PASS: daily-panel sweep verdict with era analysis
Browse files
results/sweep2_report_v1.json
ADDED
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{
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"sweep_version": "v2 final (daily panel, fixed portfolio divisor)",
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"data": "Avi-L/crypto-quant-eval-data : panel_daily_close.parquet (coinmetrics, 8 majors)",
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"panel": {"start": "2014-01-01", "n_days": 4526, "n_assets": 8},
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"n_trials": 66,
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"n_configs_failed": 0,
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"costs_modeled": {
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"fees": "5bps taker / 2bps maker",
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"impact": "k(0.5) * sigma_daily_bps * sqrt(Q/ADV), per-asset ADV, 2bps floor",
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"funding": "constant 0.1095 APR drag on longs (pre-2021 funding history unavailable)"
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},
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"gates": {
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"probability_of_backtest_overfitting": 0.257,
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"best_config_deflated_sharpe": 0.9981,
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"leakage_audit": "OK",
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"decision_rule": "DSR > 0.95 (n_trials=66) and PBO <= 0.5 and audit OK"
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},
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"VERDICT": "PASS - first configuration family to clear all institutional gates",
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"best_config": "ETH_donch_lb20_lo (ETH 20d close-breakout Donchian, long-only)",
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"best_config_stats": {
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"sharpe_annualized": 1.56, "oos_mean_sharpe_cpcv": 1.48,
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"oos_combos_positive": "15/15", "max_drawdown": -0.613,
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"skewness": 1.28, "kurtosis": 18.2
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},
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"era_analysis": {
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"note": "single-asset configs unaffected by the panel divisor bug; era SRs from addendum run",
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"ETH_donch_lb20_lo": {"full": 1.56, "2014-2017": 3.13, "2018-2020": 1.05, "2021-2023": 1.06, "2023-2026": 0.50, "mdd": -0.61},
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"BTC_donch_lb20_lo": {"full": 0.88, "2018-2020": 1.05, "2021-2023": 1.06, "2023-2026": 0.87, "mdd": -0.70},
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"BTC_donch_lb200_lo": {"full": 0.93, "2023-2026": 0.92, "mdd": -0.75},
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"BTC_tsmom_lb50_lo": {"full": 0.97, "2023-2026": 0.89, "mdd": -0.81}
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},
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"top10_full_sample": [
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["ETH_donch_lb20_lo", 1.56], ["donchian_w20_lo_vtNone", 1.46], ["ETH_tsmom_lb20_lo", 1.41],
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["tsmom_lb20_lo_vtNone", 1.40], ["ETH_tsmom_lb100_lo", 1.36], ["tsmom_lb10_lo_vtNone", 1.35],
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["donchian_w20_lo_vt0.3", 1.35], ["xs_lb30_k3_tfilt", 1.34], ["tsmom_lb50_lo_vt0.3", 1.33],
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["tsmom_lb50_lo_vtNone", 1.30]
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],
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"known_caveats": [
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"ETH winner's edge concentrates pre-2022 (recent-era SR 0.50); BTC variants are era-stable (~0.9 recent) at lower full-sample SR",
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"max drawdowns of -60% to -80% are inherent to unlevered long-only crypto trend; futures leverage scales them up",
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"coinmetrics PriceUSD is a VWAP index; live fills are perp/spot prices that track it",
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"panel equal-weight assumes daily capital redistribution across listed assets (no rebalancing cost modeled for that)"
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]
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}
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