{
 "generated": "2026-08-03 09:24 UTC",
 "universe": {
  "crypto": 6,
  "equity": 8,
  "forex": 6,
  "commodities": 7
 },
 "period": [
  "2016-08-01",
  "2026-08-03"
 ],
 "costs_bps_per_side": {
  "crypto": 20.0,
  "equity": 5.0,
  "forex": 2.0,
  "commodities": 10.0
 },
 "pre_committed_bar": "net Sharpe > 0.6, t > 2.5, out-of-sample Sharpe > 0.3 on the last 30% of history, strictly better than the vol-targeted long-only baseline, and max drawdown < 35%",
 "baselines": {
  "long_only_vol10": {
   "label": "long-only, vol-targeted 10%",
   "days": 3538,
   "sharpe": 1.076,
   "t_stat": 4.03,
   "cagr_pct": 4.29,
   "vol_pct": 4.0,
   "max_drawdown_pct": 8.1,
   "total_return_pct": 80.4
  },
  "long_only_vol20": {
   "label": "long-only, vol-targeted 20%",
   "days": 3538,
   "sharpe": 1.086,
   "t_stat": 4.07,
   "cagr_pct": 8.65,
   "vol_pct": 7.9,
   "max_drawdown_pct": 15.5,
   "total_return_pct": 220.5
  }
 },
 "cells": [
  {
   "label": "TSMOM lb=20 vt=10%",
   "days": 3527,
   "sharpe": 0.504,
   "t_stat": 1.88,
   "cagr_pct": 2.31,
   "vol_pct": 4.8,
   "max_drawdown_pct": 11.1,
   "total_return_pct": 37.7,
   "oos_sharpe": -0.038,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 20,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "TSMOM lb=20 vt=20%",
   "days": 3527,
   "sharpe": 0.496,
   "t_stat": 1.86,
   "cagr_pct": 4.33,
   "vol_pct": 9.4,
   "max_drawdown_pct": 21.6,
   "total_return_pct": 81.1,
   "oos_sharpe": -0.057,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 20,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "TSMOM lb=250 vt=20%",
   "days": 3267,
   "sharpe": 0.494,
   "t_stat": 1.78,
   "cagr_pct": 4.54,
   "vol_pct": 10.0,
   "max_drawdown_pct": 25.8,
   "total_return_pct": 77.7,
   "oos_sharpe": -0.185,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 250,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "TSMOM lb=250 vt=10%",
   "days": 3267,
   "sharpe": 0.491,
   "t_stat": 1.77,
   "cagr_pct": 2.37,
   "vol_pct": 5.0,
   "max_drawdown_pct": 13.7,
   "total_return_pct": 35.4,
   "oos_sharpe": -0.199,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 250,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "TSMOM lb=60 vt=10%",
   "days": 3503,
   "sharpe": 0.378,
   "t_stat": 1.41,
   "cagr_pct": 1.92,
   "vol_pct": 5.4,
   "max_drawdown_pct": 12.2,
   "total_return_pct": 30.2,
   "oos_sharpe": 0.519,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 60,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "TSMOM lb=60 vt=20%",
   "days": 3503,
   "sharpe": 0.374,
   "t_stat": 1.4,
   "cagr_pct": 3.52,
   "vol_pct": 10.8,
   "max_drawdown_pct": 23.4,
   "total_return_pct": 61.7,
   "oos_sharpe": 0.514,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 60,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "TSMOM lb=120 vt=20%",
   "days": 3431,
   "sharpe": 0.179,
   "t_stat": 0.66,
   "cagr_pct": 1.29,
   "vol_pct": 9.9,
   "max_drawdown_pct": 22.0,
   "total_return_pct": 19.1,
   "oos_sharpe": -0.088,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 120,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "TSMOM lb=120 vt=10%",
   "days": 3431,
   "sharpe": 0.166,
   "t_stat": 0.61,
   "cagr_pct": 0.71,
   "vol_pct": 5.0,
   "max_drawdown_pct": 11.3,
   "total_return_pct": 10.1,
   "oos_sharpe": -0.118,
   "oos_days": 1074,
   "config": {
    "kind": "TSMOM",
    "lookback": 120,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=20 vt=20%",
   "days": 3527,
   "sharpe": -0.016,
   "t_stat": -0.06,
   "cagr_pct": -0.12,
   "vol_pct": 3.6,
   "max_drawdown_pct": 18.4,
   "total_return_pct": -1.7,
   "oos_sharpe": -0.408,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 20,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=20 vt=10%",
   "days": 3527,
   "sharpe": -0.02,
   "t_stat": -0.07,
   "cagr_pct": -0.05,
   "vol_pct": 1.8,
   "max_drawdown_pct": 9.7,
   "total_return_pct": -0.7,
   "oos_sharpe": -0.419,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 20,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=60 vt=20%",
   "days": 3503,
   "sharpe": -0.202,
   "t_stat": -0.75,
   "cagr_pct": -0.88,
   "vol_pct": 4.0,
   "max_drawdown_pct": 26.0,
   "total_return_pct": -11.5,
   "oos_sharpe": -1.215,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 60,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=60 vt=10%",
   "days": 3503,
   "sharpe": -0.205,
   "t_stat": -0.76,
   "cagr_pct": -0.43,
   "vol_pct": 2.0,
   "max_drawdown_pct": 14.0,
   "total_return_pct": -5.8,
   "oos_sharpe": -1.219,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 60,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=250 vt=10%",
   "days": 3267,
   "sharpe": -0.214,
   "t_stat": -0.77,
   "cagr_pct": -0.43,
   "vol_pct": 1.9,
   "max_drawdown_pct": 8.4,
   "total_return_pct": -5.5,
   "oos_sharpe": 0.005,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 250,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=250 vt=20%",
   "days": 3267,
   "sharpe": -0.215,
   "t_stat": -0.77,
   "cagr_pct": -0.9,
   "vol_pct": 3.9,
   "max_drawdown_pct": 16.3,
   "total_return_pct": -11.1,
   "oos_sharpe": 0.021,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 250,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=120 vt=20%",
   "days": 3431,
   "sharpe": -0.489,
   "t_stat": -1.81,
   "cagr_pct": -1.86,
   "vol_pct": 3.7,
   "max_drawdown_pct": 25.0,
   "total_return_pct": -22.5,
   "oos_sharpe": -0.157,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 120,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "LOWVOL lb=20 vt=20%",
   "days": 3538,
   "sharpe": -0.505,
   "t_stat": -1.89,
   "cagr_pct": -1.46,
   "vol_pct": 2.8,
   "max_drawdown_pct": 23.0,
   "total_return_pct": -18.7,
   "oos_sharpe": -0.31,
   "oos_days": 1074,
   "config": {
    "kind": "LOWVOL",
    "lookback": 20,
    "vol_target": 0.2
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "XSMOM lb=120 vt=10%",
   "days": 3431,
   "sharpe": -0.507,
   "t_stat": -1.87,
   "cagr_pct": -0.95,
   "vol_pct": 1.9,
   "max_drawdown_pct": 13.5,
   "total_return_pct": -12.2,
   "oos_sharpe": -0.185,
   "oos_days": 1074,
   "config": {
    "kind": "XSMOM",
    "lookback": 120,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  },
  {
   "label": "LOWVOL lb=20 vt=10%",
   "days": 3538,
   "sharpe": -0.507,
   "t_stat": -1.9,
   "cagr_pct": -0.74,
   "vol_pct": 1.4,
   "max_drawdown_pct": 12.5,
   "total_return_pct": -9.9,
   "oos_sharpe": -0.251,
   "oos_days": 1074,
   "config": {
    "kind": "LOWVOL",
    "lookback": 20,
    "vol_target": 0.1
   },
   "beats_baseline": false,
   "passes_bar": false
  }
 ],
 "winners": [],
 "verdict": "No configuration cleared the bar."
}