step1_5_results.json

{ "ann_return": 2.369515772586945, "ann_vol": 0.36557545578446293, "sharpe": 3.421929275518318, "sortino": 2.8400930111705063, "calmar": 10.83197109515059, "max_dd": -0.2187520398432159, "skew": -0.8148769205524948, "kurtosis": 3.192602775818225, "up_capture": 0.2000748949873119, "down_capture": -0.1547065548331354, "capture_ratio": -1.2932541559283655, "var_95": -0.03657679607866328, "cvar_95": -0.05103869129377054, "var_99": -0.05614969336736792, "cvar_99": -0.07106204908100434, "ann_factor": 306, "n_obs": 1225, "n_aligned": 1225, "date_start": "2021-01-01", "date_end": "2024-12-31" }