{ "run_date": "2026-11-10T17:52:49.254070+08:00", "finlab_version": "2.3.8", "end": "2026-11-09", "start": "2008-01-02", "dow_start": "2016-01-04", "gap_statistics": [ { "market": "0050", "horizon": 5, "events": 432, "filled": 269, "rate": 0.6226851851851852 }, { "market": "stocks", "horizon": 5, "events": 97927, "filled": 52008, "rate": 0.5310894850245591 }, { "market": "0050", "horizon": 20, "events": 427, "filled": 346, "rate": 0.810304449648712 }, { "market": "stocks", "horizon": 20, "events": 96797, "filled": 71083, "rate": 0.7343512712170832 }, { "market": "0050", "horizon": 60, "events": 423, "filled": 382, "rate": 0.9030732860520094 }, { "market": "stocks", "horizon": 60, "events": 96060, "filled": 81515, "rate": 0.8485842181969603 } ], "designs": { "g1_stocks": [ { "parameters": [ 40, 3 ], "center": false, "cagr": 0.058377938443848976, "sharpe": 0.3825645640423551, "mdd": -0.6265611184399302, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.008592566362239484, "sharpe": 0.1500990745543712, "mdd": -0.6265611184399302 }, { "cagr": 0.10926903639619523, "sharpe": 0.6321415505489796, "mdd": -0.35598735701053263 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 5 ], "center": false, "cagr": 0.06000189132003242, "sharpe": 0.38943489254337466, "mdd": -0.6261604157819523, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.008055839886146776, "sharpe": 0.1481482129554594, "mdd": -0.6261604157819523 }, { "cagr": 0.11326514728971104, "sharpe": 0.6506570156155835, "mdd": -0.358403277281962 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 10 ], "center": false, "cagr": 0.06272225177732338, "sharpe": 0.4029358669551772, "mdd": -0.6308309591661854, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.017986240005862797, "sharpe": 0.19330678822221392, "mdd": -0.6308309591661854 }, { "cagr": 0.10802696378886911, "sharpe": 0.6295835577921401, "mdd": -0.36416327148708894 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 3 ], "center": false, "cagr": 0.06603126135358317, "sharpe": 0.4192718628241943, "mdd": -0.6243436389501702, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.015604042788041506, "sharpe": 0.1818762994681785, "mdd": -0.6243436389501702 }, { "cagr": 0.11747233143169611, "sharpe": 0.6713205076135813, "mdd": -0.3652106693127486 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 5 ], "center": true, "cagr": 0.06933772789702797, "sharpe": 0.43728793186462966, "mdd": -0.6179392874458736, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.02215817518229901, "sharpe": 0.21205353064336524, "mdd": -0.6179392874458736 }, { "cagr": 0.11733573183799706, "sharpe": 0.6737502883593155, "mdd": -0.35429912936206054 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false, "removed_year": 2009, "without_best_year": 0.23124448364431577, "benchmark_without_best_year": 0.6337927742952313, "trades": 3531, "average_holdings": 273.71931719965426, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.19662035817770715, "monthly_target_turnover_max": 1.2390414962010519 }, { "parameters": [ 60, 10 ], "center": false, "cagr": 0.06032510394984314, "sharpe": 0.3948116577972522, "mdd": -0.6244927063032947, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.014894997017023792, "sharpe": 0.17813659427902145, "mdd": -0.6244927063032947 }, { "cagr": 0.10635530509250568, "sharpe": 0.6237462434837266, "mdd": -0.35662537300123043 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 3 ], "center": false, "cagr": 0.06452518626480064, "sharpe": 0.4180341783503187, "mdd": -0.6138302503771822, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.020383682396654113, "sharpe": 0.20369907148848904, "mdd": -0.6138302503771822 }, { "cagr": 0.10934276290800304, "sharpe": 0.648054553311926, "mdd": -0.3560137268411432 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 5 ], "center": false, "cagr": 0.07259650622030489, "sharpe": 0.4541114224048463, "mdd": -0.6048687480587231, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.022285244333558607, "sharpe": 0.2126187450700947, "mdd": -0.6048687480587231 }, { "cagr": 0.12391331229381897, "sharpe": 0.7149860726240813, "mdd": -0.35041212533312294 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 10 ], "center": false, "cagr": 0.07020376926434024, "sharpe": 0.4424569284932883, "mdd": -0.6120488097135023, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.024047458792885834, "sharpe": 0.22083817865677308, "mdd": -0.6120488097135023 }, { "cagr": 0.1171299362595819, "sharpe": 0.6799806523487342, "mdd": -0.35898499714987575 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false } ], "g1_0050": [ { "parameters": [ 40, 3 ], "center": false, "cagr": 0.14590156017863043, "sharpe": 0.9536971251441213, "mdd": -0.33957005414581976, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.08396870242522914, "sharpe": 0.790125762191102, "mdd": -0.1678756476683937 }, { "cagr": 0.2106030845610516, "sharpe": 1.1026871918961314, "mdd": -0.33957005414581976 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5637424373379429, "fixed_weight_sharpe": 0.7441177461258318, "win": true }, { "parameters": [ 40, 5 ], "center": false, "cagr": 0.12164544773155272, "sharpe": 0.8945342394655815, "mdd": -0.28217652172430885, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.11593944124977917, "sharpe": 0.8347098871305374, "mdd": -0.20962199312714758 }, { "cagr": 0.12741469045374365, "sharpe": 0.9580859282597545, "mdd": -0.28217652172430885 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6367761452031115, "fixed_weight_sharpe": 0.7441177461258294, "win": true }, { "parameters": [ 40, 10 ], "center": false, "cagr": 0.056563734423806133, "sharpe": 0.5780892455892257, "mdd": -0.23008528096621017, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.04385194676101478, "sharpe": 0.4537874068673032, "mdd": -0.23008528096621017 }, { "cagr": 0.069010662776958, "sharpe": 0.7042804970320219, "mdd": -0.2130150895296975 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.4263180639585134, "fixed_weight_sharpe": 0.7441177461258316, "win": false }, { "parameters": [ 60, 3 ], "center": false, "cagr": 0.08164411472147326, "sharpe": 0.639275836359682, "mdd": -0.3395700541458201, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.031773090665696335, "sharpe": 0.34726370638500526, "mdd": -0.22713370407278088 }, { "cagr": 0.13296419666121118, "sharpe": 0.8507138083785527, "mdd": -0.3395700541458201 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.631590319792567, "fixed_weight_sharpe": 0.7441177461258272, "win": false }, { "parameters": [ 60, 5 ], "center": true, "cagr": 0.15847568349717434, "sharpe": 0.9499540661204237, "mdd": -0.33957005414581987, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.09275966105747568, "sharpe": 0.7132445899473725, "mdd": -0.2300852809662095 }, { "cagr": 0.22698892378084468, "sharpe": 1.1391210202192281, "mdd": -0.33957005414581987 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.7621002592912706, "fixed_weight_sharpe": 0.7441177461258309, "win": true, "removed_year": 2009, "without_best_year": 0.8229502520570015, "benchmark_without_best_year": 0.6337927742952313, "trades": 6, "average_holdings": 0.7623163353500432, "wins": 3, "passed": false, "monthly_target_turnover_mean": 0.048458149779735685, "monthly_target_turnover_max": 2.0 }, { "parameters": [ 60, 10 ], "center": false, "cagr": 0.08698421360766995, "sharpe": 0.7031255976925006, "mdd": -0.28217652172430885, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.09792197259361557, "sharpe": 0.7005180053176422, "mdd": -0.2300852809662095 }, { "cagr": 0.076082324427873, "sharpe": 0.7210799005944212, "mdd": -0.28217652172430885 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5827571305099395, "fixed_weight_sharpe": 0.7441177461258306, "win": false }, { "parameters": [ 80, 3 ], "center": false, "cagr": 0.06757118744026469, "sharpe": 0.5993790141412512, "mdd": -0.28217652172430885, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.057765014166789364, "sharpe": 0.49361547432130204, "mdd": -0.23331613304091148 }, { "cagr": 0.07709714184703187, "sharpe": 0.7239320738157703, "mdd": -0.28217652172430885 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5911840968020743, "fixed_weight_sharpe": 0.7441177461258265, "win": false }, { "parameters": [ 80, 5 ], "center": false, "cagr": 0.026459737580179388, "sharpe": 0.31743960567677865, "mdd": -0.2592763473204107, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03970105967015081, "sharpe": 0.38087458995089396, "mdd": -0.2592763473204107 }, { "cagr": 0.013306516688063041, "sharpe": 0.2350796636313263, "mdd": -0.17532838378069615 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.4403630077787381, "fixed_weight_sharpe": 0.7441177461258331, "win": false }, { "parameters": [ 80, 10 ], "center": false, "cagr": 0.010637034070334339, "sharpe": 0.18461003262928252, "mdd": -0.25927634732041105, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.021545318647739897, "sharpe": 0.26109566112861465, "mdd": -0.25927634732041105 }, { "cagr": 0.0, "sharpe": 0.0, "mdd": 0.0 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.22342264477095938, "fixed_weight_sharpe": 0.7441177461258363, "win": false } ], "g1_0050_avoid": [ { "parameters": [ 40, 3 ], "center": false, "cagr": -0.01089014551981271, "sharpe": -0.015434980651557184, "mdd": -0.5718994815990981, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.027033735590281438, "sharpe": -0.06860114502556137, "mdd": -0.5718994815990981 }, { "cagr": 0.005009984063601536, "sharpe": 0.10826541162610606, "mdd": -0.20600858369098718 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.43604148660328435, "fixed_weight_sharpe": 0.7441177461258285, "win": false }, { "parameters": [ 40, 5 ], "center": false, "cagr": 0.012218957728285407, "sharpe": 0.15791236842663944, "mdd": -0.5869133821371135, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.053723860947905266, "sharpe": -0.3010336373549042, "mdd": -0.5472699330196928 }, { "cagr": 0.08148108229250961, "sharpe": 0.5966186042391934, "mdd": -0.36275251339793135 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3630077787381158, "fixed_weight_sharpe": 0.7441177461258243, "win": false }, { "parameters": [ 40, 10 ], "center": false, "cagr": 0.07657533887744639, "sharpe": 0.5111109795314932, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.014797969330807792, "sharpe": 0.17300727548360983, "mdd": -0.5238283555647074 }, { "cagr": 0.14127127275684215, "sharpe": 0.8463184203503191, "mdd": -0.3444477603287036 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5734658599827139, "fixed_weight_sharpe": 0.7441177461258296, "win": false }, { "parameters": [ 60, 3 ], "center": false, "cagr": 0.05161248968273813, "sharpe": 0.4116634984590861, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.025392901548654256, "sharpe": 0.23200184070716012, "mdd": -0.5238283555647074 }, { "cagr": 0.07818019377590146, "sharpe": 0.6872198960577818, "mdd": -0.27372081470442056 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3681936041486603, "fixed_weight_sharpe": 0.7441177461258258, "win": false }, { "parameters": [ 60, 5 ], "center": true, "cagr": -0.01949460058317609, "sharpe": -0.11814663636477302, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.033045903791757536, "sharpe": -0.14181045039346765, "mdd": -0.5238283555647074 }, { "cagr": -0.005957998500344175, "sharpe": -0.10899378746272435, "mdd": -0.1753283837806966 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.23768366464995677, "fixed_weight_sharpe": 0.7441177461258275, "win": false, "removed_year": 2012, "without_best_year": -0.19001724863866667, "benchmark_without_best_year": 0.7424839967425162, "trades": 6, "average_holdings": 0.23768366464995677, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.05286343612334802, "monthly_target_turnover_max": 2.0 }, { "parameters": [ 60, 10 ], "center": false, "cagr": 0.04709698942116569, "sharpe": 0.3743799641146025, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.03517839855895066, "sharpe": -0.18104632060843664, "mdd": -0.5238283555647074 }, { "cagr": 0.13517295969600296, "sharpe": 0.8342674855651656, "mdd": -0.3395700541458193 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.4170267934312878, "fixed_weight_sharpe": 0.7441177461258291, "win": false }, { "parameters": [ 80, 3 ], "center": false, "cagr": 0.06613770679401232, "sharpe": 0.47479090378116756, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.00019644156116771505, "sharpe": 0.08177550805116335, "mdd": -0.5238283555647074 }, { "cagr": 0.13550558431627002, "sharpe": 0.8385290797658254, "mdd": -0.33957005414581964 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.408599827139153, "fixed_weight_sharpe": 0.7441177461258337, "win": false }, { "parameters": [ 80, 5 ], "center": false, "cagr": 0.1095279562240965, "sharpe": 0.671772114948069, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.01884943369313774, "sharpe": 0.19700545025516192, "mdd": -0.5238283555647074 }, { "cagr": 0.2069890001456518, "sharpe": 1.0817777383854439, "mdd": -0.3395700541458203 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5594209161624892, "fixed_weight_sharpe": 0.7441177461258303, "win": false }, { "parameters": [ 80, 10 ], "center": false, "cagr": 0.12689891265591502, "sharpe": 0.7230829473772993, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03630802527327326, "sharpe": 0.2903805492233765, "mdd": -0.5238283555647074 }, { "cagr": 0.22380565064502722, "sharpe": 1.1028023243822822, "mdd": -0.3395700541458203 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.776361279170268, "fixed_weight_sharpe": 0.7441177461258336, "win": false } ], "g2_stocks": [ { "parameters": [ 40, 3 ], "center": false, "cagr": 0.06333955032610983, "sharpe": 0.40001858872643015, "mdd": -0.629182731100671, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.010755270593626465, "sharpe": 0.16083846698613416, "mdd": -0.629182731100671 }, { "cagr": 0.11724534102574213, "sharpe": 0.6475728192010927, "mdd": -0.36773050814529784 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 5 ], "center": false, "cagr": 0.0676993431078372, "sharpe": 0.4197975327133366, "mdd": -0.6250332649071877, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.016529318542292115, "sharpe": 0.18694181274095023, "mdd": -0.6250332649071877 }, { "cagr": 0.12007225423069112, "sharpe": 0.6611744103113559, "mdd": -0.36019192957852586 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 10 ], "center": false, "cagr": 0.06994045438812746, "sharpe": 0.4307255096044378, "mdd": -0.6197156235649908, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.015301435226000137, "sharpe": 0.18105533615576155, "mdd": -0.6197156235649908 }, { "cagr": 0.1261407538309829, "sharpe": 0.6879758845711285, "mdd": -0.3578752016074098 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 3 ], "center": false, "cagr": 0.06655602535740424, "sharpe": 0.41680289380665536, "mdd": -0.6174657690553604, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.01732104361217912, "sharpe": 0.19004810207373848, "mdd": -0.6174657690553604 }, { "cagr": 0.1168810570286305, "sharpe": 0.6497711325660102, "mdd": -0.36059114183324825 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 5 ], "center": true, "cagr": 0.06621170277628852, "sharpe": 0.41547149437891084, "mdd": -0.614485364683287, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.01754995050882413, "sharpe": 0.1910277054527595, "mdd": -0.614485364683287 }, { "cagr": 0.11592187678603705, "sharpe": 0.6452771689975225, "mdd": -0.368345652686365 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false, "removed_year": 2009, "without_best_year": 0.21431250124942136, "benchmark_without_best_year": 0.6337927742952313, "trades": 12163, "average_holdings": 381.56244598098533, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.47647158515703103, "monthly_target_turnover_max": 1.570761786688983 }, { "parameters": [ 60, 10 ], "center": false, "cagr": 0.06987512434205301, "sharpe": 0.4329272948443235, "mdd": -0.6114765012567184, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.018845667837740887, "sharpe": 0.1968933126788932, "mdd": -0.6114765012567184 }, { "cagr": 0.12201890484598543, "sharpe": 0.674380548091061, "mdd": -0.3692772245436541 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 3 ], "center": false, "cagr": 0.07346064830139132, "sharpe": 0.44995542248456716, "mdd": -0.6053952472441698, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.027991369221060047, "sharpe": 0.23892647910243617, "mdd": -0.6053952472441698 }, { "cagr": 0.11955805045095436, "sharpe": 0.666578232125951, "mdd": -0.35184487547460597 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 5 ], "center": false, "cagr": 0.07276958246756915, "sharpe": 0.4472029361941515, "mdd": -0.6056122640443422, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.0273749141847639, "sharpe": 0.2361003480880597, "mdd": -0.6056122640443422 }, { "cagr": 0.11880707715780292, "sharpe": 0.665060902953263, "mdd": -0.3492739645307852 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 10 ], "center": false, "cagr": 0.0718795045753653, "sharpe": 0.4437672485338111, "mdd": -0.6043828017331208, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.028119179140308148, "sharpe": 0.23954215532952727, "mdd": -0.6043828017331208 }, { "cagr": 0.11607554049056401, "sharpe": 0.6543590236508002, "mdd": -0.35112846427957334 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false } ], "g2_0050": [ { "parameters": [ 40, 3 ], "center": false, "cagr": 0.09748925422571486, "sharpe": 0.6879047212973822, "mdd": -0.3055496672296689, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.07372535576582506, "sharpe": 0.58335715615987, "mdd": -0.24600152322924618 }, { "cagr": 0.12122694295147984, "sharpe": 0.7784487581047549, "mdd": -0.3055496672296689 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.631590319792567, "fixed_weight_sharpe": 0.7441177461258272, "win": false }, { "parameters": [ 40, 5 ], "center": false, "cagr": 0.08439942147568424, "sharpe": 0.6318321174093544, "mdd": -0.3126229270548253, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.04620690945453765, "sharpe": 0.42058832967013543, "mdd": -0.24600152322924584 }, { "cagr": 0.1232084910083866, "sharpe": 0.8029862693988203, "mdd": -0.3126229270548253 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6097666378565255, "fixed_weight_sharpe": 0.7441177461258305, "win": false }, { "parameters": [ 40, 10 ], "center": false, "cagr": 0.10006338317043828, "sharpe": 0.6763158362275098, "mdd": -0.31262292705482575, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.0824626418303438, "sharpe": 0.6291445472160883, "mdd": -0.2577433397669797 }, { "cagr": 0.1174896367231808, "sharpe": 0.7201970140186511, "mdd": -0.31262292705482575 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6711322385479689, "fixed_weight_sharpe": 0.7441177461258294, "win": false }, { "parameters": [ 60, 3 ], "center": false, "cagr": 0.09027195446356706, "sharpe": 0.5734114277544983, "mdd": -0.5311188896705001, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.022665584726971444, "sharpe": 0.2161278957192335, "mdd": -0.5311188896705001 }, { "cagr": 0.16110526619238974, "sharpe": 0.926180958169196, "mdd": -0.28217652172430896 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6691875540190146, "fixed_weight_sharpe": 0.7441177461258307, "win": false }, { "parameters": [ 60, 5 ], "center": true, "cagr": 0.09279424946554049, "sharpe": 0.5851610876407188, "mdd": -0.5311188896705001, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.02702531844775624, "sharpe": 0.23953705946768108, "mdd": -0.5311188896705001 }, { "cagr": 0.16156501427817638, "sharpe": 0.9271584156397147, "mdd": -0.28217652172430874 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6860414866032843, "fixed_weight_sharpe": 0.7441177461258308, "win": false, "removed_year": 2009, "without_best_year": 0.4523899427822827, "benchmark_without_best_year": 0.6337927742952313, "trades": 15, "average_holdings": 0.6862575626620571, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.1277533039647577, "monthly_target_turnover_max": 2.0 }, { "parameters": [ 60, 10 ], "center": false, "cagr": 0.08322856737550222, "sharpe": 0.5512867438882509, "mdd": -0.5311188896705001, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.0014900967669542187, "sharpe": 0.09295713389329528, "mdd": -0.5311188896705001 }, { "cagr": 0.17015014318855415, "sharpe": 0.9637348305982928, "mdd": -0.2821765217243085 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6555747623163354, "fixed_weight_sharpe": 0.7441177461258283, "win": false }, { "parameters": [ 80, 3 ], "center": false, "cagr": 0.012319812896701476, "sharpe": 0.16624643545701012, "mdd": -0.3736852706532654, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03840603621007399, "sharpe": 0.4316241944070361, "mdd": -0.23991476552212387 }, { "cagr": -0.01303236953541842, "sharpe": -0.03859595705008471, "mdd": -0.3736852706532654 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.38159031979256697, "fixed_weight_sharpe": 0.7441177461258286, "win": false }, { "parameters": [ 80, 5 ], "center": false, "cagr": 0.01926835853403719, "sharpe": 0.22333964549356536, "mdd": -0.2902065467433167, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03883250213071543, "sharpe": 0.4234675061430613, "mdd": -0.23698854710257544 }, { "cagr": 7.112925246821611e-05, "sharpe": 0.0674775440936392, "mdd": -0.2902065467433167 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.41270527225583403, "fixed_weight_sharpe": 0.7441177461258323, "win": false }, { "parameters": [ 80, 10 ], "center": false, "cagr": 0.0210592159395655, "sharpe": 0.23710087112482794, "mdd": -0.33593756653837104, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03506921539910479, "sharpe": 0.3898915452644185, "mdd": -0.26246674159384964 }, { "cagr": 0.0071652680661411505, "sharpe": 0.12241454578174925, "mdd": -0.33593756653837104 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.4245894554883319, "fixed_weight_sharpe": 0.7441177461258324, "win": false } ], "g2_0050_avoid": [ { "parameters": [ 40, 3 ], "center": false, "cagr": 0.027766768005491826, "sharpe": 0.27149222689153096, "mdd": -0.4291564450484331, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.02204843409677193, "sharpe": -0.06918272351716448, "mdd": -0.4291564450484331 }, { "cagr": 0.07941740332613167, "sharpe": 0.7095264296525133, "mdd": -0.28217652172430874 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3681936041486603, "fixed_weight_sharpe": 0.7441177461258258, "win": false }, { "parameters": [ 40, 5 ], "center": false, "cagr": 0.04114352252999587, "sharpe": 0.354724624090165, "mdd": -0.4346747276420083, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.0036746876090276714, "sharpe": 0.10512436197532166, "mdd": -0.4346747276420083 }, { "cagr": 0.07951201912610584, "sharpe": 0.6868394149480888, "mdd": -0.28217652172430907 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3900172860847018, "fixed_weight_sharpe": 0.7441177461258307, "win": false }, { "parameters": [ 40, 10 ], "center": false, "cagr": 0.02599952431592767, "sharpe": 0.26828145016655, "mdd": -0.44856128491127767, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.029942140778503434, "sharpe": -0.12881937438090252, "mdd": -0.44856128491127767 }, { "cagr": 0.08436639311148197, "sharpe": 0.8650572307054527, "mdd": -0.261529055119588 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.32865168539325845, "fixed_weight_sharpe": 0.7441177461258346, "win": false }, { "parameters": [ 60, 3 ], "center": false, "cagr": 0.035706912049618955, "sharpe": 0.4105947801622958, "mdd": -0.2558736614945518, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.02742211603796374, "sharpe": 0.32075834699143946, "mdd": -0.2558736614945518 }, { "cagr": 0.043976492991669724, "sharpe": 0.5051535557321403, "mdd": -0.21412902768348263 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.33059636992221264, "fixed_weight_sharpe": 0.7441177461258272, "win": false }, { "parameters": [ 60, 5 ], "center": true, "cagr": 0.03395904090334412, "sharpe": 0.39638023773588205, "mdd": -0.2558736614945537, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.024342972756176584, "sharpe": 0.2935449310695591, "mdd": -0.2558736614945537 }, { "cagr": 0.043563286508726984, "sharpe": 0.5037229892314521, "mdd": -0.21412902768348263 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.31374243733794294, "fixed_weight_sharpe": 0.7441177461258343, "win": false, "removed_year": 2023, "without_best_year": 0.2795694772156659, "benchmark_without_best_year": 0.7051345634457603, "trades": 14, "average_holdings": 0.31374243733794294, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.12334801762114538, "monthly_target_turnover_max": 2.0 }, { "parameters": [ 60, 10 ], "center": false, "cagr": 0.044387517501396356, "sharpe": 0.4551828352610384, "mdd": -0.25587366149455126, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.04914591013063774, "sharpe": 0.45005049338916986, "mdd": -0.25587366149455126 }, { "cagr": 0.03975391004673834, "sharpe": 0.47289566528446303, "mdd": -0.2292719025436345 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.34420916162489196, "fixed_weight_sharpe": 0.7441177461258295, "win": false }, { "parameters": [ 80, 3 ], "center": false, "cagr": 0.1166631465299075, "sharpe": 0.7369761684764441, "mdd": -0.523828355564707, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.015657596699834686, "sharpe": 0.1778445484716134, "mdd": -0.523828355564707 }, { "cagr": 0.22625285565879083, "sharpe": 1.3694613419890205, "mdd": -0.23442623208584334 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6181936041486603, "fixed_weight_sharpe": 0.7441177461258289, "win": false }, { "parameters": [ 80, 5 ], "center": false, "cagr": 0.11043059473211958, "sharpe": 0.711410477854268, "mdd": -0.523828355564707, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.015240644639569867, "sharpe": 0.17547822289463733, "mdd": -0.523828355564707 }, { "cagr": 0.21318009553657125, "sharpe": 1.3201274572249364, "mdd": -0.2130150895296975 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5870786516853933, "fixed_weight_sharpe": 0.7441177461258284, "win": false }, { "parameters": [ 80, 10 ], "center": false, "cagr": 0.10848298697063297, "sharpe": 0.7037346875059665, "mdd": -0.523828355564707, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.01765633781729603, "sharpe": 0.1887774960777813, "mdd": -0.523828355564707 }, { "cagr": 0.20612421849139717, "sharpe": 1.2995625208094013, "mdd": -0.23442623208584257 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5751944684528955, "fixed_weight_sharpe": 0.7441177461258309, "win": false } ], "g3_stocks": [ { "parameters": [ 40, 0.005 ], "center": false, "cagr": 0.05336521217496393, "sharpe": 0.3553633977040251, "mdd": -0.6349978604611202, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.0015219412388052245, "sharpe": 0.1190335238103948, "mdd": -0.6349978604611202 }, { "cagr": 0.10651794580167184, "sharpe": 0.6016107881350279, "mdd": -0.36830867142771806 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 0.01 ], "center": false, "cagr": 0.05079415638815532, "sharpe": 0.3428899885749565, "mdd": -0.6353429214459352, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.002059300713414647, "sharpe": 0.10338463674215768, "mdd": -0.6353429214459352 }, { "cagr": 0.10502389801575696, "sharpe": 0.5916759576648605, "mdd": -0.3707819159586768 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 0.02 ], "center": false, "cagr": 0.048734458724393415, "sharpe": 0.33287444719637943, "mdd": -0.6470375759959246, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.006490714792224628, "sharpe": 0.08522302457150861, "mdd": -0.6470375759959246 }, { "cagr": 0.10565519973461535, "sharpe": 0.5948646388917582, "mdd": -0.36820779371916657 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 0.005 ], "center": false, "cagr": 0.05808156709849421, "sharpe": 0.3776754092074405, "mdd": -0.6180892382877065, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.014116324687532433, "sharpe": 0.17567558392929564, "mdd": -0.6180892382877065 }, { "cagr": 0.10288856088880838, "sharpe": 0.5864056166441884, "mdd": -0.35918212254140647 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 0.01 ], "center": true, "cagr": 0.05442026783990883, "sharpe": 0.3608550856032672, "mdd": -0.6205933817681022, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.0027723516933231274, "sharpe": 0.1237604198778909, "mdd": -0.6205933817681022 }, { "cagr": 0.10755029295949092, "sharpe": 0.6061992665934011, "mdd": -0.3628116040387549 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false, "removed_year": 2009, "without_best_year": 0.16791571607131314, "benchmark_without_best_year": 0.6337927742952313, "trades": 23768, "average_holdings": 376.2476231633535, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.8418872907373125, "monthly_target_turnover_max": 1.7571293235375098 }, { "parameters": [ 60, 0.02 ], "center": false, "cagr": 0.06215341482652903, "sharpe": 0.39510449998717967, "mdd": -0.6184018288369051, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.013000979610457986, "sharpe": 0.170908248684592, "mdd": -0.6184018288369051 }, { "cagr": 0.11245457462241815, "sharpe": 0.6273607335668288, "mdd": -0.35616226500826476 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 0.005 ], "center": false, "cagr": 0.055997844369467975, "sharpe": 0.37031130008216195, "mdd": -0.6023063917157288, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.009477493399869807, "sharpe": 0.15312991377037063, "mdd": -0.6023063917157288 }, { "cagr": 0.1034164552337169, "sharpe": 0.591152790629282, "mdd": -0.3597275686536926 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 0.01 ], "center": false, "cagr": 0.05806572570945456, "sharpe": 0.37900447047896596, "mdd": -0.602458976036095, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.01149259220112242, "sharpe": 0.16304647440390044, "mdd": -0.602458976036095 }, { "cagr": 0.10552222499424824, "sharpe": 0.6006110611009715, "mdd": -0.35816975478529467 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 0.02 ], "center": false, "cagr": 0.06623884654055212, "sharpe": 0.41425507719680604, "mdd": -0.6086106816154462, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.02007122887578494, "sharpe": 0.20284084895867463, "mdd": -0.6086106816154462 }, { "cagr": 0.11321204396261941, "sharpe": 0.6331175875995694, "mdd": -0.3551823092758317 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false } ], "g3_0050": [ { "parameters": [ 40, 0.005 ], "center": false, "cagr": 0.10033370723924029, "sharpe": 0.6727590776814241, "mdd": -0.3047159023922512, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.08464889770309258, "sharpe": 0.6271104129040115, "mdd": -0.24600152322924618 }, { "cagr": 0.115812414793941, "sharpe": 0.7144882555157176, "mdd": -0.3047159023922512 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6696197061365601, "fixed_weight_sharpe": 0.7441177461258291, "win": false }, { "parameters": [ 40, 0.01 ], "center": false, "cagr": 0.09017382149934305, "sharpe": 0.6292771644770282, "mdd": -0.3047159023922519, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.06018964112587666, "sharpe": 0.4801171405421584, "mdd": -0.2817760396121468 }, { "cagr": 0.12035658546775152, "sharpe": 0.7568321831442494, "mdd": -0.3047159023922519 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6460674157303371, "fixed_weight_sharpe": 0.7441177461258304, "win": false }, { "parameters": [ 40, 0.02 ], "center": false, "cagr": 0.10230995832608647, "sharpe": 0.7094399158305078, "mdd": -0.3237086520184469, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.07804177116784428, "sharpe": 0.6167093158923127, "mdd": -0.24600152322924618 }, { "cagr": 0.12656827481608768, "sharpe": 0.7899169345334202, "mdd": -0.3237086520184469 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6616248919619706, "fixed_weight_sharpe": 0.7441177461258296, "win": false }, { "parameters": [ 60, 0.005 ], "center": false, "cagr": 0.10317644637410406, "sharpe": 0.692668283914753, "mdd": -0.29627090541569057, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.08524005899859288, "sharpe": 0.6288199074795154, "mdd": -0.24103965415683914 }, { "cagr": 0.12094591759486373, "sharpe": 0.7495597472100602, "mdd": -0.29627090541569057 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6685393258426966, "fixed_weight_sharpe": 0.7441177461258319, "win": false }, { "parameters": [ 60, 0.01 ], "center": true, "cagr": 0.10348449713389729, "sharpe": 0.6763670277376411, "mdd": -0.28217652172430874, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.06375591742177522, "sharpe": 0.4916880663540072, "mdd": -0.2582617590312145 }, { "cagr": 0.14390950506346223, "sharpe": 0.8304451288149304, "mdd": -0.28217652172430874 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.7046240276577356, "fixed_weight_sharpe": 0.7441177461258304, "win": false, "removed_year": 2009, "without_best_year": 0.5321937345222781, "benchmark_without_best_year": 0.6337927742952313, "trades": 35, "average_holdings": 0.7048401037165082, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.3039647577092511, "monthly_target_turnover_max": 3.0 }, { "parameters": [ 60, 0.02 ], "center": false, "cagr": 0.09225067676273468, "sharpe": 0.6356380788997777, "mdd": -0.28880364810387116, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.06539254582314569, "sharpe": 0.530231290187472, "mdd": -0.24600152322924596 }, { "cagr": 0.11918443985968552, "sharpe": 0.7246661224751952, "mdd": -0.28880364810387116 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6735090751944685, "fixed_weight_sharpe": 0.7441177461258321, "win": false }, { "parameters": [ 80, 0.005 ], "center": false, "cagr": 0.03476564262180748, "sharpe": 0.29645879301455275, "mdd": -0.5014247454995697, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.05364687367433385, "sharpe": 0.3816460926486053, "mdd": -0.5014247454995697 }, { "cagr": 0.01622165975666512, "sharpe": 0.18882684256323876, "mdd": -0.2973109143192769 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5993949870354365, "fixed_weight_sharpe": 0.7441177461258286, "win": false }, { "parameters": [ 80, 0.01 ], "center": false, "cagr": 0.023959950606170732, "sharpe": 0.23043872898940368, "mdd": -0.50142474549957, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.032284292096478984, "sharpe": 0.2709259852068531, "mdd": -0.50142474549957 }, { "cagr": 0.015554840056715369, "sharpe": 0.1819174162678356, "mdd": -0.3605622212764813 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5754105445116681, "fixed_weight_sharpe": 0.7441177461258296, "win": false }, { "parameters": [ 80, 0.02 ], "center": false, "cagr": 0.02955243406148611, "sharpe": 0.2702784750671392, "mdd": -0.5238283555647069, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 7.261886384224425e-05, "sharpe": 0.08079178557682247, "mdd": -0.5238283555647069 }, { "cagr": 0.05921805041552375, "sharpe": 0.47199528743681723, "mdd": -0.2997994070220221 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6158167675021607, "fixed_weight_sharpe": 0.7441177461258269, "win": false } ], "g3_0050_avoid": [ { "parameters": [ 40, 0.005 ], "center": false, "cagr": 0.018122892914292255, "sharpe": 0.2081583822143326, "mdd": -0.42216879007066643, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.03794163668412931, "sharpe": -0.19391537195251302, "mdd": -0.42216879007066643 }, { "cagr": 0.07664388139489664, "sharpe": 0.7806933274778858, "mdd": -0.25027043526764137 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.33016421780466726, "fixed_weight_sharpe": 0.7441177461258336, "win": false }, { "parameters": [ 40, 0.01 ], "center": false, "cagr": 0.018072157884742257, "sharpe": 0.2042639371916207, "mdd": -0.4314485658233185, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.0279980675769691, "sharpe": -0.11647792161141762, "mdd": -0.4314485658233185 }, { "cagr": 0.06567292428362626, "sharpe": 0.6308107313347412, "mdd": -0.2587424622022998 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.35371650821089023, "fixed_weight_sharpe": 0.744117746125833, "win": false }, { "parameters": [ 40, 0.02 ], "center": false, "cagr": 0.004987168188829161, "sharpe": 0.10589260909966004, "mdd": -0.5126781261562368, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.045290806702082964, "sharpe": -0.22362382581568327, "mdd": -0.483386456894098 }, { "cagr": 0.057181271945733414, "sharpe": 0.5585005325605681, "mdd": -0.3160407734778876 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3381590319792567, "fixed_weight_sharpe": 0.744117746125838, "win": false }, { "parameters": [ 60, 0.005 ], "center": false, "cagr": 0.017711569580823427, "sharpe": 0.20415167637736295, "mdd": -0.49095885996550337, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.04147199988734418, "sharpe": -0.2217946699885196, "mdd": -0.49095885996550337 }, { "cagr": 0.07968801732806119, "sharpe": 0.7798775738302889, "mdd": -0.23746910616310202 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3312445980985307, "fixed_weight_sharpe": 0.7441177461258266, "win": false }, { "parameters": [ 60, 0.01 ], "center": true, "cagr": 0.011750132833942661, "sharpe": 0.15944490956723095, "mdd": -0.47634569726280296, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.03064982829554186, "sharpe": -0.1447408281173348, "mdd": -0.47634569726280296 }, { "cagr": 0.05540232685082502, "sharpe": 0.658313458691135, "mdd": -0.2803904937233602 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.29515989628349176, "fixed_weight_sharpe": 0.7441177461258311, "win": false, "removed_year": 2025, "without_best_year": 0.028272476176289228, "benchmark_without_best_year": 0.6989216113637512, "trades": 34, "average_holdings": 0.29515989628349176, "wins": 1, "passed": false, "monthly_target_turnover_mean": 0.29955947136563876, "monthly_target_turnover_max": 3.0 }, { "parameters": [ 60, 0.02 ], "center": false, "cagr": 0.018983332395862806, "sharpe": 0.2125242980119158, "mdd": -0.4936761188634228, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.03213891889234033, "sharpe": -0.13435177628609835, "mdd": -0.4936761188634228 }, { "cagr": 0.0720745582652873, "sharpe": 0.7659288219038186, "mdd": -0.3037273173381738 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3262748487467589, "fixed_weight_sharpe": 0.7441177461258293, "win": false }, { "parameters": [ 80, 0.005 ], "center": false, "cagr": 0.08600724647122782, "sharpe": 0.7095374805205105, "mdd": -0.24452575888371675, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.007150323988687979, "sharpe": -0.021103886123269654, "mdd": -0.2229106727297756 }, { "cagr": 0.1865462093602821, "sharpe": 1.2134970808853152, "mdd": -0.23059407276103894 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.40038893690579086, "fixed_weight_sharpe": 0.7441177461258279, "win": false }, { "parameters": [ 80, 0.01 ], "center": false, "cagr": 0.09406128288741722, "sharpe": 0.7667102609259954, "mdd": -0.24755768526069288, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.00959522603970897, "sharpe": 0.14302233357597752, "mdd": -0.20105163210502586 }, { "cagr": 0.18439481650197798, "sharpe": 1.2492636840773574, "mdd": -0.24755768526069288 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.4243733794295592, "fixed_weight_sharpe": 0.7441177461258318, "win": true }, { "parameters": [ 80, 0.02 ], "center": false, "cagr": 0.08676616542193183, "sharpe": 0.675977989541916, "mdd": -0.29100778987801545, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03950620874962474, "sharpe": 0.359089221859384, "mdd": -0.20639418572253454 }, { "cagr": 0.13557155485106365, "sharpe": 0.9706176553498272, "mdd": -0.29100778987801545 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.38396715643906654, "fixed_weight_sharpe": 0.7441177461258324, "win": false } ], "g4_stocks": [ { "parameters": [ 40, 0.08 ], "center": false, "cagr": -0.008645952980733451, "sharpe": 0.06448753201688684, "mdd": -0.6381511229903783, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.039608512739288226, "sharpe": -0.07308998984750914, "mdd": -0.6381511229903783 }, { "cagr": 0.02212095491820487, "sharpe": 0.21419803963665168, "mdd": -0.4112143044155542 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 0.12 ], "center": false, "cagr": 0.019711973982942776, "sharpe": 0.20130747636777002, "mdd": -0.6285691479224733, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.010948299579508158, "sharpe": 0.060162995521512365, "mdd": -0.6285691479224733 }, { "cagr": 0.05014164206385696, "sharpe": 0.3570938246101913, "mdd": -0.38770595543755726 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 40, 0.16 ], "center": false, "cagr": 0.03555366513868452, "sharpe": 0.2780712198666767, "mdd": -0.6308336529740743, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.0057137721969339195, "sharpe": 0.08371036146503338, "mdd": -0.6308336529740743 }, { "cagr": 0.0774160448622172, "sharpe": 0.499005599800596, "mdd": -0.37715202989754604 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 0.08 ], "center": false, "cagr": -0.021384328091395233, "sharpe": 0.000981492992923562, "mdd": -0.6789363790325371, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.05704523530151717, "sharpe": -0.15681946341836878, "mdd": -0.637623351884071 }, { "cagr": 0.014281966650522504, "sharpe": 0.17414249567932355, "mdd": -0.4179224566476739 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 60, 0.12 ], "center": true, "cagr": 0.0037788504520333, "sharpe": 0.12410810670654036, "mdd": -0.6334359115339245, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.02764886989690063, "sharpe": -0.017439500439985312, "mdd": -0.6334359115339245 }, { "cagr": 0.03490354593241429, "sharpe": 0.2798516710653599, "mdd": -0.4048894297731088 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false, "removed_year": 2009, "without_best_year": -0.1016173534387184, "benchmark_without_best_year": 0.6337927742952313, "trades": 11201, "average_holdings": 340.62791702679345, "wins": 0, "passed": false, "monthly_target_turnover_mean": 0.5763597804638562, "monthly_target_turnover_max": 3.714630640737956 }, { "parameters": [ 60, 0.16 ], "center": false, "cagr": 0.0276799523638096, "sharpe": 0.2397565687134318, "mdd": -0.6292378639201012, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.005594772352109034, "sharpe": 0.08512316068618365, "mdd": -0.6292378639201012 }, { "cagr": 0.06095434284262735, "sharpe": 0.41339589677612093, "mdd": -0.3783865630714218 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 0.08 ], "center": false, "cagr": -0.03316040597399006, "sharpe": -0.059642058181937796, "mdd": -0.7233877258086405, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.06986508341527942, "sharpe": -0.22227808210285394, "mdd": -0.6502727596185749 }, { "cagr": 0.0036543924477727696, "sharpe": 0.1187451892438207, "mdd": -0.42594791022581957 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 0.12 ], "center": false, "cagr": -0.01732423500711755, "sharpe": 0.01897654211210892, "mdd": -0.6811997225034534, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.06066551087148886, "sharpe": -0.1785432270349163, "mdd": -0.6380831043963691 }, { "cagr": 0.02655349808297003, "sharpe": 0.237421478305906, "mdd": -0.3976863886796477 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false }, { "parameters": [ 80, 0.16 ], "center": false, "cagr": 0.00892147323404524, "sharpe": 0.14876795669694617, "mdd": -0.6336975389361772, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.03332184673415328, "sharpe": -0.045294083200549506, "mdd": -0.6336975389361772 }, { "cagr": 0.05178895559580776, "sharpe": 0.36685800741137325, "mdd": -0.38591577488364703 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9997839239412273, "fixed_weight_sharpe": 0.7441177461258299, "win": false } ], "g4_0050": [ { "parameters": [ 40, 0.08 ], "center": false, "cagr": 0.024118860539175113, "sharpe": 0.2344204477425563, "mdd": -0.467391687988034, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.017956224766553897, "sharpe": 0.19157116163034266, "mdd": -0.467391687988034 }, { "cagr": 0.029971459315773608, "sharpe": 0.28669649658785623, "mdd": -0.31182679910896816 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.4621866897147796, "fixed_weight_sharpe": 0.7441177461258256, "win": false }, { "parameters": [ 40, 0.12 ], "center": false, "cagr": 0.04858165474268605, "sharpe": 0.44695652170130046, "mdd": -0.4392705209474984, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.0010466010146177318, "sharpe": 0.07703682059301961, "mdd": -0.4392705209474984 }, { "cagr": 0.09742517764289582, "sharpe": 0.9013629361398987, "mdd": -0.2821765217243092 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.32497839239412274, "fixed_weight_sharpe": 0.7441177461258287, "win": false }, { "parameters": [ 40, 0.16 ], "center": false, "cagr": 0.09927426682817231, "sharpe": 0.9455757244605374, "mdd": -0.2476373415841886, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.020771732844640844, "sharpe": 0.24493227656802025, "mdd": -0.2476373415841886 }, { "cagr": 0.18272183932288955, "sharpe": 1.6656546330828776, "mdd": -0.10844115834873724 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.13029386343993085, "fixed_weight_sharpe": 0.7441177461258363, "win": true }, { "parameters": [ 60, 0.08 ], "center": false, "cagr": 0.05053020910607753, "sharpe": 0.4138506035743485, "mdd": -0.467391687988034, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03950448785716287, "sharpe": 0.3111030475113109, "mdd": -0.467391687988034 }, { "cagr": 0.06156625388646386, "sharpe": 0.5996698350008763, "mdd": -0.24321363087518522 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.42523768366465, "fixed_weight_sharpe": 0.7441177461258327, "win": false }, { "parameters": [ 60, 0.12 ], "center": true, "cagr": 0.07574996775080511, "sharpe": 0.5452919570927208, "mdd": -0.5238283555647074, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.019854383500993, "sharpe": 0.20089562932053912, "mdd": -0.5238283555647074 }, { "cagr": 0.1336468996189648, "sharpe": 1.0268914871872414, "mdd": -0.28217652172430885 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6508210890233362, "fixed_weight_sharpe": 0.7441177461258301, "win": false, "removed_year": 2025, "without_best_year": 0.42289009246651144, "benchmark_without_best_year": 0.6989216113637512, "trades": 6, "average_holdings": 0.6510371650821088, "wins": 1, "passed": false, "monthly_target_turnover_mean": 0.048458149779735685, "monthly_target_turnover_max": 2.0 }, { "parameters": [ 60, 0.16 ], "center": false, "cagr": 0.049528326600845496, "sharpe": 0.5124459848590538, "mdd": -0.4392705209474983, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.01658397852824467, "sharpe": -0.07422884275103238, "mdd": -0.4392705209474983 }, { "cagr": 0.11914393168293214, "sharpe": 1.360157279733354, "mdd": -0.08030888030888039 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.10393258426966293, "fixed_weight_sharpe": 0.7441177461258284, "win": false }, { "parameters": [ 80, 0.08 ], "center": false, "cagr": 0.03669480654899582, "sharpe": 0.33267793443852095, "mdd": -0.4392705209474985, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.013939253989626366, "sharpe": 0.16798415004805894, "mdd": -0.4392705209474985 }, { "cagr": 0.05967506287743074, "sharpe": 0.5818710399528181, "mdd": -0.24321363087518544 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.26707000864304237, "fixed_weight_sharpe": 0.7441177461258204, "win": false }, { "parameters": [ 80, 0.12 ], "center": false, "cagr": 0.06567514533075292, "sharpe": 0.49655017716237126, "mdd": -0.5238283555647071, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.030555740911514917, "sharpe": 0.2601424902986715, "mdd": -0.5238283555647071 }, { "cagr": 0.10124730318693764, "sharpe": 0.8484162425293699, "mdd": -0.28217652172430885 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5911840968020743, "fixed_weight_sharpe": 0.7441177461258265, "win": false }, { "parameters": [ 80, 0.16 ], "center": false, "cagr": 0.03715845023257014, "sharpe": 0.40944199896336664, "mdd": -0.4392705209474983, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": -0.017134508050165698, "sharpe": -0.07889894473816358, "mdd": -0.4392705209474983 }, { "cagr": 0.09368715941477812, "sharpe": 1.1970532078966432, "mdd": -0.05972093063186812 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.08643042350907519, "fixed_weight_sharpe": 0.7441177461258162, "win": false } ], "g4_0050_avoid": [ { "parameters": [ 40, 0.08 ], "center": false, "cagr": 0.10879571069445526, "sharpe": 0.8313786879183487, "mdd": -0.2577733861606898, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.038659997079100394, "sharpe": 0.37807259510807695, "mdd": -0.2577733861606898 }, { "cagr": 0.18272444858440906, "sharpe": 1.1999820445946816, "mdd": -0.2130150895296976 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5375972342264477, "fixed_weight_sharpe": 0.7441177461258324, "win": true }, { "parameters": [ 40, 0.12 ], "center": false, "cagr": 0.08393858779573726, "sharpe": 0.579805640671243, "mdd": -0.3395700541458191, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.058191331733636664, "sharpe": 0.445490827402043, "mdd": -0.23008528096621028 }, { "cagr": 0.11002777327687929, "sharpe": 0.7016213004003139, "mdd": -0.3395700541458191 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.6748055315471045, "fixed_weight_sharpe": 0.7441177461258301, "win": false }, { "parameters": [ 40, 0.16 ], "center": false, "cagr": 0.03427465257819873, "sharpe": 0.28289329229600846, "mdd": -0.44507899872811063, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03839324817908918, "sharpe": 0.30443266378479555, "mdd": -0.43735684316020274 }, { "cagr": 0.029973731587076502, "sharpe": 0.2599360374335573, "mdd": -0.44507899872811063 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.8694900605012964, "fixed_weight_sharpe": 0.744117746125827, "win": false }, { "parameters": [ 60, 0.08 ], "center": false, "cagr": 0.0782346230002049, "sharpe": 0.5983225286421174, "mdd": -0.3176344643262007, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.015219970538119298, "sharpe": 0.19350993446895134, "mdd": -0.3176344643262007 }, { "cagr": 0.14398447106866574, "sharpe": 0.8781645817647961, "mdd": -0.2362313717528438 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.5745462402765773, "fixed_weight_sharpe": 0.7441177461258324, "win": false }, { "parameters": [ 60, 0.12 ], "center": true, "cagr": 0.05623506349475815, "sharpe": 0.4867181639453945, "mdd": -0.2803792254964157, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03932727305565442, "sharpe": 0.4388335508779183, "mdd": -0.18888888888888933 }, { "cagr": 0.07323381480687652, "sharpe": 0.5368804542608022, "mdd": -0.2803792254964157 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.3489628349178911, "fixed_weight_sharpe": 0.7441177461258282, "win": false, "removed_year": 2009, "without_best_year": 0.34135029115285964, "benchmark_without_best_year": 0.6337927742952313, "trades": 5, "average_holdings": 0.3489628349178911, "wins": 1, "passed": false, "monthly_target_turnover_mean": 0.04405286343612335, "monthly_target_turnover_max": 2.0 }, { "parameters": [ 60, 0.16 ], "center": false, "cagr": 0.08329759340003529, "sharpe": 0.5472410688760455, "mdd": -0.3395700541458194, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.07783730605855999, "sharpe": 0.5373114863479291, "mdd": -0.2714887784613246 }, { "cagr": 0.088485932676309, "sharpe": 0.5563881776412125, "mdd": -0.3395700541458194 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.8958513396715644, "fixed_weight_sharpe": 0.7441177461258313, "win": false }, { "parameters": [ 80, 0.08 ], "center": false, "cagr": 0.09194527957092458, "sharpe": 0.6598482462980275, "mdd": -0.32483386470220454, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.03951459840690408, "sharpe": 0.3663856480499047, "mdd": -0.32483386470220454 }, { "cagr": 0.1460261281972992, "sharpe": 0.8898718543111049, "mdd": -0.21301508952969728 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.732713915298185, "fixed_weight_sharpe": 0.7441177461258298, "win": false }, { "parameters": [ 80, 0.12 ], "center": false, "cagr": 0.06588923251046563, "sharpe": 0.537847506882727, "mdd": -0.2980106424457978, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.02789086878323599, "sharpe": 0.31516496058177934, "mdd": -0.18888888888888877 }, { "cagr": 0.10480923149695065, "sharpe": 0.701875404813888, "mdd": -0.2980106424457978 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.408599827139153, "fixed_weight_sharpe": 0.7441177461258337, "win": false }, { "parameters": [ 80, 0.16 ], "center": false, "cagr": 0.09621775742839866, "sharpe": 0.6103575823323245, "mdd": -0.33957005414581964, "benchmark": { "cagr": 0.13937461708679288, "sharpe": 0.7441177461258305, "mdd": -0.5238283555647074 }, "halves": [ { "cagr": 0.07844103185997664, "sharpe": 0.5406795727903921, "mdd": -0.26766122388231217 }, { "cagr": 0.11382164066803169, "sharpe": 0.672313826692038, "mdd": -0.33957005414581964 } ], "benchmark_halves": [ { "cagr": 0.05955125163121311, "sharpe": 0.3857775205508441, "mdd": -0.5238283555647074 }, { "cagr": 0.2238056506450279, "sharpe": 1.102802324382284, "mdd": -0.3395700541458192 } ], "exposure": 0.9133535004321521, "fixed_weight_sharpe": 0.7441177461258301, "win": false } ] } }