796 lines
22 KiB
JSON
796 lines
22 KiB
JSON
{
|
|
"generated_at": "2026-07-18T16:56:10.007302",
|
|
"snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/prod.sqlite",
|
|
"validation_split": "2024-07-01",
|
|
"n_trials": 4,
|
|
"hypothesis": "stale_close (signal t-1, fill t close) recovers close-fill economics; the next_open haircut is scheduling, not lost edge",
|
|
"decision_baseline": "next_open",
|
|
"qualified_longs": 5189,
|
|
"arms": [
|
|
{
|
|
"id": "close_control",
|
|
"label": "Close fill (historical control)",
|
|
"config": {
|
|
"fill_mode": "close"
|
|
},
|
|
"windows": [
|
|
{
|
|
"window": "train",
|
|
"dsr": 0.936,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "close",
|
|
"final_equity": 23706.04,
|
|
"total_return_pct": 137.1,
|
|
"cagr_pct": 49.8,
|
|
"max_drawdown_pct": 17.9,
|
|
"calmar": 2.78,
|
|
"sharpe": 1.75,
|
|
"sharpe_se": 0.675,
|
|
"psr": 0.9953,
|
|
"n_returns": 535,
|
|
"return_skew": 0.4266,
|
|
"return_kurtosis": 4.9374,
|
|
"trades": 240,
|
|
"win_rate": 36.7,
|
|
"avg_trade_pnl": 57.11,
|
|
"best_trade_r": 12.02,
|
|
"worst_trade_r": -3.1,
|
|
"best_trade_pnl": 2008.56,
|
|
"worst_trade_pnl": -561.69,
|
|
"avg_hold_days": 15.3,
|
|
"exit_reasons": {
|
|
"stop": 112,
|
|
"time": 53,
|
|
"trailing_stop": 75
|
|
},
|
|
"skipped_book_full": 327,
|
|
"spy_return_pct": 36.7,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": 11.9
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 78.1
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 19.1
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2024-08-12",
|
|
"post_stop_events": 112,
|
|
"post_stop_reentries": 61,
|
|
"post_stop_states_open_at_end": 51
|
|
},
|
|
{
|
|
"window": "validation",
|
|
"dsr": 0.9039,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "close",
|
|
"final_equity": 20060.98,
|
|
"total_return_pct": 100.6,
|
|
"cagr_pct": 41.6,
|
|
"max_drawdown_pct": 20.9,
|
|
"calmar": 1.99,
|
|
"sharpe": 1.68,
|
|
"sharpe_se": 0.716,
|
|
"psr": 0.9905,
|
|
"n_returns": 502,
|
|
"return_skew": -0.0866,
|
|
"return_kurtosis": 4.395,
|
|
"trades": 239,
|
|
"win_rate": 35.1,
|
|
"avg_trade_pnl": 42.1,
|
|
"best_trade_r": 12.03,
|
|
"worst_trade_r": -2.82,
|
|
"best_trade_pnl": 2012.72,
|
|
"worst_trade_pnl": -330.01,
|
|
"avg_hold_days": 14.0,
|
|
"exit_reasons": {
|
|
"stop": 121,
|
|
"time": 44,
|
|
"trailing_stop": 74
|
|
},
|
|
"skipped_book_full": 207,
|
|
"spy_return_pct": 36.6,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 16.7
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 50.3
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": 14.5
|
|
}
|
|
],
|
|
"start_date": "2024-07-01",
|
|
"end_date": "2026-07-02",
|
|
"post_stop_events": 121,
|
|
"post_stop_reentries": 63,
|
|
"post_stop_states_open_at_end": 58
|
|
},
|
|
{
|
|
"window": "full",
|
|
"dsr": 0.9939,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "close",
|
|
"final_equity": 48810.86,
|
|
"total_return_pct": 388.1,
|
|
"cagr_pct": 48.3,
|
|
"max_drawdown_pct": 21.6,
|
|
"calmar": 2.23,
|
|
"sharpe": 1.77,
|
|
"sharpe_se": 0.496,
|
|
"psr": 0.9998,
|
|
"n_returns": 1008,
|
|
"return_skew": 0.2714,
|
|
"return_kurtosis": 4.9751,
|
|
"trades": 472,
|
|
"win_rate": 36.2,
|
|
"avg_trade_pnl": 82.23,
|
|
"best_trade_r": 12.03,
|
|
"worst_trade_r": -3.1,
|
|
"best_trade_pnl": 4897.19,
|
|
"worst_trade_pnl": -802.94,
|
|
"avg_hold_days": 14.6,
|
|
"exit_reasons": {
|
|
"stop": 229,
|
|
"time": 96,
|
|
"trailing_stop": 147
|
|
},
|
|
"skipped_book_full": 519,
|
|
"spy_return_pct": 90.9,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": 11.9
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 78.1
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 42.5
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 50.3
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": 14.5
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2026-07-02",
|
|
"post_stop_events": 229,
|
|
"post_stop_reentries": 142,
|
|
"post_stop_states_open_at_end": 87
|
|
}
|
|
]
|
|
},
|
|
{
|
|
"id": "next_open",
|
|
"label": "Next-open fill (decision baseline)",
|
|
"config": {
|
|
"fill_mode": "next_open"
|
|
},
|
|
"windows": [
|
|
{
|
|
"window": "train",
|
|
"dsr": 0.6243,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "next_open",
|
|
"final_equity": 15364.14,
|
|
"total_return_pct": 53.6,
|
|
"cagr_pct": 22.2,
|
|
"max_drawdown_pct": 18.1,
|
|
"calmar": 1.23,
|
|
"sharpe": 0.94,
|
|
"sharpe_se": 0.688,
|
|
"psr": 0.9148,
|
|
"n_returns": 536,
|
|
"return_skew": -0.039,
|
|
"return_kurtosis": 4.2924,
|
|
"trades": 260,
|
|
"win_rate": 31.2,
|
|
"avg_trade_pnl": 20.63,
|
|
"best_trade_r": 11.53,
|
|
"worst_trade_r": -2.99,
|
|
"best_trade_pnl": 1265.39,
|
|
"worst_trade_pnl": -303.24,
|
|
"avg_hold_days": 13.7,
|
|
"exit_reasons": {
|
|
"stop": 133,
|
|
"time": 48,
|
|
"trailing_stop": 79
|
|
},
|
|
"skipped_book_full": 140,
|
|
"spy_return_pct": 39.0,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": 4.5
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 44.6
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 1.7
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2024-08-13",
|
|
"skipped_missing_fill": 0,
|
|
"overnight_slippage": {
|
|
"n": 260,
|
|
"mean_pct": -0.063,
|
|
"median_pct": -0.1627,
|
|
"p05_pct": -2.5148,
|
|
"p95_pct": 1.8498
|
|
},
|
|
"post_stop_events": 133,
|
|
"post_stop_reentries": 79,
|
|
"post_stop_states_open_at_end": 50
|
|
},
|
|
{
|
|
"window": "validation",
|
|
"dsr": 0.8327,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "next_open",
|
|
"final_equity": 18586.06,
|
|
"total_return_pct": 85.9,
|
|
"cagr_pct": 36.3,
|
|
"max_drawdown_pct": 28.2,
|
|
"calmar": 1.29,
|
|
"sharpe": 1.44,
|
|
"sharpe_se": 0.719,
|
|
"psr": 0.9774,
|
|
"n_returns": 502,
|
|
"return_skew": -0.2169,
|
|
"return_kurtosis": 4.6486,
|
|
"trades": 243,
|
|
"win_rate": 35.0,
|
|
"avg_trade_pnl": 35.33,
|
|
"best_trade_r": 12.2,
|
|
"worst_trade_r": -4.0,
|
|
"best_trade_pnl": 1731.6,
|
|
"worst_trade_pnl": -196.48,
|
|
"avg_hold_days": 13.8,
|
|
"exit_reasons": {
|
|
"stop": 114,
|
|
"time": 48,
|
|
"trailing_stop": 81
|
|
},
|
|
"skipped_book_full": 197,
|
|
"spy_return_pct": 36.6,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 14.2
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 42.6
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": 14.1
|
|
}
|
|
],
|
|
"start_date": "2024-07-01",
|
|
"end_date": "2026-07-02",
|
|
"skipped_missing_fill": 0,
|
|
"overnight_slippage": {
|
|
"n": 243,
|
|
"mean_pct": -0.519,
|
|
"median_pct": -0.1786,
|
|
"p05_pct": -4.5194,
|
|
"p95_pct": 2.0911
|
|
},
|
|
"post_stop_events": 114,
|
|
"post_stop_reentries": 51,
|
|
"post_stop_states_open_at_end": 52
|
|
},
|
|
{
|
|
"window": "full",
|
|
"dsr": 0.9093,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "next_open",
|
|
"final_equity": 28701.57,
|
|
"total_return_pct": 187.0,
|
|
"cagr_pct": 30.0,
|
|
"max_drawdown_pct": 28.2,
|
|
"calmar": 1.06,
|
|
"sharpe": 1.2,
|
|
"sharpe_se": 0.504,
|
|
"psr": 0.9914,
|
|
"n_returns": 1008,
|
|
"return_skew": -0.1589,
|
|
"return_kurtosis": 4.4517,
|
|
"trades": 502,
|
|
"win_rate": 32.5,
|
|
"avg_trade_pnl": 37.25,
|
|
"best_trade_r": 12.2,
|
|
"worst_trade_r": -4.0,
|
|
"best_trade_pnl": 2674.03,
|
|
"worst_trade_pnl": -303.42,
|
|
"avg_hold_days": 13.7,
|
|
"exit_reasons": {
|
|
"stop": 251,
|
|
"time": 97,
|
|
"trailing_stop": 154
|
|
},
|
|
"skipped_book_full": 356,
|
|
"spy_return_pct": 90.9,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": 4.5
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 44.6
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 15.7
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 44.0
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": 14.1
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2026-07-02",
|
|
"skipped_missing_fill": 0,
|
|
"overnight_slippage": {
|
|
"n": 502,
|
|
"mean_pct": -0.2566,
|
|
"median_pct": -0.1661,
|
|
"p05_pct": -2.7763,
|
|
"p95_pct": 1.8997
|
|
},
|
|
"post_stop_events": 251,
|
|
"post_stop_reentries": 157,
|
|
"post_stop_states_open_at_end": 81
|
|
}
|
|
]
|
|
},
|
|
{
|
|
"id": "stale_close",
|
|
"label": "Stale-signal close fill (MOC proxy: signal t-1, fill t close)",
|
|
"config": {
|
|
"fill_mode": "stale_close"
|
|
},
|
|
"windows": [
|
|
{
|
|
"window": "train",
|
|
"dsr": 0.8241,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "stale_close",
|
|
"final_equity": 18942.53,
|
|
"total_return_pct": 89.4,
|
|
"cagr_pct": 34.8,
|
|
"max_drawdown_pct": 17.0,
|
|
"calmar": 2.05,
|
|
"sharpe": 1.36,
|
|
"sharpe_se": 0.685,
|
|
"psr": 0.9767,
|
|
"n_returns": 536,
|
|
"return_skew": 0.0918,
|
|
"return_kurtosis": 3.1111,
|
|
"trades": 246,
|
|
"win_rate": 39.0,
|
|
"avg_trade_pnl": 36.35,
|
|
"best_trade_r": 10.3,
|
|
"worst_trade_r": -2.67,
|
|
"best_trade_pnl": 1318.25,
|
|
"worst_trade_pnl": -328.1,
|
|
"avg_hold_days": 16.1,
|
|
"exit_reasons": {
|
|
"stop": 103,
|
|
"time": 54,
|
|
"trailing_stop": 89
|
|
},
|
|
"skipped_book_full": 668,
|
|
"spy_return_pct": 39.0,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": -0.9
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 72.8
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 10.6
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2024-08-13",
|
|
"skipped_missing_fill": 0,
|
|
"signal_to_fill_drift": {
|
|
"n": 246,
|
|
"mean_pct": -0.3836,
|
|
"median_pct": -0.4703,
|
|
"p05_pct": -4.841,
|
|
"p95_pct": 3.908
|
|
},
|
|
"post_stop_events": 103,
|
|
"post_stop_reentries": 54,
|
|
"post_stop_states_open_at_end": 47
|
|
},
|
|
{
|
|
"window": "validation",
|
|
"dsr": 0.9216,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "stale_close",
|
|
"final_equity": 20546.48,
|
|
"total_return_pct": 105.5,
|
|
"cagr_pct": 43.3,
|
|
"max_drawdown_pct": 21.6,
|
|
"calmar": 2.0,
|
|
"sharpe": 1.74,
|
|
"sharpe_se": 0.702,
|
|
"psr": 0.9933,
|
|
"n_returns": 502,
|
|
"return_skew": 0.3013,
|
|
"return_kurtosis": 5.6337,
|
|
"trades": 234,
|
|
"win_rate": 37.2,
|
|
"avg_trade_pnl": 45.07,
|
|
"best_trade_r": 11.94,
|
|
"worst_trade_r": -4.23,
|
|
"best_trade_pnl": 2186.87,
|
|
"worst_trade_pnl": -732.55,
|
|
"avg_hold_days": 15.2,
|
|
"exit_reasons": {
|
|
"open_at_end": 1,
|
|
"stop": 103,
|
|
"time": 50,
|
|
"trailing_stop": 80
|
|
},
|
|
"skipped_book_full": 223,
|
|
"spy_return_pct": 36.6,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 17.6
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 74.8
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": -0.1
|
|
}
|
|
],
|
|
"start_date": "2024-07-01",
|
|
"end_date": "2026-07-02",
|
|
"skipped_missing_fill": 0,
|
|
"signal_to_fill_drift": {
|
|
"n": 234,
|
|
"mean_pct": -0.5217,
|
|
"median_pct": -0.0138,
|
|
"p05_pct": -6.5593,
|
|
"p95_pct": 4.5614
|
|
},
|
|
"post_stop_events": 103,
|
|
"post_stop_reentries": 45,
|
|
"post_stop_states_open_at_end": 53
|
|
},
|
|
{
|
|
"window": "full",
|
|
"dsr": 0.9816,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "stale_close",
|
|
"final_equity": 39381.26,
|
|
"total_return_pct": 293.8,
|
|
"cagr_pct": 40.6,
|
|
"max_drawdown_pct": 21.8,
|
|
"calmar": 1.87,
|
|
"sharpe": 1.57,
|
|
"sharpe_se": 0.5,
|
|
"psr": 0.9991,
|
|
"n_returns": 1008,
|
|
"return_skew": 0.0941,
|
|
"return_kurtosis": 4.1297,
|
|
"trades": 483,
|
|
"win_rate": 37.5,
|
|
"avg_trade_pnl": 60.83,
|
|
"best_trade_r": 11.94,
|
|
"worst_trade_r": -4.23,
|
|
"best_trade_pnl": 4191.56,
|
|
"worst_trade_pnl": -1404.07,
|
|
"avg_hold_days": 15.5,
|
|
"exit_reasons": {
|
|
"open_at_end": 1,
|
|
"stop": 208,
|
|
"time": 102,
|
|
"trailing_stop": 172
|
|
},
|
|
"skipped_book_full": 894,
|
|
"spy_return_pct": 90.9,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": -0.9
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 72.8
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 31.7
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 74.7
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": -0.1
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2026-07-02",
|
|
"skipped_missing_fill": 0,
|
|
"signal_to_fill_drift": {
|
|
"n": 483,
|
|
"mean_pct": -0.4799,
|
|
"median_pct": -0.381,
|
|
"p05_pct": -5.5621,
|
|
"p95_pct": 4.2818
|
|
},
|
|
"post_stop_events": 208,
|
|
"post_stop_reentries": 118,
|
|
"post_stop_states_open_at_end": 83
|
|
}
|
|
]
|
|
},
|
|
{
|
|
"id": "next_open_gap2",
|
|
"label": "Next-open + skip gap-up > 2%",
|
|
"config": {
|
|
"fill_mode": "next_open",
|
|
"max_entry_gap_pct": 0.02
|
|
},
|
|
"windows": [
|
|
{
|
|
"window": "train",
|
|
"dsr": 0.4988,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "next_open",
|
|
"final_equity": 13619.82,
|
|
"total_return_pct": 36.2,
|
|
"cagr_pct": 15.5,
|
|
"max_drawdown_pct": 21.5,
|
|
"calmar": 0.72,
|
|
"sharpe": 0.72,
|
|
"sharpe_se": 0.686,
|
|
"psr": 0.8518,
|
|
"n_returns": 536,
|
|
"return_skew": 0.0343,
|
|
"return_kurtosis": 4.6315,
|
|
"trades": 274,
|
|
"win_rate": 31.4,
|
|
"avg_trade_pnl": 13.21,
|
|
"best_trade_r": 11.53,
|
|
"worst_trade_r": -2.99,
|
|
"best_trade_pnl": 1223.62,
|
|
"worst_trade_pnl": -268.81,
|
|
"avg_hold_days": 13.4,
|
|
"exit_reasons": {
|
|
"stop": 138,
|
|
"time": 47,
|
|
"trailing_stop": 89
|
|
},
|
|
"skipped_book_full": 325,
|
|
"spy_return_pct": 39.0,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": -4.1
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 38.7
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 2.4
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2024-08-13",
|
|
"skipped_missing_fill": 0,
|
|
"overnight_slippage": {
|
|
"n": 274,
|
|
"mean_pct": -0.4245,
|
|
"median_pct": -0.2836,
|
|
"p05_pct": -2.6277,
|
|
"p95_pct": 1.3953
|
|
},
|
|
"max_entry_gap_pct": 0.02,
|
|
"skipped_gap_cap": 146,
|
|
"post_stop_events": 138,
|
|
"post_stop_reentries": 76,
|
|
"post_stop_states_open_at_end": 55
|
|
},
|
|
{
|
|
"window": "validation",
|
|
"dsr": 0.8234,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "next_open",
|
|
"final_equity": 18053.3,
|
|
"total_return_pct": 80.5,
|
|
"cagr_pct": 34.3,
|
|
"max_drawdown_pct": 28.2,
|
|
"calmar": 1.22,
|
|
"sharpe": 1.41,
|
|
"sharpe_se": 0.715,
|
|
"psr": 0.9758,
|
|
"n_returns": 502,
|
|
"return_skew": -0.0944,
|
|
"return_kurtosis": 4.7767,
|
|
"trades": 251,
|
|
"win_rate": 35.1,
|
|
"avg_trade_pnl": 32.08,
|
|
"best_trade_r": 12.2,
|
|
"worst_trade_r": -4.0,
|
|
"best_trade_pnl": 1693.37,
|
|
"worst_trade_pnl": -213.76,
|
|
"avg_hold_days": 13.7,
|
|
"exit_reasons": {
|
|
"open_at_end": 1,
|
|
"stop": 117,
|
|
"time": 49,
|
|
"trailing_stop": 84
|
|
},
|
|
"skipped_book_full": 200,
|
|
"spy_return_pct": 36.6,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 12.7
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 40.4
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": 14.1
|
|
}
|
|
],
|
|
"start_date": "2024-07-01",
|
|
"end_date": "2026-07-02",
|
|
"skipped_missing_fill": 0,
|
|
"overnight_slippage": {
|
|
"n": 251,
|
|
"mean_pct": -0.7233,
|
|
"median_pct": -0.2245,
|
|
"p05_pct": -4.6154,
|
|
"p95_pct": 1.0467
|
|
},
|
|
"max_entry_gap_pct": 0.02,
|
|
"skipped_gap_cap": 116,
|
|
"post_stop_events": 117,
|
|
"post_stop_reentries": 56,
|
|
"post_stop_states_open_at_end": 53
|
|
},
|
|
{
|
|
"window": "full",
|
|
"dsr": 0.8561,
|
|
"starting_capital": 10000.0,
|
|
"cost_per_side_pct": 0.1,
|
|
"fill_mode": "next_open",
|
|
"final_equity": 24698.25,
|
|
"total_return_pct": 147.0,
|
|
"cagr_pct": 25.2,
|
|
"max_drawdown_pct": 27.8,
|
|
"calmar": 0.91,
|
|
"sharpe": 1.06,
|
|
"sharpe_se": 0.502,
|
|
"psr": 0.983,
|
|
"n_returns": 1008,
|
|
"return_skew": -0.0453,
|
|
"return_kurtosis": 4.7254,
|
|
"trades": 523,
|
|
"win_rate": 32.7,
|
|
"avg_trade_pnl": 28.1,
|
|
"best_trade_r": 12.2,
|
|
"worst_trade_r": -4.0,
|
|
"best_trade_pnl": 2316.66,
|
|
"worst_trade_pnl": -292.44,
|
|
"avg_hold_days": 13.4,
|
|
"exit_reasons": {
|
|
"open_at_end": 1,
|
|
"stop": 258,
|
|
"time": 97,
|
|
"trailing_stop": 167
|
|
},
|
|
"skipped_book_full": 525,
|
|
"spy_return_pct": 90.9,
|
|
"yearly_returns": [
|
|
{
|
|
"year": 2022,
|
|
"return_pct": -4.1
|
|
},
|
|
{
|
|
"year": 2023,
|
|
"return_pct": 38.7
|
|
},
|
|
{
|
|
"year": 2024,
|
|
"return_pct": 14.8
|
|
},
|
|
{
|
|
"year": 2025,
|
|
"return_pct": 41.7
|
|
},
|
|
{
|
|
"year": 2026,
|
|
"return_pct": 14.1
|
|
}
|
|
],
|
|
"start_date": "2022-06-24",
|
|
"end_date": "2026-07-02",
|
|
"skipped_missing_fill": 0,
|
|
"overnight_slippage": {
|
|
"n": 523,
|
|
"mean_pct": -0.5565,
|
|
"median_pct": -0.2628,
|
|
"p05_pct": -3.5771,
|
|
"p95_pct": 1.3699
|
|
},
|
|
"max_entry_gap_pct": 0.02,
|
|
"skipped_gap_cap": 262,
|
|
"post_stop_events": 258,
|
|
"post_stop_reentries": 158,
|
|
"post_stop_states_open_at_end": 87
|
|
}
|
|
]
|
|
}
|
|
],
|
|
"recovery": {
|
|
"recover": false,
|
|
"near_close_control": true,
|
|
"beats_next_open": true,
|
|
"train_ok": false,
|
|
"validation_delta_vs_close": 0.06,
|
|
"validation_delta_vs_next_open": 0.3,
|
|
"half_se": 0.358,
|
|
"reason": "stale_close does not meet recovery criteria \u2014 see flags"
|
|
}
|
|
} |