real-data eval result: funding_carry REJECT

results/eval_funding_carry_btcusdt_1h.json

@@ -0,0 +1,27 @@
+{
+  "symbol": "BTCUSDT",
+  "freq": "1h",
+  "strategy": "funding_carry",
+  "data": "Avi-L/crypto-quant-eval-data",
+  "n_bars": 59654,
+  "cpcv": {"n_blocks": 6, "k": 2, "n_combinations": 15},
+  "purge_horizon": 8,
+  "embargo": 8,
+  "audit": {"ok": true, "violations": []},
+  "costs": {
+    "total_fees": 2855.75,
+    "total_slippage": 95031.27,
+    "total_funding": -5939.82,
+    "net_total_pnl": -69772.76
+  },
+  "trials": {
+    "probability_of_backtest_overfitting": 0.214,
+    "trial_sr_variance": 3.21e-05,
+    "effective_n_trials": 10
+  },
+  "per_combination_sharpe_annualized": [0.005, -1.039, -1.337, -1.131, -0.453, -0.161, -0.860, -0.680, -0.050, -1.508, -1.323, -1.103, -1.750, -1.388, -1.188],
+  "per_combination_psr": [0.503, 0.056, 0.023, 0.043, 0.223, 0.404, 0.099, 0.153, 0.470, 0.012, 0.022, 0.039, 0.004, 0.019, 0.036],
+  "worst_combo_max_drawdown": -0.062,
+  "decision_rule": "accept only if deflated_sharpe > 0.95 and PBO <= 0.5",
+  "verdict": "REJECT"
+}