{ "schema": "shock-engine-portfolio-summary/1", "version": "shock-engine-2026.10.13", "variant": "calm", "status": "HISTORICAL SIMULATION", "liveResults": null, "title": "Shock Engine BTC/ETH Portfolio", "subtitle": "BTC-calibrated strategy · applied unchanged to Ethereum", "parametersSha256": "c6ac30464bce14ddb6e5625cbcf08f68e69e3cc5e5454a0c2268583070a74435", "disclaimers": [ "Ethereum parameters were inherited from Bitcoin and were not calibrated on ETH.", "Historical simulation after modeled transaction costs. Not live performance.", "New positions are only opened in the calm volatility regime, and short entries only when the daily trend regime is bearish. Both conditions were set in October 2026 with knowledge of the 2017–2026 data: the figures are in-sample, not an independent out-of-sample test.", "Slippage and perpetual funding are not included in the headline figures.", "Execution costs were measured separately on real Binance perpetual-futures trades for every execution since 2020 (institutional dossier); capacity on Hyperliquid, the intended venue, and the strategy’s own market impact are not yet measured." ], "stress": { "source": "research/reports/published-stress/published-stress.json", "funding": [ { "scenario": "historical Binance perpetual funding (2020 onwards; constant +0.01 % per 8 h before 2020)", "sharpe": 1.966107057, "cagr": 0.646594802, "maxDD": -0.1791441955 }, { "scenario": "same, with Hyperliquid funding from May 2023", "sharpe": 1.952159788, "cagr": 0.6399872906, "maxDD": -0.1791441955 }, { "scenario": "stress: shorts pay 0.01 % per 8 h at all times", "sharpe": 2.002542993, "cagr": 0.6671425943, "maxDD": 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"maxDD": -0.24764948, "vol": 0.2189432915 }, "eth": { "sharpe": 1.807088636, "cagr": 0.6119803814, "maxDD": -0.1451235598, "vol": 0.2861633584 }, "portfolio": { "sharpe": 1.98342365, "cagr": 0.5085112249, "maxDD": -0.152170677, "vol": 0.2191590268 }, "corr": 0.4421716467 }, "from2019": { "from": "2019-01-01", "to": "2026-09-30", "btc": { "sharpe": 1.444564967, "cagr": 0.388825761, "maxDD": -0.24764948, "vol": 0.2480702958 }, "eth": { "sharpe": 1.657330554, "cagr": 0.5865451639, "maxDD": -0.2414861458, "vol": 0.3058238003 }, "portfolio": { "sharpe": 1.862159038, "cagr": 0.5090135443, "maxDD": -0.1772688983, "vol": 0.2355815092 }, "corr": 0.3634065933 } } }, "bootstrap": { "replications": 5000, "blocks": 97, "seed": 20261008, "sharpe": { "p2_5": 1.440085172, "p5": 1.525603596, "median": 2.026236605, "p95": 2.513777894, "p97_5": 2.597058926 }, "cagr": { "p2_5": 0.3676215621, "p5": 0.4009884544, "median": 0.6776732985, "p95": 1.07128392, "p97_5": 1.165362766 }, "maxDD": { "p2_5": -0.3363211955, "p5": -0.3057462232, "median": -0.1972759366, "p95": -0.1366889683, "p97_5": -0.1275280563 }, "sharpeBtc": { "p2_5": 0.8907542454, "p5": 0.9882361716, "median": 1.443911106, "p95": 1.909248444, "p97_5": 1.999593579 }, "sharpeEth": { "p2_5": 1.273682486, "p5": 1.375993775, "median": 1.919642818, "p95": 2.422537306, "p97_5": 2.531808622 }, "pSharpePos": 1, "pSharpeGt1": 0.9996, "pBeatsBtc": 0.9996, "pBeatsEth": 0.875, "pBeatsBoth": 0.8746, "pDDBetterThanBtc": 0.4984, "pDDBetterThanEth": 0.992 }, "concentration": { "tradesPortfolio": { "n": 716, "top1": 0.3627315351, "top5": 0.9895025019, "top10": 1.352785218, "cagrWithoutTop5": -0.003108037067, "cagr": 0.6772734024, "skew": 4.416584743 }, "tradesBtc": { "n": 358, "top1": 0.3417181897, "top5": 1.080790882, "top10": 1.544769571, "cagrWithoutTop5": -0.02658381052, "cagr": 0.3958414274, "skew": 3.22048006 }, "tradesEth": { "n": 358, "top1": 0.2728496122, "top5": 0.8253708387, "top10": 1.180780046, "cagrWithoutTop5": 0.1081490422, "cagr": 0.8004783505, "skew": 3.284520208 }, "daysPortfolio": { "n": 2952, "top1": 0.6281578079, "top5": 1.707475132, "top10": 2.213798611, "cagrWithoutTop5": -0.3064171365, "cagr": 0.6772734024, "skew": 3.355856305 }, "daysBtc": { "n": 2952, "top1": 0.9418090196, "top5": 2.314081015, "top10": 2.752436898, "cagrWithoutTop5": -0.3548307616, "cagr": 0.3958414274, "skew": 3.838904323 }, "daysEth": { "n": 2952, "top1": 0.6931794933, "top5": 1.803189626, "top10": 2.295382433, "cagrWithoutTop5": -0.3764445418, "cagr": 0.8004783505, "skew": 3.704894481 }, "currencyTop5": 1.239373179, "tradeSkewPortfolio": 4.801226875 }, "capacity": { "tradesPerYear": { "btc": 44.29522358, "eth": 44.29522358, "total": 88.59044715 }, "turnover": { "btc": { "commissionPctYr": 0.03978555883, "slippagePctYr": 0, "totalCostPctYr": 0.03978555883, "turnoverOneWay": 44.13536444, "turnoverTwoWay": 88.41235296 }, "eth": { "commissionPctYr": 0.03895108517, "slippagePctYr": 0, "totalCostPctYr": 0.03895108517, "turnoverOneWay": 43.17429197, "turnoverTwoWay": 86.55796704 }, "portfolio": { "commissionPctYr": 0.0391167062, "slippagePctYr": 0, "totalCostPctYr": 0.0391167062, "turnoverOneWay": 43.36503953, "turnoverTwoWay": 86.92601379 } }, "holdingHours": { "btc": [ 29.3603352, 11.5 ], "eth": [ 33.88407821, 14.875 ], "pooled": [ 31.6222067, 13 ] }, "simultaneous": 0.07290608062, "exposure": { "timeInMarket": 0.2466724537, "avgGross": 0.1604284324, "avgNet": 0.04904724444, "maxGross": 1.035519121 }, "sleeves": { "btc": { "timeInMarket": 0.148359869, "avgGross": 0.1441971232, "maxGross": 1.037431058 }, "eth": { "timeInMarket": 0.1712186653, "avgGross": 0.1637540942, "maxGross": 1.062662586 } }, "note": "Execution costs were measured separately on real Binance perpetual-futures trades for every execution since 2020 (institutional dossier); capacity on Hyperliquid, the intended venue, and the strategy’s own market impact are not yet measured." }, "reconciliation": { "rows": [ { "key": "BTC", "k": 0, "field": "totalReturn", "validated": 39.66913842, "recomputed": 39.66913842 }, { "key": "BTC", "k": 0, "field": "cagr", "validated": 0.4620528369, "recomputed": 0.4620528369 }, { "key": "BTC", "k": 0, "field": "sharpe", "validated": 1.74647876, "recomputed": 1.74647876 }, { "key": "BTC", "k": 0, "field": "maxDD", "validated": -0.2480477979, "recomputed": -0.2480477979 }, { "key": "BTC", "k": 0, "field": "profitFactor", "validated": 2.16417456, "recomputed": 2.16417456 }, { "key": "BTC", "k": 0, "field": "trades", "validated": 396, "recomputed": 396 }, { "key": "BTC", "k": 1, "field": "totalReturn", "validated": 27.54313082, "recomputed": 27.54313082 }, { "key": "BTC", "k": 1, "field": "cagr", "validated": 0.4099413318, "recomputed": 0.4099413318 }, { "key": "BTC", "k": 1, "field": "sharpe", "validated": 1.586033921, "recomputed": 1.586033921 }, { "key": "BTC", "k": 1, "field": "maxDD", "validated": -0.264797703, "recomputed": -0.264797703 }, { "key": "BTC", "k": 1, "field": "profitFactor", "validated": 1.942287913, "recomputed": 1.942287913 }, { "key": "BTC", "k": 1, "field": "trades", "validated": 396, "recomputed": 396 }, { "key": "BTC", "k": 2, "field": "totalReturn", "validated": 19.02628599, "recomputed": 19.02628599 }, { "key": "BTC", "k": 2, "field": "cagr", "validated": 0.3596429878, "recomputed": 0.3596429878 }, { "key": "BTC", "k": 2, "field": "sharpe", "validated": 1.426221518, "recomputed": 1.426221518 }, { "key": "BTC", "k": 2, "field": "maxDD", "validated": -0.2811890621, "recomputed": -0.2811890621 }, { "key": "BTC", "k": 2, "field": "profitFactor", "validated": 1.761638829, "recomputed": 1.761638829 }, { "key": "BTC", "k": 2, "field": "trades", "validated": 396, "recomputed": 396 }, { "key": "ETH", "k": 0, "field": "totalReturn", "validated": 158.4153517, "recomputed": 158.4153517 }, { "key": "ETH", "k": 0, "field": "cagr", "validated": 0.8729161656, "recomputed": 0.8729161656 }, { "key": "ETH", "k": 0, "field": "sharpe", "validated": 2.187382235, "recomputed": 2.187382235 }, { "key": "ETH", "k": 0, "field": "maxDD", "validated": -0.2562979711, "recomputed": -0.2562979711 }, { "key": "ETH", "k": 0, "field": "profitFactor", "validated": 3.02862949, "recomputed": 3.02862949 }, { "key": "ETH", "k": 0, "field": "trades", "validated": 358, "recomputed": 358 }, { "key": "ETH", "k": 1, "field": "totalReturn", "validated": 114.8989892, "recomputed": 114.8989892 }, { "key": "ETH", "k": 1, "field": "cagr", "validated": 0.8004783505, "recomputed": 0.8004783505 }, { "key": "ETH", "k": 1, "field": "sharpe", "validated": 2.054930374, "recomputed": 2.054930374 }, { "key": "ETH", "k": 1, "field": "maxDD", "validated": -0.2671922719, "recomputed": -0.2671922719 }, { "key": "ETH", "k": 1, "field": "profitFactor", "validated": 2.733672987, "recomputed": 2.733672987 }, { "key": "ETH", "k": 1, "field": "trades", "validated": 358, "recomputed": 358 }, { "key": "ETH", "k": 2, "field": "totalReturn", "validated": 83.23748755, "recomputed": 83.23748755 }, { "key": "ETH", "k": 2, "field": "cagr", "validated": 0.7307811538, "recomputed": 0.7307811538 }, { "key": "ETH", "k": 2, "field": "sharpe", "validated": 1.922776486, "recomputed": 1.922776486 }, { "key": "ETH", "k": 2, "field": "maxDD", "validated": -0.2868350068, "recomputed": -0.2868350068 }, { "key": "ETH", "k": 2, "field": "profitFactor", "validated": 2.482261103, "recomputed": 2.482261103 }, { "key": "ETH", "k": 2, "field": "trades", "validated": 358, "recomputed": 358 } ], "common": { "BTC": { "sharpe15": 1.547053897, "maxDD15": -0.264797703, "cagr": 0.3958414274, "trades": 358, "sharpe15Grid": 1.547053875, "sharpeDaily": 1.456496892, "maxDDDaily": -0.24764948, "gridExact": 0.9995942017 }, "ETH": { "sharpe15": 2.054930374, "maxDD15": -0.2671922719, "cagr": 0.8004783505, "trades": 358, "sharpe15Grid": 2.054930238, "sharpeDaily": 1.927275806, "maxDDDaily": -0.2414861458, "gridExact": 0.9989025802 }, "Portfolio": { "sharpe15Grid": 2.132762476, "maxDD15": -0.19634215, "sharpeDaily": 2.024207889, "maxDDDaily": -0.1784987916 } }, "btcOpenAtT0": false, "freshStart": { "btc": { "days": 2952, "years": 8.082135524, "totalReturn": 13.8110162, "cagr": 0.3958414274, "vol": 0.2497440409, "sharpe": 1.456496892, "sortino": 3.231332882, "downsideDev": 0.1125700856, "maxDD": -0.24764948, "calmar": 1.598393937, "skew": 4.249404243, "kurt": 41.1477516, "bestDay": { "day": 17988, "ret": 0.1846199563 }, "worstDay": { "day": 18415, "ret": -0.07159509679 }, "bestMonth": { "key": 24269, "ret": 0.3032879677, "n": 30, "from": 19144, "to": 19173, "full": true }, "worstMonth": { "key": 24265, "ret": -0.08766209862, "n": 28, "from": 19024, "to": 19051, "full": true }, "bestYear": { "key": 2024, "ret": 1.051615663, "n": 366, "from": 19723, "to": 20088, "full": true }, "worstYear": { "key": 2025, "ret": 0.01183377855, "n": 365, "from": 20089, "to": 20453, "full": true }, "positiveDays": 0.1097560976, "flatDays": 0.7567750678, "dailyPF": 1.625954838 }, "btcTrades": 358, "portfolio": { "days": 2952, "years": 8.082135524, "totalReturn": 64.3550027, "cagr": 0.6772734024, "vol": 0.273534079, "sharpe": 2.024207889, "sortino": 4.728717568, "downsideDev": 0.1170909094, "maxDD": -0.1784987916, "calmar": 3.79427444, "skew": 3.651537226, "kurt": 28.80581597, "bestDay": { "day": 20684, "ret": 0.1623008056 }, "worstDay": { "day": 20490, "ret": -0.06153104582 }, "bestMonth": { "key": 24226, "ret": 0.4575906503, "n": 30, "from": 17836, "to": 17865, "full": true }, "worstMonth": { "key": 24265, "ret": -0.1391138576, "n": 28, "from": 19024, "to": 19051, "full": true }, "bestYear": { "key": 2018, "ret": 1.202683448, "n": 122, "from": 17775, "to": 17896, "full": true }, "worstYear": { "key": 2019, "ret": 0.08004430326, "n": 365, "from": 17897, "to": 18261, "full": true }, "positiveDays": 0.1693766938, "flatDays": 0.6300813008, "dailyPF": 1.793980619 } }, "lagCorr": [ { "lag": -4, "corr": -0.002472653453 }, { "lag": -3, "corr": 0.005356122635 }, { "lag": -2, "corr": -0.02487586458 }, { "lag": -1, "corr": 0.01156094977 }, { "lag": 0, "corr": 0.8133828391 }, { "lag": 1, "corr": 0.005375756058 }, { "lag": 2, "corr": -0.03267140224 }, { "lag": 3, "corr": 0.004556380641 }, { "lag": 4, "corr": -0.003417371249 } ] }, "sanity": [ { "name": "BTC ×0: detailed loop = simulate()", "ok": true, "detail": "max |Δequity| 0, trades 396 / 396" }, { "name": "BTC ×0: full-period metrics = validated report", "ok": true, "detail": "research/reports/shock-15m-zeroshot-btc-calm.json, worst relative gap 0.0e+0" }, { "name": "BTC ×1: detailed loop = simulate()", "ok": true, "detail": "max |Δequity| 0, trades 396 / 396" }, { "name": "BTC ×1: full-period metrics = validated report", "ok": true, "detail": "research/reports/shock-15m-zeroshot-btc-calm.json, worst relative gap 0.0e+0" }, { "name": "BTC ×2: detailed loop = simulate()", "ok": true, "detail": "max |Δequity| 0, trades 396 / 396" }, { "name": "BTC ×2: full-period metrics = validated report", "ok": true, "detail": "research/reports/shock-15m-zeroshot-btc-calm.json, worst relative gap 0.0e+0" }, { "name": "BTC: equity = capital + Σ trade PnL (+ open position)", "ok": true, "detail": "residual 0.000000000 (open position at end: false)" }, { "name": "BTC: commissions charged once per fill", "ok": true, "detail": "Σ fees vs 0.045 % × (entries + exits), relative gap 7.8e-16" }, { "name": "BTC: no leverage at entry", "ok": true, "detail": "max entry notional / sleeve equity = 1.000000000000" }, { "name": "ETH ×0: detailed loop = simulate()", "ok": true, "detail": "max |Δequity| 0, trades 358 / 358" }, { "name": "ETH ×0: full-period metrics = validated report", "ok": true, "detail": "research/reports/shock-15m-zeroshot-ethusdt-calm.json, worst relative gap 0.0e+0" }, { "name": "ETH ×1: detailed loop = simulate()", "ok": true, "detail": "max |Δequity| 0, trades 358 / 358" }, { "name": "ETH ×1: full-period metrics = validated report", "ok": true, "detail": "research/reports/shock-15m-zeroshot-ethusdt-calm.json, worst relative gap 0.0e+0" }, { "name": "ETH ×2: detailed loop = simulate()", "ok": true, "detail": "max |Δequity| 0, trades 358 / 358" }, { "name": "ETH ×2: full-period metrics = validated report", "ok": true, "detail": "research/reports/shock-15m-zeroshot-ethusdt-calm.json, worst relative gap 0.0e+0" }, { "name": "ETH: equity = capital + Σ trade PnL (+ open position)", "ok": true, "detail": "residual 0.000000000 (open position at end: false)" }, { "name": "ETH: commissions charged once per fill", "ok": true, "detail": "Σ fees vs 0.045 % × (entries + exits), relative gap 5.7e-16" }, { "name": "ETH: no leverage at entry", "ok": true, "detail": "max entry notional / sleeve equity = 1.000000000000" }, { "name": "BTC: timestamps on the UTC 15-min grid", "ok": true, "detail": "283277 bars, 0 off-grid, 0 non-increasing (bar-open timestamps, ms UTC)" }, { "name": "ETH: timestamps on the UTC 15-min grid", "ok": true, "detail": "283081 bars, 0 off-grid, 0 non-increasing (bar-open timestamps, ms UTC)" }, { "name": "BTC: one close per day, no interpolation", "ok": true, "detail": "2952 days, 0 days without a bar (carried, return 0)" }, { "name": "BTC: zero-return days are days without a position", "ok": true, "detail": "2234 zero-return days, 2234 of them flat all day" }, { "name": "ETH: one close per day, no interpolation", "ok": true, "detail": "2952 days, 0 days without a bar (carried, return 0)" }, { "name": "ETH: zero-return days are days without a position", "ok": true, "detail": "2155 zero-return days, 2155 of them flat all day" }, { "name": "Capital: BTC sleeve 50 + ETH sleeve 50 = 100 at t0", "ok": true, "detail": "each sleeve compounds only its own 50" }, { "name": "Capital: portfolio = BTC sleeve + ETH sleeve, every day", "ok": true, "detail": "max |V − (V_BTC + V_ETH)| = 0.0e+0" }, { "name": "Sleeve value = 50 × strategy equity / equity at t0 (engine is scale-invariant)", "ok": true, "detail": "max relative gap 5.3e-15" }, { "name": "No double compounding: Π(1 + r_portfolio) reproduces the portfolio value", "ok": true, "detail": "max relative gap 6.3e-15" }, { "name": "Portfolio return = drifting-weight average of sleeve returns", "ok": true, "detail": "max |r_p − (w_BTC r_BTC + w_ETH r_ETH)| = 3.3e-16, weights from the previous close" }, { "name": "15-min portfolio marks agree with daily closes", "ok": true, "detail": "max relative gap at 23:45 bars 2.4e-15" }, { "name": "BTC/ETH timestamps not shifted (15-min underlying returns peak at lag 0)", "ok": true, "detail": "-4: -0.002 · -3: 0.005 · -2: -0.025 · -1: 0.012 · 0: 0.813 · +1: 0.005 · +2: -0.033 · +3: 0.005 · +4: -0.003" }, { "name": "Correlation recomputed independently (z-score formula)", "ok": true, "detail": "0.357515 vs 0.357515" }, { "name": "Max drawdown recomputed independently (episodes vs running peak)", "ok": true, "detail": "-17.8499 %" }, { "name": "Sharpe recomputed independently (Welford vs two-pass)", "ok": true, "detail": "2.024208" }, { "name": "CAGR recomputed independently (log-sum vs end value)", "ok": true, "detail": "67.7273 %" }, { "name": "Equal-risk weights causal (window ends at the rebalancing close)", "ok": true, "detail": "97 monthly targets; truncating the series after the rebalancing day leaves each weight unchanged" }, { "name": "Gross exposure of the 50/50 portfolio", "ok": true, "detail": "max 103.6 % of portfolio equity (100 % = both sleeves fully invested; above 100 % only through price moves against open shorts and the entry commission)" }, { "name": "ETH runs the BTC preset unchanged", "ok": true, "detail": "parameter hash c6ac30464bce14dd… identical for both sleeves" }, { "name": "walk-forward : référence 36/3 = synthèse des fenêtres longues", "ok": true, "detail": "0.83 contre 0.83" }, { "name": "Stress: zero-slippage portfolio Sharpe = this report (research/shock/published-stress.ts)", "ok": true, "detail": "2.0242078889" } ], "evidence": { "btc": { "file": "shock-15m-zeroshot-btc-calm.json", "label": "BTC/USD (Bitstamp)", "period": [ "2017-01-01", "2026-10-04" ], "verdict": { "eventsPreset": true, "eventsCore": true, "eventsShock": true, "eventsShockTrend": true, "preset": { "pf": true, "sharpe": true, "random": true, "delay": true }, "core": { "pf": true, "sharpe": true, "random": true, "delay": true } }, "meanTrade": 0.009469263138, "sharpe": 1.586033921, "cagr": 0.4099413318, "dd": -0.264797703, "trades": 396, "randomBeaten": 1, "randomP95": 0.900100616, "delay1Share": 0.972486176, "delay1Sharpe": 1.540880576, "eventsShockTrend": true }, "eth": { "file": "shock-15m-zeroshot-ethusdt-calm.json", "label": "ETH/USDT (Binance)", "period": [ "2018-09-01", "2026-09-30" ], "verdict": { "eventsPreset": true, "eventsCore": true, "eventsShock": true, "eventsShockTrend": true, "preset": { "pf": true, "sharpe": true, "random": true, "delay": true }, "core": { "pf": true, "sharpe": true, "random": true, "delay": true } }, "meanTrade": 0.01521214453, "sharpe": 2.054930374, "cagr": 0.8004783505, "dd": -0.2671922719, "trades": 358, "randomBeaten": 1, "randomP95": 1.285733836, "delay1Share": 0.9423898787, "delay1Sharpe": 1.914183591, "eventsShockTrend": true }, "ethDukascopy": { "file": "shock-15m-zeroshot-eth-dukascopy-calm.json", "label": "ETH/USD (Dukascopy)", "period": [ "2019-01-01", "2026-09-30" ], "verdict": { "eventsPreset": true, "eventsCore": true, "eventsShock": true, "eventsShockTrend": true, "preset": { "pf": true, "sharpe": true, "random": true, "delay": true }, "core": { "pf": true, "sharpe": true, "random": true, "delay": true } }, "meanTrade": 0.01914295002, "sharpe": 1.816670239, "cagr": 0.5749854153, "dd": -0.2358212344, "trades": 206, "randomBeaten": 1, "randomP95": 1.101673334, "delay1Share": 0.7283604565, "delay1Sharpe": 1.396336623, "eventsShockTrend": true }, "gold": { "file": "shock-15m-zeroshot-xauusd-calm.json", "label": "Or comptant XAU/USD (Dukascopy)", "period": [ "2013-01-01", "2026-09-30" ], "verdict": { "eventsPreset": false, "eventsCore": false, "eventsShock": false, "eventsShockTrend": false, "preset": { "pf": true, "sharpe": true, "random": true, "delay": true }, "core": { "pf": true, "sharpe": false, "random": true, "delay": true } }, "meanTrade": 0.0008427016123, "sharpe": 0.3945043725, "cagr": 0.01828651021, "dd": -0.1181578457, "trades": 319, "randomBeaten": 0.995, "randomP95": 0.2083406795, "delay1Share": 1.153829011, "delay1Sharpe": 0.4630931782, "eventsShockTrend": false }, "sol": { "file": "shock-15m-zeroshot-solusdt-calm.json", "label": "SOL/USDT (Binance)", "period": [ "2021-09-01", "2026-09-30" ], "verdict": { "eventsPreset": false, "eventsCore": false, "eventsShock": false, "eventsShockTrend": true, "preset": { "pf": true, "sharpe": true, "random": true, "delay": true }, "core": { "pf": true, "sharpe": true, "random": true, "delay": true } }, "meanTrade": 0.004913325242, "sharpe": 0.5734321649, "cagr": 0.160037163, "dd": -0.5401632453, "trades": 251, "randomBeaten": 0.925, "randomP95": 0.6617414113, "delay1Share": 0.8004350261, "delay1Sharpe": 0.4645546716, "eventsShockTrend": true }, "tao": { "file": "shock-15m-zeroshot-taousdt-calm.json", "label": "TAO/USDT (Binance)", "period": [ "2024-08-15", "2026-09-30" ], "verdict": { "eventsPreset": false, "eventsCore": false, "eventsShock": false, "eventsShockTrend": false, "preset": { "pf": false, "sharpe": false, "random": false, "delay": false }, "core": { "pf": false, "sharpe": false, "random": false, "delay": false } }, "meanTrade": -0.0008554545969, "sharpe": 0.01092948024, "cagr": -0.07301225863, "dd": -0.3922714351, "trades": 95, "randomBeaten": 0.545, "randomP95": 0.8111959472, "delay1Share": 3.870259925, "delay1Sharpe": -0.3076488888, "eventsShockTrend": false }, "robBtc": { "file": "shock-15m-robustness-local-calm.json", "period": [ "2017-01-01", "2026-10-04" ], "levels": [ { "level": 0.05, "medianSharpe": 1.493055513, "p10": 1.421308907, "p90": 1.576822486, "preset": 1.586033921, "rank": 0.92, "profitable": 1, "keep80": 1 }, { "level": 0.1, "medianSharpe": 1.418505941, "p10": 1.320209067, "p90": 1.516753954, "preset": 1.586033921, "rank": 0.9866666667, "profitable": 1, "keep80": 0.97 }, { "level": 0.2, "medianSharpe": 1.353885346, "p10": 1.23225855, "p90": 1.46668372, "preset": 1.586033921, "rank": 0.9966666667, "profitable": 1, "keep80": 0.8333333333 } ] }, "robEth": { "file": "shock-15m-robustness-local-ethusdt-calm.json", "period": [ "2018-09-01", "2026-09-30" ], "levels": [ { "level": 0.05, "medianSharpe": 2.045679362, "p10": 1.906907723, "p90": 2.187741614, "preset": 2.054930374, "rank": 0.5466666667, "profitable": 1, "keep80": 1 }, { "level": 0.1, "medianSharpe": 2.030291511, "p10": 1.80706392, "p90": 2.209281326, "preset": 2.054930374, "rank": 0.5466666667, "profitable": 1, "keep80": 0.9966666667 }, { "level": 0.2, "medianSharpe": 1.944690761, "p10": 1.762320335, "p90": 2.138936037, "preset": 2.054930374, "rank": 0.7566666667, "profitable": 1, "keep80": 0.9866666667 } ] }, "walkForward": { "file": "shock-15m-wf-plateau-36-3-calm.md", "period": "2020-01-01 → 2026-10-04", "windows": 28, "cagr": "14.3 %", "sharpe": "0.83", "dd": "-27.6 %", "trades": "390" }, "walkForwardWindows": { "file": "wf-longer/wf-longer.md", "prespec": "research/preregistration/wf-longer-windows.md", "period": "2020-01-01 → 2026-10-04", "configs": 12, "median": 0.97, "min": 0.83, "max": 1.36, "minKey": "36/3", "maxKey": "exp/6", "fixedSharpe": 1.55, "belowFixed": 12, "medianRatio": 0.6258064516, "verdict": "not-windows" } } }