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DOLPHIN/nautilus_dolphin/dvae/exp9_leverage_ceiling_results.json

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{
"gold": {
"roi": 96.55,
"dd": 14.32,
"trades": 2155
},
"results": [
{
"name": "A_5.0/6.0_mc5.0_GOLD-ref",
"roi": 96.55083977704362,
"pf": 1.2201203038704769,
"dd": 14.321954772270876,
"wr": 50.48723897911833,
"sharpe": 4.631491961453057,
"trades": 2155,
"avg_leverage": 3.1901002888648518,
"max_leverage_realized": 6.0,
"lev_p90": 6.0,
"pct_at_hard_cap": 40.324825986078885,
"sizing_scale_mean": 1.0883296846011132,
"mc_monitor": {
"red": 0,
"orange": 0,
"ok": 56,
"halted": 0,
"total": 56
}
},
{
"name": "B_6.0/7.0_mc5.0_decoupled",
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"pf": 1.2185272940196565,
"dd": 16.916071652089094,
"wr": 50.48723897911833,
"sharpe": 4.550677484437249,
"trades": 2155,
"avg_leverage": 3.588114025875353,
"max_leverage_realized": 7.0,
"lev_p90": 7.0,
"pct_at_hard_cap": 39.443155452436194,
"sizing_scale_mean": 1.0883296846011132,
"mc_monitor": {
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}
},
{
"name": "C_7.0/8.0_mc5.0_decoupled",
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"pf": 1.2193254974796508,
"dd": 18.318263045357885,
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"sharpe": 4.517317168361109,
"trades": 2155,
"avg_leverage": 3.8905395845230593,
"max_leverage_realized": 8.0,
"lev_p90": 8.0,
"pct_at_hard_cap": 20.51044083526682,
"sizing_scale_mean": 1.0883296846011132,
"mc_monitor": {
"red": 0,
"orange": 0,
"ok": 56,
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}
},
{
"name": "D_8.0/9.0_mc5.0_decoupled",
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"pf": 1.2215406999889398,
"dd": 18.43672091284768,
"wr": 50.48723897911833,
"sharpe": 4.490863883629943,
"trades": 2155,
"avg_leverage": 4.093742876621359,
"max_leverage_realized": 9.0,
"lev_p90": 9.0,
"pct_at_hard_cap": 20.139211136890953,
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"mc_monitor": {
"red": 0,
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}
},
{
"name": "E_9.0/10.0_mc5.0_decoupled",
"roi": 183.99742787632874,
"pf": 1.222401072093006,
"dd": 18.556892309537158,
"wr": 50.48723897911833,
"sharpe": 4.427325011926956,
"trades": 2155,
"avg_leverage": 4.293314913419678,
"max_leverage_realized": 10.0,
"lev_p90": 10.0,
"pct_at_hard_cap": 19.814385150812065,
"sizing_scale_mean": 1.0883296846011132,
"mc_monitor": {
"red": 0,
"orange": 0,
"ok": 56,
"halted": 0,
"total": 56
}
},
{
"name": "F_6.0/7.0_mc6.0_coupled",
"roi": 119.33687073886617,
"pf": 1.2185272940196565,
"dd": 16.916071652089094,
"wr": 50.48723897911833,
"sharpe": 4.550677484437249,
"trades": 2155,
"avg_leverage": 3.588114025875353,
"max_leverage_realized": 7.0,
"lev_p90": 7.0,
"pct_at_hard_cap": 39.443155452436194,
"sizing_scale_mean": 1.0883296846011132,
"mc_monitor": {
"red": 0,
"orange": 0,
"ok": 56,
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}
},
{
"name": "G_7.0/8.0_mc7.0_coupled",
"roi": 141.79672282249857,
"pf": 1.2193254974796508,
"dd": 18.318263045357885,
"wr": 50.48723897911833,
"sharpe": 4.517317168361109,
"trades": 2155,
"avg_leverage": 3.8905395845230593,
"max_leverage_realized": 8.0,
"lev_p90": 8.0,
"pct_at_hard_cap": 20.51044083526682,
"sizing_scale_mean": 1.0883296846011132,
"mc_monitor": {
"red": 0,
"orange": 0,
"ok": 56,
"halted": 0,
"total": 56
}
},
{
"name": "H_8.0/9.0_mc8.0_coupled",
"roi": 162.27551845884568,
"pf": 1.2215406999889398,
"dd": 18.43672091284768,
"wr": 50.48723897911833,
"sharpe": 4.490863883629943,
"trades": 2155,
"avg_leverage": 4.093742876621359,
"max_leverage_realized": 9.0,
"lev_p90": 9.0,
"pct_at_hard_cap": 20.139211136890953,
"sizing_scale_mean": 1.0883296846011132,
"mc_monitor": {
"red": 0,
"orange": 0,
"ok": 56,
"halted": 0,
"total": 56
}
}
],
"meta": {
"exp": "exp9",
"question": "Does adaptive_beta DD headroom permit higher leverage ceiling?",
"silver": {
"roi": 88.55,
"dd": 15.05,
"trades": 2155
},
"total_elapsed_s": 2697.7,
"gold_ref_ok": true,
"note_mc": "Decoupled runs (mc_ref=5.0): MC assesses at original 5x reference \u2014 pure leverage cap test. Coupled runs: MC sees actual new cap \u2014 tests MC response."
}
}