - "transaction_cost": 36.06110038572266, - "turnover_multiple": 10.418790343619671, - "underwater_pct": 98.81422924901186, - "win_rate": 17.5 - }, - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-02|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1066, - "avg_gross_exposure_pct": 99.8934, - "avg_hold_days": 14.4, - "avg_positions": 12.9048, - "blocked_fraction": 0.0, - "cagr_pct": -71.6, - "calmar": -0.97, - "capacity_opportunities": 190, - "end_date": "2026-01-05", - "ev_net_r": -0.6346780885970994, - "ev_without_best": { - "1": -0.6560657151681599, - "10": -0.7535831879148873, - "5": -0.7110210374488236 - }, - "exit_reasons": { - "open_at_end": 4, - "stop": 89, - "time": 37, - "trailing_stop": 60 - }, - "gain_to_pain": -0.9930742429321289, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 73.6, - "measurement_start_equity": 1616.72, - "measurement_start_positions": 26, - "opened_positions": 190, - "peak_positions": 29, - "profit_factor": 0.13907074337571756, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.9, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 26186, - "sortino": -4.464072672626731, - "start_date": "2025-01-02", - "total_return_pct": -71.8, - "trades": 190, - "transaction_cost": 8.064062468975624, - "turnover_multiple": 4.987915327932867, - "underwater_pct": 98.81422924901186, - "win_rate": 14.7 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-02|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1163, - "avg_gross_exposure_pct": 99.8837, - "avg_hold_days": 14.6, - "avg_positions": 12.7262, - "blocked_fraction": 0.0, - "cagr_pct": -67.4, - "calmar": -0.98, - "capacity_opportunities": 184, - "end_date": "2026-01-05", - "ev_net_r": -0.5937201503082378, - "ev_without_best": { - "1": -0.6226120520494257, - "10": -0.7561815366661979, - "5": -0.697548804459807 - }, - "exit_reasons": { - "open_at_end": 4, - "stop": 90, - "time": 34, - "trailing_stop": 56 - }, - "gain_to_pain": -0.9453094984728841, - "longest_underwater_sessions": 248, - "max_drawdown_pct": 68.9, - "measurement_start_equity": 1504.59, - "measurement_start_positions": 25, - "opened_positions": 184, - "peak_positions": 29, - "profit_factor": 0.21390772495039106, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.74, - "simulation_start_date": "2024-07-08", - "skipped_book_full": 0, - "skipped_min_initial_risk": 26259, - "sortino": -4.511302819866644, - "start_date": "2025-01-02", - "total_return_pct": -67.7, - "trades": 184, - "transaction_cost": 14.629481858046828, - "turnover_multiple": 4.861617403427788, - "underwater_pct": 98.81422924901186, - "win_rate": 16.3 - }, - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-03|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.2978, - "avg_gross_exposure_pct": 99.7022, - "avg_hold_days": 11.6, - "avg_positions": 26.0079, - "blocked_fraction": 0.0, - "cagr_pct": -98.0, - "calmar": -1.0, - "capacity_opportunities": 538, - "end_date": "2026-01-05", - "ev_net_r": -0.6760544501714164, - "ev_without_best": { - "1": -0.7191181113341246, - "10": -0.8108339407124378, - "5": -0.7688796193932024 - }, - "exit_reasons": { - "open_at_end": 10, - "stop": 307, - "time": 67, - "trailing_stop": 154 - }, - "gain_to_pain": -0.9771363583450855, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 1165.23, - "measurement_start_positions": 28, - "opened_positions": 538, - "peak_positions": 37, - "profit_factor": 0.25461102349025266, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -5.19, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24285, - "sortino": -5.762370405055936, - "start_date": "2025-01-02", - "total_return_pct": -98.1, - "trades": 538, - "transaction_cost": 8.655791703177266, - "turnover_multiple": 7.4283975723052675, - "underwater_pct": 98.81422924901186, - "win_rate": 16.7 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-03|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1639, - "avg_gross_exposure_pct": 99.8361, - "avg_hold_days": 11.5, - "avg_positions": 26.7778, - "blocked_fraction": 0.0, - "cagr_pct": -97.0, - "calmar": -0.99, - "capacity_opportunities": 562, - "end_date": "2026-01-05", - "ev_net_r": -0.5568160496681794, - "ev_without_best": { - "1": -0.604078292761316, - "10": -0.7546157862872633, - "5": -0.7024685255653125 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 321, - "time": 70, - "trailing_stop": 158 - }, - "gain_to_pain": -0.9526452781386399, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.0, - "measurement_start_equity": 1139.25, - "measurement_start_positions": 28, - "opened_positions": 562, - "peak_positions": 37, - "profit_factor": 0.3622362196104287, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -3.89, - "simulation_start_date": "2024-07-15", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24410, - "sortino": -4.885529972176526, - "start_date": "2025-01-02", - "total_return_pct": -97.1, - "trades": 562, - "transaction_cost": 22.531660960070862, - "turnover_multiple": 9.888813236809682, - "underwater_pct": 98.41897233201581, - "win_rate": 17.3 - }, - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-04|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1429, - "avg_gross_exposure_pct": 99.8571, - "avg_hold_days": 11.5, - "avg_positions": 26.5278, - "blocked_fraction": 0.0, - "cagr_pct": -97.5, - "calmar": -1.0, - "capacity_opportunities": 548, - "end_date": "2026-01-05", - "ev_net_r": -0.6056987553582683, - "ev_without_best": { - "1": -0.654313201164728, - "10": -0.8033590198940612, - "5": -0.7555270929839926 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 319, - "time": 63, - "trailing_stop": 154 - }, - "gain_to_pain": -0.9598657199034024, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.0, - "measurement_start_equity": 1603.01, - "measurement_start_positions": 31, - "opened_positions": 548, - "peak_positions": 37, - "profit_factor": 0.32329092424136113, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.34, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24550, - "sortino": -5.295509138203658, - "start_date": "2025-01-02", - "total_return_pct": -97.6, - "trades": 548, - "transaction_cost": 14.367213854548867, - "turnover_multiple": 8.962647678148524, - "underwater_pct": 98.81422924901186, - "win_rate": 15.7 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-04|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1528, - "avg_gross_exposure_pct": 99.8472, - "avg_hold_days": 11.8, - "avg_positions": 26.3214, - "blocked_fraction": 0.0, - "cagr_pct": -97.3, - "calmar": -0.99, - "capacity_opportunities": 535, - "end_date": "2026-01-05", - "ev_net_r": -0.6572183978606347, - "ev_without_best": { - "1": -0.7004374237916009, - "10": -0.7926437665695629, - "5": -0.7531915377117502 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 307, - "time": 65, - "trailing_stop": 151 - }, - "gain_to_pain": -0.9701307168315707, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 1223.7, - "measurement_start_positions": 30, - "opened_positions": 535, - "peak_positions": 37, - "profit_factor": 0.26341927520129177, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.76, - "simulation_start_date": "2024-07-22", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24601, - "sortino": -5.426395959119477, - "start_date": "2025-01-02", - "total_return_pct": -97.4, - "trades": 535, - "transaction_cost": 22.255362867323388, - "turnover_multiple": 9.093471793463834, - "underwater_pct": 98.41897233201581, - "win_rate": 15.5 - }, - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-05|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.2012, - "avg_gross_exposure_pct": 99.7988, - "avg_hold_days": 11.9, - "avg_positions": 26.9722, - "blocked_fraction": 0.0, - "cagr_pct": -98.0, - "calmar": -1.0, - "capacity_opportunities": 540, - "end_date": "2026-01-05", - "ev_net_r": -0.6765651416136963, - "ev_without_best": { - "1": -0.7194699593053782, - "10": -0.8102795996306351, - "5": -0.7694469230398243 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 304, - "time": 67, - "trailing_stop": 158 - }, - "gain_to_pain": -0.9604276477361386, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 1370.23, - "measurement_start_positions": 30, - "opened_positions": 540, - "peak_positions": 39, - "profit_factor": 0.24385431987338158, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -5.53, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24343, - "sortino": -6.151113506418583, - "start_date": "2025-01-02", - "total_return_pct": -98.1, - "trades": 540, - "transaction_cost": 10.49862924107731, - "turnover_multiple": 7.661946710462702, - "underwater_pct": 98.81422924901186, - "win_rate": 15.6 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-05|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.2041, - "avg_gross_exposure_pct": 99.7959, - "avg_hold_days": 11.6, - "avg_positions": 26.0278, - "blocked_fraction": 0.0, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 535, - "end_date": "2026-01-05", - "ev_net_r": -0.6378730245555913, - "ev_without_best": { - "1": -0.6810558231957241, - "10": -0.7917657343813659, - "5": -0.7512920298908525 - }, - "exit_reasons": { - "open_at_end": 13, - "stop": 307, - "time": 71, - "trailing_stop": 144 - }, - "gain_to_pain": -0.9572825175603195, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.2, - "measurement_start_equity": 1465.24, - "measurement_start_positions": 30, - "opened_positions": 535, - "peak_positions": 36, - "profit_factor": 0.2876465576343378, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.97, - "simulation_start_date": "2024-07-29", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24565, - "sortino": -5.536922359749484, - "start_date": "2025-01-02", - "total_return_pct": -97.8, - "trades": 535, - "transaction_cost": 25.63281493959618, - "turnover_multiple": 8.746968052877406, - "underwater_pct": 98.81422924901186, - "win_rate": 16.4 - }, - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-06|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1166, - "avg_gross_exposure_pct": 99.8834, - "avg_hold_days": 11.9, - "avg_positions": 27.0873, - "blocked_fraction": 0.0, - "cagr_pct": -96.8, - "calmar": -0.99, - "capacity_opportunities": 545, - "end_date": "2026-01-05", - "ev_net_r": -0.5693771645945315, - "ev_without_best": { - "1": -0.618192937141167, - "10": -0.7675645502008209, - "5": -0.7197015708481418 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 303, - "time": 66, - "trailing_stop": 159 - }, - "gain_to_pain": -0.9422928021826505, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.3, - "measurement_start_equity": 2628.88, - "measurement_start_positions": 30, - "opened_positions": 545, - "peak_positions": 38, - "profit_factor": 0.3378516497514535, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.23, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24550, - "sortino": -4.956418868568193, - "start_date": "2025-01-02", - "total_return_pct": -96.9, - "trades": 545, - "transaction_cost": 24.948108584373266, - "turnover_multiple": 9.490014220646536, - "underwater_pct": 98.81422924901186, - "win_rate": 16.7 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-06|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.126, - "avg_gross_exposure_pct": 99.874, - "avg_hold_days": 12.1, - "avg_positions": 27.7143, - "blocked_fraction": 0.0, - "cagr_pct": -96.6, - "calmar": -0.99, - "capacity_opportunities": 546, - "end_date": "2026-01-05", - "ev_net_r": -0.5282234330945768, - "ev_without_best": { - "1": -0.6226974278409957, - "10": -0.749246260482829, - "5": -0.7078983503855865 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 298, - "time": 72, - "trailing_stop": 155 - }, - "gain_to_pain": -0.8902730801278522, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.3, - "measurement_start_equity": 3126.85, - "measurement_start_positions": 33, - "opened_positions": 546, - "peak_positions": 40, - "profit_factor": 0.382809258936571, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.18, - "simulation_start_date": "2024-08-05", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24443, - "sortino": -4.938233560047654, - "start_date": "2025-01-02", - "total_return_pct": -96.6, - "trades": 546, - "transaction_cost": 57.8871990141915, - "turnover_multiple": 9.256472010840223, - "underwater_pct": 98.81422924901186, - "win_rate": 17.2 - }, - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-07|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1777, - "avg_gross_exposure_pct": 99.8223, - "avg_hold_days": 11.5, - "avg_positions": 26.6905, - "blocked_fraction": 0.0, - "cagr_pct": -97.9, - "calmar": -0.99, - "capacity_opportunities": 552, - "end_date": "2026-01-05", - "ev_net_r": -0.6391999467762032, - "ev_without_best": { - "1": -0.6811025448542052, - "10": -0.7674413462517609, - "5": -0.7293124562428136 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 318, - "time": 71, - "trailing_stop": 147 - }, - "gain_to_pain": -0.9404830421870611, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.5, - "measurement_start_equity": 2605.6, - "measurement_start_positions": 34, - "opened_positions": 552, - "peak_positions": 38, - "profit_factor": 0.26866651565010313, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.93, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24561, - "sortino": -5.627405064057114, - "start_date": "2025-01-02", - "total_return_pct": -97.9, - "trades": 552, - "transaction_cost": 23.484967522580533, - "turnover_multiple": 9.01326662671958, - "underwater_pct": 98.41897233201581, - "win_rate": 17.0 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-07|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1121, - "avg_gross_exposure_pct": 99.8879, - "avg_hold_days": 11.7, - "avg_positions": 27.1627, - "blocked_fraction": 0.0, - "cagr_pct": -96.5, - "calmar": -0.99, - "capacity_opportunities": 554, - "end_date": "2026-01-05", - "ev_net_r": -0.5623659109789862, - "ev_without_best": { - "1": -0.6039284921006035, - "10": -0.7266397701816686, - "5": -0.6771963125369209 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 302, - "time": 68, - "trailing_stop": 167 - }, - "gain_to_pain": -0.9399700144339329, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.5, - "measurement_start_equity": 2889.7, - "measurement_start_positions": 31, - "opened_positions": 554, - "peak_positions": 39, - "profit_factor": 0.34435284368894586, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.26, - "simulation_start_date": "2024-08-12", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24510, - "sortino": -5.058293008719268, - "start_date": "2025-01-02", - "total_return_pct": -96.6, - "trades": 554, - "transaction_cost": 55.647807119357665, - "turnover_multiple": 9.628647804159197, - "underwater_pct": 98.41897233201581, - "win_rate": 17.9 - }, - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-08|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1436, - "avg_gross_exposure_pct": 99.8564, - "avg_hold_days": 11.6, - "avg_positions": 26.5159, - "blocked_fraction": 0.0, - "cagr_pct": -97.6, - "calmar": -0.99, - "capacity_opportunities": 547, - "end_date": "2026-01-05", - "ev_net_r": -0.6477613115128146, - "ev_without_best": { - "1": -0.6900633131716345, - "10": -0.780313792159231, - "5": -0.7417173060263677 - }, - "exit_reasons": { - "open_at_end": 11, - "stop": 312, - "time": 65, - "trailing_stop": 159 - }, - "gain_to_pain": -0.9454380533917089, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.3, - "measurement_start_equity": 1753.45, - "measurement_start_positions": 29, - "opened_positions": 547, - "peak_positions": 38, - "profit_factor": 0.26332613547910344, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.99, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24556, - "sortino": -5.727428369252824, - "start_date": "2025-01-02", - "total_return_pct": -97.7, - "trades": 547, - "transaction_cost": 15.031657035820924, - "turnover_multiple": 8.57261800212206, - "underwater_pct": 98.41897233201581, - "win_rate": 16.1 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-08|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1538, - "avg_gross_exposure_pct": 99.8462, - "avg_hold_days": 11.3, - "avg_positions": 25.9722, - "blocked_fraction": 0.0, - "cagr_pct": -98.2, - "calmar": -0.99, - "capacity_opportunities": 547, - "end_date": "2026-01-05", - "ev_net_r": -0.6868660001524273, - "ev_without_best": { - "1": -0.7291894570195112, - "10": -0.8271665209441952, - "5": -0.7837243921270907 - }, - "exit_reasons": { - "open_at_end": 12, - "stop": 324, - "time": 67, - "trailing_stop": 144 - }, - "gain_to_pain": -0.9588281283396889, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.7, - "measurement_start_equity": 1680.07, - "measurement_start_positions": 30, - "opened_positions": 547, - "peak_positions": 36, - "profit_factor": 0.24961733214747658, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -5.51, - "simulation_start_date": "2024-08-19", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24505, - "sortino": -5.969267540199832, - "start_date": "2025-01-02", - "total_return_pct": -98.3, - "trades": 547, - "transaction_cost": 27.43113406576898, - "turnover_multiple": 8.16368784210449, - "underwater_pct": 98.41897233201581, - "win_rate": 15.9 - }, - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-09|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1153, - "avg_gross_exposure_pct": 99.8847, - "avg_hold_days": 12.0, - "avg_positions": 27.4286, - "blocked_fraction": 0.0, - "cagr_pct": -97.4, - "calmar": -0.99, - "capacity_opportunities": 549, - "end_date": "2026-01-05", - "ev_net_r": -0.6103607252896912, - "ev_without_best": { - "1": -0.6524400908362106, - "10": -0.7651248662061868, - "5": -0.7230923495607569 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 306, - "time": 69, - "trailing_stop": 157 - }, - "gain_to_pain": -0.9646583457028893, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 3436.09, - "measurement_start_positions": 30, - "opened_positions": 549, - "peak_positions": 39, - "profit_factor": 0.2988350289251886, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.89, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24492, - "sortino": -5.491785931010434, - "start_date": "2025-01-02", - "total_return_pct": -97.5, - "trades": 549, - "transaction_cost": 31.91679868578256, - "turnover_multiple": 9.288696945010916, - "underwater_pct": 98.41897233201581, - "win_rate": 17.7 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-09|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.0942, - "avg_gross_exposure_pct": 99.9058, - "avg_hold_days": 12.2, - "avg_positions": 27.75, - "blocked_fraction": 0.0, - "cagr_pct": -96.7, - "calmar": -0.99, - "capacity_opportunities": 546, - "end_date": "2026-01-05", - "ev_net_r": -0.5739485622405182, - "ev_without_best": { - "1": -0.6161424888671528, - "10": -0.7362565369987171, - "5": -0.6915526165293904 - }, - "exit_reasons": { - "open_at_end": 21, - "stop": 293, - "time": 78, - "trailing_stop": 154 - }, - "gain_to_pain": -0.9489307015653932, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.4, - "measurement_start_equity": 3274.5, - "measurement_start_positions": 30, - "opened_positions": 546, - "peak_positions": 38, - "profit_factor": 0.3208815784627367, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.54, - "simulation_start_date": "2024-08-26", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24502, - "sortino": -5.213051154402139, - "start_date": "2025-01-02", - "total_return_pct": -96.8, - "trades": 546, - "transaction_cost": 63.53999320383028, - "turnover_multiple": 9.702243579757258, - "underwater_pct": 98.81422924901186, - "win_rate": 17.9 - }, - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-10|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1242, - "avg_gross_exposure_pct": 99.8758, - "avg_hold_days": 11.8, - "avg_positions": 27.3016, - "blocked_fraction": 0.0, - "cagr_pct": -97.2, - "calmar": -0.99, - "capacity_opportunities": 554, - "end_date": "2026-01-05", - "ev_net_r": -0.5938601004578326, - "ev_without_best": { - "1": -0.6419256758669338, - "10": -0.7716132636191215, - "5": -0.7248785095156378 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 312, - "time": 70, - "trailing_stop": 158 - }, - "gain_to_pain": -0.945465762224531, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 2223.63, - "measurement_start_positions": 28, - "opened_positions": 554, - "peak_positions": 40, - "profit_factor": 0.32265386005617513, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.28, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24561, - "sortino": -5.057831486766778, - "start_date": "2025-01-02", - "total_return_pct": -97.3, - "trades": 554, - "transaction_cost": 22.099338602788187, - "turnover_multiple": 9.938406390806108, - "underwater_pct": 98.41897233201581, - "win_rate": 17.3 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-10|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1519, - "avg_gross_exposure_pct": 99.8481, - "avg_hold_days": 11.9, - "avg_positions": 26.2778, - "blocked_fraction": 0.0, - "cagr_pct": -97.7, - "calmar": -1.0, - "capacity_opportunities": 528, - "end_date": "2026-01-05", - "ev_net_r": -0.6794085246871926, - "ev_without_best": { - "1": -0.7232437238787724, - "10": -0.8085603538589619, - "5": -0.7701227961734726 - }, - "exit_reasons": { - "open_at_end": 14, - "stop": 296, - "time": 64, - "trailing_stop": 154 - }, - "gain_to_pain": -0.9353463149985201, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.1, - "measurement_start_equity": 3543.32, - "measurement_start_positions": 32, - "opened_positions": 528, - "peak_positions": 37, - "profit_factor": 0.2442304670149499, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -5.02, - "simulation_start_date": "2024-09-03", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24679, - "sortino": -5.6690182701591745, - "start_date": "2025-01-02", - "total_return_pct": -97.8, - "trades": 528, - "transaction_cost": 59.3152920153586, - "turnover_multiple": 8.370016258108016, - "underwater_pct": 98.81422924901186, - "win_rate": 17.0 - }, - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-11|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.0994, - "avg_gross_exposure_pct": 99.9006, - "avg_hold_days": 11.9, - "avg_positions": 27.5675, - "blocked_fraction": 0.0, - "cagr_pct": -96.7, - "calmar": -0.99, - "capacity_opportunities": 553, - "end_date": "2026-01-05", - "ev_net_r": -0.5198000148573333, - "ev_without_best": { - "1": -0.6131639440307866, - "10": -0.7548379769086688, - "5": -0.7131539918945181 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 307, - "time": 68, - "trailing_stop": 160 - }, - "gain_to_pain": -0.8840246653888697, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.4, - "measurement_start_equity": 4599.08, - "measurement_start_positions": 29, - "opened_positions": 553, - "peak_positions": 40, - "profit_factor": 0.3945546191072178, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.46, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24548, - "sortino": -5.160285517828397, - "start_date": "2025-01-02", - "total_return_pct": -96.8, - "trades": 553, - "transaction_cost": 43.89011078077582, - "turnover_multiple": 9.543237078019043, - "underwater_pct": 98.81422924901186, - "win_rate": 17.7 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-11|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1149, - "avg_gross_exposure_pct": 99.8851, - "avg_hold_days": 11.7, - "avg_positions": 26.9921, - "blocked_fraction": 0.0, - "cagr_pct": -97.5, - "calmar": -0.99, - "capacity_opportunities": 560, - "end_date": "2026-01-05", - "ev_net_r": -0.583756359262052, - "ev_without_best": { - "1": -0.6759636223442806, - "10": -0.7995553400912208, - "5": -0.7581078182953364 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 321, - "time": 72, - "trailing_stop": 149 - }, - "gain_to_pain": -0.9533280243873942, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.0, - "measurement_start_equity": 3409.83, - "measurement_start_positions": 24, - "opened_positions": 560, - "peak_positions": 38, - "profit_factor": 0.3458996909858235, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.75, - "simulation_start_date": "2024-09-09", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24540, - "sortino": -5.493556636435439, - "start_date": "2025-01-02", - "total_return_pct": -97.5, - "trades": 560, - "transaction_cost": 57.658907032663, - "turnover_multiple": 8.454806696032207, - "underwater_pct": 98.81422924901186, - "win_rate": 17.3 - }, - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-12|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.0828, - "avg_gross_exposure_pct": 99.9172, - "avg_hold_days": 12.0, - "avg_positions": 27.6627, - "blocked_fraction": 0.0, - "cagr_pct": -97.5, - "calmar": -0.99, - "capacity_opportunities": 553, - "end_date": "2026-01-05", - "ev_net_r": -0.605747472245372, - "ev_without_best": { - "1": -0.6475135575106769, - "10": -0.7585005279293442, - "5": -0.717614146220259 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 303, - "time": 66, - "trailing_stop": 167 - }, - "gain_to_pain": -0.9647642453204115, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.2, - "measurement_start_equity": 5267.83, - "measurement_start_positions": 31, - "opened_positions": 553, - "peak_positions": 37, - "profit_factor": 0.2922754246538873, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.87, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24451, - "sortino": -5.539150150320543, - "start_date": "2025-01-02", - "total_return_pct": -97.6, - "trades": 553, - "transaction_cost": 48.826391060124465, - "turnover_multiple": 9.268786399736602, - "underwater_pct": 98.41897233201581, - "win_rate": 17.4 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-12|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1401, - "avg_gross_exposure_pct": 99.8599, - "avg_hold_days": 12.0, - "avg_positions": 27.0198, - "blocked_fraction": 0.0, - "cagr_pct": -97.2, - "calmar": -0.99, - "capacity_opportunities": 535, - "end_date": "2026-01-05", - "ev_net_r": -0.53082127042103, - "ev_without_best": { - "1": -0.627246223556095, - "10": -0.7530500456126196, - "5": -0.710808086578172 - }, - "exit_reasons": { - "open_at_end": 20, - "stop": 289, - "time": 68, - "trailing_stop": 158 - }, - "gain_to_pain": -0.9450506804137816, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.7, - "measurement_start_equity": 4931.83, - "measurement_start_positions": 33, - "opened_positions": 535, - "peak_positions": 38, - "profit_factor": 0.38829132252976484, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.62, - "simulation_start_date": "2024-09-16", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24569, - "sortino": -5.305182761010162, - "start_date": "2025-01-02", - "total_return_pct": -97.2, - "trades": 535, - "transaction_cost": 84.80772857610945, - "turnover_multiple": 8.597997961822433, - "underwater_pct": 98.81422924901186, - "win_rate": 16.6 - }, - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-13|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1311, - "avg_gross_exposure_pct": 99.8689, - "avg_hold_days": 11.8, - "avg_positions": 27.246, - "blocked_fraction": 0.0, - "cagr_pct": -98.1, - "calmar": -0.99, - "capacity_opportunities": 559, - "end_date": "2026-01-05", - "ev_net_r": -0.6415326175594912, - "ev_without_best": { - "1": -0.6829137362185637, - "10": -0.7650939167566355, - "5": -0.7274462052590663 - }, - "exit_reasons": { - "open_at_end": 18, - "stop": 309, - "time": 70, - "trailing_stop": 162 - }, - "gain_to_pain": -0.968088010979414, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.6, - "measurement_start_equity": 4692.24, - "measurement_start_positions": 31, - "opened_positions": 559, - "peak_positions": 35, - "profit_factor": 0.2614185145095614, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -5.15, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24511, - "sortino": -5.834936904024718, - "start_date": "2025-01-02", - "total_return_pct": -98.2, - "trades": 559, - "transaction_cost": 43.431792357828805, - "turnover_multiple": 9.256089278858031, - "underwater_pct": 98.41897233201581, - "win_rate": 17.2 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-13|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1175, - "avg_gross_exposure_pct": 99.8825, - "avg_hold_days": 11.7, - "avg_positions": 26.6944, - "blocked_fraction": 0.0, - "cagr_pct": -97.5, - "calmar": -0.99, - "capacity_opportunities": 548, - "end_date": "2026-01-05", - "ev_net_r": -0.6039251501996845, - "ev_without_best": { - "1": -0.646019604677701, - "10": -0.7652496242301429, - "5": -0.7170477648840793 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 317, - "time": 69, - "trailing_stop": 145 - }, - "gain_to_pain": -0.9451298461978428, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.2, - "measurement_start_equity": 4647.84, - "measurement_start_positions": 30, - "opened_positions": 548, - "peak_positions": 37, - "profit_factor": 0.31638493722031763, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.74, - "simulation_start_date": "2024-09-23", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24560, - "sortino": -5.525863726759564, - "start_date": "2025-01-02", - "total_return_pct": -97.6, - "trades": 548, - "transaction_cost": 84.90313581876633, - "turnover_multiple": 9.133612153039511, - "underwater_pct": 98.41897233201581, - "win_rate": 17.2 - }, - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-14|cost=0.1", - "cluster": 2025, - "cost_per_side_pct": 0.1, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1231, - "avg_gross_exposure_pct": 99.8769, - "avg_hold_days": 12.0, - "avg_positions": 27.3214, - "blocked_fraction": 0.0, - "cagr_pct": -97.6, - "calmar": -0.99, - "capacity_opportunities": 546, - "end_date": "2026-01-05", - "ev_net_r": -0.6399017483272711, - "ev_without_best": { - "1": -0.6822669471209043, - "10": -0.7694194752588677, - "5": -0.7308851013830543 - }, - "exit_reasons": { - "open_at_end": 17, - "stop": 302, - "time": 69, - "trailing_stop": 158 - }, - "gain_to_pain": -0.965208961953849, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 98.2, - "measurement_start_equity": 6226.9, - "measurement_start_positions": 31, - "opened_positions": 546, - "peak_positions": 37, - "profit_factor": 0.26519452402580646, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.98, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24553, - "sortino": -5.626235844913783, - "start_date": "2025-01-02", - "total_return_pct": -97.7, - "trades": 546, - "transaction_cost": 56.34118397861913, - "turnover_multiple": 9.048030959003539, - "underwater_pct": 98.41897233201581, - "win_rate": 15.8 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - }, - { - "arm_id": "cash_unbounded", - "cell_id": "cash_unbounded|warm_book|warm-2025-seed-14|cost=0.2", - "cluster": 2025, - "cost_per_side_pct": 0.2, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "metrics": { - "avg_cash_pct": 0.1186, - "avg_gross_exposure_pct": 99.8814, - "avg_hold_days": 11.6, - "avg_positions": 26.5397, - "blocked_fraction": 0.0, - "cagr_pct": -97.1, - "calmar": -0.99, - "capacity_opportunities": 550, - "end_date": "2026-01-05", - "ev_net_r": -0.6170211700709015, - "ev_without_best": { - "1": -0.6589861293046835, - "10": -0.7571748901131875, - "5": -0.712234848450696 - }, - "exit_reasons": { - "open_at_end": 16, - "stop": 312, - "time": 67, - "trailing_stop": 155 - }, - "gain_to_pain": -0.9536784737315972, - "longest_underwater_sessions": 249, - "max_drawdown_pct": 97.8, - "measurement_start_equity": 6141.16, - "measurement_start_positions": 31, - "opened_positions": 550, - "peak_positions": 37, - "profit_factor": 0.30040943334312686, - "sessions_at_capacity": 0, - "sessions_measured": 252, - "sharpe": -4.64, - "simulation_start_date": "2024-09-30", - "skipped_book_full": 0, - "skipped_min_initial_risk": 24614, - "sortino": -5.365370171951717, - "start_date": "2025-01-02", - "total_return_pct": -97.1, - "trades": 550, - "transaction_cost": 123.40463071542403, - "turnover_multiple": 10.047338834635804, - "underwater_pct": 98.41897233201581, - "win_rate": 16.4 - }, - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - } - ], - "cohort_manifest": { - "empty_book": [ - { - "cluster": 2019, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - } - ], - "empty_cluster_count": 7, - "empty_cluster_counts": { - "2019": 11, - "2020": 12, - "2021": 12, - "2022": 12, - "2023": 12, - "2024": 12, - "2025": 7 - }, - "expected_clusters": [ - 2019, - 2020, - 2021, - 2022, - 2023, - 2024, - 2025 - ], - "session_count": 2649, - "snapshot_first_session": "2016-01-04", - "snapshot_last_session": "2026-07-17", - "warm_book": [ - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - } - ], - "warm_cluster_count": 7, - "warm_seed_counts": { - "2019": 14, - "2020": 14, - "2021": 13, - "2022": 14, - "2023": 14, - "2024": 14, - "2025": 14 - } - }, - "costs_per_side_pct": [ - 0.1, - 0.2 - ], - "decision_rule": "No formal promotion gate. Report paired annual medians, warm-seed EV/Calmar IQR ratios, and simple bootstrap intervals as context.", - "environment": { - "command": [ - "/Users/taathde3/git/lab/signal_platform/.venv/bin/python", - "scripts/run_portfolio_construction_matrix.py", - "backtest_snapshots/research.sqlite", - "--run-id", - "prod505-capacity-bracket-daily-v1", - "--workers", - "12", - "--resume" - ], - "platform": "macOS-26.5.2-arm64-arm-64bit-Mach-O", - "python": "3.13.13 (main, Apr 7 2026, 18:19:01) [Clang 21.0.0 (clang-2100.0.123.102)]", - "requirements_sha256": null - }, - "fingerprint": "fdf6ed2f06d0f63961cf6337cc7cf0c95ffaeaf5476cda45b4a4df56700ef224", - "fingerprint_payload": { - "arms": [ - { - "id": "cap10_incumbent", - "label": "Cap 10, arrival-order incumbents", - "max_positions": 10, - "min_initial_risk_fraction": null, - "weekly_top_n_rebalance": false - }, - { - "id": "cash_unbounded", - "label": "Cash-constrained, no count cap", - "max_positions": null, - "min_initial_risk_fraction": 0.005, - "weekly_top_n_rebalance": false - }, - { - "id": "cap10_weekly_top10", - "label": "Cap 10, weekly current-rank top 10", - "max_positions": 10, - "min_initial_risk_fraction": null, - "weekly_top_n_rebalance": true - }, - { - "id": "cap15_incumbent", - "label": "Cap 15, arrival-order incumbents", - "max_positions": 15, - "min_initial_risk_fraction": null, - "weekly_top_n_rebalance": false - } - ], - "bootstrap": { - "replicates": 10000, - "seed": 20260805 - }, - "candidate_cache_key": { - "activation_hash": "855eb2297e2cd5d6e49cbffe7278ae4b19401ac121525bf1eac04b3b5798c19f", - "cadence": "daily", - "outcome_horizon_sessions": 0, - "recommendation_config_hash": "2d6d2256fc6507b878d392c25b06c1825d4dc98565929b00f378478c39092a4c", - "runtime_config": { - "exit_policy": "atr_trail3", - "hold_days": 30, - "max_positions": 10, - "ranking_key": "residual_high_vol_blend_80_20_score", - "risk_per_trade": 0.01, - "threshold": 80.0 - }, - "snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite", - "snapshot_sha256": "c04a5bbef2c8c1f9e218817a5b0adce40ccc4bccba22699bc5ed2564f09858ce", - "universe_manifest": { - "symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", - "symbols_with_prices": 4654, - "ticker_rows": 4655 - }, - "version": "portfolio-capacity-candidates-v1-zero-horizon" - }, - "cohort_manifest": { - "empty_book": [ - { - "cluster": 2019, - "hard_end_exclusive": "2020-02-03", - "measurement_start": "2019-02-01", - "path_id": "empty-2019-02", - "protocol": "empty_book", - "simulation_start": "2019-02-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-03-02", - "measurement_start": "2019-03-01", - "path_id": "empty-2019-03", - "protocol": "empty_book", - "simulation_start": "2019-03-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-03-31", - "measurement_start": "2019-04-01", - "path_id": "empty-2019-04", - "protocol": "empty_book", - "simulation_start": "2019-04-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-04-30", - "measurement_start": "2019-05-01", - "path_id": "empty-2019-05", - "protocol": "empty_book", - "simulation_start": "2019-05-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-06-02", - "measurement_start": "2019-06-03", - "path_id": "empty-2019-06", - "protocol": "empty_book", - "simulation_start": "2019-06-03" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-06-30", - "measurement_start": "2019-07-01", - "path_id": "empty-2019-07", - "protocol": "empty_book", - "simulation_start": "2019-07-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-07-31", - "measurement_start": "2019-08-01", - "path_id": "empty-2019-08", - "protocol": "empty_book", - "simulation_start": "2019-08-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-09-01", - "measurement_start": "2019-09-03", - "path_id": "empty-2019-09", - "protocol": "empty_book", - "simulation_start": "2019-09-03" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-09-30", - "measurement_start": "2019-10-01", - "path_id": "empty-2019-10", - "protocol": "empty_book", - "simulation_start": "2019-10-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-11-02", - "measurement_start": "2019-11-01", - "path_id": "empty-2019-11", - "protocol": "empty_book", - "simulation_start": "2019-11-01" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-12-01", - "measurement_start": "2019-12-02", - "path_id": "empty-2019-12", - "protocol": "empty_book", - "simulation_start": "2019-12-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "empty-2020-01", - "protocol": "empty_book", - "simulation_start": "2020-01-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-02-02", - "measurement_start": "2020-02-03", - "path_id": "empty-2020-02", - "protocol": "empty_book", - "simulation_start": "2020-02-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-03-02", - "measurement_start": "2020-03-02", - "path_id": "empty-2020-03", - "protocol": "empty_book", - "simulation_start": "2020-03-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-04-01", - "measurement_start": "2020-04-01", - "path_id": "empty-2020-04", - "protocol": "empty_book", - "simulation_start": "2020-04-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-05-03", - "measurement_start": "2020-05-01", - "path_id": "empty-2020-05", - "protocol": "empty_book", - "simulation_start": "2020-05-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-06-01", - "measurement_start": "2020-06-01", - "path_id": "empty-2020-06", - "protocol": "empty_book", - "simulation_start": "2020-06-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-07-01", - "measurement_start": "2020-07-01", - "path_id": "empty-2020-07", - "protocol": "empty_book", - "simulation_start": "2020-07-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-08-03", - "measurement_start": "2020-08-03", - "path_id": "empty-2020-08", - "protocol": "empty_book", - "simulation_start": "2020-08-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-09-01", - "measurement_start": "2020-09-01", - "path_id": "empty-2020-09", - "protocol": "empty_book", - "simulation_start": "2020-09-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-10-01", - "measurement_start": "2020-10-01", - "path_id": "empty-2020-10", - "protocol": "empty_book", - "simulation_start": "2020-10-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-11-02", - "measurement_start": "2020-11-02", - "path_id": "empty-2020-11", - "protocol": "empty_book", - "simulation_start": "2020-11-02" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2021-12-01", - "measurement_start": "2020-12-01", - "path_id": "empty-2020-12", - "protocol": "empty_book", - "simulation_start": "2020-12-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "empty-2021-01", - "protocol": "empty_book", - "simulation_start": "2021-01-04" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-31", - "measurement_start": "2021-02-01", - "path_id": "empty-2021-02", - "protocol": "empty_book", - "simulation_start": "2021-02-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-02-28", - "measurement_start": "2021-03-01", - "path_id": "empty-2021-03", - "protocol": "empty_book", - "simulation_start": "2021-03-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-03-31", - "measurement_start": "2021-04-01", - "path_id": "empty-2021-04", - "protocol": "empty_book", - "simulation_start": "2021-04-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-05-02", - "measurement_start": "2021-05-03", - "path_id": "empty-2021-05", - "protocol": "empty_book", - "simulation_start": "2021-05-03" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-05-31", - "measurement_start": "2021-06-01", - "path_id": "empty-2021-06", - "protocol": "empty_book", - "simulation_start": "2021-06-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-07-01", - "measurement_start": "2021-07-01", - "path_id": "empty-2021-07", - "protocol": "empty_book", - "simulation_start": "2021-07-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-08-02", - "measurement_start": "2021-08-02", - "path_id": "empty-2021-08", - "protocol": "empty_book", - "simulation_start": "2021-08-02" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-09-01", - "measurement_start": "2021-09-01", - "path_id": "empty-2021-09", - "protocol": "empty_book", - "simulation_start": "2021-09-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-10-03", - "measurement_start": "2021-10-01", - "path_id": "empty-2021-10", - "protocol": "empty_book", - "simulation_start": "2021-10-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-11-01", - "measurement_start": "2021-11-01", - "path_id": "empty-2021-11", - "protocol": "empty_book", - "simulation_start": "2021-11-01" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-12-01", - "measurement_start": "2021-12-01", - "path_id": "empty-2021-12", - "protocol": "empty_book", - "simulation_start": "2021-12-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "empty-2022-01", - "protocol": "empty_book", - "simulation_start": "2022-01-03" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-02-02", - "measurement_start": "2022-02-01", - "path_id": "empty-2022-02", - "protocol": "empty_book", - "simulation_start": "2022-02-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-03-02", - "measurement_start": "2022-03-01", - "path_id": "empty-2022-03", - "protocol": "empty_book", - "simulation_start": "2022-03-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-04-04", - "measurement_start": "2022-04-01", - "path_id": "empty-2022-04", - "protocol": "empty_book", - "simulation_start": "2022-04-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-05-03", - "measurement_start": "2022-05-02", - "path_id": "empty-2022-05", - "protocol": "empty_book", - "simulation_start": "2022-05-02" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-06-02", - "measurement_start": "2022-06-01", - "path_id": "empty-2022-06", - "protocol": "empty_book", - "simulation_start": "2022-06-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-07-05", - "measurement_start": "2022-07-01", - "path_id": "empty-2022-07", - "protocol": "empty_book", - "simulation_start": "2022-07-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-08-02", - "measurement_start": "2022-08-01", - "path_id": "empty-2022-08", - "protocol": "empty_book", - "simulation_start": "2022-08-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-09-05", - "measurement_start": "2022-09-01", - "path_id": "empty-2022-09", - "protocol": "empty_book", - "simulation_start": "2022-09-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-10-04", - "measurement_start": "2022-10-03", - "path_id": "empty-2022-10", - "protocol": "empty_book", - "simulation_start": "2022-10-03" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-11-02", - "measurement_start": "2022-11-01", - "path_id": "empty-2022-11", - "protocol": "empty_book", - "simulation_start": "2022-11-01" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-12-04", - "measurement_start": "2022-12-01", - "path_id": "empty-2022-12", - "protocol": "empty_book", - "simulation_start": "2022-12-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "empty-2023-01", - "protocol": "empty_book", - "simulation_start": "2023-01-03" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-02-02", - "measurement_start": "2023-02-01", - "path_id": "empty-2023-02", - "protocol": "empty_book", - "simulation_start": "2023-02-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-03-01", - "measurement_start": "2023-03-01", - "path_id": "empty-2023-03", - "protocol": "empty_book", - "simulation_start": "2023-03-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-04-04", - "measurement_start": "2023-04-03", - "path_id": "empty-2023-04", - "protocol": "empty_book", - "simulation_start": "2023-04-03" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-05-01", - "measurement_start": "2023-05-01", - "path_id": "empty-2023-05", - "protocol": "empty_book", - "simulation_start": "2023-05-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-06-03", - "measurement_start": "2023-06-01", - "path_id": "empty-2023-06", - "protocol": "empty_book", - "simulation_start": "2023-06-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-07-03", - "measurement_start": "2023-07-03", - "path_id": "empty-2023-07", - "protocol": "empty_book", - "simulation_start": "2023-07-03" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-08-01", - "measurement_start": "2023-08-01", - "path_id": "empty-2023-08", - "protocol": "empty_book", - "simulation_start": "2023-08-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-09-04", - "measurement_start": "2023-09-01", - "path_id": "empty-2023-09", - "protocol": "empty_book", - "simulation_start": "2023-09-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-10-02", - "measurement_start": "2023-10-02", - "path_id": "empty-2023-10", - "protocol": "empty_book", - "simulation_start": "2023-10-02" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-11-01", - "measurement_start": "2023-11-01", - "path_id": "empty-2023-11", - "protocol": "empty_book", - "simulation_start": "2023-11-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-12-03", - "measurement_start": "2023-12-01", - "path_id": "empty-2023-12", - "protocol": "empty_book", - "simulation_start": "2023-12-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "empty-2024-01", - "protocol": "empty_book", - "simulation_start": "2024-01-02" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-02-04", - "measurement_start": "2024-02-01", - "path_id": "empty-2024-02", - "protocol": "empty_book", - "simulation_start": "2024-02-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-03-05", - "measurement_start": "2024-03-01", - "path_id": "empty-2024-03", - "protocol": "empty_book", - "simulation_start": "2024-03-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-04-02", - "measurement_start": "2024-04-01", - "path_id": "empty-2024-04", - "protocol": "empty_book", - "simulation_start": "2024-04-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-05-05", - "measurement_start": "2024-05-01", - "path_id": "empty-2024-05", - "protocol": "empty_book", - "simulation_start": "2024-05-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-06-05", - "measurement_start": "2024-06-03", - "path_id": "empty-2024-06", - "protocol": "empty_book", - "simulation_start": "2024-06-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-07-03", - "measurement_start": "2024-07-01", - "path_id": "empty-2024-07", - "protocol": "empty_book", - "simulation_start": "2024-07-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-08-05", - "measurement_start": "2024-08-01", - "path_id": "empty-2024-08", - "protocol": "empty_book", - "simulation_start": "2024-08-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-09-05", - "measurement_start": "2024-09-03", - "path_id": "empty-2024-09", - "protocol": "empty_book", - "simulation_start": "2024-09-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-10-03", - "measurement_start": "2024-10-01", - "path_id": "empty-2024-10", - "protocol": "empty_book", - "simulation_start": "2024-10-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-11-05", - "measurement_start": "2024-11-01", - "path_id": "empty-2024-11", - "protocol": "empty_book", - "simulation_start": "2024-11-01" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-12-04", - "measurement_start": "2024-12-02", - "path_id": "empty-2024-12", - "protocol": "empty_book", - "simulation_start": "2024-12-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "empty-2025-01", - "protocol": "empty_book", - "simulation_start": "2025-01-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-02-04", - "measurement_start": "2025-02-03", - "path_id": "empty-2025-02", - "protocol": "empty_book", - "simulation_start": "2025-02-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-03-04", - "measurement_start": "2025-03-03", - "path_id": "empty-2025-03", - "protocol": "empty_book", - "simulation_start": "2025-03-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-04-02", - "measurement_start": "2025-04-01", - "path_id": "empty-2025-04", - "protocol": "empty_book", - "simulation_start": "2025-04-01" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-05-04", - "measurement_start": "2025-05-01", - "path_id": "empty-2025-05", - "protocol": "empty_book", - "simulation_start": "2025-05-01" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-06-03", - "measurement_start": "2025-06-02", - "path_id": "empty-2025-06", - "protocol": "empty_book", - "simulation_start": "2025-06-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-07-02", - "measurement_start": "2025-07-01", - "path_id": "empty-2025-07", - "protocol": "empty_book", - "simulation_start": "2025-07-01" - } - ], - "empty_cluster_count": 7, - "empty_cluster_counts": { - "2019": 11, - "2020": 12, - "2021": 12, - "2022": 12, - "2023": 12, - "2024": 12, - "2025": 7 - }, - "expected_clusters": [ - 2019, - 2020, - 2021, - 2022, - 2023, - 2024, - 2025 - ], - "session_count": 2649, - "snapshot_first_session": "2016-01-04", - "snapshot_last_session": "2026-07-17", - "warm_book": [ - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2018-07-02" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2018-07-09" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2018-07-16" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2018-07-23" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2018-07-30" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2018-08-06" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2018-08-13" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2018-08-20" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2018-08-27" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2018-09-04" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2018-09-10" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2018-09-17" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2018-09-24" - }, - { - "cluster": 2019, - "hard_end_exclusive": "2020-01-02", - "measurement_start": "2019-01-02", - "path_id": "warm-2019-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2018-10-01" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2019-07-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2019-07-08" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2019-07-15" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2019-07-22" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2019-07-29" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2019-08-05" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2019-08-12" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2019-08-19" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2019-08-26" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2019-09-03" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2019-09-09" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2019-09-16" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2019-09-23" - }, - { - "cluster": 2020, - "hard_end_exclusive": "2020-12-31", - "measurement_start": "2020-01-02", - "path_id": "warm-2020-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2019-09-30" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2020-07-06" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 121, - "simulation_start": "2020-07-13" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 116, - "simulation_start": "2020-07-20" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 111, - "simulation_start": "2020-07-27" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 106, - "simulation_start": "2020-08-03" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 101, - "simulation_start": "2020-08-10" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 96, - "simulation_start": "2020-08-17" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 91, - "simulation_start": "2020-08-24" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 86, - "simulation_start": "2020-08-31" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 81, - "simulation_start": "2020-09-08" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 77, - "simulation_start": "2020-09-14" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 72, - "simulation_start": "2020-09-21" - }, - { - "cluster": 2021, - "hard_end_exclusive": "2022-01-03", - "measurement_start": "2021-01-04", - "path_id": "warm-2021-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 67, - "simulation_start": "2020-09-28" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2021-07-06" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2021-07-12" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2021-07-19" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2021-07-26" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2021-08-02" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2021-08-09" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2021-08-16" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2021-08-23" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2021-08-30" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2021-09-07" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2021-09-13" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2021-09-20" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2021-09-27" - }, - { - "cluster": 2022, - "hard_end_exclusive": "2023-01-04", - "measurement_start": "2022-01-03", - "path_id": "warm-2022-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2021-10-04" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2022-07-05" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2022-07-11" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2022-07-18" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2022-07-25" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2022-08-01" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2022-08-08" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2022-08-15" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2022-08-22" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2022-08-29" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2022-09-06" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2022-09-12" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2022-09-19" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2022-09-26" - }, - { - "cluster": 2023, - "hard_end_exclusive": "2024-01-04", - "measurement_start": "2023-01-03", - "path_id": "warm-2023-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2022-10-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2023-07-03" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 122, - "simulation_start": "2023-07-10" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 117, - "simulation_start": "2023-07-17" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 112, - "simulation_start": "2023-07-24" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 107, - "simulation_start": "2023-07-31" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 102, - "simulation_start": "2023-08-07" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 97, - "simulation_start": "2023-08-14" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 92, - "simulation_start": "2023-08-21" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 87, - "simulation_start": "2023-08-28" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 82, - "simulation_start": "2023-09-05" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 78, - "simulation_start": "2023-09-11" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 73, - "simulation_start": "2023-09-18" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 68, - "simulation_start": "2023-09-25" - }, - { - "cluster": 2024, - "hard_end_exclusive": "2025-01-02", - "measurement_start": "2024-01-02", - "path_id": "warm-2024-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 63, - "simulation_start": "2023-10-02" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-01", - "protocol": "warm_book", - "seed_offset_sessions": 126, - "simulation_start": "2024-07-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-02", - "protocol": "warm_book", - "seed_offset_sessions": 124, - "simulation_start": "2024-07-08" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-03", - "protocol": "warm_book", - "seed_offset_sessions": 119, - "simulation_start": "2024-07-15" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-04", - "protocol": "warm_book", - "seed_offset_sessions": 114, - "simulation_start": "2024-07-22" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-05", - "protocol": "warm_book", - "seed_offset_sessions": 109, - "simulation_start": "2024-07-29" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-06", - "protocol": "warm_book", - "seed_offset_sessions": 104, - "simulation_start": "2024-08-05" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-07", - "protocol": "warm_book", - "seed_offset_sessions": 99, - "simulation_start": "2024-08-12" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-08", - "protocol": "warm_book", - "seed_offset_sessions": 94, - "simulation_start": "2024-08-19" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-09", - "protocol": "warm_book", - "seed_offset_sessions": 89, - "simulation_start": "2024-08-26" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-10", - "protocol": "warm_book", - "seed_offset_sessions": 84, - "simulation_start": "2024-09-03" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-11", - "protocol": "warm_book", - "seed_offset_sessions": 80, - "simulation_start": "2024-09-09" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-12", - "protocol": "warm_book", - "seed_offset_sessions": 75, - "simulation_start": "2024-09-16" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-13", - "protocol": "warm_book", - "seed_offset_sessions": 70, - "simulation_start": "2024-09-23" - }, - { - "cluster": 2025, - "hard_end_exclusive": "2026-01-06", - "measurement_start": "2025-01-02", - "path_id": "warm-2025-seed-14", - "protocol": "warm_book", - "seed_offset_sessions": 65, - "simulation_start": "2024-09-30" - } - ], - "warm_cluster_count": 7, - "warm_seed_counts": { - "2019": 14, - "2020": 14, - "2021": 13, - "2022": 14, - "2023": 14, - "2024": 14, - "2025": 14 - } - }, - "costs_per_side_pct": [ - 0.1, - 0.2 - ], - "git_commit": "477aa4b2dac582e1616feac25b87a731796dcf91", - "runner_version": "portfolio-capacity-bracket-v1", - "snapshot_sha256": "c04a5bbef2c8c1f9e218817a5b0adce40ccc4bccba22699bc5ed2564f09858ce", - "specification_sha256": "d4d74366ce90ce5a8e4bee3688756bb56a26a35be378302bdcadcee4389c4369", - "universe_manifest": { - "symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", - "symbols_with_prices": 4654, - "ticker_rows": 4655 - } - }, - "generated_at": "2026-08-05T18:12:50.577686+00:00", - "motivation": { - "blocked_fraction": 0.5237134207870837, - "skipped_book_full": 519, - "source": "reports/research-matrix-phase-a.json a0_control full window", - "stale_claim_corrected": "The older weekly pre-gate-reset claim that cap 10 never bound does not apply to the current daily configuration.", - "trades": 472 - }, - "operational_summary": [ - { - "arm_id": "cap10_incumbent", - "median_avg_positions": 10.0, - "median_blocked_fraction": 0.9839261506681298, - "median_trades": 212.0, - "median_turnover_multiple": 14.718129811044276, - "min_risk_rejections": 0, - "paths": 175, - "peak_positions": 10, - "weekly_entrant_pool_median": null, - "weekly_reentries_within_10_sessions": 0, - "weekly_replacements": 0, - "weekly_zero_entrant_fraction": null - }, - { - "arm_id": "cash_unbounded", - "median_avg_positions": 18.2421, - "median_blocked_fraction": 0.0, - "median_trades": 340.0, - "median_turnover_multiple": 19.036215824855176, - "min_risk_rejections": 2719474, - "paths": 175, - "peak_positions": 41, - "weekly_entrant_pool_median": null, - "weekly_reentries_within_10_sessions": 0, - "weekly_replacements": 0, - "weekly_zero_entrant_fraction": null - }, - { - "arm_id": "cap10_weekly_top10", - "median_avg_positions": 9.9921, - "median_blocked_fraction": 0.9705547976352887, - "median_trades": 303.0, - "median_turnover_multiple": 18.074712245537658, - "min_risk_rejections": 0, - "paths": 175, - "peak_positions": 10, - "weekly_entrant_pool_median": 47.0, - "weekly_reentries_within_10_sessions": 4081, - "weekly_replacements": 15081, - "weekly_zero_entrant_fraction": 0.0 - }, - { - "arm_id": "cap15_incumbent", - "median_avg_positions": 14.7817, - "median_blocked_fraction": 0.9725740605045535, - "median_trades": 327.0, - "median_turnover_multiple": 17.295817825631133, - "min_risk_rejections": 0, - "paths": 175, - "peak_positions": 15, - "weekly_entrant_pool_median": null, - "weekly_reentries_within_10_sessions": 0, - "weekly_replacements": 0, - "weekly_zero_entrant_fraction": null - } - ], - "research_question": "Bracket the economic cost of the binding ten-position cap and test whether weekly current-rank selection beats arrival order.", - "run_id": "prod505-capacity-bracket-daily-v1", - "runtime_config": { - "exit_policy": "atr_trail3", - "hold_days": 30, - "max_positions": 10, - "ranking_key": "residual_high_vol_blend_80_20_score", - "risk_per_trade": 0.01, - "threshold": 80.0 - }, - "status": "complete", - "survivorship_bias_caveat": "The current production universe is projected backward; construction conclusions rely on paired relative comparisons, not absolute levels.", - "universe_manifest": { - "symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", - "symbols_with_prices": 4654, - "ticker_rows": 4655 - }, - "validation": { - "cache_key_hash": "9c4693752247f08033d63f9b00bbfe5b67cbbdee5d98a87d08539803ac2217df", - "cache_path": "/Users/taathde3/git/lab/signal_platform/reports/.cache/prod505-capacity-bracket-daily-v1-candidates.pkl", - "candidate_rank_coverage": { - "first": "2016-03-30", - "last": "2026-07-17", - "observations": 7002445, - "qualified_longs": 142404 - }, - "empty_cluster_count": 7, - "empty_cluster_counts": { - "2019": 11, - "2020": 12, - "2021": 12, - "2022": 12, - "2023": 12, - "2024": 12, - "2025": 7 - }, - "errors": [], - "expected_clusters": [ - 2019, - 2020, - 2021, - 2022, - 2023, - 2024, - 2025 - ], - "matrix_cells": 1400, - "runner_version": "portfolio-capacity-bracket-v1", - "snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite", - "snapshot_sessions": { - "count": 2649, - "first": "2016-01-04", - "last": "2026-07-17" - }, - "snapshot_sha256": "c04a5bbef2c8c1f9e218817a5b0adce40ccc4bccba22699bc5ed2564f09858ce", - "universe_manifest": { - "symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", - "symbols_with_prices": 4654, - "ticker_rows": 4655 - }, - "warm_cluster_count": 7, - "warm_seed_counts": { - "2019": 14, - "2020": 14, - "2021": 13, - "2022": 14, - "2023": 14, - "2024": 14, - "2025": 14 - } - } -} diff --git a/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md b/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md deleted file mode 100644 index 883abda..0000000 --- a/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md +++ /dev/null @@ -1,74 +0,0 @@ -# Focused daily portfolio-capacity matrix - -Generated: 2026-08-05T18:12:50.577686+00:00 - -## Question - -The current daily Phase A control admitted 472 trades and rejected 519 qualified opportunities because the ten-slot book was full. This run brackets the economic cost of that binding constraint; it has no formal promotion gate. - -> Universe caveat: today's production membership is projected backward. Use paired arm-versus-control differences, not absolute profitability, for construction conclusions. - -## Paired annual medians - -### Empty Book — 0.10% per fill - -| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context | -|---|---:|---:|---:|---:| -| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] | -| cash_unbounded | 0.137 | [0.120, 0.185] | 0.000 | [-0.010, 0.270] | -| cap10_weekly_top10 | 0.092 | [0.040, 0.117] | 0.000 | [-0.040, 0.000] | -| cap15_incumbent | 0.098 | [0.022, 0.183] | 0.000 | [-0.010, 0.160] | - -| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp | -|---|---:|---:|---:|---:|---:| -| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | -| cash_unbounded | 0.094 | 0.068 | 0.313 | 0.800 | 3.800 | -| cap10_weekly_top10 | -0.035 | -0.052 | -0.196 | -5.700 | 2.850 | -| cap15_incumbent | 0.037 | 0.017 | 0.168 | -0.050 | 2.150 | - -### Warm Book — 0.10% per fill - -| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context | -|---|---:|---:|---:|---:| -| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] | -| cash_unbounded | 0.119 | [-0.014, 0.214] | 0.000 | [-0.045, 0.150] | -| cap10_weekly_top10 | 0.068 | [0.063, 0.154] | 0.000 | [-0.110, 0.020] | -| cap15_incumbent | 0.063 | [-0.104, 0.145] | 0.000 | [-0.020, 0.110] | - -| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp | -|---|---:|---:|---:|---:|---:| -| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | -| cash_unbounded | 0.069 | 0.018 | -0.921 | -4.500 | 0.000 | -| cap10_weekly_top10 | 0.000 | -0.026 | -0.869 | -4.100 | 3.900 | -| cap15_incumbent | 0.035 | 0.006 | -0.994 | -0.900 | 1.050 | - -## Warm-seed initialization dispersion - -| Arm | Cost/fill | Median EV IQR ratio | Median Calmar IQR ratio | -|---|---:|---:|---:| -| cap10_incumbent | 0.10% | n/a | n/a | -| cash_unbounded | 0.10% | n/a | n/a | -| cap10_weekly_top10 | 0.10% | n/a | n/a | -| cap15_incumbent | 0.10% | n/a | n/a | -| cap10_incumbent | 0.20% | n/a | n/a | -| cash_unbounded | 0.20% | n/a | n/a | -| cap10_weekly_top10 | 0.20% | n/a | n/a | -| cap15_incumbent | 0.20% | n/a | n/a | - -## Capacity and operations — 0.10% per fill - -| Arm | Median trades | Median blocked | Median positions | Peak | Turnover | Min-risk rejects | -|---|---:|---:|---:|---:|---:|---:| -| cap10_incumbent | 212.0 | 98.4% | 10.00 | 10 | 14.72 | 0 | -| cash_unbounded | 340.0 | 0.0% | 18.24 | 41 | 19.04 | 2719474 | -| cap10_weekly_top10 | 303.0 | 97.1% | 9.99 | 10 | 18.07 | 0 | -| cap15_incumbent | 327.0 | 97.3% | 14.78 | 15 | 17.30 | 0 | - -## Weekly-ranking opportunity set - -- Median fresh entrant pool: 47.0. -- Median zero-entrant fraction: 0.000. -- Replacements across reported paths: 15081. -- Same-symbol re-entries within 10 sessions: 4081. - -Bootstrap intervals above resample seven annual summaries and are descriptive context only. They are not gates or independent-population confidence claims. diff --git a/scripts/portfolio_capacity_research.py b/scripts/portfolio_capacity_research.py index e0c7e98..4d91fe1 100644 --- a/scripts/portfolio_capacity_research.py +++ b/scripts/portfolio_capacity_research.py @@ -225,8 +225,15 @@ def percentile(values: Iterable[float], probability: float) -> float | None: def iqr(values: Iterable[float]) -> float | None: - q25 = percentile(values, 0.25) - q75 = percentile(values, 0.75) + clean: list[float] = [] + for value in values: + if value is None: + continue + parsed = float(value) + if math.isfinite(parsed): + clean.append(parsed) + q25 = percentile(clean, 0.25) + q75 = percentile(clean, 0.75) if q25 is None or q75 is None: return None return q75 - q25 diff --git a/scripts/run_portfolio_construction_matrix.py b/scripts/run_portfolio_construction_matrix.py index 2df4277..403bc71 100644 --- a/scripts/run_portfolio_construction_matrix.py +++ b/scripts/run_portfolio_construction_matrix.py @@ -48,7 +48,10 @@ from scripts.research_rankings import _live_universe_rank_map # noqa: E402 CACHE_VERSION = 'portfolio-capacity-candidates-v1-zero-horizon' -RUNNER_VERSION = 'portfolio-capacity-bracket-v1' +RUNNER_VERSION = 'portfolio-capacity-bracket-v2' +CONSTRUCTION_VIEW_VERSION = 'production-book-filter-v1' +MIN_PRODUCTION_UNIVERSE = 450 +MAX_PRODUCTION_UNIVERSE = 600 SPEC_PATH = ROOT / 'docs' / 'research' / 'portfolio-capacity-bracket.md' DEFAULT_RUN_ID = 'prod505-capacity-bracket-daily-v1' _WORKER_CONTEXT: dict[str, Any] | None = None @@ -103,6 +106,67 @@ def _json_hash(value: Any) -> str: return hashlib.sha256(payload).hexdigest() +def _construction_universe_errors(manifest: dict[str, Any]) -> list[str]: + errors: list[str] = [] + construction_rows = int(manifest['construction_ticker_rows']) + construction_priced = int(manifest['construction_symbols_with_prices']) + ranking_rows = int(manifest['ranking_ticker_rows']) + rank_only_rows = int(manifest['rank_only_ticker_rows']) + unknown_rank_only = int(manifest['rank_only_unknown_symbols']) + if not MIN_PRODUCTION_UNIVERSE <= construction_rows <= MAX_PRODUCTION_UNIVERSE: + errors.append( + 'construction ticker universe must contain ' + f'{MIN_PRODUCTION_UNIVERSE}-{MAX_PRODUCTION_UNIVERSE} symbols; ' + f'found {construction_rows}' + ) + if not MIN_PRODUCTION_UNIVERSE <= construction_priced <= MAX_PRODUCTION_UNIVERSE: + errors.append( + 'priced construction universe must contain ' + f'{MIN_PRODUCTION_UNIVERSE}-{MAX_PRODUCTION_UNIVERSE} symbols; ' + f'found {construction_priced}' + ) + if construction_rows + rank_only_rows != ranking_rows: + errors.append( + 'construction and rank-only ticker partitions do not cover the ' + 'ranking universe' + ) + if unknown_rank_only: + errors.append( + f'research_rank_only contains {unknown_rank_only} symbols absent ' + 'from tickers' + ) + return errors + + +def _construction_candidate_view( + cached: dict[str, Any], + snapshot_data: dict[str, Any], +) -> dict[str, Any]: + '''Filter a reusable full-universe rank cache to production setup symbols.''' + allowed = set(snapshot_data['construction_symbols']) + raw_candidates = list(cached['qualified_candidates']) + qualified = [ + row for row in raw_candidates if str(row['symbol']) in allowed + ] + view_key = { + 'version': CONSTRUCTION_VIEW_VERSION, + 'base_cache_key_hash': _json_hash(cached['key']), + 'construction_universe_manifest': ( + snapshot_data['construction_universe_manifest'] + ), + } + return { + **cached, + 'qualified_candidates': qualified, + 'raw_full_universe_qualified_long_count': len(raw_candidates), + 'qualified_long_count': len(qualified), + 'filtered_rank_only_qualified_long_count': ( + len(raw_candidates) - len(qualified) + ), + 'construction_view_key': view_key, + } + + def _atomic_json(path: Path, value: Any) -> None: path.parent.mkdir(parents=True, exist_ok=True) temporary = path.with_suffix(path.suffix + '.tmp') @@ -292,12 +356,34 @@ async def _load_snapshot( f'loaded prices: {index}/{len(symbols)}', flush=True, ) + rank_only_symbols = await bt._load_research_rank_only_symbols(db) finally: await engine.dispose() if not prices or not benchmark_closes: raise SystemExit('Snapshot has no usable prices or benchmark history') + ticker_symbols = set(symbols) + price_symbols = set(prices) + known_rank_only = ticker_symbols & rank_only_symbols + unknown_rank_only = rank_only_symbols - ticker_symbols + construction_symbols = ticker_symbols - known_rank_only + priced_construction_symbols = price_symbols & construction_symbols + priced_rank_only_symbols = price_symbols & known_rank_only + construction_universe_manifest = { + 'ranking_ticker_rows': len(ticker_symbols), + 'ranking_symbols_with_prices': len(price_symbols), + 'ranking_symbols_sha256': _json_hash(sorted(ticker_symbols)), + 'construction_ticker_rows': len(construction_symbols), + 'construction_symbols_with_prices': len(priced_construction_symbols), + 'construction_symbols_sha256': _json_hash(sorted(construction_symbols)), + 'rank_only_ticker_rows': len(known_rank_only), + 'rank_only_symbols_with_prices': len(priced_rank_only_symbols), + 'rank_only_symbols_sha256': _json_hash(sorted(known_rank_only)), + 'rank_only_unknown_symbols': len(unknown_rank_only), + 'rank_only_unknown_symbols_sha256': _json_hash(sorted(unknown_rank_only)), + } + strategy = next( row for row in bt.PORTFOLIO_MONITOR_STRATEGIES @@ -350,11 +436,13 @@ async def _load_snapshot( 'benchmark_closes': benchmark_closes, 'prices': prices, 'symbols': symbols, + 'construction_symbols': construction_symbols, 'universe_manifest': { 'ticker_rows': len(symbols), 'symbols_with_prices': len(prices), 'symbols_sha256': _json_hash(sorted(symbols)), }, + 'construction_universe_manifest': construction_universe_manifest, 'ranking_key': ranking_key, 'exit_policy': exit_policy, 'hold_days': hold_days, @@ -639,21 +727,51 @@ def _markdown(report: dict[str, Any]) -> str: '## Paired annual medians', '', ] + validation = report.get('validation') or {} + construction = validation.get('construction_universe_manifest') or {} + coverage = validation.get('candidate_rank_coverage') or {} + if construction: + construction_count = construction['construction_symbols_with_prices'] + rank_only_count = construction['rank_only_symbols_with_prices'] + ranking_count = construction['ranking_symbols_with_prices'] + qualified_count = coverage.get('construction_qualified_longs') + filtered_count = coverage.get('filtered_rank_only_qualified_longs') + insertion = lines.index('## Paired annual medians') + lines[insertion:insertion] = [ + '## Validated universes', + '', + f'- Tradable setup symbols with prices: ' + f'{construction_count}.', + f'- Rank-only symbols with prices: ' + f'{rank_only_count}.', + f'- Full ranking symbols with prices: ' + f'{ranking_count}.', + f'- Tradable qualified longs: ' + f'{qualified_count}.', + f'- Rank-only qualified rows removed: ' + f'{filtered_count}.', + '', + ] paired = report['analysis']['paired_per_year'] - for protocol in ('empty_book', 'warm_book'): + for cost, protocol in ( + (cost, protocol) + for cost in COSTS_PER_SIDE_PCT + for protocol in ('empty_book', 'warm_book') + ): lines.extend([ f'### {protocol.replace("_", " ").title()} — 0.10% per fill', '', '| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context |', '|---|---:|---:|---:|---:|', ]) + lines[-4] = lines[-4].replace('0.10%', f'{cost:.2f}%') for arm in ARMS: row = next( item for item in paired if item['arm_id'] == arm['id'] and item['protocol'] == protocol - and float(item['cost_per_side_pct']) == 0.1 + and float(item['cost_per_side_pct']) == float(cost) ) ev = row['headline']['ev_net_r'] calmar = row['headline']['calmar'] @@ -676,7 +794,7 @@ def _markdown(report: dict[str, Any]) -> str: for item in paired if item['arm_id'] == arm['id'] and item['protocol'] == protocol - and float(item['cost_per_side_pct']) == 0.1 + and float(item['cost_per_side_pct']) == float(cost) ) headline = row['headline'] lines.append( @@ -767,7 +885,7 @@ async def _main() -> None: if args.candidate_cache else ROOT / 'reports' / '.cache' / f'{args.run_id}-candidates.pkl' ) - candidate_cache = _build_candidate_cache( + base_candidate_cache = _build_candidate_cache( snapshot_data, snapshot=snapshot, snapshot_sha256=snapshot_sha256, @@ -775,11 +893,19 @@ async def _main() -> None: workers=workers, quiet=bool(args.quiet), ) + candidate_cache = _construction_candidate_view( + base_candidate_cache, + snapshot_data, + ) cohort_manifest = build_cohort_manifest( snapshot_data['benchmark_closes'].keys() ) cohort_errors = validate_cohort_manifest(cohort_manifest) + universe_errors = _construction_universe_errors( + snapshot_data['construction_universe_manifest'] + ) + validation_errors = [*universe_errors, *cohort_errors] cells = build_cells(cohort_manifest) validation_payload = { 'runner_version': RUNNER_VERSION, @@ -794,9 +920,20 @@ async def _main() -> None: 'first': candidate_cache['rank_first_date'], 'last': candidate_cache['rank_last_date'], 'observations': candidate_cache['rank_observation_count'], - 'qualified_longs': candidate_cache['qualified_long_count'], + 'raw_full_universe_qualified_longs': candidate_cache[ + 'raw_full_universe_qualified_long_count' + ], + 'filtered_rank_only_qualified_longs': candidate_cache[ + 'filtered_rank_only_qualified_long_count' + ], + 'construction_qualified_longs': candidate_cache[ + 'qualified_long_count' + ], }, 'universe_manifest': snapshot_data['universe_manifest'], + 'construction_universe_manifest': ( + snapshot_data['construction_universe_manifest'] + ), 'empty_cluster_counts': cohort_manifest['empty_cluster_counts'], 'warm_seed_counts': cohort_manifest['warm_seed_counts'], 'empty_cluster_count': cohort_manifest['empty_cluster_count'], @@ -805,12 +942,15 @@ async def _main() -> None: 'matrix_cells': len(cells), 'cache_path': str(cache_path.resolve()), 'cache_key_hash': _json_hash(candidate_cache['key']), - 'errors': cohort_errors, + 'construction_view_key_hash': _json_hash( + candidate_cache['construction_view_key'] + ), + 'errors': validation_errors, } print(json.dumps(validation_payload, indent=2, sort_keys=True), flush=True) - if cohort_errors: + if validation_errors: raise SystemExit( - 'Cohort validation failed; revise and re-hash the specification' + 'Research validation failed; do not start the authoritative run' ) if args.validate_only: return @@ -823,7 +963,11 @@ async def _main() -> None: 'snapshot_sha256': snapshot_sha256, 'specification_sha256': specification_sha256, 'candidate_cache_key': candidate_cache['key'], + 'construction_view_key': candidate_cache['construction_view_key'], 'universe_manifest': snapshot_data['universe_manifest'], + 'construction_universe_manifest': ( + snapshot_data['construction_universe_manifest'] + ), 'cohort_manifest': cohort_manifest, 'arms': list(ARMS), 'costs_per_side_pct': list(COSTS_PER_SIDE_PCT), @@ -836,7 +980,10 @@ async def _main() -> None: checkpoint_dir = ( Path(args.checkpoint) if args.checkpoint - else ROOT / 'reports' / '.cache' / f'{args.run_id}-checkpoint' + else ROOT + / 'reports' + / '.cache' + / f'{args.run_id}-{RUNNER_VERSION}-checkpoint' ) completed = _checkpoint_state( checkpoint_dir, @@ -914,7 +1061,7 @@ async def _main() -> None: key=lambda row: str(row['cell_id']), ) analysis = aggregate_results(result_cells) - requirements_path = ROOT / 'requirements.txt' + dependency_manifest = ROOT / 'pyproject.toml' report: dict[str, Any] = { 'run_id': args.run_id, 'status': 'complete', @@ -946,9 +1093,10 @@ async def _main() -> None: 'environment': { 'python': sys.version, 'platform': platform.platform(), - 'requirements_sha256': ( - _sha256_file(requirements_path) - if requirements_path.exists() + 'dependency_manifest': str(dependency_manifest.relative_to(ROOT)), + 'dependency_manifest_sha256': ( + _sha256_file(dependency_manifest) + if dependency_manifest.exists() else None ), 'command': [sys.executable, *sys.argv], @@ -956,6 +1104,9 @@ async def _main() -> None: 'validation': validation_payload, 'runtime_config': snapshot_data['runtime_config'], 'universe_manifest': snapshot_data['universe_manifest'], + 'construction_universe_manifest': ( + snapshot_data['construction_universe_manifest'] + ), 'candidate_cache': { key: value for key, value in candidate_cache.items() diff --git a/tests/unit/test_portfolio_capacity_research.py b/tests/unit/test_portfolio_capacity_research.py index 9b10368..984c96d 100644 --- a/tests/unit/test_portfolio_capacity_research.py +++ b/tests/unit/test_portfolio_capacity_research.py @@ -1,6 +1,7 @@ from __future__ import annotations import asyncio +import pickle import sqlite3 from datetime import date, timedelta @@ -13,12 +14,18 @@ from scripts.portfolio_capacity_research import ( bootstrap_median_interval, build_cells, build_cohort_manifest, + iqr, summarize_simulation, validate_cohort_manifest, ) from scripts.run_portfolio_construction_matrix import ( + CACHE_VERSION, _assert_clean_worktree, + _build_candidate_cache, _checkpoint_state, + _construction_candidate_view, + _construction_universe_errors, + _json_hash, _load_snapshot, _markdown, _operational_summary, @@ -126,11 +133,18 @@ def test_load_snapshot_accepts_pre_sec_ticker_schema(tmp_path, monkeypatch): volume BIGINT NOT NULL, created_at DATETIME NOT NULL ); + CREATE TABLE research_rank_only ( + symbol VARCHAR(10) PRIMARY KEY + ); INSERT INTO tickers VALUES - (1, 'LEGACY', 'Legacy Co', '2024-01-01 00:00:00'); + (1, 'LEGACY', 'Legacy Co', '2024-01-01 00:00:00'), + (2, 'RANK', 'Rank Only Co', '2024-01-01 00:00:00'); INSERT INTO ohlcv_records VALUES (1, 1, '2024-01-02', 100, 102, 99, 101, 1000000, + '2024-01-02 00:00:00'), + (2, 2, '2024-01-02', 50, 51, 49, 50, 500000, '2024-01-02 00:00:00'); + INSERT INTO research_rank_only VALUES ('RANK'); ''' ) @@ -167,7 +181,8 @@ def test_load_snapshot_accepts_pre_sec_ticker_schema(tmp_path, monkeypatch): loaded = asyncio.run(_load_snapshot(snapshot, quiet=True)) - assert loaded['symbols'] == ['LEGACY'] + assert loaded['symbols'] == ['LEGACY', 'RANK'] + assert loaded['construction_symbols'] == {'LEGACY'} assert loaded['prices']['LEGACY'] == ( [date(2024, 1, 2).toordinal()], [100.0], @@ -176,6 +191,11 @@ def test_load_snapshot_accepts_pre_sec_ticker_schema(tmp_path, monkeypatch): [101.0], [1_000_000], ) + assert loaded['prices']['RANK'][4] == [50.0] + assert loaded['construction_universe_manifest'][ + 'construction_ticker_rows' + ] == 1 + assert loaded['construction_universe_manifest']['rank_only_ticker_rows'] == 1 with sqlite3.connect(snapshot) as connection: columns = { row[1] for row in connection.execute('PRAGMA table_info(tickers)') @@ -183,6 +203,111 @@ def test_load_snapshot_accepts_pre_sec_ticker_schema(tmp_path, monkeypatch): assert {'cik', 'sic', 'sic_description'}.isdisjoint(columns) +def test_construction_view_filters_rank_only_rows_without_rebuilding_cache(): + manifest = { + 'ranking_ticker_rows': 506, + 'ranking_symbols_with_prices': 506, + 'construction_ticker_rows': 505, + 'construction_symbols_with_prices': 505, + 'rank_only_ticker_rows': 1, + 'rank_only_symbols_with_prices': 1, + 'rank_only_unknown_symbols': 0, + } + cached = { + 'key': {'version': 'existing-broad-cache'}, + 'qualified_candidates': [ + {'symbol': 'PROD', 'date': '2025-01-02'}, + {'symbol': 'RANK', 'date': '2025-01-02'}, + ], + 'qualified_long_count': 2, + 'daily_rank_map': { + ('RANK', '2025-01-02'): {'strategy_rank': 99.0}, + }, + } + + view = _construction_candidate_view( + cached, + { + 'construction_symbols': {'PROD'}, + 'construction_universe_manifest': manifest, + }, + ) + + assert [row['symbol'] for row in view['qualified_candidates']] == ['PROD'] + assert view['raw_full_universe_qualified_long_count'] == 2 + assert view['filtered_rank_only_qualified_long_count'] == 1 + assert view['qualified_long_count'] == 1 + assert ('RANK', '2025-01-02') in view['daily_rank_map'] + assert len(cached['qualified_candidates']) == 2 + + +def test_existing_broad_candidate_cache_key_remains_reusable(tmp_path, monkeypatch): + snapshot = tmp_path / 'research.sqlite' + snapshot.write_bytes(b'snapshot-placeholder') + cache_path = tmp_path / 'broad-cache.pkl' + snapshot_data = { + 'recommendation_config': {'rr': 3.0}, + 'activation': {'min_momentum_percentile': 80.0}, + 'runtime_config': {'ranking_key': 'test'}, + 'universe_manifest': { + 'ticker_rows': 4655, + 'symbols_with_prices': 4654, + 'symbols_sha256': 'symbols', + }, + } + key = { + 'version': CACHE_VERSION, + 'snapshot': str(snapshot.resolve()), + 'snapshot_sha256': 'snapshot-hash', + 'cadence': 'daily', + 'outcome_horizon_sessions': 0, + 'recommendation_config_hash': _json_hash( + snapshot_data['recommendation_config'] + ), + 'activation_hash': _json_hash(snapshot_data['activation']), + 'runtime_config': snapshot_data['runtime_config'], + 'universe_manifest': snapshot_data['universe_manifest'], + } + cached = {'key': key, 'qualified_candidates': [{'symbol': 'PROD'}]} + cache_path.write_bytes(pickle.dumps(cached)) + monkeypatch.setattr( + bt, + '_replay_candidates_for_period', + lambda *_args: pytest.fail('existing cache should avoid replay'), + ) + + loaded = _build_candidate_cache( + snapshot_data, + snapshot=snapshot, + snapshot_sha256='snapshot-hash', + cache_path=cache_path, + workers=1, + quiet=True, + ) + + assert loaded == cached + + +def test_construction_universe_guard_rejects_leaked_broad_book(): + valid = { + 'ranking_ticker_rows': 4655, + 'construction_ticker_rows': 506, + 'construction_symbols_with_prices': 506, + 'rank_only_ticker_rows': 4149, + 'rank_only_unknown_symbols': 0, + } + assert _construction_universe_errors(valid) == [] + + leaked = { + **valid, + 'construction_ticker_rows': 4655, + 'construction_symbols_with_prices': 4654, + 'rank_only_ticker_rows': 0, + } + errors = _construction_universe_errors(leaked) + assert any('450-600' in error for error in errors) + + def test_unbounded_count_and_effective_risk_floor(): start = date(2025, 1, 6) ords = [start.toordinal() + offset for offset in range(4)] @@ -504,6 +629,10 @@ def test_simple_cluster_bootstrap_is_deterministic_and_not_a_gate(): assert first['p05'] <= first['point'] <= first['p95'] +def test_iqr_materializes_generator_before_both_quantiles(): + assert iqr(value for value in (0.0, 1.0, 2.0, 3.0)) == pytest.approx(1.5) + + def test_aggregate_reports_paired_years_and_separate_warm_iqrs(): cells: list[dict] = [] for cost in (0.1, 0.2): @@ -579,16 +708,40 @@ def test_aggregate_reports_paired_years_and_separate_warm_iqrs(): ) assert set(cash_warm['headline']) == {'ev_net_r', 'calmar'} assert 'D' not in cash_warm + assert cash_warm['headline']['ev_net_r']['median_iqr_ratio'] == pytest.approx( + 1.0 + ) + assert cash_warm['headline']['calmar']['median_iqr_ratio'] == pytest.approx( + 1.0 + ) + assert cash_warm['headline']['ev_net_r']['bootstrap_90']['n'] == 7 markdown = _markdown({ 'generated_at': '2026-08-05T00:00:00Z', 'analysis': report, 'operational_summary': _operational_summary(cells), + 'validation': { + 'construction_universe_manifest': { + 'construction_symbols_with_prices': 506, + 'rank_only_symbols_with_prices': 4148, + 'ranking_symbols_with_prices': 4654, + }, + 'candidate_rank_coverage': { + 'construction_qualified_longs': 5000, + 'filtered_rank_only_qualified_longs': 137000, + }, + }, }) assert 'ΔGain-to-Pain' in markdown + assert '0.10% per fill' in markdown + assert '0.20% per fill' in markdown + assert 'Tradable setup symbols with prices: 506.' in markdown + assert 'Rank-only qualified rows removed: 137000.' in markdown assert 'formal promotion gate' in markdown -def test_synthetic_worker_matrix_covers_four_arms_protocols_and_costs(): +def test_synthetic_worker_matrix_covers_four_arms_protocols_and_costs(monkeypatch): + monkeypatch.setenv('BACKTEST_SNAPSHOT_OFFLINE', '0') + monkeypatch.setenv('BACKTEST_ALLOW_SPAWN', '0') start = date(2025, 1, 6) sessions = _business_days(start, date(2025, 1, 17)) ords = [session.toordinal() for session in sessions]