71 lines
1.9 KiB
JSON
71 lines
1.9 KiB
JSON
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{
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"gold": {
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"roi": 88.55,
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"pf": 1.215,
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"dd": 15.05,
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"sharpe": 4.38,
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"wr": 50.5,
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"trades": 2155
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},
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"results": [
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{
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"name": "Baseline (no sizing)",
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"roi": 88.54671933603525,
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"pf": 1.21470506157439,
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"dd": 15.046245386522427,
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"wr": 50.48723897911833,
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"sharpe": 4.378300370204196,
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"trades": 2155,
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"elapsed": 268.88467717170715
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},
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{
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"name": "S1: [0.5x\u20131.5x] lin w500",
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"roi": 91.48189487501385,
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"pf": 1.1782078938827591,
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"dd": 16.927834492523125,
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"wr": 50.48723897911833,
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"sharpe": 3.527834707408158,
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"trades": 2155,
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"sizing_scale_mean": 1.004486056844373,
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"elapsed": 243.42204928398132
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},
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{
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"name": "S2: [0.25x\u20132.0x] lin w500",
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"roi": 105.5096611068238,
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"pf": 1.1536536843959095,
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"dd": 20.295829395125175,
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"wr": 50.48723897911833,
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"sharpe": 2.955778991462272,
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"trades": 2155,
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"sizing_scale_mean": 1.1328034858097293,
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"elapsed": 244.23685836791992
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},
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{
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"name": "S3: [0.5x\u20131.5x] lin w1000",
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"roi": 89.49343433628508,
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"pf": 1.176302347754926,
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"dd": 16.690286456683094,
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"wr": 50.48723897911833,
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"sharpe": 3.5136533668662375,
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"trades": 2155,
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"sizing_scale_mean": 1.0001217537235905,
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"elapsed": 231.25820136070251
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},
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{
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"name": "S4: [0.5x\u20131.5x] clip p25-p75",
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"roi": 87.12541575348651,
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"pf": 1.1628357230291246,
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"dd": 18.02585930450568,
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"wr": 50.48723897911833,
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"sharpe": 3.184294285082965,
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"trades": 2155,
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"sizing_scale_mean": 1.0189395626318845,
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"elapsed": 225.79217648506165
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}
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],
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"meta": {
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"experiment": "proxy_B position sizing",
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"description": "Scale base_fraction by rolling proxy_B percentile",
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"proxy": "instability_50 - v750_lambda_max_velocity"
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}
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}
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