{
 "generated": "2026-08-03 10:03 UTC",
 "universe": {
  "equity": [
   "SPY",
   "QQQ",
   "IWM",
   "EFA",
   "EEM"
  ],
  "crypto": [
   "BTC",
   "ETH",
   "LTC"
  ],
  "forex": [
   "EURUSD",
   "GBPUSD",
   "USDJPY",
   "AUDUSD",
   "USDCHF",
   "USDCAD"
  ],
  "commodities": [
   "GC=F",
   "SI=F",
   "CL=F",
   "NG=F",
   "PL=F",
   "PA=F",
   "KC=F"
  ]
 },
 "universe_note": "Chosen so nothing depends on knowing the future: broad index ETFs instead of hand-picked stocks, and only the coins that existed and traded in 2016. Backtesting the 2026 winners instead was worth +0.20 of Sharpe \u2014 that inflation has been removed.",
 "assumptions": {
  "financing_apr_on_borrowed": 0.05,
  "costs_bps_per_side": {
   "crypto": 20.0,
   "equity": 5.0,
   "forex": 2.0,
   "commodities": 10.0
  },
  "weekdays_only": true,
  "signal_lag_days": 1,
  "vol_target_per_leg": 0.2,
  "leg_cap": 3.0
 },
 "period": [
  "2015-08-02",
  "2026-08-03"
 ],
 "holdout_from": "2023-05-31",
 "variants": {
  "vol_target_unlevered": {
   "days": 2822,
   "sharpe": 1.108,
   "t_stat": 3.71,
   "cagr_pct": 9.19,
   "vol_pct": 8.2,
   "max_drawdown_pct": 14.1,
   "oos": {
    "days": 829,
    "sharpe": 1.449,
    "t_stat": 2.63,
    "cagr_pct": 12.54,
    "vol_pct": 8.4,
    "max_drawdown_pct": 9.9
   }
  },
  "vol_target_levered": {
   "days": 2822,
   "sharpe": 0.89,
   "t_stat": 2.98,
   "cagr_pct": 8.12,
   "vol_pct": 9.3,
   "max_drawdown_pct": 17.7,
   "oos": {
    "days": 829,
    "sharpe": 1.287,
    "t_stat": 2.33,
    "cagr_pct": 12.42,
    "vol_pct": 9.4,
    "max_drawdown_pct": 10.9
   }
  },
  "buy_hold": {
   "days": 2864,
   "sharpe": 0.783,
   "t_stat": 2.64,
   "cagr_pct": 15.19,
   "vol_pct": 20.9,
   "max_drawdown_pct": 41.3,
   "oos": {
    "days": 829,
    "sharpe": 1.221,
    "t_stat": 2.22,
    "cagr_pct": 20.12,
    "vol_pct": 16.1,
    "max_drawdown_pct": 16.4
   }
  }
 },
 "per_year": {
  "2015": {
   "buy_hold": {
    "return_pct": -5.6,
    "sharpe": null
   }
  },
  "2016": {
   "vol_target_unlevered": {
    "return_pct": 7.4,
    "sharpe": 0.939
   },
   "buy_hold": {
    "return_pct": 13.5,
    "sharpe": 1.256
   }
  },
  "2017": {
   "vol_target_unlevered": {
    "return_pct": 15.8,
    "sharpe": 3.003
   },
   "buy_hold": {
    "return_pct": 11.8,
    "sharpe": 0.601
   }
  },
  "2018": {
   "vol_target_unlevered": {
    "return_pct": -8.2,
    "sharpe": -1.037
   },
   "buy_hold": {
    "return_pct": -27.3,
    "sharpe": -1.435
   }
  },
  "2019": {
   "vol_target_unlevered": {
    "return_pct": 21.0,
    "sharpe": 2.724
   },
   "buy_hold": {
    "return_pct": 52.0,
    "sharpe": 2.227
   }
  },
  "2020": {
   "vol_target_unlevered": {
    "return_pct": 9.1,
    "sharpe": 0.868
   },
   "buy_hold": {
    "return_pct": 11.9,
    "sharpe": 0.495
   }
  },
  "2021": {
   "vol_target_unlevered": {
    "return_pct": 15.9,
    "sharpe": 1.797
   },
   "buy_hold": {
    "return_pct": 56.2,
    "sharpe": 2.038
   }
  },
  "2022": {
   "vol_target_unlevered": {
    "return_pct": -4.7,
    "sharpe": -0.395
   },
   "buy_hold": {
    "return_pct": 0.4,
    "sharpe": 0.145
   }
  },
  "2023": {
   "vol_target_unlevered": {
    "return_pct": 16.5,
    "sharpe": 2.052
   },
   "buy_hold": {
    "return_pct": 31.8,
    "sharpe": 1.998
   }
  },
  "2024": {
   "vol_target_unlevered": {
    "return_pct": 12.6,
    "sharpe": 1.46
   },
   "buy_hold": {
    "return_pct": 23.1,
    "sharpe": 1.387
   }
  },
  "2025": {
   "vol_target_unlevered": {
    "return_pct": 17.4,
    "sharpe": 1.736
   },
   "buy_hold": {
    "return_pct": 27.2,
    "sharpe": 1.433
   }
  },
  "2026": {
   "vol_target_unlevered": {
    "return_pct": 3.4,
    "sharpe": 0.663
   },
   "buy_hold": {
    "return_pct": 4.0,
    "sharpe": 0.441
   }
  }
 },
 "verdict": {
  "profitable": true,
  "beats_buy_hold_sharpe": true,
  "beats_buy_hold_drawdown": true
 }
}