{
  "version": "shock-engine-2026.10.13",
  "variant": "calm",
  "generatedAt": "2026-10-13T06:19:31.799Z",
  "status": "HISTORICAL SIMULATION",
  "git": {
    "commit": "997435b976491bffcc356ce8b3e916cbcd02a17b",
    "branch": "claude/sleepy-cerf-1q6bgu",
    "sourcesClean": false,
    "dirtyFiles": [
      "M research/shock/portfolio-html.ts",
      " M research/shock/portfolio.ts"
    ]
  },
  "runtime": {
    "node": "v22.22.0",
    "command": "node --disable-warning=MODULE_TYPELESS_PACKAGE_JSON research/shock/portfolio.ts --variant calm",
    "seeds": {
      "bootstrap": 20261008,
      "overlapBaseline": 20261009,
      "copulaNull": 20261008
    }
  },
  "datasets": {
    "btc": {
      "file": "research/data/btcusd_15m.csv.gz",
      "sha256": "f5c3e0231748c757c61c44fc95af489608362e6f4b0820067c5943e83dcf48bb",
      "instrument": "BTC/USD",
      "venue": "Bitstamp spot",
      "timeframe": "15m",
      "timestamps": "bar open, ms UTC",
      "firstBar": "2016-01-01T00:00:00.000Z",
      "lastBar": "2026-10-04T02:45:00.000Z",
      "warmUpFrom": "2016-01-01",
      "simulationFrom": "2017-01-01",
      "simulatedBars": 341941,
      "commonWindowBars": 283277,
      "regimeSource": "research/data/btcusd_60m.csv.gz",
      "regimeSha256": "83fe0a5ed963ab22930da8799810507e39b8e3d02ad160e9adb2f70bf711fe8d"
    },
    "eth": {
      "file": "research/data/ethusdt_15m.csv.gz",
      "sha256": "875b3defedeecc7b9b089cd5949c8ff371761a4c2c6d2ebe4fa16386dcf36454",
      "instrument": "ETH/USDT",
      "venue": "Binance spot",
      "timeframe": "15m",
      "timestamps": "bar open, ms UTC",
      "firstBar": "2017-08-17T04:00:00.000Z",
      "lastBar": "2026-09-30T23:45:00.000Z",
      "warmUpFrom": "2017-08-17",
      "simulationFrom": "2018-09-01",
      "simulatedBars": 283081,
      "commonWindowBars": 283081,
      "regimeSource": "daily bars resampled from the same 15-min file"
    }
  },
  "commonPeriod": {
    "start": "2018-09-01",
    "end": "2026-09-30",
    "days": 2952,
    "years": 8.082135523613964,
    "rule": "first UTC day on which both strategies are simulated after warm-up (ETH simulation start) → last complete UTC day covered by both"
  },
  "strategy": {
    "name": "Shock Engine, adaptive volatility preset, 15 min; new positions only in the calm volatility regime (research/lib/calm-only.ts); short entries only in a bearish daily trend regime (research/lib/e2.ts)",
    "regimes": [
      "calm",
      "agitated"
    ],
    "parametersSha256": "c6ac30464bce14ddb6e5625cbcf08f68e69e3cc5e5454a0c2268583070a74435",
    "ethCalibration": "none: ETH inherits the BTC preset unchanged",
    "entryMask": "first bar after a data gap does not trigger an entry (as in zero-shot.ts)",
    "parameters": "withheld: proprietary; parametersSha256 identifies the exact set"
  },
  "assumptions": {
    "capitalPerSleeve": "each sleeve compounds only its own capital; 100 % of sleeve equity per position; one position at a time per sleeve; no leverage",
    "commissionPctPerOrder": 0.045,
    "slippagePctPerOrder": 0,
    "funding": "not modeled (0)",
    "riskFree": 0,
    "annualization": 365.25
  },
  "portfolio": {
    "weights": {
      "btc": 0.5,
      "eth": 0.5
    },
    "rebalancing": "none (official variant A)",
    "diagnostics": {
      "B": "monthly 50/50 at month-end UTC close, commission on resized open positions",
      "C": "exploratory equal risk, inverse 90-day volatility, monthly, no leverage"
    }
  },
  "validatedReference": [
    {
      "file": "research/reports/shock-15m-zeroshot-btc-calm.json",
      "sha256": "d1e439ca3584204efc560ff5f07c74366dc6050db0c7108b4f6e3f8f506a88b4",
      "reproduced": true
    },
    {
      "file": "research/reports/shock-15m-zeroshot-ethusdt-calm.json",
      "sha256": "b5d82f380de136a91b115992639ebf55acf40e2ff826d25efa2b286031d4761b",
      "reproduced": true
    }
  ],
  "scripts": [
    {
      "path": "research/shock/portfolio.ts",
      "sha256": "ed82bc3d00c3e8454af6090405519274e29bce347d38be1508f4e5073921dc44"
    },
    {
      "path": "research/shock/portfolio-html.ts",
      "sha256": "ae84c4d91396788a03ed64cf7cf22f1c7d39248dc7d6cd55411d40f05b337594"
    },
    {
      "path": "research/lib/portfolio.ts",
      "sha256": "c6a082172b6ee2bf142093a9139002b4d466376c481d00c068857c66f46d4dc1"
    },
    {
      "path": "research/lib/frozen-shock.ts",
      "sha256": "be445aa726433c3e92bcd0cd1bc4626e56d103a309c5e29a5d7cd3f990bed710"
    },
    {
      "path": "research/lib/e2.ts",
      "sha256": "d871214da8d4efb72dc6cf3cddfe8d53112a642361656ce24d365f259f2820e8"
    },
    {
      "path": "research/lib/calm-only.ts",
      "sha256": "3b97ef4263ccb54098223587d1aa001d30d76aa8bbc65f3d6a8fe28df990569d"
    },
    {
      "path": "research/shock/published-stress.ts",
      "sha256": "209ba82e8ffaead4658d4191069acba58d42d060ddf531b545f0ce0d6adfd8ca"
    },
    {
      "path": "research/lib/svg.ts",
      "sha256": "e7f2760748c7f45353631db85fd16b94573f408d059fee1be20ea8704f5206f5"
    },
    {
      "path": "research/lib/data.ts",
      "sha256": "0a74461150628f4cf8c13f1c10ad1f5c24a03ae48f4c454081047881e55249df"
    },
    {
      "path": "research/lib/stats.ts",
      "sha256": "84b410fb3de5ecfd03bc80d9e4614ddd36aaff7da1ac1d431c10e1e7e8e4b8fa"
    },
    {
      "path": "research/shock/zero-shot.ts",
      "sha256": "465808fb33e045a2829696fd3da085320231aaeb7c54d3be67f80c24fb3b83bf"
    },
    {
      "path": "lib/strategies/shock/engine.ts",
      "sha256": "15211a3e185b1214fb6afee229f9eb2b51ee09bbd80fcd48dd831ce99157e62f"
    },
    {
      "path": "lib/strategies/shock/market.ts",
      "sha256": "b69ad8f8f89a4dedc05a1298e87acced6dace0893bbf15b74c858d74aa02ffff"
    },
    {
      "path": "lib/strategies/shock/strategy.ts",
      "sha256": "fafb22d6373b19bf9026ec23ff68b2fb07507dd7c8d9653d9450523b7c4161bc"
    },
    {
      "path": "lib/strategies/shock/broker.ts",
      "sha256": "bad42836b9d61569cb167883a8e9fe0db5e4c5303e654ccbfe99d087b012a97b"
    },
    {
      "path": "lib/strategies/shock/live.ts",
      "sha256": "05caf82ece9ad7f8c355f0390bbda4fe6e3bffe1802933d0952b5c3dc10edeb2"
    },
    {
      "path": "lib/strategies/shock/params.ts",
      "sha256": "5f7cd0c941d702733165da4df7947168b87381eecac179264874807f862d4df6"
    },
    {
      "path": "lib/strategies/shock/presets.ts",
      "sha256": "f97449733ec945bb984a9692d03e51d34b5a9213aea2cbc56bf4bdca8e7d4ae2"
    },
    {
      "path": "lib/strategies/shock/regimes.ts",
      "sha256": "d72f79d1d97c214de781e96fd580a83c4910272d7b37ea6ca44304a077ec99c8"
    },
    {
      "path": "lib/backtest/data.ts",
      "sha256": "26fa7de9308702b4ffcc982e5f724bfdc71fcb00ea13ae3c0e1daa5db2ab5f82"
    },
    {
      "path": "lib/backtest/indicators.ts",
      "sha256": "64bd6009860968376cd53e625ce4bf454c39bdec89e291f6704da62728528440"
    },
    {
      "path": "lib/backtest/metrics.ts",
      "sha256": "21990ec73cf904f60fa04c68653c8bd088b293933b6793448d131c7ec4b0a8ad"
    }
  ],
  "outputs": [
    {
      "path": "research/reports/btc-eth-portfolio-calm/portfolio_daily_returns.csv",
      "sha256": "b932c7c341e5b4269998934e414196a5b10b2f82ca61c6bd838d5a2151cada5b"
    },
    {
      "path": "research/reports/btc-eth-portfolio-calm/portfolio_monthly_returns.csv",
      "sha256": "caebf581c52db1b8fc72feb0fdc0478e6db5df347d4c2f829af44ad6cbd0a808"
    },
    {
      "path": "research/reports/btc-eth-portfolio-calm/portfolio_annual_returns.csv",
      "sha256": "9f0d46487ec1077306733f44cf09db3fdb36febc8b08ba59a629eed1cf8d211d"
    },
    {
      "path": "research/reports/btc-eth-portfolio-calm/portfolio_drawdowns.csv",
      "sha256": "667c533e14ffb5275079280f3b53202afd05809b413833c54eecbb5e427dec6e"
    },
    {
      "path": "research/reports/btc-eth-portfolio-calm/portfolio_correlation_rolling.csv",
      "sha256": "cfe9636ee6f9add3ab07e7e697bcc98f35121aec541a16bf7fedc270f43b6dca"
    },
    {
      "path": "research/reports/btc-eth-portfolio-calm/portfolio_summary.json",
      "sha256": "306b3372abda37c497e21c69e70ec78f9f1c654ebd218ae047cb98dbc0ea1242"
    },
    {
      "path": "research/reports/btc-eth-portfolio-calm/btc-eth-portfolio.html",
      "sha256": "44f7f2bc7b7c3d90198136e95024ee689ddfda49e0932e81a7aeabcc3e340310"
    }
  ],
  "sanityChecks": {
    "passed": 40,
    "failed": []
  }
}