{ "gold": { "roi": 88.55, "pf": 1.215, "dd": 15.05, "sharpe": 4.38, "wr": 50.5, "trades": 2155 }, "results": [ { "name": "d_liq_H1 (days 0-27)", "roi": 76.14224142505569, "dd": 16.77600591143919, "calmar": 4.538758619126139, "trades": 1050, "liq_stops": 1, "days": 28, "mc_red": 0, "mc_halted": 0 }, { "name": "abeta_H1 (days 0-27)", "roi": 38.57335970751784, "dd": 14.321954772270908, "calmar": 2.693302717461493, "trades": 1050, "liq_stops": 0, "days": 28, "mc_red": 0, "mc_halted": 0 }, { "name": "d_liq_H2 (days 28-55)", "roi": 59.928495551638946, "dd": 15.381215784261638, "calmar": 3.896213172755756, "trades": 1103, "liq_stops": 0, "days": 28, "mc_red": 0, "mc_halted": 0 }, { "name": "abeta_H2 (days 28-55)", "roi": 42.578652854670715, "dd": 10.236414991759771, "calmar": 4.159527812124281, "trades": 1103, "liq_stops": 0, "days": 28, "mc_red": 0, "mc_halted": 0 }, { "name": "d_liq_Q1", "roi": 3.353675329427657, "dd": 16.77600591143919, "calmar": 0.199909045522025, "trades": 532, "liq_stops": 0, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "abeta_Q1", "roi": 1.1727921993959172, "dd": 13.884446888829856, "calmar": 0.08446805326753329, "trades": 532, "liq_stops": 0, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "d_liq_Q2", "roi": 70.82653734416076, "dd": 12.810959705505464, "calmar": 5.528589502449477, "trades": 517, "liq_stops": 1, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "abeta_Q2", "roi": 38.781648637136215, "dd": 14.437901577945617, "calmar": 2.686100083711368, "trades": 517, "liq_stops": 0, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "d_liq_Q3", "roi": 55.34503692873527, "dd": 15.381215784261757, "calmar": 3.598222514072325, "trades": 465, "liq_stops": 0, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "abeta_Q3", "roi": 38.41268117672217, "dd": 10.236414991759771, "calmar": 3.7525521588997766, "trades": 465, "liq_stops": 0, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "d_liq_Q4", "roi": 3.1074038301600084, "dd": 12.866819616903355, "calmar": 0.2415051988509857, "trades": 637, "liq_stops": 0, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "abeta_Q4", "roi": 3.1287720381663533, "dd": 8.984276378639036, "calmar": 0.3482497539373681, "trades": 637, "liq_stops": 0, "days": 14, "mc_red": 0, "mc_halted": 0 }, { "name": "d_liq_buf0.80", "roi": 169.47614903222345, "dd": 20.78163843773938, "calmar": 8.15509082885666, "trades": 2156, "liq_stops": 5, "days": 56, "mc_red": 0, "mc_halted": 0, "margin_buffer": 0.8 }, { "name": "d_liq_buf0.90", "roi": 167.655698815112, "dd": 16.77600591143919, "calmar": 9.993779192745233, "trades": 2155, "liq_stops": 2, "days": 56, "mc_red": 0, "mc_halted": 0, "margin_buffer": 0.9 }, { "name": "d_liq_buf0.95", "roi": 166.83246014782176, "dd": 16.77600591143919, "calmar": 9.944706804976885, "trades": 2155, "liq_stops": 1, "days": 56, "mc_red": 0, "mc_halted": 0, "margin_buffer": 0.95 }, { "name": "d_liq_buf1.00", "roi": 166.83246014782176, "dd": 16.77600591143919, "calmar": 9.944706804976885, "trades": 2155, "liq_stops": 1, "days": 56, "mc_red": 0, "mc_halted": 0, "margin_buffer": 1.0 } ], "meta": { "exp": "exp9c", "question": "Is D_LIQ_GOLD robust across time windows and parameter perturbations?", "split_passes": "1/2", "quarter_passes": "2/4", "buf_roi_range_pp": 2.644, "buf_dd_range_pp": 4.006, "all_pass": false, "total_elapsed_s": 5657.9 } }