vitals / data /policy_backtest.json
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construction layer (risk decomposition, joint selection, constrained scenarios, post-trade proof, instruments, guards, exclusions) + Alpha Vantage premium as primary data source + policy backtest
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{
"tech_concentrated": {
"greedy": {
"return": 0.4478,
"vol": 0.3162,
"max_dd": -0.2398,
"sharpe": 1.3431,
"n_periods": 18
},
"random": {
"return": 0.4633,
"vol": 0.3368,
"max_dd": -0.2579,
"sharpe": 1.2904,
"n_periods": 18
},
"momentum": {
"return": 0.5019,
"vol": 0.3535,
"max_dd": -0.2667,
"sharpe": 1.2981,
"n_periods": 18
},
"seed_only": {
"return": 0.5741,
"vol": 0.4137,
"max_dd": -0.3109,
"sharpe": 1.2448,
"n_periods": 18
}
},
"income_rates": {
"greedy": {
"return": 0.1072,
"vol": 0.1397,
"max_dd": -0.1159,
"sharpe": 0.8363,
"n_periods": 18
},
"random": {
"return": 0.111,
"vol": 0.1441,
"max_dd": -0.1195,
"sharpe": 0.865,
"n_periods": 18
},
"momentum": {
"return": 0.1411,
"vol": 0.1506,
"max_dd": -0.1198,
"sharpe": 1.0134,
"n_periods": 18
},
"seed_only": {
"return": 0.0961,
"vol": 0.156,
"max_dd": -0.1335,
"sharpe": 0.7049,
"n_periods": 18
}
},
"quality_midcap": {
"greedy": {
"return": 0.0781,
"vol": 0.3017,
"max_dd": -0.2485,
"sharpe": 0.4151,
"n_periods": 18
},
"random": {
"return": 0.0941,
"vol": 0.3165,
"max_dd": -0.2601,
"sharpe": 0.4552,
"n_periods": 18
},
"momentum": {
"return": 0.1259,
"vol": 0.3271,
"max_dd": -0.2636,
"sharpe": 0.5418,
"n_periods": 18
},
"seed_only": {
"return": 0.0739,
"vol": 0.3872,
"max_dd": -0.3125,
"sharpe": 0.3564,
"n_periods": 18
}
}
}