Files
tac-exp-dev/book/data/signal_quality_gate/signal_quality_gate_retrained.json
T

1532 lines
35 KiB
JSON

[
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_5d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 84,
"gate_closed": 66,
"trip_rate": 0.44,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.648996,
"gated_sharpe": 6.2501,
"gated_maxDD": -0.023442
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_5d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 38,
"gate_closed": 112,
"trip_rate": 0.7467,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.458143,
"gated_sharpe": 5.9258,
"gated_maxDD": -0.013092
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_5d_0.70",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 12,
"gate_closed": 138,
"trip_rate": 0.92,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.176528,
"gated_sharpe": 3.9923,
"gated_maxDD": -0.005153
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_10d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 86,
"gate_closed": 64,
"trip_rate": 0.4267,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.288162,
"gated_sharpe": 2.5775,
"gated_maxDD": -0.039705
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_10d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 26,
"gate_closed": 124,
"trip_rate": 0.8267,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.145763,
"gated_sharpe": 2.968,
"gated_maxDD": -0.013348
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_10d_0.70",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 5,
"gate_closed": 145,
"trip_rate": 0.9667,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": -0.003575,
"gated_sharpe": -0.314,
"gated_maxDD": -0.008187
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_20d_0.40",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 148,
"gate_closed": 2,
"trip_rate": 0.0133,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.286286,
"gated_sharpe": 1.7156,
"gated_maxDD": -0.067104
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_20d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 99,
"gate_closed": 51,
"trip_rate": 0.34,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.268662,
"gated_sharpe": 2.2268,
"gated_maxDD": -0.040318
},
{
"source": "retrained",
"window": "2026",
"gate": "hitrate_20d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 150,
"gate_open": 12,
"gate_closed": 138,
"trip_rate": 0.92,
"base_ann": 0.253239,
"base_sharpe": 1.517,
"base_maxDD": -0.067104,
"gated_ann": 0.031825,
"gated_sharpe": 1.688,
"gated_maxDD": -0.008187
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_5d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 155,
"gate_closed": 95,
"trip_rate": 0.38,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.628161,
"gated_sharpe": 6.0366,
"gated_maxDD": -0.055513
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_5d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 96,
"gate_closed": 154,
"trip_rate": 0.616,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.376382,
"gated_sharpe": 4.6887,
"gated_maxDD": -0.047153
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_5d_0.70",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 37,
"gate_closed": 213,
"trip_rate": 0.852,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.224845,
"gated_sharpe": 4.7438,
"gated_maxDD": -0.008613
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_10d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 166,
"gate_closed": 84,
"trip_rate": 0.336,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.374546,
"gated_sharpe": 3.2685,
"gated_maxDD": -0.055513
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_10d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 71,
"gate_closed": 179,
"trip_rate": 0.716,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.238719,
"gated_sharpe": 4.022,
"gated_maxDD": -0.013238
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_10d_0.70",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 13,
"gate_closed": 237,
"trip_rate": 0.948,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.034654,
"gated_sharpe": 1.1514,
"gated_maxDD": -0.008803
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_20d_0.40",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 250,
"gate_closed": 0,
"trip_rate": 0.0,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.155804,
"gated_sharpe": 0.8373,
"gated_maxDD": -0.196751
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_20d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 185,
"gate_closed": 65,
"trip_rate": 0.26,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.352176,
"gated_sharpe": 3.3794,
"gated_maxDD": -0.033798
},
{
"source": "retrained",
"window": "2025",
"gate": "hitrate_20d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 54,
"gate_closed": 196,
"trip_rate": 0.784,
"base_ann": 0.155804,
"base_sharpe": 0.8373,
"base_maxDD": -0.196751,
"gated_ann": 0.212675,
"gated_sharpe": 3.3231,
"gated_maxDD": -0.023704
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_5d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 145,
"gate_closed": 108,
"trip_rate": 0.4269,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.431873,
"gated_sharpe": 4.428,
"gated_maxDD": -0.028721
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_5d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 70,
"gate_closed": 183,
"trip_rate": 0.7233,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.381231,
"gated_sharpe": 5.4692,
"gated_maxDD": -0.015471
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_5d_0.70",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 25,
"gate_closed": 228,
"trip_rate": 0.9012,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.152242,
"gated_sharpe": 3.8328,
"gated_maxDD": -0.004761
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_10d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 156,
"gate_closed": 97,
"trip_rate": 0.3834,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.25073,
"gated_sharpe": 2.3932,
"gated_maxDD": -0.037139
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_10d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 44,
"gate_closed": 209,
"trip_rate": 0.8261,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.127297,
"gated_sharpe": 2.2623,
"gated_maxDD": -0.022165
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_10d_0.70",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 8,
"gate_closed": 245,
"trip_rate": 0.9684,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.037433,
"gated_sharpe": 1.858,
"gated_maxDD": -0.00145
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_20d_0.40",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 247,
"gate_closed": 6,
"trip_rate": 0.0237,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.016863,
"gated_sharpe": 0.1236,
"gated_maxDD": -0.08828
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_20d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 175,
"gate_closed": 78,
"trip_rate": 0.3083,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": 0.097603,
"gated_sharpe": 0.8829,
"gated_maxDD": -0.067765
},
{
"source": "retrained",
"window": "2024",
"gate": "hitrate_20d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 17,
"gate_closed": 236,
"trip_rate": 0.9328,
"base_ann": -0.031528,
"base_sharpe": -0.2293,
"base_maxDD": -0.08828,
"gated_ann": -0.037611,
"gated_sharpe": -1.0795,
"gated_maxDD": -0.04407
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_5d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 131,
"gate_closed": 119,
"trip_rate": 0.476,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.580855,
"gated_sharpe": 5.6532,
"gated_maxDD": -0.024506
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_5d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 71,
"gate_closed": 179,
"trip_rate": 0.716,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.433179,
"gated_sharpe": 5.5698,
"gated_maxDD": -0.027182
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_5d_0.70",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 32,
"gate_closed": 218,
"trip_rate": 0.872,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.202111,
"gated_sharpe": 3.4801,
"gated_maxDD": -0.021868
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_10d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 135,
"gate_closed": 115,
"trip_rate": 0.46,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.400163,
"gated_sharpe": 3.8554,
"gated_maxDD": -0.032201
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_10d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 77,
"gate_closed": 173,
"trip_rate": 0.692,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.272342,
"gated_sharpe": 3.7048,
"gated_maxDD": -0.021999
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_10d_0.70",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 13,
"gate_closed": 237,
"trip_rate": 0.948,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.056813,
"gated_sharpe": 1.5786,
"gated_maxDD": -0.009656
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_20d_0.40",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 235,
"gate_closed": 15,
"trip_rate": 0.06,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.079439,
"gated_sharpe": 0.5449,
"gated_maxDD": -0.11414
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_20d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 131,
"gate_closed": 119,
"trip_rate": 0.476,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.279296,
"gated_sharpe": 2.5428,
"gated_maxDD": -0.045109
},
{
"source": "retrained",
"window": "2023",
"gate": "hitrate_20d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 52,
"gate_closed": 198,
"trip_rate": 0.792,
"base_ann": 0.059638,
"base_sharpe": 0.3986,
"base_maxDD": -0.126894,
"gated_ann": 0.168286,
"gated_sharpe": 2.6336,
"gated_maxDD": -0.035737
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_5d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 149,
"gate_closed": 103,
"trip_rate": 0.4087,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.441222,
"gated_sharpe": 4.9947,
"gated_maxDD": -0.031256
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_5d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 90,
"gate_closed": 162,
"trip_rate": 0.6429,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.426775,
"gated_sharpe": 6.3005,
"gated_maxDD": -0.018787
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_5d_0.70",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 36,
"gate_closed": 216,
"trip_rate": 0.8571,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.193485,
"gated_sharpe": 4.3539,
"gated_maxDD": -0.008861
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_10d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 159,
"gate_closed": 93,
"trip_rate": 0.369,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.359362,
"gated_sharpe": 3.3378,
"gated_maxDD": -0.070675
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_10d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 67,
"gate_closed": 185,
"trip_rate": 0.7341,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.234921,
"gated_sharpe": 4.4088,
"gated_maxDD": -0.016687
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_10d_0.70",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 10,
"gate_closed": 242,
"trip_rate": 0.9603,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.047502,
"gated_sharpe": 2.0297,
"gated_maxDD": -0.002111
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_20d_0.40",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 252,
"gate_closed": 0,
"trip_rate": 0.0,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.134183,
"gated_sharpe": 0.8167,
"gated_maxDD": -0.11453
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_20d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 175,
"gate_closed": 77,
"trip_rate": 0.3056,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.207217,
"gated_sharpe": 1.7504,
"gated_maxDD": -0.060921
},
{
"source": "retrained",
"window": "2021",
"gate": "hitrate_20d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 44,
"gate_closed": 208,
"trip_rate": 0.8254,
"base_ann": 0.134183,
"base_sharpe": 0.8167,
"base_maxDD": -0.11453,
"gated_ann": 0.110265,
"gated_sharpe": 2.2204,
"gated_maxDD": -0.016687
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_5d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 92,
"gate_closed": 65,
"trip_rate": 0.414,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.649911,
"gated_sharpe": 5.7351,
"gated_maxDD": -0.031795
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_5d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 49,
"gate_closed": 108,
"trip_rate": 0.6879,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.489313,
"gated_sharpe": 6.0111,
"gated_maxDD": -0.014864
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_5d_0.70",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 15,
"gate_closed": 142,
"trip_rate": 0.9045,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.229523,
"gated_sharpe": 4.3611,
"gated_maxDD": -0.002029
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_10d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 109,
"gate_closed": 48,
"trip_rate": 0.3057,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.335822,
"gated_sharpe": 2.6391,
"gated_maxDD": -0.060142
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_10d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 36,
"gate_closed": 121,
"trip_rate": 0.7707,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.251108,
"gated_sharpe": 3.8579,
"gated_maxDD": -0.026842
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_10d_0.70",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 9,
"gate_closed": 148,
"trip_rate": 0.9427,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.039314,
"gated_sharpe": 1.3415,
"gated_maxDD": -0.012061
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_20d_0.40",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 157,
"gate_closed": 0,
"trip_rate": 0.0,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.255023,
"gated_sharpe": 1.4465,
"gated_maxDD": -0.080671
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_20d_0.50",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 118,
"gate_closed": 39,
"trip_rate": 0.2484,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.343819,
"gated_sharpe": 2.5185,
"gated_maxDD": -0.06259
},
{
"source": "reference",
"window": "2026",
"gate": "hitrate_20d_0.60",
"start": "2026-01-04",
"end": "2026-08-19",
"trade_dates": 157,
"gate_open": 28,
"gate_closed": 129,
"trip_rate": 0.8217,
"base_ann": 0.255023,
"base_sharpe": 1.4465,
"base_maxDD": -0.080671,
"gated_ann": 0.020214,
"gated_sharpe": 0.3601,
"gated_maxDD": -0.028489
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_5d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 153,
"gate_closed": 97,
"trip_rate": 0.388,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.72055,
"gated_sharpe": 6.9599,
"gated_maxDD": -0.048495
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_5d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 90,
"gate_closed": 160,
"trip_rate": 0.64,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.48564,
"gated_sharpe": 5.3623,
"gated_maxDD": -0.046673
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_5d_0.70",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 39,
"gate_closed": 211,
"trip_rate": 0.844,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.249221,
"gated_sharpe": 4.9448,
"gated_maxDD": -0.009619
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_10d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 170,
"gate_closed": 80,
"trip_rate": 0.32,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.435847,
"gated_sharpe": 3.5614,
"gated_maxDD": -0.055776
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_10d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 66,
"gate_closed": 184,
"trip_rate": 0.736,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.324574,
"gated_sharpe": 5.2279,
"gated_maxDD": -0.016028
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_10d_0.70",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 14,
"gate_closed": 236,
"trip_rate": 0.944,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.043002,
"gated_sharpe": 1.4635,
"gated_maxDD": -0.010154
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_20d_0.40",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 247,
"gate_closed": 3,
"trip_rate": 0.012,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.202949,
"gated_sharpe": 0.9896,
"gated_maxDD": -0.217417
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_20d_0.50",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 177,
"gate_closed": 73,
"trip_rate": 0.292,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.340772,
"gated_sharpe": 2.8303,
"gated_maxDD": -0.071731
},
{
"source": "reference",
"window": "2025",
"gate": "hitrate_20d_0.60",
"start": "2025-01-02",
"end": "2025-12-31",
"trade_dates": 250,
"gate_open": 48,
"gate_closed": 202,
"trip_rate": 0.808,
"base_ann": 0.177515,
"base_sharpe": 0.8573,
"base_maxDD": -0.217417,
"gated_ann": 0.266028,
"gated_sharpe": 4.1749,
"gated_maxDD": -0.021527
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_5d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 139,
"gate_closed": 114,
"trip_rate": 0.4506,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.30351,
"gated_sharpe": 2.4275,
"gated_maxDD": -0.088219
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_5d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 71,
"gate_closed": 182,
"trip_rate": 0.7194,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.265365,
"gated_sharpe": 2.4908,
"gated_maxDD": -0.078304
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_5d_0.70",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 19,
"gate_closed": 234,
"trip_rate": 0.9249,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.143125,
"gated_sharpe": 3.377,
"gated_maxDD": -0.003364
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_10d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 157,
"gate_closed": 96,
"trip_rate": 0.3794,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.277421,
"gated_sharpe": 2.5767,
"gated_maxDD": -0.043146
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_10d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 37,
"gate_closed": 216,
"trip_rate": 0.8538,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.207161,
"gated_sharpe": 3.6083,
"gated_maxDD": -0.011122
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_10d_0.70",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 7,
"gate_closed": 246,
"trip_rate": 0.9723,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.031785,
"gated_sharpe": 1.7408,
"gated_maxDD": -0.002083
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_20d_0.40",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 247,
"gate_closed": 6,
"trip_rate": 0.0237,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.078007,
"gated_sharpe": 0.5342,
"gated_maxDD": -0.10685
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_20d_0.50",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 177,
"gate_closed": 76,
"trip_rate": 0.3004,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.210672,
"gated_sharpe": 1.8469,
"gated_maxDD": -0.056207
},
{
"source": "reference",
"window": "2024",
"gate": "hitrate_20d_0.60",
"start": "2024-01-02",
"end": "2024-12-31",
"trade_dates": 253,
"gate_open": 13,
"gate_closed": 240,
"trip_rate": 0.9486,
"base_ann": 0.08229,
"base_sharpe": 0.5594,
"base_maxDD": -0.10685,
"gated_ann": 0.005953,
"gated_sharpe": 0.3039,
"gated_maxDD": -0.014443
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_5d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 139,
"gate_closed": 111,
"trip_rate": 0.444,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.546654,
"gated_sharpe": 4.2124,
"gated_maxDD": -0.035676
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_5d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 79,
"gate_closed": 171,
"trip_rate": 0.684,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.556291,
"gated_sharpe": 5.1026,
"gated_maxDD": -0.025449
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_5d_0.70",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 34,
"gate_closed": 216,
"trip_rate": 0.864,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.404269,
"gated_sharpe": 4.4477,
"gated_maxDD": -0.013842
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_10d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 148,
"gate_closed": 102,
"trip_rate": 0.408,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.459869,
"gated_sharpe": 3.5211,
"gated_maxDD": -0.046921
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_10d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 62,
"gate_closed": 188,
"trip_rate": 0.752,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.368232,
"gated_sharpe": 4.0148,
"gated_maxDD": -0.022983
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_10d_0.70",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 13,
"gate_closed": 237,
"trip_rate": 0.948,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.091481,
"gated_sharpe": 2.1324,
"gated_maxDD": -0.010866
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_20d_0.40",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 237,
"gate_closed": 13,
"trip_rate": 0.052,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.06639,
"gated_sharpe": 0.3895,
"gated_maxDD": -0.146704
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_20d_0.50",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 149,
"gate_closed": 101,
"trip_rate": 0.404,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.366016,
"gated_sharpe": 2.5969,
"gated_maxDD": -0.063998
},
{
"source": "reference",
"window": "2023",
"gate": "hitrate_20d_0.60",
"start": "2023-01-03",
"end": "2023-12-29",
"trade_dates": 250,
"gate_open": 40,
"gate_closed": 210,
"trip_rate": 0.84,
"base_ann": -0.047644,
"base_sharpe": -0.2738,
"base_maxDD": -0.197856,
"gated_ann": 0.149844,
"gated_sharpe": 2.2645,
"gated_maxDD": -0.032267
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_5d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 145,
"gate_closed": 107,
"trip_rate": 0.4246,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.556615,
"gated_sharpe": 5.9167,
"gated_maxDD": -0.028062
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_5d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 68,
"gate_closed": 184,
"trip_rate": 0.7302,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.351867,
"gated_sharpe": 5.8468,
"gated_maxDD": -0.011638
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_5d_0.70",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 26,
"gate_closed": 226,
"trip_rate": 0.8968,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.148417,
"gated_sharpe": 3.9593,
"gated_maxDD": -0.0041
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_10d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 163,
"gate_closed": 89,
"trip_rate": 0.3532,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.465023,
"gated_sharpe": 4.2342,
"gated_maxDD": -0.040569
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_10d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 51,
"gate_closed": 201,
"trip_rate": 0.7976,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.21802,
"gated_sharpe": 4.7978,
"gated_maxDD": -0.011134
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_10d_0.70",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 13,
"gate_closed": 239,
"trip_rate": 0.9484,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.06108,
"gated_sharpe": 2.7055,
"gated_maxDD": -0.000262
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_20d_0.40",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 252,
"gate_closed": 0,
"trip_rate": 0.0,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.18367,
"gated_sharpe": 1.0979,
"gated_maxDD": -0.102651
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_20d_0.50",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 166,
"gate_closed": 86,
"trip_rate": 0.3413,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.289756,
"gated_sharpe": 2.5787,
"gated_maxDD": -0.049244
},
{
"source": "reference",
"window": "2021",
"gate": "hitrate_20d_0.60",
"start": "2021-01-04",
"end": "2021-12-31",
"trade_dates": 252,
"gate_open": 38,
"gate_closed": 214,
"trip_rate": 0.8492,
"base_ann": 0.18367,
"base_sharpe": 1.0979,
"base_maxDD": -0.102651,
"gated_ann": 0.104685,
"gated_sharpe": 2.394,
"gated_maxDD": -0.015084
}
]